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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, 2014 through June 30, 2015
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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| ITEM 1. | REPORTS TO STOCKHOLDERS. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Small Cap Funds
June 30, 2015
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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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.
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July 27, 2015 (Unaudited)
Dear Shareholder,
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment — though not reflected in wage growth — drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve months ended June 30, 2015, the Barclays U.S. Aggregate Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
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CEO’S LETTER
July 27, 2015 (Unaudited) (continued)
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09 financial crisis. While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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J.P. Morgan Small Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
U.S. equity markets performed strongly in the latter half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at several record highs but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928.
Overall, U.S. large cap stocks only slightly outperformed mid cap and small cap stocks for the twelve months ended June 30, 2015. However, small cap growth stocks outperformed all other equity categories and growth stocks outperformed value stocks across all market cap categories. For the twelve month period, the S&P 500 Index returned 7.42%, while the Russell 2000 Index returned 6.49%, the Russell 2000 Growth Index returned 12.34% and the Russell 2000 Value Index returned 0.78%.
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JPMorgan Dynamic Small Cap Growth Fund
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 13.06% | |||
| Russell 2000 Growth Index | 12.34% | |||
| Net Assets as of 6/30/15 (In Thousands) | $509,796 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Dynamic Small Cap Growth Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the technology and materials & processing sectors was a leading contributor to performance relative to the Benchmark, while security selection in the consumer discretionary sector, and to a lesser degree the financial services sector, was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Receptos Inc., 2u Inc. and Acadia Healthcare Co. Shares of Receptos, a biopharmaceutical company, strengthened on the back of positive clinical trial results for its bowel disorder drug candidate, as well as increased mergers and acquisitions activity in the pharmaceuticals industry. Shares of 2u Inc., a provider of so-called cloud-based software for online learning programs, rose on news of the company’s partnerships with Yale University, Google Inc. and Goldman Sachs Group Inc. Shares of Acadia Healthcare, an operator of facilities for psychiatric, residential treatment, group home and substance abuse programs, rose on a better-than-expected earnings forecast and its acquisition of CRC Health Group.
Leading individual detractors from relative performance included the Fund’s overweight positions in Oasis Petroleum Inc., Laredo Petroleum Holdings Inc. and Coupons.com Inc. Shares of Oasis Petroleum, an oil exploration and production company not held in the Benchmark, weakened amid company plans to sharply cut capital spending in the wake of falling oil prices. Shares of Laredo Petroleum, an independent oil and natural gas exploration and production company not held in the Benchmark, fell amid a decline in global oil prices. Shares of Coupons.com, a provider of digital discount coupons for consumer products, fell on lower-than-expected revenue and the company’s reduction in its revenue forecast.
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. | Watsco, Inc. | 1.7 | % | |||||
| 2. | Acuity Brands, Inc. | 1.7 | ||||||
| 3. | Acadia Healthcare Co., Inc. | 1.6 | ||||||
| 4. | Wayfair, Inc., Class A | 1.6 | ||||||
| 5. | BofI Holding, Inc. | 1.6 | ||||||
| 6. | 2U, Inc. | 1.6 | ||||||
| 7. | Trex Co., Inc. | 1.6 | ||||||
| 8. | Men’s Wearhouse, Inc. (The) | 1.5 | ||||||
| 9. | Lithia Motors, Inc., Class A | 1.5 | ||||||
| 10. | Financial Engines, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 27.1 | % | ||
| Information Technology | 26.1 | |||
| Industrials | 16.4 | |||
| Consumer Discretionary | 13.8 | |||
| Financials | 9.4 | |||
| Energy | 2.7 | |||
| Consumer Staples | 1.9 | |||
| Telecommunication Services | 1.4 | |||
| Materials | 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 19, 1997 | |||||||||||||
Without Sales Charge | 13.06 | % | 18.48 | % | 8.73 | % | ||||||||
With Sales Charge* | 7.13 | 17.22 | 8.15 | |||||||||||
CLASS C SHARES | January 7, 1998 | |||||||||||||
Without CDSC | 12.46 | 17.86 | 8.13 | |||||||||||
With CDSC** | 11.46 | 17.86 | 8.13 | |||||||||||
SELECT CLASS SHARES | April 5, 1999 | 13.30 | 18.85 | 9.12 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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.
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.01% | |||
| Russell 2000 Index | 6.49% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $815,652 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Core Fund seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The JPMorgan Small Cap Core Fund (Select Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the health care and producer durables sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the technology and financial services sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Skyworks Solutions Inc., Auspex Pharmaceuticals Inc. and Hawaiian Holdings Inc. Shares of Skyworks, a producer of radio frequency semiconductors that was not held in the Benchmark, rose on increased demand for its products from smartphone makers, particularly Apple Inc. Shares of Auspex Pharmaceuticals, a drug developer, rose on a $3.5 billion takeover by Teva Pharmaceuticals Industries Ltd. Shares of Hawaiian Holdings, owner/operator of Hawaiian Airlines, rose on strong revenue and profit growth.
Leading individual detractors from relative performance included the Fund’s overweight positions in Warren Resources Inc., Tower International Inc. and Unisys Corp. Shares of Warren Resources, an independent oil exploration and production company, fell amid weakness in global oil prices. Shares of Tower International, a supplier of components to auto makers, fell after the company lowered its forecast for revenue and cash flow. Shares of Unisys, an information technology outsourcing, systems management and consulting company, declined after the company posted a loss for the first quarter of 2015 amid declining services 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 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. | AVG Technologies N.V., (Netherlands) | 1.2 | % | |||||
| 2. | Helen of Troy Ltd., (Bermuda) | 1.1 | ||||||
| 3. | Barrett Business Services, Inc. | 1.0 | ||||||
| 4. | Dynegy, Inc. | 1.0 | ||||||
| 5. | Hawaiian Holdings, Inc. | 0.9 | ||||||
| 6. | Science Applications International Corp. | 0.9 | ||||||
| 7. | Office Depot, Inc. | 0.9 | ||||||
| 8. | Greatbatch, Inc. | 0.9 | ||||||
| 9. | Unisys Corp. | 0.9 | ||||||
| 10. | Huntington Bancshares, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 22.7 | % | ||
| Information Technology | 17.0 | |||
| Industrials | 15.4 | |||
| Health Care | 14.9 | |||
| Consumer Discretionary | 11.9 | |||
| Energy | 4.1 | |||
| Consumer Staples | 3.5 | |||
| Materials | 3.3 | |||
| Utilities | 3.1 | |||
| Telecommunication Services | 1.3 | |||
| Short-Term Investment | 2.8 | |||
| * | 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 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
SELECT CLASS SHARES | January 1, 1997 | 7.01 | % | 18.80 | % | 8.46 | % | |||||||
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 7.49% | |||
| Russell 2000 Index | 6.49% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $3,393,838 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Equity Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the consumer discretionary and financial services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position and security selection in the health care sector and its security selection in the producer durables sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Centene Corp., Freescale Semiconductor Ltd. and Jarden Corp. Shares of Centene, a provider of managed health care, rose on better-than-expected results. Shares of Freescale, a semiconductor maker, rose on its acquisition by NXP Semiconductors NV. Shares of Jarden, a diversified consumer products company, rose on better-than-expected results.
Leading individual detractors from relative performance included the Fund’s overweight positions in Tidewater Inc., Rovi Corp. and Oasis Petroleum Inc. Shares of Tidewater, a provider of vessels and support services to the offshore energy industry, declined amid weakness in global oil prices. Shares of Rovi, a provider of television guide programs to cable TV companies, declined on investor worries about the company’s prospects for contract renewals and litigation over key technology patents. Shares of Oasis Petroleum, an oil exploration and production company, fell amid continued weakness in global oil prices.
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. | 2.9 | % | |||||
| 2. | Jarden Corp. | 2.6 | ||||||
| 3. | Spectrum Brands Holdings, Inc. | 2.0 | ||||||
| 4. | Brinker International, Inc. | 2.0 | ||||||
| 5. | Crown Holdings, Inc. | 1.9 | ||||||
| 6. | Toro Co. (The) | 1.9 | ||||||
| 7. | AptarGroup, Inc. | 1.8 | ||||||
| 8. | Pool Corp. | 1.8 | ||||||
| 9. | Silgan Holdings, Inc. | 1.7 | ||||||
| 10. | Associated Banc-Corp. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 21.2 | % | ||
| Consumer Discretionary | 19.7 | |||
| Industrials | 17.2 | |||
| Information Technology | 12.3 | |||
| Health Care | 10.2 | |||
| Materials | 5.3 | |||
| Consumer Staples | 3.3 | |||
| Energy | 3.3 | |||
| Utilities | 2.7 | |||
| Short-Term Investment | 4.8 | |||
| * | 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 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 20, 1994 | |||||||||||||
Without Sales Charge | 7.49 | % | 18.46 | % | 11.49 | % | ||||||||
With Sales Charge* | 1.85 | 17.18 | 10.89 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 6.92 | 17.87 | 10.93 | |||||||||||
With CDSC** | 5.92 | 17.87 | 10.93 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 7.23 | 18.16 | 11.30 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 8.03 | 19.05 | 12.05 | ||||||||||
SELECT CLASS SHARES | May 7, 1996 | 7.81 | 18.81 | 11.84 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 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, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 13.04% | |||
| Russell 2000 Growth Index | 12.34% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $1,245,069 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Growth Fund (the “Fund”) seeks long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in in the technology and materials & processing sectors was a leading contributor to performance relative to the Benchmark, while security selection in the consumer discretionary sector and, to a lesser extent the financial services sector, was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Receptos Inc., 2u Inc. and Acadia Healthcare Co. Shares of Receptos, a biopharmaceutical company, strengthened on the back of positive clinical trial results for its bowel disorder drug candidate, as well as increased mergers and acquisitions activity in the pharmaceuticals industry. Shares of 2u Inc., a provider of so-called cloud-based software for online learning programs, rose on news of the company’s partnerships with Yale University, Google Inc. and Goldman Sachs Group Inc. Shares of Acadia Healthcare, an operator of facilities for psychiatric, residential treatment, group home and substance abuse programs, rose on a better-than-expected earnings forecast and its acquisition of CRC Health Group.
Leading individual detractors from relative performance included the Fund’s overweight positions in Oasis Petroleum Inc., Laredo Petroleum Holdings Inc. and Coupons.com Inc. Shares of Oasis Petroleum, an oil exploration and production company not held in the Benchmark, weakened amid company plans to sharply cut capital spending in the wake of falling oil prices. Shares of Laredo Petroleum, an independent oil and natural gas exploration and production company not held in the Benchmark, fell amid a decline in global oil prices. Shares of Coupons.com, a provider of digital discount coupons for consumer products, fell on lower-than-expected revenue and the company’s reduction in its revenue forecast.
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. | Watsco, Inc. | 1.7 | % | |||||
| 2. | Acuity Brands, Inc. | 1.7 | ||||||
| 3. | Acadia Healthcare Co., Inc. | 1.6 | ||||||
| 4. | Wayfair, Inc., Class A | 1.6 | ||||||
| 5. | BofI Holding, Inc. | 1.6 | ||||||
| 6. | 2U, Inc. | 1.6 | ||||||
| 7. | Trex Co., Inc. | 1.6 | ||||||
| 8. | Men’s Wearhouse, Inc. (The) | 1.5 | ||||||
| 9. | Lithia Motors, Inc., Class A | 1.5 | ||||||
| 10. | Financial Engines, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 26.9 | % | ||
| Information Technology | 26.1 | |||
| Industrials | 16.4 | |||
| Consumer Discretionary | 13.8 | |||
| Financials | 9.2 | |||
| Energy | 2.7 | |||
| Consumer Staples | 1.9 | |||
| Telecommunication Services | 1.4 | |||
| Materials | 1.0 | |||
| Short-Term Investment | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 10 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 1, 1991 | |||||||||||||
Without Sales Charge | 13.04 | % | 18.75 | % | 10.04 | % | ||||||||
With Sales Charge* | 7.13 | 17.48 | 9.46 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 12.47 | 18.15 | 9.43 | |||||||||||
With CDSC** | 11.47 | 18.15 | 9.43 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 12.74 | 18.44 | 9.77 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 13.55 | 19.31 | 10.52 | ||||||||||
INSTITUTIONAL CLASS SHARES | February 19, 2005 | 13.47 | 19.21 | 10.47 | ||||||||||
SELECT CLASS SHARES | March 26, 1996 | 13.29 | 19.05 | 10.31 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 R6 Shares prior to their inception date are based on the performance of 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 Institutional Class Shares. Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.31% | |||
| Russell 2000 Value Index | 0.78% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $1,870,743 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Value Fund (the “Fund”) seeks long-term capital growth primarily by investing in equity securities of small-capitalization companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the industrial cyclical and pharmaceutical sectors was a leading contributor to performance relative to the Benchmark, while security selection in the finance and retail sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Spansion Inc., Western Refining Inc. and Auspex Pharmaceuticals Inc. Shares of Spansion, a provider of flash memory technology that was not held in the Benchmark, rose ahead of its $5 billion acquisition by Cypress Semiconductor Corp. Shares of Western Refining, a crude oil refining and marketing company not held in the Benchmark, rose on better-than-expected earnings and revenue. Shares of Auspex Pharmaceuticals, a drug developer, rose ahead of its $3.5 billion takeover by Teva Pharmaceuticals Industries Ltd.
Leading individual detractors from relative performance included the Fund’s overweight positions in Iconix Brand Group Inc., Hhgregg Inc. and Cloud Peak Energy Inc. Shares of Iconix Brand, an owner/manager of branded apparel and entertainment, fell after the company posted weaker- than-expected quarterly results. Shares of Hhgregg, a home appliance retail chain, declined on a wider-than-expected quarterly loss on lower sales. Shares of Cloud Peak, a coal company, fell on weaker demand for coal.
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. | Cooper Tire & Rubber Co. | 1.1 | % | |||||
| 2. | AAR Corp. | 1.1 | ||||||
| 3. | Children’s Place, Inc. (The) | 1.1 | ||||||
| 4. | CNO Financial Group, Inc. | 1.0 | ||||||
| 5. | REX American Resources Corp. | 1.0 | ||||||
| 6. | FTI Consulting, Inc. | 1.0 | ||||||
| 7. | CYS Investments, Inc. | 0.9 | ||||||
| 8. | CoreSite Realty Corp. | 0.9 | ||||||
| 9. | Universal Corp. | 0.9 | ||||||
| 10. | DCT Industrial Trust, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 38.6 | % | ||
| Industrials | 13.3 | |||
| Information Technology | 10.8 | |||
| Consumer Discretionary | 9.6 | |||
| Energy | 6.1 | |||
| Utilities | 6.1 | |||
| Health Care | 5.2 | |||
| Materials | 3.9 | |||
| Consumer Staples | 2.4 | |||
| Telecommunication Services | 0.9 | |||
| Short-Term Investment | 3.1 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 12 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | January 27, 1995 | |||||||||||||
Without Sales Charge | 1.04 | % | 15.51 | % | 7.61 | % | ||||||||
With Sales Charge* | (4.26 | ) | 14.27 | 7.02 | ||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 0.47 | 14.82 | 6.96 | |||||||||||
With CDSC** | (0.53 | ) | 14.82 | 6.96 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 0.77 | 15.22 | 7.33 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 1.39 | 15.90 | 7.97 | ||||||||||
CLASS R6 SHARES | February 22, 2005 | 1.49 | 15.98 | 8.03 | ||||||||||
SELECT CLASS SHARES | January 27, 1995 | 1.31 | 15.81 | 7.88 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 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 would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from June 30, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 8.49% | |||
| Russell 2000 Index | 6.49% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $971,548 | |||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection and overweight position in the pharmaceuticals sector and security selection in the industrial cyclical sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in both the health services & systems and finance sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s positions in Puma Biotechnology Inc., Centene Corp. and Taser International Inc. Shares of Puma Biotechnology, a development stage biopharmaceutical company, rose on positive clinical results for its breast cancer drug candidate. Shares of Centene, a managed health care provider that was not held in the Benchmark, rose on better-than-expected results. Shares of Taser International, maker of Taser brand electronic weapons that was not held in the Benchmark, rose on continued demand for its products.
Leading individual detractors from relative performance included the Fund’s overweight positions in Hhgregg Inc., PhotoMedex Inc. and Iconix Brand Group Inc. Shares of Hhgregg, a home appliance retail chain, declined on a wider-than-expected quarterly loss on lower sales. Shares of PhotoMedex, a provider of skin care products, fell amid weak sales and its $106 million acquisition of LCA-Vision Inc. Shares of Iconix Brand, an owner/manager of branded apparel and entertainment, fell after the company posted weaker- than-expected quarterly results.
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. | Aspen Technology, Inc. | 1.5 | % | |||||
| 2. | Children’s Place, Inc. (The) | 1.3 | ||||||
| 3. | Outerwall, Inc. | 1.3 | ||||||
| 4. | REX American Resources Corp. | 1.2 | ||||||
| 5. | AVG Technologies N.V., (Netherlands) | 1.2 | ||||||
| 6. | Isle of Capri Casinos, Inc. | 1.1 | ||||||
| 7. | Westamerica Bancorporation | 1.1 | ||||||
| 8. | InterDigital, Inc. | 1.1 | ||||||
| 9. | AAR Corp. | 1.1 | ||||||
| 10. | CoreSite Realty Corp. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 22.0 | % | ||
| Information Technology | 17.8 | |||
| Health Care | 17.2 | |||
| Consumer Discretionary | 14.3 | |||
| Industrials | 11.9 | |||
| Energy | 4.4 | |||
| Utilities | 3.3 | |||
| Materials | 3.2 | |||
| Consumer Staples | 2.5 | |||
| Telecommunication Services | 1.0 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 1, 2007 | |||||||||||||
Without Sales Charge | 7.98 | % | 18.33 | % | 8.71 | % | ||||||||
With Sales Charge* | 2.31 | 17.06 | 8.13 | |||||||||||
CLASS C SHARES | November 1, 2007 | |||||||||||||
Without CDSC | 7.40 | 17.75 | 8.30 | |||||||||||
With CDSC** | 6.40 | 17.75 | 8.30 | |||||||||||
CLASS R2 SHARES | November 1, 2011 | 7.66 | 18.13 | 8.62 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 8.54 | 18.93 | 9.16 | ||||||||||
INSTITUTIONAL CLASS SHARES | November 4, 1993 | 8.49 | 18.86 | 9.13 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 8.25 | 18.64 | 8.94 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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. 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. 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 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, 2005 to June 30, 2015. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.9% |
| ||||||
Consumer Discretionary — 13.7% |
| |||||||
Distributors — 1.4% |
| |||||||
| 102 | Pool Corp. (m) | 7,178 | ||||||
|
| |||||||
Diversified Consumer Services — 1.5% |
| |||||||
| 246 | 2U, Inc. (a) | 7,918 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
| 165 | Boyd Gaming Corp. (a) (m) | 2,472 | ||||||
| 27 | Vail Resorts, Inc. | 2,918 | ||||||
|
| |||||||
| 5,390 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 170 | TRI Pointe Homes, Inc. (a) | 2,602 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.0% |
| |||||||
| 68 | HomeAway, Inc. (a) | 2,108 | ||||||
| 214 | Wayfair, Inc., Class A (a) | 8,070 | ||||||
|
| |||||||
| 10,178 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
| 155 | Tuesday Morning Corp. (a) | 1,745 | ||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
| 202 | Container Store Group, Inc. (The) (a) | 3,405 | ||||||
| 66 | Lithia Motors, Inc., Class A | 7,478 | ||||||
| 121 | Men’s Wearhouse, Inc. (The) | 7,779 | ||||||
| 76 | Penske Automotive Group, Inc. (m) | 3,967 | ||||||
| 86 | Vitamin Shoppe, Inc. (a) | 3,191 | ||||||
|
| |||||||
| 25,820 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
| 145 | Kate Spade & Co. (a) (m) | 3,113 | ||||||
| 210 | Wolverine World Wide, Inc. | 5,973 | ||||||
|
| |||||||
| 9,086 | ||||||||
|
| |||||||
Total Consumer Discretionary | 69,917 | |||||||
|
| |||||||
Consumer Staples — 1.9% |
| |||||||
Food Products — 1.9% |
| |||||||
| 150 | Diamond Foods, Inc. (a) | 4,713 | ||||||
| 276 | Freshpet, Inc. (a) | 5,134 | ||||||
|
| |||||||
Total Consumer Staples | 9,847 | |||||||
|
| |||||||
Energy — 2.6% |
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
| 48 | Dril-Quip, Inc. (a) | 3,598 | ||||||
| 140 | Forum Energy Technologies, Inc. (a) | 2,847 | ||||||
|
| |||||||
| 6,445 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.3% |
| |||||||
| 114 | Delek U.S. Holdings, Inc. | 4,200 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 218 | Laredo Petroleum, Inc. (a) | 2,742 | ||||||
|
| |||||||
| 6,942 | ||||||||
|
| |||||||
Total Energy | 13,387 | |||||||
|
| |||||||
Financials — 9.3% |
| |||||||
Banks — 2.8% |
| |||||||
| 109 | PrivateBancorp, Inc. | 4,329 | ||||||
| 30 | Signature Bank (a) | 4,353 | ||||||
| 86 | Texas Capital Bancshares, Inc. (a) | 5,343 | ||||||
|
| |||||||
| 14,025 | ||||||||
|
| |||||||
Capital Markets — 2.4% |
| |||||||
| 33 | Evercore Partners, Inc., Class A | 1,782 | ||||||
| 175 | Financial Engines, Inc. | 7,423 | ||||||
| 337 | PennantPark Investment Corp. | 2,956 | ||||||
|
| |||||||
| 12,161 | ||||||||
|
| |||||||
Insurance — 0.8% |
| |||||||
| 65 | AmTrust Financial Services, Inc. | 4,272 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.8% |
| |||||||
| 37 | EastGroup Properties, Inc. (m) | 2,060 | ||||||
| 56 | Highwoods Properties, Inc. (m) | 2,242 | ||||||
|
| |||||||
| 4,302 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.9% |
| |||||||
| 125 | RE/MAX Holdings, Inc., Class A | 4,438 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.6% |
| |||||||
| 76 | BofI Holding, Inc. (a) | 8,052 | ||||||
|
| |||||||
Total Financials | 47,250 | |||||||
|
| |||||||
Health Care — 26.8% |
| |||||||
Biotechnology — 12.0% |
| |||||||
| 103 | ACADIA Pharmaceuticals, Inc. (a) | 4,323 | ||||||
| 73 | Acceleron Pharma, Inc. (a) | 2,323 | ||||||
| 214 | Arrowhead Research Corp. (a) | 1,532 | ||||||
| 48 | Avalanche Biotechnologies, Inc. (a) | 780 | ||||||
| 51 | Axovant Sciences Ltd., (Bermuda) (a) | 1,044 | ||||||
| 68 | Bellicum Pharmaceuticals, Inc. (a) | 1,451 | ||||||
| 81 | Chimerix, Inc. (a) | 3,735 | ||||||
| 137 | Coherus Biosciences, Inc. (a) | 3,965 | ||||||
| 95 | Exact Sciences Corp. (a) | 2,817 | ||||||
| 105 | FibroGen, Inc. (a) | 2,464 | ||||||
| 185 | Halozyme Therapeutics, Inc. (a) | 4,168 | ||||||
| 182 | Ignyta, Inc. (a) | 2,751 | ||||||
| 195 | Insmed, Inc. (a) | 4,763 | ||||||
| 49 | Intrexon Corp. (a) | 2,370 | ||||||
| 104 | Invitae Corp. (a) | 1,545 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 198 | Keryx Biopharmaceuticals, Inc. (a) | 1,975 | ||||||
| 61 | Kite Pharma, Inc. (a) | 3,725 | ||||||
| 98 | Portola Pharmaceuticals, Inc. (a) | 4,477 | ||||||
| 19 | Puma Biotechnology, Inc. (a) | 2,200 | ||||||
| 17 | Receptos, Inc. (a) | 3,188 | ||||||
| 56 | Sage Therapeutics, Inc. (a) | 4,095 | ||||||
| 90 | Versartis, Inc. (a) | 1,377 | ||||||
|
| |||||||
| 61,068 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.6% |
| |||||||
| 400 | GenMark Diagnostics, Inc. (a) | 3,627 | ||||||
| 153 | Insulet Corp. (a) | 4,755 | ||||||
| 184 | K2M Group Holdings, Inc. (a) | 4,409 | ||||||
| 61 | Nevro Corp. (a) | 3,303 | ||||||
| 455 | Novadaq Technologies, Inc., (Canada) (a) | 5,509 | ||||||
| 346 | Syneron Medical Ltd., (Israel) (a) | 3,676 | ||||||
| 1,581 | Unilife Corp. (a) | 3,398 | ||||||
|
| |||||||
| 28,677 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 104 | Acadia Healthcare Co., Inc. (a) | 8,142 | ||||||
| 130 | Surgical Care Affiliates, Inc. (a) | 5,005 | ||||||
| 23 | Teladoc, Inc. (a) | 435 | ||||||
| 78 | WellCare Health Plans, Inc. (a) | 6,635 | ||||||
|
| |||||||
| 20,217 | ||||||||
|
| |||||||
Health Care Technology — 1.9% |
| |||||||
| 142 | Evolent Health, Inc., Class A (a) | 2,763 | ||||||
| 241 | Veeva Systems, Inc., Class A (a) | 6,759 | ||||||
|
| |||||||
| 9,522 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
| 173 | Fluidigm Corp. (a) | 4,188 | ||||||
|
| |||||||
Pharmaceuticals — 2.6% |
| |||||||
| 145 | Horizon Pharma plc, (Ireland) (a) | 5,031 | ||||||
| 171 | Nektar Therapeutics (a) | 2,139 | ||||||
| 92 | Revance Therapeutics, Inc. (a) | 2,949 | ||||||
| 125 | Sagent Pharmaceuticals, Inc. (a) | 3,031 | ||||||
|
| |||||||
| 13,150 | ||||||||
|
| |||||||
Total Health Care | 136,822 | |||||||
|
| |||||||
Industrials — 16.3% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 54 | HEICO Corp. (m) | 3,138 | ||||||
| 90 | Hexcel Corp. (m) | 4,493 | ||||||
|
| |||||||
| 7,631 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 71 | XPO Logistics, Inc. (a) | 3,203 | ||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
| 51 | Spirit Airlines, Inc. (a) | 3,181 | ||||||
|
| |||||||
Building Products — 5.6% |
| |||||||
| 133 | Advanced Drainage Systems, Inc. | 3,908 | ||||||
| 72 | Caesarstone Sdot-Yam Ltd., (Israel) | 4,924 | ||||||
| 54 | Fortune Brands Home & Security, Inc. | 2,489 | ||||||
| 45 | Lennox International, Inc. | 4,796 | ||||||
| 61 | Masonite International Corp. (a) | 4,308 | ||||||
| 159 | Trex Co., Inc. (a) | 7,847 | ||||||
|
| |||||||
| 28,272 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
| 47 | Acuity Brands, Inc. | 8,545 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 57 | Carlisle Cos., Inc. (m) | 5,676 | ||||||
|
| |||||||
Machinery — 2.0% |
| |||||||
| 51 | Graco, Inc. (m) | 3,594 | ||||||
| 58 | Middleby Corp. (The) (a) | 6,521 | ||||||
|
| |||||||
| 10,115 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 52 | Old Dominion Freight Line, Inc. (a) | 3,586 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.5% |
| |||||||
| 154 | Rush Enterprises, Inc., Class A (a) | 4,025 | ||||||
| 71 | Watsco, Inc. (m) | 8,800 | ||||||
|
| |||||||
| 12,825 | ||||||||
|
| |||||||
Total Industrials | 83,034 | |||||||
|
| |||||||
Information Technology — 25.9% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
| 224 | Ciena Corp. (a) (m) | 5,307 | ||||||
| 247 | Ruckus Wireless, Inc. (a) | 2,553 | ||||||
|
| |||||||
| 7,860 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 72 | Fitbit, Inc., Class A (a) | 2,757 | ||||||
|
| |||||||
Internet Software & Services — 8.6% |
| |||||||
| 118 | Cornerstone OnDemand, Inc. (a) | 4,106 | ||||||
| 34 | CoStar Group, Inc. (a) | 6,879 | ||||||
| 42 | Dealertrack Technologies, Inc. (a) | 2,610 | ||||||
| 87 | Demandware, Inc. (a) | 6,217 | ||||||
| 129 | Envestnet, Inc. (a) | 5,232 | ||||||
| 149 | GoDaddy, Inc., Class A (a) | 4,189 | ||||||
| 136 | GrubHub, Inc. (a) | 4,633 | ||||||
| 125 | Marketo, Inc. (a) | 3,516 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Internet Software & Services — continued |
| |||||||
| 169 | RetailMeNot, Inc. (a) | 3,011 | ||||||
| 100 | Shopify, Inc., (Canada), Class A (a) | 3,392 | ||||||
|
| |||||||
| 43,785 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
| 70 | Cavium, Inc. (a) | 4,803 | ||||||
| 232 | Inphi Corp. (a) | 5,300 | ||||||
| 175 | M/A-COM Technology Solutions Holdings, Inc. (a) | 6,703 | ||||||
| 106 | MKS Instruments, Inc. | 4,038 | ||||||
| 122 | Monolithic Power Systems, Inc. | 6,204 | ||||||
|
| |||||||
| 27,048 | ||||||||
|
| |||||||
Software — 8.9% |
| |||||||
| 119 | Barracuda Networks, Inc. (a) | 4,724 | ||||||
| 73 | CommVault Systems, Inc. (a) | 3,092 | ||||||
| 113 | Fleetmatics Group plc, (Ireland) (a) | 5,297 | ||||||
| 92 | Fortinet, Inc. (a) | 3,799 | ||||||
| 127 | Guidewire Software, Inc. (a) | 6,723 | ||||||
| 61 | HubSpot, Inc. (a) | 3,022 | ||||||
| 93 | Imperva, Inc. (a) | 6,300 | ||||||
| 100 | Proofpoint, Inc. (a) | 6,337 | ||||||
| 30 | Tableau Software, Inc., Class A (a) | 3,449 | ||||||
| 108 | Zendesk, Inc. (a) | 2,406 | ||||||
|
| |||||||
| 45,149 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 1.1% |
| |||||||
| 193 | Nimble Storage, Inc. (a) | 5,420 | ||||||
|
| |||||||
Total Information Technology | 132,019 | |||||||
|
| |||||||
Materials — 1.0% |
| |||||||
Construction Materials — 1.0% |
| |||||||
| 66 | Eagle Materials, Inc. | 5,056 | ||||||
|
| |||||||
Telecommunication Services — 1.4% |
| |||||||
Wireless Telecommunication Services — 1.4% |
| |||||||
| 311 | Boingo Wireless, Inc. (a) | 2,568 | ||||||
| 252 | RingCentral, Inc., Class A (a) | 4,666 | ||||||
|
| |||||||
Total Telecommunication Services | 7,234 | |||||||
|
| |||||||
Total Common Stocks | 504,566 | |||||||
|
| |||||||
| Short-Term Investment — 0.2% |
| ||||||
Investment Company — 0.2% |
| |||||||
| 831 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $831) | 831 | ||||||
|
| |||||||
Total Investments — 99.1% | 505,397 | |||||||
Other Assets in Excess of | 4,399 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 509,796 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.5% |
| ||||||
Consumer Discretionary — 11.7% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 193 | Cooper Tire & Rubber Co. | 6,539 | ||||||
| 52 | Stoneridge, Inc. (a) | 610 | ||||||
| 179 | Tower International, Inc. (a) | 4,661 | ||||||
|
| |||||||
| 11,810 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 11 | Core-Mark Holding Co., Inc. | 628 | ||||||
| 8 | VOXX International Corp. (a) | 69 | ||||||
|
| |||||||
| 697 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
| 9 | Capella Education Co. | 467 | ||||||
| 100 | K12, Inc. (a) | 1,265 | ||||||
| 118 | LifeLock, Inc. (a) | 1,937 | ||||||
|
| |||||||
| 3,669 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
| 72 | Bloomin’ Brands, Inc. | 1,527 | ||||||
| 5 | Bojangles’, Inc. (a) | 117 | ||||||
| 15 | Dave & Buster’s Entertainment, Inc. (a) | 527 | ||||||
| 7 | Fogo De Chao, Inc. (a) | 165 | ||||||
| 88 | Isle of Capri Casinos, Inc. (a) | 1,597 | ||||||
| 56 | Jack in the Box, Inc. | 4,972 | ||||||
| 191 | Ruth’s Hospitality Group, Inc. | 3,085 | ||||||
| 34 | Sonic Corp. | 965 | ||||||
| 14 | Wingstop, Inc. (a) | 383 | ||||||
|
| |||||||
| 13,338 | ||||||||
|
| |||||||
Household Durables — 1.8% |
| |||||||
| 88 | Helen of Troy Ltd., (Bermuda) (a) | 8,569 | ||||||
| 23 | Jarden Corp. (a) | 1,188 | ||||||
| 64 | KB Home | 1,056 | ||||||
| 13 | Libbey, Inc. | 533 | ||||||
| 19 | Lifetime Brands, Inc. | 286 | ||||||
| 9 | NACCO Industries, Inc., Class A | 547 | ||||||
| 122 | Skullcandy, Inc. (a) | 932 | ||||||
| 24 | Universal Electronics, Inc. (a) | 1,191 | ||||||
|
| |||||||
| 14,302 | ||||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
| 63 | Nautilus, Inc. (a) | 1,353 | ||||||
|
| |||||||
Media — 1.6% |
| |||||||
| 268 | E.W. Scripps Co. (The), Class A | 6,121 | ||||||
| 32 | Entercom Communications Corp., Class A (a) | 360 | ||||||
| 129 | Gray Television, Inc. (a) | 2,023 | ||||||
| 22 | Journal Media Group, Inc. | 183 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued |
| |||||||
| 11 | Live Nation Entertainment, Inc. (a) | 313 | ||||||
| 43 | Nexstar Broadcasting Group, Inc., Class A | 2,391 | ||||||
| 74 | Sinclair Broadcast Group, Inc., Class A | 2,051 | ||||||
|
| |||||||
| 13,442 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
| 69 | Barnes & Noble, Inc. (a) | 1,791 | ||||||
| 99 | Caleres, Inc. | 3,149 | ||||||
| 64 | Cato Corp. (The), Class A | 2,481 | ||||||
| 83 | Children’s Place, Inc. (The) | 5,442 | ||||||
| 43 | Citi Trends, Inc. (a) | 1,036 | ||||||
| 192 | Express, Inc. (a) | 3,468 | ||||||
| 51 | Lithia Motors, Inc., Class A | 5,726 | ||||||
| 854 | Office Depot, Inc. (a) | 7,398 | ||||||
| 13 | Outerwall, Inc. | 959 | ||||||
| 20 | Party City Holdco, Inc. (a) | 395 | ||||||
| 93 | Tilly’s, Inc., Class A (a) | 895 | ||||||
|
| |||||||
| 32,740 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
| 55 | G-III Apparel Group Ltd. (a) | 3,848 | ||||||
|
| |||||||
Total Consumer Discretionary | 95,199 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
| 47 | Andersons, Inc. (The) | 1,829 | ||||||
| 677 | Rite Aid Corp. (a) | 5,655 | ||||||
| 71 | Smart & Final Stores, Inc. (a) | 1,260 | ||||||
| 179 | SpartanNash Co. | 5,813 | ||||||
| 182 | SUPERVALU, Inc. (a) | 1,468 | ||||||
| 15 | Village Super Market, Inc., Class A | 459 | ||||||
|
| |||||||
| 16,484 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 118 | Dean Foods Co. | 1,908 | ||||||
| 131 | Pilgrim’s Pride Corp. | 3,005 | ||||||
| 49 | Pinnacle Foods, Inc. | 2,227 | ||||||
| 16 | Sanderson Farms, Inc. | 1,180 | ||||||
|
| |||||||
| 8,320 | ||||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 26 | Revlon, Inc., Class A (a) | 943 | ||||||
| 20 | USANA Health Sciences, Inc. (a) | 2,747 | ||||||
|
| |||||||
| 3,690 | ||||||||
|
| |||||||
Total Consumer Staples | 28,494 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy — 4.0% |
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
| 101 | Atwood Oceanics, Inc. | 2,673 | ||||||
| 298 | Helix Energy Solutions Group, Inc. (a) | 3,761 | ||||||
| 21 | Independence Contract Drilling, Inc. (a) | 183 | ||||||
| 64 | Matrix Service Co. (a) | 1,166 | ||||||
| 31 | PHI, Inc. (a) | 931 | ||||||
| 15 | Pioneer Energy Services Corp. (a) | 97 | ||||||
| 61 | Superior Energy Services, Inc. | 1,287 | ||||||
|
| |||||||
| 10,098 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
| 184 | Abraxas Petroleum Corp. (a) | 543 | ||||||
| 69 | Callon Petroleum Co. (a) | 570 | ||||||
| 66 | Carrizo Oil & Gas, Inc. (a) | 3,235 | ||||||
| 60 | Delek U.S. Holdings, Inc. | 2,217 | ||||||
| 28 | Energy XXI Ltd. | 73 | ||||||
| 147 | Green Plains, Inc. | 4,058 | ||||||
| 44 | Jones Energy, Inc., Class A (a) | 402 | ||||||
| 206 | Pacific Ethanol, Inc. (a) | 2,123 | ||||||
| 187 | Renewable Energy Group, Inc. (a) | 2,162 | ||||||
| 6 | REX American Resources Corp. (a) | 356 | ||||||
| 86 | Stone Energy Corp. (a) | 1,079 | ||||||
| 47 | TransAtlantic Petroleum Ltd. (a) | 239 | ||||||
| 636 | Triangle Petroleum Corp. (a) | 3,194 | ||||||
| 145 | Warren Resources, Inc. (a) | 66 | ||||||
| 47 | Western Refining, Inc. | 2,068 | ||||||
| 14 | World Fuel Services Corp. | 671 | ||||||
|
| |||||||
| 23,056 | ||||||||
|
| |||||||
Total Energy | 33,154 | |||||||
|
| |||||||
Financials — 22.3% |
| |||||||
Banks — 8.1% |
| |||||||
| 71 | Banc of California, Inc. | 982 | ||||||
| 64 | BBCN Bancorp, Inc. | 941 | ||||||
| 15 | BNC Bancorp | 280 | ||||||
| 37 | Cathay General Bancorp | 1,214 | ||||||
| 8 | Community Trust Bancorp, Inc. | 286 | ||||||
| 8 | ConnectOne Bancorp, Inc. | 164 | ||||||
| 88 | Customers Bancorp, Inc. (a) | 2,359 | ||||||
| 145 | East West Bancorp, Inc. | 6,507 | ||||||
| 84 | Fidelity Southern Corp. | 1,466 | ||||||
| 23 | Financial Institutions, Inc. | 566 | ||||||
| 292 | First BanCorp, (Puerto Rico) (a) | 1,409 | ||||||
| 11 | First Business Financial Services, Inc. | 525 | ||||||
| 108 | First Commonwealth Financial Corp. | 1,036 | ||||||
| 28 | First Community Bancshares, Inc. | 501 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 24 | First Financial Bancorp | 434 | ||||||
| 21 | First Merchants Corp. | 521 | ||||||
| 44 | First NBC Bank Holding Co. (a) | 1,566 | ||||||
| 161 | FirstMerit Corp. | 3,364 | ||||||
| 157 | Hanmi Financial Corp. | 3,902 | ||||||
| 64 | Hilltop Holdings, Inc. (a) | 1,539 | ||||||
| 626 | Huntington Bancshares, Inc. | 7,084 | ||||||
| 5 | IBERIABANK Corp. | 362 | ||||||
| 20 | MainSource Financial Group, Inc. | 437 | ||||||
| 4 | National Bankshares, Inc. | 129 | ||||||
| 14 | NBT Bancorp, Inc. | 377 | ||||||
| 116 | PacWest Bancorp | 5,415 | ||||||
| 46 | Pinnacle Financial Partners, Inc. | 2,517 | ||||||
| 188 | Popular, Inc., (Puerto Rico) (a) | 5,434 | ||||||
| 50 | Preferred Bank | 1,487 | ||||||
| 24 | PrivateBancorp, Inc. | 944 | ||||||
| 7 | Prosperity Bancshares, Inc. | 416 | ||||||
| 27 | Sierra Bancorp | 462 | ||||||
| 65 | Southwest Bancorp, Inc. | 1,215 | ||||||
| 6 | State Bank Financial Corp. | 135 | ||||||
| 10 | Stonegate Bank | 300 | ||||||
| 65 | Susquehanna Bancshares, Inc. | 922 | ||||||
| 7 | SVB Financial Group (a) | 1,022 | ||||||
| 77 | TriCo Bancshares | 1,854 | ||||||
| 71 | TriState Capital Holdings, Inc. (a) | 911 | ||||||
| 29 | Triumph Bancorp, Inc. (a) | 376 | ||||||
| 13 | WesBanco, Inc. | 432 | ||||||
| 20 | West Bancorporation, Inc. | 401 | ||||||
| 309 | Wilshire Bancorp, Inc. | 3,904 | ||||||
| 9 | Yadkin Financial Corp. (a) | 193 | ||||||
|
| |||||||
| 66,291 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
| 16 | Arlington Asset Investment Corp., Class A | 319 | ||||||
| 311 | BGC Partners, Inc., Class A | 2,720 | ||||||
| 107 | Cowen Group, Inc., Class A (a) | 686 | ||||||
| 15 | Evercore Partners, Inc., Class A | 809 | ||||||
| 7 | INTL. FCStone, Inc. (a) | 223 | ||||||
| 97 | Investment Technology Group, Inc. | 2,406 | ||||||
| 5 | Oppenheimer Holdings, Inc., Class A | 139 | ||||||
| 19 | Piper Jaffray Cos. (a) | 833 | ||||||
| 22 | Stifel Financial Corp. (a) | 1,259 | ||||||
| 16 | Virtu Financial, Inc., Class A (a) | 376 | ||||||
| 49 | WisdomTree Investments, Inc. | 1,065 | ||||||
|
| |||||||
| 10,835 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Consumer Finance — 0.8% |
| |||||||
| 82 | Cash America International, Inc. | 2,145 | ||||||
| 45 | Encore Capital Group, Inc. (a) | 1,936 | ||||||
| 75 | Enova International, Inc. (a) | 1,396 | ||||||
| 16 | Nelnet, Inc., Class A | 689 | ||||||
|
| |||||||
| 6,166 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% |
| |||||||
| 8 | MarketAxess Holdings, Inc. | 761 | ||||||
|
| |||||||
Insurance — 2.6% |
| |||||||
| 189 | American Equity Investment Life Holding Co. | 5,097 | ||||||
| 35 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,672 | ||||||
| 53 | Atlas Financial Holdings, Inc. (a) | 1,057 | ||||||
| 238 | CNO Financial Group, Inc. | 4,369 | ||||||
| 12 | Crawford & Co., Class B | 104 | ||||||
| 29 | HCI Group, Inc. | 1,295 | ||||||
| 8 | Horace Mann Educators Corp. | 302 | ||||||
| 132 | Maiden Holdings Ltd., (Bermuda) | 2,081 | ||||||
| 17 | National General Holdings Corp. | 346 | ||||||
| 17 | Selective Insurance Group, Inc. | 482 | ||||||
| 56 | Stewart Information Services Corp. | 2,241 | ||||||
| 39 | Symetra Financial Corp. | 950 | ||||||
| 19 | United Fire Group, Inc. | 622 | ||||||
| 6 | Validus Holdings Ltd., (Bermuda) | 254 | ||||||
|
| |||||||
| 20,872 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.0% |
| |||||||
| 5 | Agree Realty Corp. (m) | 140 | ||||||
| 56 | American Assets Trust, Inc. (m) | 2,184 | ||||||
| 21 | American Campus Communities, Inc. (m) | 795 | ||||||
| 429 | Anworth Mortgage Asset Corp. (m) | 2,116 | ||||||
| 46 | Armada Hoffler Properties, Inc. | 459 | ||||||
| 57 | Ashford Hospitality Prime, Inc. | 859 | ||||||
| 471 | Ashford Hospitality Trust, Inc. (m) | 3,985 | ||||||
| 93 | Bluerock Residential Growth REIT, Inc. | 1,179 | ||||||
| 331 | Capstead Mortgage Corp. (m) | 3,669 | ||||||
| 136 | Chambers Street Properties | 1,080 | ||||||
| 43 | Chatham Lodging Trust (m) | 1,133 | ||||||
| 37 | Chesapeake Lodging Trust (m) | 1,134 | ||||||
| 56 | CoreSite Realty Corp. (m) | 2,522 | ||||||
| 108 | Cousins Properties, Inc. (m) | 1,124 | ||||||
| 35 | DCT Industrial Trust, Inc. (m) | 1,091 | ||||||
| 46 | DDR Corp. (m) | 703 | ||||||
| 77 | DiamondRock Hospitality Co. (m) | 988 | ||||||
| 37 | Education Realty Trust, Inc. (m) | 1,175 | ||||||
| 217 | First Industrial Realty Trust, Inc. (m) | 4,055 | ||||||
| 15 | Franklin Street Properties Corp. (m) | 172 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 95 | GEO Group, Inc. (The) | 3,245 | ||||||
| 25 | Government Properties Income Trust (m) | 471 | ||||||
| 7 | Home Properties, Inc. (m) | 541 | ||||||
| 28 | Hudson Pacific Properties, Inc. (m) | 783 | ||||||
| 30 | LaSalle Hotel Properties (m) | 1,050 | ||||||
| 19 | LTC Properties, Inc. (m) | 786 | ||||||
| 6 | Mid-America Apartment Communities, Inc. (m) | 418 | ||||||
| 16 | Parkway Properties, Inc. (m) | 270 | ||||||
| 37 | Pebblebrook Hotel Trust (m) | 1,595 | ||||||
| 29 | Pennsylvania Real Estate Investment Trust (m) | 610 | ||||||
| 88 | PennyMac Mortgage Investment Trust (m) | 1,530 | ||||||
| 102 | Potlatch Corp. (m) | 3,596 | ||||||
| 19 | PS Business Parks, Inc. (m) | 1,400 | ||||||
| 78 | RAIT Financial Trust (m) | 477 | ||||||
| 14 | Ramco-Gershenson Properties Trust (m) | 224 | ||||||
| 97 | Redwood Trust, Inc. (m) | 1,515 | ||||||
| 184 | Retail Opportunity Investments Corp. (m) | 2,874 | ||||||
| 100 | RLJ Lodging Trust (m) | 2,981 | ||||||
| 43 | Silver Bay Realty Trust Corp. | 692 | ||||||
| 149 | Strategic Hotels & Resorts, Inc. (a) (m) | 1,801 | ||||||
| 353 | Summit Hotel Properties, Inc. (m) | 4,598 | ||||||
| 7 | Sun Communities, Inc. (m) | 420 | ||||||
| 172 | Sunstone Hotel Investors, Inc. (m) | 2,589 | ||||||
| 28 | UMH Properties, Inc. (m) | 277 | ||||||
| 8 | WP GLIMCHER, Inc. | 109 | ||||||
|
| |||||||
| 65,415 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
| 41 | Alexander & Baldwin, Inc. | 1,619 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.2% |
| |||||||
| 11 | BofI Holding, Inc. (a) | 1,195 | ||||||
| 95 | Flagstar Bancorp, Inc. (a) | 1,761 | ||||||
| 193 | HomeStreet, Inc. (a) | 4,413 | ||||||
| 12 | Meta Financial Group, Inc. | 494 | ||||||
| 41 | PennyMac Financial Services, Inc., Class A (a) | 737 | ||||||
| 41 | Walker & Dunlop, Inc. (a) | 1,083 | ||||||
| 9 | Washington Federal, Inc. | 201 | ||||||
|
| |||||||
| 9,884 | ||||||||
|
| |||||||
Total Financials | 181,843 | |||||||
|
| |||||||
Health Care — 14.7% |
| |||||||
Biotechnology — 6.5% |
| |||||||
| 16 | Acceleron Pharma, Inc. (a) | 491 | ||||||
| 213 | Achillion Pharmaceuticals, Inc. (a) | 1,888 | ||||||
| 60 | Acorda Therapeutics, Inc. (a) | 2,010 | ||||||
| 3 | Adamas Pharmaceuticals, Inc. (a) | 87 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 33 | Aduro Biotech, Inc. (a) | 986 | ||||||
| 2 | Agios Pharmaceuticals, Inc. (a) | 189 | ||||||
| 61 | Applied Genetic Technologies Corp. (a) | 940 | ||||||
| 135 | ARIAD Pharmaceuticals, Inc. (a) | 1,112 | ||||||
| 35 | Atara Biotherapeutics, Inc. (a) | 1,841 | ||||||
| 54 | aTyr Pharma, Inc. (a) | 996 | ||||||
| 6 | Avalanche Biotechnologies, Inc. (a) | 89 | ||||||
| 37 | Axovant Sciences Ltd., (Bermuda) (a) | 750 | ||||||
| 55 | Bellicum Pharmaceuticals, Inc. (a) | 1,164 | ||||||
| 140 | BioCryst Pharmaceuticals, Inc. (a) | 2,093 | ||||||
| 25 | Bluebird Bio, Inc. (a) | 4,277 | ||||||
| 19 | Blueprint Medicines Corp. (a) | 501 | ||||||
| 24 | Cara Therapeutics, Inc. (a) | 292 | ||||||
| 111 | Celldex Therapeutics, Inc. (a) | 2,789 | ||||||
| 16 | Clovis Oncology, Inc. (a) | 1,441 | ||||||
| 56 | Coherus Biosciences, Inc. (a) | 1,621 | ||||||
| 29 | Dicerna Pharmaceuticals, Inc. (a) | 410 | ||||||
| 21 | FibroGen, Inc. (a) | 491 | ||||||
| 10 | Ignyta, Inc. (a) | 146 | ||||||
| 11 | Immune Design Corp. (a) | 219 | ||||||
| 168 | Infinity Pharmaceuticals, Inc. (a) | 1,835 | ||||||
| 55 | Insmed, Inc. (a) | 1,331 | ||||||
| 1 | Intercept Pharmaceuticals, Inc. (a) | 338 | ||||||
| 76 | Invitae Corp. (a) | 1,130 | ||||||
| 15 | Isis Pharmaceuticals, Inc. (a) | 886 | ||||||
| 4 | Karyopharm Therapeutics, Inc. (a) | 106 | ||||||
| 47 | Kite Pharma, Inc. (a) | 2,890 | ||||||
| 39 | MacroGenics, Inc. (a) | 1,477 | ||||||
| 84 | Nivalis Therapeutics, Inc. (a) | 1,277 | ||||||
| 285 | Oncothyreon, Inc. (a) | 1,066 | ||||||
| 4 | Ophthotech Corp. (a) | 208 | ||||||
| 20 | Puma Biotechnology, Inc. (a) | 2,370 | ||||||
| 17 | Receptos, Inc. (a) | 3,307 | ||||||
| 4 | Sage Therapeutics, Inc. (a) | 270 | ||||||
| 7 | Seres Therapeutics, Inc. (a) | 299 | ||||||
| 226 | Threshold Pharmaceuticals, Inc. (a) | 912 | ||||||
| 40 | Tokai Pharmaceuticals, Inc. (a) | 527 | ||||||
| 24 | Ultragenyx Pharmaceutical, Inc. (a) | 2,478 | ||||||
| 120 | Vitae Pharmaceuticals, Inc. (a) | 1,722 | ||||||
| 63 | Xencor, Inc. (a) | 1,389 | ||||||
| 9 | Zafgen, Inc. (a) | 301 | ||||||
|
| |||||||
| 52,942 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
| 418 | Antares Pharma, Inc. (a) | 869 | ||||||
| 102 | Cynosure, Inc., Class A (a) | 3,920 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| �� | ||||||||
Health Care Equipment & Supplies — continued |
| |||||||
| 3 | Glaukos Corp. (a) | 87 | ||||||
| 133 | Greatbatch, Inc. (a) | 7,155 | ||||||
| 16 | ICU Medical, Inc. (a) | 1,483 | ||||||
| 76 | Inogen, Inc. (a) | 3,385 | ||||||
| 65 | Insulet Corp. (a) | 2,024 | ||||||
| 56 | NuVasive, Inc. (a) | 2,635 | ||||||
|
| |||||||
| 21,558 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
| 64 | Amsurg Corp. (a) | 4,500 | ||||||
| 120 | BioTelemetry, Inc. (a) | 1,131 | ||||||
| 107 | Civitas Solutions, Inc. (a) | 2,278 | ||||||
| 346 | Cross Country Healthcare, Inc. (a) | 4,383 | ||||||
| 99 | Kindred Healthcare, Inc. | 2,003 | ||||||
| 91 | Molina Healthcare, Inc. (a) | 6,362 | ||||||
| 48 | Owens & Minor, Inc. | 1,625 | ||||||
| 69 | Surgical Care Affiliates, Inc. (a) | 2,660 | ||||||
| 25 | Teladoc, Inc. (a) | 475 | ||||||
| 22 | WellCare Health Plans, Inc. (a) | 1,849 | ||||||
|
| |||||||
| 27,266 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 32 | Evolent Health, Inc., Class A (a) | 628 | ||||||
| 498 | Merge Healthcare, Inc. (a) | 2,390 | ||||||
|
| |||||||
| 3,018 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
| 147 | Cambrex Corp. (a) | 6,459 | ||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
| 53 | Amphastar Pharmaceuticals, Inc. (a) | 928 | ||||||
| 38 | Flex Pharma, Inc. (a) | 652 | ||||||
| 25 | Lannett Co., Inc. (a) | 1,492 | ||||||
| 56 | Medicines Co. (The) (a) | 1,608 | ||||||
| 34 | Pacira Pharmaceuticals, Inc. (a) | 2,419 | ||||||
| 27 | Revance Therapeutics, Inc. (a) | 870 | ||||||
| 5 | ZS Pharma, Inc. (a) | 272 | ||||||
|
| |||||||
| 8,241 | ||||||||
|
| |||||||
Total Health Care | 119,484 | |||||||
|
| |||||||
Industrials — 15.1% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
| 77 | AAR Corp. | 2,444 | ||||||
| 82 | Cubic Corp. | 3,878 | ||||||
| 6 | Curtiss-Wright Corp. | 456 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Aerospace & Defense — continued | ||||||||
| 61 | Engility Holdings, Inc. | 1,525 | ||||||
|
| |||||||
| 8,303 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
| 54 | Atlas Air Worldwide Holdings, Inc. (a) | 2,946 | ||||||
| 18 | Park-Ohio Holdings Corp. | 858 | ||||||
|
| |||||||
| 3,804 | ||||||||
|
| |||||||
Airlines — 1.4% | ||||||||
| 65 | Alaska Air Group, Inc. | 4,175 | ||||||
| 316 | Hawaiian Holdings, Inc. (a) | 7,513 | ||||||
|
| |||||||
| 11,688 | ||||||||
|
| |||||||
Building Products — 0.8% | ||||||||
| 103 | American Woodmark Corp. (a) | 5,661 | ||||||
| 44 | Gibraltar Industries, Inc. (a) | 894 | ||||||
|
| |||||||
| 6,555 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.6% | ||||||||
| 159 | ABM Industries, Inc. | 5,236 | ||||||
| 678 | ACCO Brands Corp. (a) | 5,264 | ||||||
| 79 | ARC Document Solutions, Inc. (a) | 602 | ||||||
| 12 | CECO Environmental Corp. | 134 | ||||||
| 242 | Cenveo, Inc. (a) | 513 | ||||||
| 98 | Deluxe Corp. | 6,051 | ||||||
| 19 | Essendant, Inc. | 762 | ||||||
| 12 | Herman Miller, Inc. | 356 | ||||||
| 71 | Kimball International, Inc., Class B | 862 | ||||||
| 37 | Matthews International Corp., Class A | 1,982 | ||||||
| 104 | Quad/Graphics, Inc. | 1,921 | ||||||
| 139 | Steelcase, Inc., Class A | 2,636 | ||||||
| 3 | UniFirst Corp. | 291 | ||||||
| 18 | Viad Corp. | 488 | ||||||
| 73 | West Corp. | 2,182 | ||||||
|
| |||||||
| 29,280 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% | ||||||||
| 70 | Argan, Inc. | 2,827 | ||||||
| 68 | EMCOR Group, Inc. | 3,258 | ||||||
| 61 | Tutor Perini Corp. (a) | 1,315 | ||||||
|
| |||||||
| 7,400 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% | ||||||||
| 34 | EnerSys | 2,397 | ||||||
| 260 | General Cable Corp. | 5,126 | ||||||
| 16 | Regal Beloit Corp. | 1,147 | ||||||
|
| |||||||
| 8,670 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 2.4% | ||||||||
| 27 | Barnes Group, Inc. | 1,068 | ||||||
| 23 | Columbus McKinnon Corp. | 573 | ||||||
| 74 | Federal Signal Corp. | 1,105 | ||||||
| 192 | Global Brass & Copper Holdings, Inc. | 3,257 | ||||||
| 24 | Greenbrier Cos., Inc. (The) | 1,143 | ||||||
| 10 | Hurco Cos., Inc. | 336 | ||||||
| 18 | Hyster-Yale Materials Handling, Inc. | 1,268 | ||||||
| 35 | Kadant, Inc. | 1,647 | ||||||
| 492 | Meritor, Inc. (a) | 6,459 | ||||||
| 5 | Standex International Corp. | 368 | ||||||
| 45 | TriMas Corp. (a) | 1,344 | ||||||
| 87 | Wabash National Corp. (a) | 1,088 | ||||||
|
| |||||||
| 19,656 | ||||||||
|
| |||||||
Marine — 0.6% | ||||||||
| 111 | Matson, Inc. | 4,666 | ||||||
|
| |||||||
Professional Services — 1.9% | ||||||||
| 219 | Barrett Business Services, Inc. | 7,958 | ||||||
| 22 | CRA International, Inc. (a) | 613 | ||||||
| 17 | Heidrick & Struggles International, Inc. | 435 | ||||||
| 93 | Insperity, Inc. | 4,729 | ||||||
| 9 | Kelly Services, Inc., Class A | 140 | ||||||
| 37 | RPX Corp. (a) | 618 | ||||||
| 11 | TrueBlue, Inc. (a) | 341 | ||||||
| 11 | VSE Corp. | 583 | ||||||
|
| |||||||
| 15,417 | ||||||||
|
| |||||||
Road & Rail — 0.8% | ||||||||
| 3 | AMERCO | 883 | ||||||
| 120 | ArcBest Corp. | 3,829 | ||||||
| 11 | Quality Distribution, Inc. (a) | 162 | ||||||
| 55 | Swift Transportation Co. (a) | 1,256 | ||||||
| 12 | Universal Truckload Services, Inc. | 268 | ||||||
|
| |||||||
| 6,398 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% | ||||||||
| 59 | Univar, Inc. (a) | 1,533 | ||||||
|
| |||||||
Total Industrials | 123,370 | |||||||
|
| |||||||
Information Technology — 16.7% |
| |||||||
Communications Equipment — 0.6% |
| |||||||
| 172 | Aerohive Networks, Inc. (a) | 1,198 | ||||||
| 75 | Alliance Fiber Optic Products, Inc. | 1,389 | ||||||
| 43 | ARRIS Group, Inc. (a) | 1,328 | ||||||
| 130 | Extreme Networks, Inc. (a) | 350 | ||||||
| 84 | Polycom, Inc. (a) | 959 | ||||||
|
| |||||||
| 5,224 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electronic Equipment, Instruments & Components — 3.0% |
| |||||||
| 160 | Benchmark Electronics, Inc. (a) | 3,474 | ||||||
| 35 | Fabrinet, (Thailand) (a) | 659 | ||||||
| 81 | Fitbit, Inc., Class A (a) | 3,112 | ||||||
| 205 | Insight Enterprises, Inc. (a) | 6,140 | ||||||
| 141 | Kimball Electronics, Inc. (a) | 2,052 | ||||||
| 12 | Littelfuse, Inc. | 1,129 | ||||||
| 39 | Methode Electronics, Inc. | 1,082 | ||||||
| 53 | Newport Corp. (a) | 1,003 | ||||||
| 301 | Sanmina Corp. (a) | 6,062 | ||||||
|
| |||||||
| 24,713 | ||||||||
|
| |||||||
Internet Software & Services — 2.3% | ||||||||
| 83 | Apigee Corp. (a) | 819 | ||||||
| 29 | Appfolio, Inc., Class A (a) | 406 | ||||||
| 200 | Blucora, Inc. (a) | 3,230 | ||||||
| 117 | Carbonite, Inc. (a) | 1,384 | ||||||
| 87 | Cornerstone OnDemand, Inc. (a) | 3,031 | ||||||
| 287 | Five9, Inc. (a) | 1,499 | ||||||
| 15 | Q2 Holdings, Inc. (a) | 415 | ||||||
| 105 | WebMD Health Corp. (a) | 4,642 | ||||||
| 124 | Xactly Corp. (a) | 1,062 | ||||||
| 46 | Yelp, Inc. (a) | 1,984 | ||||||
|
| |||||||
| 18,472 | ||||||||
|
| |||||||
IT Services — 2.8% | ||||||||
| 23 | CACI International, Inc., Class A (a) | 1,828 | ||||||
| 11 | EVERTEC, Inc., (Puerto Rico) | 240 | ||||||
| 429 | Global Cash Access Holdings, Inc. (a) | 3,319 | ||||||
| 32 | Heartland Payment Systems, Inc. | 1,751 | ||||||
| 141 | Science Applications International Corp. | 7,447 | ||||||
| 33 | Sykes Enterprises, Inc. (a) | 798 | ||||||
| 355 | Unisys Corp. (a) | 7,098 | ||||||
|
| |||||||
| 22,481 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
| 41 | Advanced Energy Industries, Inc. (a) | 1,138 | ||||||
| 36 | Alpha & Omega Semiconductor Ltd. (a) | 317 | ||||||
| 116 | Amkor Technology, Inc. (a) | 696 | ||||||
| 33 | Brooks Automation, Inc. | 372 | ||||||
| 461 | Cypress Semiconductor Corp. (a) | 5,417 | ||||||
| 68 | First Solar, Inc. (a) | 3,185 | ||||||
| 71 | Integrated Silicon Solution, Inc. | 1,576 | ||||||
| 58 | IXYS Corp. | 881 | ||||||
| 58 | Lattice Semiconductor Corp. (a) | 343 | ||||||
| 21 | Nanometrics, Inc. (a) | 345 | ||||||
| 77 | OmniVision Technologies, Inc. (a) | 2,025 | ||||||
| 52 | Pericom Semiconductor Corp. | 685 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 20 | Qorvo, Inc. (a) | 1,598 | ||||||
| 101 | SunEdison, Inc. (a) | 3,030 | ||||||
| 35 | Synaptics, Inc. (a) | 3,001 | ||||||
| 395 | Ultra Clean Holdings, Inc. (a) | 2,458 | ||||||
| 369 | Xcerra Corp. (a) | 2,796 | ||||||
|
| |||||||
| 29,863 | ||||||||
|
| |||||||
Software — 4.3% | ||||||||
| 8 | Aspen Technology, Inc. (a) | 374 | ||||||
| 341 | AVG Technologies N.V., (Netherlands) (a) | 9,281 | ||||||
| 23 | Fair Isaac Corp. | 2,052 | ||||||
| 8 | Manhattan Associates, Inc. (a) | 459 | ||||||
| 36 | Model N, Inc. (a) | 426 | ||||||
| 175 | Pegasystems, Inc. | 3,997 | ||||||
| 74 | Progress Software Corp. (a) | 2,043 | ||||||
| 42 | PTC, Inc. (a) | 1,727 | ||||||
| 93 | Qlik Technologies, Inc. (a) | 3,241 | ||||||
| 25 | Qualys, Inc. (a) | 997 | ||||||
| 7 | Rovi Corp. (a) | 118 | ||||||
| 237 | Take-Two Interactive Software, Inc. (a) | 6,520 | ||||||
| 298 | TeleCommunication Systems, Inc., Class A (a) | 987 | ||||||
| 90 | Varonis Systems, Inc. (a) | 1,988 | ||||||
| 44 | Zendesk, Inc. (a) | 973 | ||||||
|
| |||||||
| 35,183 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.0% (g) |
| |||||||
| 12 | Super Micro Computer, Inc. (a) | 349 | ||||||
|
| |||||||
Total Information Technology | 136,285 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 1.5% |
| |||||||
| 66 | A Schulman, Inc. | 2,872 | ||||||
| 38 | Axiall Corp. | 1,356 | ||||||
| 95 | FutureFuel Corp. | 1,224 | ||||||
| 5 | Innospec, Inc. | 243 | ||||||
| 59 | Minerals Technologies, Inc. | 4,047 | ||||||
| 67 | OMNOVA Solutions, Inc. (a) | 503 | ||||||
| 75 | Trinseo S.A. (a) | 2,021 | ||||||
|
| |||||||
| 12,266 | ||||||||
|
| |||||||
Containers & Packaging — 0.9% | ||||||||
| 227 | Graphic Packaging Holding Co. | 3,156 | ||||||
| 68 | Rock-Tenn Co., Class A | 4,112 | ||||||
|
| |||||||
| 7,268 | ||||||||
|
| |||||||
Metals & Mining — 0.5% | ||||||||
| 144 | Commercial Metals Co. | 2,321 | ||||||
| 71 | Worthington Industries, Inc. | 2,146 | ||||||
|
| |||||||
| 4,467 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Paper & Forest Products — 0.3% | ||||||||
| 63 | Boise Cascade Co. (a) | 2,311 | ||||||
|
| |||||||
Total Materials | 26,312 | |||||||
|
| |||||||
Telecommunication Services — 1.3% | ||||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
| 137 | 8x8, Inc. (a) | 1,224 | ||||||
| 63 | General Communication, Inc., Class A (a) | 1,067 | ||||||
| 34 | IDT Corp., Class B | 622 | ||||||
| 307 | Inteliquent, Inc. | 5,641 | ||||||
| 46 | magicJack VocalTec Ltd., (Israel) (a) | 345 | ||||||
|
| |||||||
| 8,899 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% | ||||||||
| 81 | RingCentral, Inc., Class A (a) | 1,492 | ||||||
|
| |||||||
Total Telecommunication Services | 10,391 | |||||||
|
| |||||||
Utilities — 3.0% | ||||||||
Electric Utilities — 1.1% |
| |||||||
| 7 | El Paso Electric Co. | 232 | ||||||
| 19 | Empire District Electric Co. (The) | 419 | ||||||
| 31 | IDACORP, Inc. | 1,740 | ||||||
| 16 | MGE Energy, Inc. | 631 | ||||||
| 152 | Portland General Electric Co. | 5,034 | ||||||
| 51 | Spark Energy, Inc., Class A | 799 | ||||||
| 3 | UIL Holdings Corp. | 133 | ||||||
| 11 | Westar Energy, Inc. | 377 | ||||||
|
| |||||||
| 9,365 | ||||||||
|
| |||||||
Gas Utilities — 0.7% | ||||||||
| 2 | AGL Resources, Inc. | 111 | ||||||
| 8 | Chesapeake Utilities Corp. | 423 | ||||||
| 18 | Laclede Group, Inc. (The) | 947 | ||||||
| 93 | New Jersey Resources Corp. | 2,548 | ||||||
| 15 | Southwest Gas Corp. | 814 | ||||||
| 10 | WGL Holdings, Inc. | 516 | ||||||
|
| |||||||
| 5,359 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power & Renewable Electricity Producers — 1.1% |
| |||||||
| 443 | Atlantic Power Corp. | 1,364 | ||||||
| 261 | Dynegy, Inc. (a) | 7,631 | ||||||
| 30 | Vivint Solar, Inc. (a) | 368 | ||||||
|
| |||||||
| 9,363 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 21 | American States Water Co. | 785 | ||||||
|
| |||||||
Total Utilities | 24,872 | |||||||
|
| |||||||
Total Common Stocks | 779,404 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Right — 0.0% (g) |
| ||||||
Health Care — 0.0% (g) |
| |||||||
Life Sciences Tools & Services — 0.0% (g) |
| |||||||
| 17 | Furiex Pharmaceuticals, Inc. (a) (i) | 168 | ||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 2 | Imperial Holdings, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (i) | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.8% |
| ||||||
Investment Company — 2.8% |
| |||||||
| 22,565 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 22,565 | ||||||
|
| |||||||
Total Investments — 98.3% | 802,137 | |||||||
Other Assets in Excess of | 13,515 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 815,652 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Futures Outstanding | ||||||||||||||||||
| 280 | E-mini Russell 2000 | 09/18/15 | USD | $ | 35,011 | $ | (368 | ) | ||||||||||
|
| |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.2% |
| ||||||
Consumer Discretionary — 19.7% |
| |||||||
Auto Components — 1.6% |
| |||||||
| 1,451 | Dana Holding Corp. | 29,864 | ||||||
| 424 | Drew Industries, Inc. | 24,580 | ||||||
|
| |||||||
| 54,444 | ||||||||
|
| |||||||
Distributors — 1.8% |
| |||||||
| 859 | Pool Corp. | 60,257 | ||||||
|
| |||||||
Diversified Consumer Services — 1.8% |
| |||||||
| 677 | Ascent Capital Group, Inc., Class A (a) | 28,931 | ||||||
| 954 | ServiceMaster Global Holdings, Inc. (a) | 34,507 | ||||||
|
| |||||||
| 63,438 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||||
| 1,153 | Brinker International, Inc. | 66,456 | ||||||
| 725 | Monarch Casino & Resort, Inc. (a) | 14,897 | ||||||
| 465 | Papa John’s International, Inc. | 35,150 | ||||||
| 124 | Zoe’s Kitchen, Inc. (a) | 5,072 | ||||||
|
| |||||||
| 121,575 | ||||||||
|
| |||||||
Household Durables — 2.6% |
| |||||||
| 1,703 | Jarden Corp. (a) | 88,119 | ||||||
|
| |||||||
Leisure Products — 1.4% |
| |||||||
| 527 | Brunswick Corp. | 26,793 | ||||||
| 1,018 | Malibu Boats, Inc., Class A (a) | 20,452 | ||||||
|
| |||||||
| 47,245 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
| 1,024 | Cinemark Holdings, Inc. | 41,136 | ||||||
| 1,148 | E.W. Scripps Co. (The), Class A | 26,229 | ||||||
| 237 | Journal Media Group, Inc. | 1,967 | ||||||
| 526 | Morningstar, Inc. | 41,844 | ||||||
|
| |||||||
| 111,176 | ||||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
| 1,569 | American Eagle Outfitters, Inc. | 27,013 | ||||||
| 1,904 | Chico’s FAS, Inc. | 31,659 | ||||||
|
| |||||||
| 58,672 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 3,004 | Crocs, Inc. (a) | 44,182 | ||||||
| 774 | Iconix Brand Group, Inc. (a) | 19,338 | ||||||
|
| |||||||
| 63,520 | ||||||||
|
| |||||||
Total Consumer Discretionary | 668,446 | |||||||
|
| |||||||
Consumer Staples — 3.3% |
| |||||||
Food Products — 1.3% |
| |||||||
| 390 | J&J Snack Foods Corp. | 43,113 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 2.0% |
| |||||||
| 677 | Spectrum Brands Holdings, Inc. | 69,074 | ||||||
|
| |||||||
Total Consumer Staples | 112,187 | |||||||
|
| |||||||
Energy — 3.3% | ||||||||
Energy Equipment & Services — 1.8% |
| |||||||
| 287 | Dril-Quip, Inc. (a) | 21,565 | ||||||
| 1,585 | Patterson-UTI Energy, Inc. | 29,827 | ||||||
| 382 | Tidewater, Inc. | 8,687 | ||||||
|
| |||||||
| 60,079 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.5% |
| |||||||
| 288 | Cimarex Energy Co. | 31,769 | ||||||
| 1,449 | Laredo Petroleum, Inc. (a) | 18,231 | ||||||
|
| |||||||
| 50,000 | ||||||||
|
| |||||||
Total Energy | 110,079 | |||||||
|
| |||||||
Financials — 21.2% |
| |||||||
Banks — 9.7% |
| |||||||
| 2,747 | Associated Banc-Corp. | 55,674 | ||||||
| 1,236 | BankUnited, Inc. | 44,397 | ||||||
| 1,513 | First Financial Bancorp | 27,144 | ||||||
| 1,493 | First Horizon National Corp. (m) | 23,388 | ||||||
| 483 | First Republic Bank | 30,445 | ||||||
| 797 | Glacier Bancorp, Inc. | 23,445 | ||||||
| 1,240 | Great Western Bancorp, Inc. | 29,908 | ||||||
| 365 | IBERIABANK Corp. | 24,922 | ||||||
| 1,928 | Umpqua Holdings Corp. | 34,689 | ||||||
| 1,029 | Western Alliance Bancorp (a) | 34,740 | ||||||
|
| |||||||
| 328,752 | ||||||||
|
| |||||||
Capital Markets — 4.4% |
| |||||||
| 698 | Eaton Vance Corp. | 27,331 | ||||||
| 586 | Greenhill & Co., Inc. | 24,210 | ||||||
| 1,184 | HFF, Inc., Class A | 49,391 | ||||||
| 1,336 | Janus Capital Group, Inc. | 22,880 | ||||||
| 861 | Moelis & Co., Class A | 24,724 | ||||||
|
| |||||||
| 148,536 | ||||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
| 1,100 | ProAssurance Corp. | 50,817 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.6% |
| |||||||
| 540 | EastGroup Properties, Inc. (m) | 30,376 | ||||||
| 481 | Mid-America Apartment Communities, Inc. (m) | 34,988 | ||||||
| 1,163 | National Retail Properties, Inc. (m) | 40,710 | ||||||
| 1,724 | RLJ Lodging Trust (m) | 51,337 | ||||||
|
| |||||||
| 157,411 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 109 | Marcus & Millichap, Inc. (a) | 5,042 | ||||||
| 616 | Realogy Holdings Corp. (a) | 28,756 | ||||||
|
| |||||||
| 33,798 | ||||||||
|
| |||||||
Total Financials | 719,314 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
| 828 | IDEXX Laboratories, Inc. (a) | 53,096 | ||||||
| 890 | West Pharmaceutical Services, Inc. | 51,694 | ||||||
|
| |||||||
| 104,790 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.5% |
| |||||||
| 676 | �� | Centene Corp. (a) | 54,389 | |||||
| 912 | Hanger, Inc. (a) | 21,388 | ||||||
| 273 | HealthEquity, Inc. (a) | 8,744 | ||||||
| 983 | HealthSouth Corp. | 45,272 | ||||||
| 406 | Magellan Health, Inc. (a) | 28,477 | ||||||
| 326 | WellCare Health Plans, Inc. (a) | 27,661 | ||||||
|
| |||||||
| 185,931 | ||||||||
|
| |||||||
Health Care Technology — 0.3% |
| |||||||
| 254 | Omnicell, Inc. (a) | 9,594 | ||||||
|
| |||||||
Pharmaceuticals — 1.3% |
| |||||||
| 1,586 | Catalent, Inc. (a) | 46,522 | ||||||
|
| |||||||
Total Health Care | 346,837 | |||||||
|
| |||||||
Industrials — 17.2% |
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 392 | Forward Air Corp. | 20,482 | ||||||
|
| |||||||
Building Products — 0.0% (g) |
| |||||||
| 22 | Ply Gem Holdings, Inc. (a) | 254 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.9% |
| |||||||
| 521 | Brady Corp., Class A | 12,880 | ||||||
| 1,180 | Herman Miller, Inc. | 34,130 | ||||||
| 1,087 | KAR Auction Services, Inc. | 40,671 | ||||||
| 303 | US Ecology, Inc. | 14,783 | ||||||
| 2,061 | Waste Connections, Inc. | 97,116 | ||||||
|
| |||||||
| 199,580 | ||||||||
|
| |||||||
Construction & Engineering — 0.5% |
| |||||||
| 812 | Comfort Systems USA, Inc. | 18,640 | ||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
| 945 | Generac Holdings, Inc. (a) | 37,581 | ||||||
| 274 | Regal Beloit Corp. | 19,872 | ||||||
|
| |||||||
| 57,453 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 6.6% |
| |||||||
| 1,074 | Allison Transmission Holdings, Inc. | 31,427 | ||||||
| 1,009 | Altra Industrial Motion Corp. | 27,425 | ||||||
| 1,119 | Douglas Dynamics, Inc. | 24,027 | ||||||
| 620 | RBC Bearings, Inc. (a) | 44,519 | ||||||
| 1,349 | Rexnord Corp. (a) | 32,264 | ||||||
| 949 | Toro Co. (The) | 64,301 | ||||||
|
| |||||||
| 223,963 | ||||||||
|
| |||||||
Road & Rail — 1.1% |
| |||||||
| 1,063 | Knight Transportation, Inc. | 28,425 | ||||||
| 138 | Landstar System, Inc. | 9,241 | ||||||
|
| |||||||
| 37,666 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.8% |
| |||||||
| 214 | Watsco, Inc. | 26,516 | ||||||
|
| |||||||
Total Industrials | 584,554 | |||||||
|
| |||||||
Information Technology — 12.3% |
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
| 281 | Anixter International, Inc. (a) | 18,324 | ||||||
| 431 | FEI Co. | 35,719 | ||||||
|
| |||||||
| 54,043 | ||||||||
|
| |||||||
Internet Software & Services — 2.4% |
| |||||||
| 828 | GrubHub, Inc. (a) | 28,222 | ||||||
| 1,285 | Q2 Holdings, Inc. (a) | 36,313 | ||||||
| 301 | Shutterstock, Inc. (a) | 17,654 | ||||||
|
| |||||||
| 82,189 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 1,025 | CoreLogic, Inc. (a) | 40,690 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.3% |
| |||||||
| 207 | Freescale Semiconductor Ltd. (a) | 8,260 | ||||||
|
| |||||||
Software — 6.8% |
| |||||||
| 678 | Advent Software, Inc. | 29,978 | ||||||
| 187 | FactSet Research Systems, Inc. | 30,470 | ||||||
| 377 | Guidewire Software, Inc. (a) | 19,941 | ||||||
| 383 | Imperva, Inc. (a) | 25,900 | ||||||
| 1,708 | Monotype Imaging Holdings, Inc. | 41,182 | ||||||
| 259 | NetSuite, Inc. (a) | 23,788 | ||||||
| 2,228 | Rovi Corp. (a) | 35,531 | ||||||
| 211 | Splunk, Inc. (a) | 14,704 | ||||||
| 82 | Tyler Technologies, Inc. (a) | 10,545 | ||||||
|
| |||||||
| 232,039 | ||||||||
|
| |||||||
Total Information Technology | 417,221 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 5.3% |
| |||||||
Containers & Packaging — 5.3% |
| |||||||
| 948 | AptarGroup, Inc. | 60,469 | ||||||
| 1,216 | Crown Holdings, Inc. (a) | 64,346 | ||||||
| 1,063 | Silgan Holdings, Inc. | 56,091 | ||||||
|
| |||||||
Total Materials | 180,906 | |||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
| 1,542 | Portland General Electric Co. | 51,146 | ||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 847 | NorthWestern Corp. | 41,303 | ||||||
|
| |||||||
Total Utilities | 92,449 | |||||||
|
| |||||||
Total Common Stocks | 3,231,993 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.8% |
| ||||||
Investment Company — 4.8% |
| |||||||
| 161,301 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 161,301 | ||||||
|
| |||||||
Total Investments — 100.0% | 3,393,294 | |||||||
Other Assets in Excess of | 544 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,393,838 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.6% |
| ||||||
Consumer Discretionary — 13.7% |
| |||||||
Distributors — 1.4% |
| |||||||
| 252 | Pool Corp. (m) | 17,660 | ||||||
|
| |||||||
Diversified Consumer Services — 1.5% |
| |||||||
| 599 | 2U, Inc. (a) | 19,269 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
| 403 | Boyd Gaming Corp. (a) (m) | 6,032 | ||||||
| 65 | Vail Resorts, Inc. | 7,115 | ||||||
|
| |||||||
| 13,147 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 415 | TRI Pointe Homes, Inc. (a) | 6,344 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.0% |
| |||||||
| 165 | HomeAway, Inc. (a) | 5,142 | ||||||
| 525 | Wayfair, Inc., Class A (a) | 19,748 | ||||||
|
| |||||||
| 24,890 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
| 378 | Tuesday Morning Corp. (a) | 4,253 | ||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
| 491 | Container Store Group, Inc. (The) (a) | 8,289 | ||||||
| 161 | Lithia Motors, Inc., Class A | 18,197 | ||||||
| 295 | Men’s Wearhouse, Inc. (The) | 18,927 | ||||||
| 185 | Penske Automotive Group, Inc. (m) | 9,662 | ||||||
| 209 | Vitamin Shoppe, Inc. (a) | 7,774 | ||||||
|
| |||||||
| 62,849 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
| 352 | Kate Spade & Co. (a) (m) | 7,576 | ||||||
| 510 | Wolverine World Wide, Inc. | 14,532 | ||||||
|
| |||||||
| 22,108 | ||||||||
|
| |||||||
Total Consumer Discretionary | 170,520 | |||||||
|
| |||||||
Consumer Staples — 1.9% |
| |||||||
Food Products — 1.9% |
| |||||||
| 366 | Diamond Foods, Inc. (a) | 11,475 | ||||||
| 671 | Freshpet, Inc. (a) | 12,489 | ||||||
|
| |||||||
Total Consumer Staples | 23,964 | |||||||
|
| |||||||
Energy — 2.6% |
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
| 116 | Dril-Quip, Inc. (a) | 8,764 | ||||||
| 342 | Forum Energy Technologies, Inc. (a) | 6,939 | ||||||
|
| |||||||
| 15,703 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.4% |
| |||||||
| 278 | Delek U.S. Holdings, Inc. | 10,226 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 535 | Laredo Petroleum, Inc. (a) | 6,724 | ||||||
|
| |||||||
| 16,950 | ||||||||
|
| |||||||
Total Energy | 32,653 | |||||||
|
| |||||||
Financials — 9.2% |
| |||||||
Banks — 2.7% |
| |||||||
| 265 | PrivateBancorp, Inc. | 10,543 | ||||||
| 72 | Signature Bank (a) | 10,582 | ||||||
| 209 | Texas Capital Bancshares, Inc. (a) | 13,010 | ||||||
|
| |||||||
| 34,135 | ||||||||
|
| |||||||
Capital Markets — 2.4% |
| |||||||
| 81 | Evercore Partners, Inc., Class A | 4,345 | ||||||
| 425 | Financial Engines, Inc. | 18,059 | ||||||
| 820 | PennantPark Investment Corp. | 7,204 | ||||||
|
| |||||||
| 29,608 | ||||||||
|
| |||||||
Insurance — 0.8% |
| |||||||
| 159 | AmTrust Financial Services, Inc. | 10,405 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 89 | EastGroup Properties, Inc. (m) | 5,025 | ||||||
| 137 | Highwoods Properties, Inc. (m) | 5,467 | ||||||
|
| |||||||
| 10,492 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 279 | RE/MAX Holdings, Inc., Class A | 9,924 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.6% |
| |||||||
| 185 | BofI Holding, Inc. (a) | 19,590 | ||||||
|
| |||||||
Total Financials | 114,154 | |||||||
|
| |||||||
Health Care — 26.7% |
| |||||||
Biotechnology — 12.0% |
| |||||||
| 251 | ACADIA Pharmaceuticals, Inc. (a) | 10,528 | ||||||
| 179 | Acceleron Pharma, Inc. (a) | 5,665 | ||||||
| 524 | Arrowhead Research Corp. (a) | 3,744 | ||||||
| 117 | Avalanche Biotechnologies, Inc. (a) | 1,900 | ||||||
| 128 | Axovant Sciences Ltd., (Bermuda) (a) | 2,608 | ||||||
| 166 | Bellicum Pharmaceuticals, Inc. (a) | 3,532 | ||||||
| 197 | Chimerix, Inc. (a) | 9,102 | ||||||
| 334 | Coherus Biosciences, Inc. (a) | 9,659 | ||||||
| 231 | Exact Sciences Corp. (a) | 6,873 | ||||||
| 255 | FibroGen, Inc. (a) | 6,003 | ||||||
| 450 | Halozyme Therapeutics, Inc. (a) | 10,163 | ||||||
| 445 | Ignyta, Inc. (a) | 6,722 | ||||||
| 475 | Insmed, Inc. (a) | 11,597 | ||||||
| 119 | Intrexon Corp. (a) | 5,784 | ||||||
| 253 | Invitae Corp. (a) | 3,766 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 483 | Keryx Biopharmaceuticals, Inc. (a) | 4,816 | ||||||
| 149 | Kite Pharma, Inc. (a) | 9,062 | ||||||
| 239 | Portola Pharmaceuticals, Inc. (a) | 10,904 | ||||||
| 46 | Puma Biotechnology, Inc. (a) | 5,395 | ||||||
| 41 | Receptos, Inc. (a) | 7,767 | ||||||
| 137 | Sage Therapeutics, Inc. (a) | 9,975 | ||||||
| 221 | Versartis, Inc. (a) | 3,362 | ||||||
|
| |||||||
| 148,927 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.5% |
| |||||||
| 974 | GenMark Diagnostics, Inc. (a) | 8,826 | ||||||
| 374 | Insulet Corp. (a) | 11,577 | ||||||
| 447 | K2M Group Holdings, Inc. (a) | 10,736 | ||||||
| 150 | Nevro Corp. (a) | 8,036 | ||||||
| 981 | Novadaq Technologies, Inc., (Canada) (a) | 11,881 | ||||||
| 843 | Syneron Medical Ltd., (Israel) (a) | 8,951 | ||||||
| 3,845 | Unilife Corp. (a) | 8,267 | ||||||
|
| |||||||
| 68,274 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 253 | Acadia Healthcare Co., Inc. (a) | 19,835 | ||||||
| 318 | Surgical Care Affiliates, Inc. (a) | 12,198 | ||||||
| 56 | Teladoc, Inc. (a) | 1,062 | ||||||
| 191 | WellCare Health Plans, Inc. (a) | 16,165 | ||||||
|
| |||||||
| 49,260 | ||||||||
|
| |||||||
Health Care Technology — 1.9% |
| |||||||
| 347 | Evolent Health, Inc., Class A (a) | 6,775 | ||||||
| 588 | Veeva Systems, Inc., Class A (a) | 16,478 | ||||||
|
| |||||||
| 23,253 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
| 421 | Fluidigm Corp. (a) | 10,184 | ||||||
|
| |||||||
Pharmaceuticals — 2.6% |
| |||||||
| 353 | Horizon Pharma plc, (Ireland) (a) | 12,249 | ||||||
| 417 | Nektar Therapeutics (a) | 5,220 | ||||||
| 225 | Revance Therapeutics, Inc. (a) | 7,206 | ||||||
| 304 | Sagent Pharmaceuticals, Inc. (a) | 7,386 | ||||||
|
| |||||||
| 32,061 | ||||||||
|
| |||||||
Total Health Care | 331,959 | |||||||
|
| |||||||
Industrials — 16.3% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 131 | HEICO Corp. (m) | 7,645 | ||||||
| 220 | Hexcel Corp. (m) | 10,939 | ||||||
|
| |||||||
| 18,584 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 175 | XPO Logistics, Inc. (a) | 7,903 | ||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
| 125 | Spirit Airlines, Inc. (a) | 7,746 | ||||||
|
| |||||||
Building Products — 5.6% |
| |||||||
| 328 | Advanced Drainage Systems, Inc. | 9,625 | ||||||
| 176 | Caesarstone Sdot-Yam Ltd., (Israel) | 12,037 | ||||||
| 133 | Fortune Brands Home & Security, Inc. | 6,092 | ||||||
| 109 | Lennox International, Inc. | 11,785 | ||||||
| 150 | Masonite International Corp. (a) | 10,491 | ||||||
| 390 | Trex Co., Inc. (a) | 19,254 | ||||||
|
| |||||||
| 69,284 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
| 115 | Acuity Brands, Inc. | 20,787 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 138 | Carlisle Cos., Inc. (m) | 13,815 | ||||||
|
| |||||||
Machinery — 2.0% |
| |||||||
| 125 | Graco, Inc. (m) | 8,871 | ||||||
| 143 | Middleby Corp. (The) (a) | 16,000 | ||||||
|
| |||||||
| 24,871 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 127 | Old Dominion Freight Line, Inc. (a) | 8,734 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.5% |
| |||||||
| 374 | Rush Enterprises, Inc., Class A (a) | 9,801 | ||||||
| 173 | Watsco, Inc. (m) | 21,406 | ||||||
|
| |||||||
| 31,207 | ||||||||
|
| |||||||
Total Industrials | 202,931 | |||||||
|
| |||||||
Information Technology — 25.9% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
| 546 | Ciena Corp. (a) (m) | 12,920 | ||||||
| 602 | Ruckus Wireless, Inc. (a) | 6,223 | ||||||
|
| |||||||
| 19,143 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 176 | Fitbit, Inc., Class A (a) | 6,736 | ||||||
|
| |||||||
Internet Software & Services — 8.6% |
| |||||||
| 287 | Cornerstone OnDemand, Inc. (a) | 10,003 | ||||||
| 83 | CoStar Group, Inc. (a) | 16,737 | ||||||
| 101 | Dealertrack Technologies, Inc. (a) | 6,358 | ||||||
| 213 | Demandware, Inc. (a) | 15,131 | ||||||
| 318 | Envestnet, Inc. (a) | 12,865 | ||||||
| 365 | GoDaddy, Inc., Class A (a) | 10,303 | ||||||
| 335 | GrubHub, Inc. (a) | 11,400 | ||||||
| 308 | Marketo, Inc. (a) | 8,643 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Internet Software & Services — continued |
| |||||||
| 411 | RetailMeNot, Inc. (a) | 7,336 | ||||||
| 242 | Shopify, Inc., (Canada), Class A (a) | 8,222 | ||||||
|
| |||||||
| 106,998 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
| 170 | Cavium, Inc. (a) | 11,691 | ||||||
| 569 | Inphi Corp. (a) | 13,009 | ||||||
| 433 | M/A-COM Technology Solutions Holdings, Inc. (a) | 16,556 | ||||||
| 259 | MKS Instruments, Inc. | 9,837 | ||||||
| 299 | Monolithic Power Systems, Inc. | 15,172 | ||||||
|
| |||||||
| 66,265 | ||||||||
|
| |||||||
Software — 8.9% |
| |||||||
| 294 | Barracuda Networks, Inc. (a) | 11,634 | ||||||
| 178 | CommVault Systems, Inc. (a) | 7,533 | ||||||
| 275 | Fleetmatics Group plc, (Ireland) (a) | 12,893 | ||||||
| 226 | Fortinet, Inc. (a) | 9,357 | ||||||
| 309 | Guidewire Software, Inc. (a) | 16,358 | ||||||
| 150 | HubSpot, Inc. (a) | 7,428 | ||||||
| 227 | Imperva, Inc. (a) | 15,342 | ||||||
| 242 | Proofpoint, Inc. (a) | 15,424 | ||||||
| 73 | Tableau Software, Inc., Class A (a) | 8,437 | ||||||
| 264 | Zendesk, Inc. (a) | 5,861 | ||||||
|
| |||||||
| 110,267 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 1.1% |
| |||||||
| 470 | Nimble Storage, Inc. (a) | 13,197 | ||||||
|
| |||||||
Total Information Technology | 322,606 | |||||||
|
| |||||||
Materials — 1.0% |
| |||||||
Construction Materials — 1.0% |
| |||||||
| 161 | Eagle Materials, Inc. | 12,305 | ||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
| 647 | Boingo Wireless, Inc. (a) | 5,346 | ||||||
| 615 | RingCentral, Inc., Class A (a) | 11,365 | ||||||
|
| |||||||
Total Telecommunication Services | 16,711 | |||||||
|
| |||||||
Total Common Stocks | 1,227,803 | |||||||
|
| |||||||
| Short-Term Investment — 0.6% |
| ||||||
Investment Company — 0.6% |
| |||||||
| 7,123 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 7,123 | ||||||
|
| |||||||
Total Investments — 99.2% | 1,234,926 | |||||||
Other Assets in Excess of | 10,143 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,245,069 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.7% |
| ||||||
Consumer Discretionary — 9.6% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 604 | Cooper Tire & Rubber Co. | 20,437 | ||||||
| 170 | Dana Holding Corp. | 3,503 | ||||||
| 180 | Stoneridge, Inc. (a) | 2,103 | ||||||
|
| |||||||
| 26,043 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 98 | VOXX International Corp. (a) | 813 | ||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
| 69 | Ascent Capital Group, Inc., Class A (a) | 2,928 | ||||||
| 449 | K12, Inc. (a) | 5,682 | ||||||
| 761 | Regis Corp. (a) | 11,995 | ||||||
| 43 | Steiner Leisure Ltd., (Bahamas) (a) | 2,302 | ||||||
|
| |||||||
| 22,907 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
| 133 | Bob Evans Farms, Inc. | 6,764 | ||||||
| 10 | Bojangles’, Inc. (a) | 243 | ||||||
| 64 | Dave & Buster’s Entertainment, Inc. (a) | 2,321 | ||||||
| 14 | Fogo De Chao, Inc. (a) | 313 | ||||||
| 748 | Isle of Capri Casinos, Inc. (a) | 13,583 | ||||||
| 21 | Jack in the Box, Inc. | 1,825 | ||||||
| 71 | Ruby Tuesday, Inc. (a) | 443 | ||||||
| 303 | Ruth’s Hospitality Group, Inc. | 4,877 | ||||||
| 36 | Scientific Games Corp., Class A (a) | 556 | ||||||
| 45 | Speedway Motorsports, Inc. | 1,024 | ||||||
|
| |||||||
| 31,949 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
| 115 | CSS Industries, Inc. | 3,488 | ||||||
| 106 | Leggett & Platt, Inc. | 5,140 | ||||||
| 43 | MDC Holdings, Inc. | 1,286 | ||||||
| 30 | NACCO Industries, Inc., Class A | 1,841 | ||||||
| 76 | Ryland Group, Inc. (The) | 3,529 | ||||||
|
| |||||||
| 15,284 | ||||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
| 184 | Nautilus, Inc. (a) | 3,958 | ||||||
|
| |||||||
Media — 1.3% |
| |||||||
| 712 | E.W. Scripps Co. (The), Class A | 16,258 | ||||||
| 201 | Entercom Communications Corp., Class A (a) | 2,290 | ||||||
| 10 | Saga Communications, Inc., Class A | 376 | ||||||
| 243 | Time, Inc. | 5,580 | ||||||
|
| |||||||
| 24,504 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 138 | Dillard’s, Inc., Class A | 14,516 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 1.4% |
| |||||||
| 90 | Build-A-Bear Workshop, Inc. (a) | 1,433 | ||||||
| 301 | Children’s Place, Inc. (The) | 19,669 | ||||||
| 242 | Guess?, Inc. | 4,643 | ||||||
| 90 | hhgregg, Inc. (a) | 301 | ||||||
| 37 | Party City Holdco, Inc. (a) | 752 | ||||||
|
| |||||||
| 26,798 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 292 | Iconix Brand Group, Inc. (a) | 7,294 | ||||||
| 152 | Unifi, Inc. (a) | 5,098 | ||||||
|
| |||||||
| 12,392 | ||||||||
|
| �� | ||||||
Total Consumer Discretionary | 179,164 | |||||||
|
| |||||||
Consumer Staples — 2.4% |
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
| 201 | Smart & Final Stores, Inc. (a) | 3,597 | ||||||
| 94 | SpartanNash Co. | 3,049 | ||||||
|
| |||||||
| 6,646 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 12 | Farmer Bros Co. (a) | 284 | ||||||
| 115 | Fresh Del Monte Produce, Inc. | 4,434 | ||||||
| 168 | Pinnacle Foods, Inc. | 7,633 | ||||||
| 6 | Sanderson Farms, Inc. | 436 | ||||||
| 15 | Seneca Foods Corp., Class A (a) | 403 | ||||||
|
| |||||||
| 13,190 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
| 673 | Central Garden & Pet Co., Class A (a) | 7,680 | ||||||
|
| |||||||
Tobacco — 0.9% |
| |||||||
| 291 | Universal Corp. | 16,652 | ||||||
|
| |||||||
Total Consumer Staples | 44,168 | |||||||
|
| |||||||
Energy — 6.1% |
| |||||||
Energy Equipment & Services — 2.6% |
| |||||||
| 135 | Atwood Oceanics, Inc. | 3,575 | ||||||
| 227 | Gulfmark Offshore, Inc., Class A | 2,628 | ||||||
| 820 | Helix Energy Solutions Group, Inc. (a) | 10,352 | ||||||
| 2,780 | Key Energy Services, Inc. (a) | 5,004 | ||||||
| 10 | Mitcham Industries, Inc. (a) | 43 | ||||||
| 650 | North Atlantic Drilling Ltd., (Norway) | 774 | ||||||
| 343 | Parker Drilling Co. (a) | 1,138 | ||||||
| 1,451 | Pioneer Energy Services Corp. (a) | 9,199 | ||||||
| 134 | SEACOR Holdings, Inc. (a) | 9,506 | ||||||
| 256 | Unit Corp. (a) | 6,947 | ||||||
|
| |||||||
| 49,166 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
| 5 | Adams Resources & Energy, Inc. | 210 | ||||||
| 102 | Alon USA Energy, Inc. | 1,922 | ||||||
| 331 | Approach Resources, Inc. (a) | 2,264 | ||||||
| 1,866 | Bill Barrett Corp. (a) | 16,033 | ||||||
| 497 | Cloud Peak Energy, Inc. (a) | 2,316 | ||||||
| 453 | EXCO Resources, Inc. | 535 | ||||||
| 237 | Frontline Ltd., (Bermuda) (a) | 577 | ||||||
| 251 | Gastar Exploration, Inc. (a) | 775 | ||||||
| 2,288 | Halcon Resources Corp. (a) | 2,654 | ||||||
| 256 | Jones Energy, Inc., Class A (a) | 2,320 | ||||||
| 104 | Midstates Petroleum Co., Inc. (a) | 97 | ||||||
| 38 | Pacific Ethanol, Inc. (a) | 395 | ||||||
| 1,856 | Penn Virginia Corp. (a) | 8,129 | ||||||
| 299 | REX American Resources Corp. (a) | 19,028 | ||||||
| 639 | Rex Energy Corp. (a) | 3,569 | ||||||
| 543 | SandRidge Energy, Inc. (a) | 476 | ||||||
| 80 | Stone Energy Corp. (a) | 1,002 | ||||||
| 611 | VAALCO Energy, Inc. (a) | 1,306 | ||||||
| 306 | W&T Offshore, Inc. | 1,677 | ||||||
| 133 | Warren Resources, Inc. (a) | 61 | ||||||
|
| |||||||
| 65,346 | ||||||||
|
| |||||||
Total Energy | 114,512 | |||||||
|
| |||||||
Financials — 38.5% |
| |||||||
Banks — 16.2% |
| |||||||
| 109 | 1st Source Corp. | 3,719 | ||||||
| 7 | American National Bankshares, Inc. | 164 | ||||||
| 71 | BancFirst Corp. | 4,660 | ||||||
| 415 | BancorpSouth, Inc. | 10,690 | ||||||
| 182 | Bank of Hawaii Corp. | 12,116 | ||||||
| 68 | Banner Corp. | 3,278 | ||||||
| 392 | BBCN Bancorp, Inc. | 5,804 | ||||||
| 21 | Bridge Capital Holdings (a) | 638 | ||||||
| 258 | Capital Bank Financial Corp., Class A (a) | 7,497 | ||||||
| 92 | Cascade Bancorp (a) | 479 | ||||||
| 229 | Cathay General Bancorp | 7,434 | ||||||
| 564 | Central Pacific Financial Corp. | 13,383 | ||||||
| 9 | Century Bancorp, Inc., Class A | 370 | ||||||
| 80 | Chemical Financial Corp. | 2,655 | ||||||
| 21 | Citizens & Northern Corp. | 440 | ||||||
| 161 | City Holding Co. | 7,915 | ||||||
| 109 | CoBiz Financial, Inc. | 1,418 | ||||||
| 60 | Columbia Banking System, Inc. | 1,966 | ||||||
| 151 | Community Bank System, Inc. | 5,692 | ||||||
| 136 | Community Trust Bancorp, Inc. | 4,741 | ||||||
| 187 | Customers Bancorp, Inc. (a) | 5,018 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 14 | East West Bancorp, Inc. | 625 | ||||||
| 77 | Financial Institutions, Inc. | 1,920 | ||||||
| 34 | First Bancorp | 560 | ||||||
| 1,418 | First BanCorp, (Puerto Rico) (a) | 6,837 | ||||||
| 461 | First Busey Corp. | 3,027 | ||||||
| 9 | First Citizens BancShares, Inc., Class A | 2,420 | ||||||
| 1,414 | First Commonwealth Financial Corp. | 13,555 | ||||||
| 51 | First Community Bancshares, Inc. | 937 | ||||||
| 126 | First Financial Bancorp | 2,259 | ||||||
| 84 | First Financial Bankshares, Inc. | 2,913 | ||||||
| 103 | First Interstate BancSystem, Inc., Class A | 2,857 | ||||||
| 170 | Flushing Financial Corp. | 3,572 | ||||||
| 517 | FNB Corp. | 7,401 | ||||||
| 236 | Glacier Bancorp, Inc. | 6,934 | ||||||
| 41 | Great Southern Bancorp, Inc. | 1,719 | ||||||
| 29 | Guaranty Bancorp | 479 | ||||||
| 369 | Hancock Holding Co. | 11,788 | ||||||
| 60 | Heartland Financial USA, Inc. | 2,233 | ||||||
| 27 | Heritage Financial Corp. | 483 | ||||||
| 77 | Hudson Valley Holding Corp. | 2,175 | ||||||
| 68 | Lakeland Bancorp, Inc. | 814 | ||||||
| 31 | Lakeland Financial Corp. | 1,340 | ||||||
| 186 | MainSource Financial Group, Inc. | 4,078 | ||||||
| 133 | MB Financial, Inc. | 4,577 | ||||||
| 65 | Metro Bancorp, Inc. | 1,710 | ||||||
| 52 | National Penn Bancshares, Inc. | 588 | ||||||
| 625 | OFG Bancorp, (Puerto Rico) | 6,672 | ||||||
| 87 | Pacific Continental Corp. | 1,177 | ||||||
| 173 | PacWest Bancorp | 8,080 | ||||||
| 20 | Preferred Bank | 586 | ||||||
| 22 | Republic Bancorp, Inc., Class A | 560 | ||||||
| 24 | S&T Bancorp, Inc. | 719 | ||||||
| 19 | Sierra Bancorp | 327 | ||||||
| 84 | Simmons First National Corp., Class A | 3,912 | ||||||
| 20 | Southside Bancshares, Inc. | 575 | ||||||
| 142 | Southwest Bancorp, Inc. | 2,633 | ||||||
| 64 | State Bank Financial Corp. | 1,387 | ||||||
| 14 | Stock Yards Bancorp, Inc. | 529 | ||||||
| 19 | Suffolk Bancorp | 493 | ||||||
| 398 | Susquehanna Bancshares, Inc. | 5,624 | ||||||
| 490 | TCF Financial Corp. | 8,132 | ||||||
| 44 | Tompkins Financial Corp. | 2,358 | ||||||
| 160 | Trustmark Corp. | 3,992 | ||||||
| 208 | UMB Financial Corp. | 11,854 | ||||||
| 655 | Umpqua Holdings Corp. | 11,789 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Banks — continued |
| |||||||
| 468 | Union Bankshares Corp. | 10,871 | ||||||
| 84 | Valley National Bancorp | 866 | ||||||
| 42 | Washington Trust Bancorp, Inc. | 1,670 | ||||||
| 124 | Webster Financial Corp. | 4,904 | ||||||
| 17 | WesBanco, Inc. | 568 | ||||||
| 46 | West Bancorporation, Inc. | 913 | ||||||
| 309 | Westamerica Bancorporation | 15,656 | ||||||
| 722 | Wilshire Bancorp, Inc. | 9,113 | ||||||
|
| |||||||
| 303,838 | ||||||||
|
| |||||||
Capital Markets — 1.5% |
| |||||||
| 114 | Arlington Asset Investment Corp., Class A | 2,238 | ||||||
| 269 | BGC Partners, Inc., Class A | 2,351 | ||||||
| 802 | Cowen Group, Inc., Class A (a) | 5,135 | ||||||
| 25 | INTL. FCStone, Inc. (a) | 831 | ||||||
| 336 | Investment Technology Group, Inc. | 8,343 | ||||||
| 74 | Janus Capital Group, Inc. | 1,272 | ||||||
| 62 | Oppenheimer Holdings, Inc., Class A | 1,635 | ||||||
| 96 | Stifel Financial Corp. (a) | 5,554 | ||||||
| 43 | Virtu Financial, Inc., Class A (a) | 1,019 | ||||||
|
| |||||||
| 28,378 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
| 122 | Nelnet, Inc., Class A | 5,297 | ||||||
| 66 | World Acceptance Corp. (a) | 4,041 | ||||||
|
| |||||||
| 9,338 | ||||||||
|
| |||||||
Diversified Financial Services — 0.0% (g) |
| |||||||
| 55 | Marlin Business Services Corp. | 933 | ||||||
|
| |||||||
Insurance — 4.7% |
| |||||||
| 425 | American Equity Investment Life Holding Co. | 11,472 | ||||||
| 38 | Arch Capital Group Ltd., (Bermuda) (a) | 2,534 | ||||||
| 137 | Argo Group International Holdings Ltd., (Bermuda) | 7,614 | ||||||
| 1,056 | CNO Financial Group, Inc. | 19,379 | ||||||
| 13 | Global Indemnity plc, (Ireland) (a) | 359 | ||||||
| 81 | Hallmark Financial Services (a) | 923 | ||||||
| 260 | Horace Mann Educators Corp. | 9,463 | ||||||
| 43 | Kemper Corp. | 1,665 | ||||||
| 101 | Maiden Holdings Ltd., (Bermuda) | 1,600 | ||||||
| 40 | Navigators Group, Inc. (The) (a) | 3,071 | ||||||
| 121 | Primerica, Inc. | 5,515 | ||||||
| 195 | ProAssurance Corp. | 8,997 | ||||||
| 71 | StanCorp Financial Group, Inc. | 5,353 | ||||||
| 351 | Symetra Financial Corp. | 8,474 | ||||||
| 19 | United Fire Group, Inc. | 626 | ||||||
|
| |||||||
| 87,045 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 13.0% |
| |||||||
| 26 | American Assets Trust, Inc. | 1,000 | ||||||
| 2,636 | Anworth Mortgage Asset Corp. (m) | 12,993 | ||||||
| 218 | Apartment Investment & Management Co., Class A (m) | 8,051 | ||||||
| 145 | Ashford Hospitality Prime, Inc. | 2,181 | ||||||
| 726 | Ashford Hospitality Trust, Inc. (m) | 6,144 | ||||||
| 1,203 | Capstead Mortgage Corp. (m) | 13,356 | ||||||
| 465 | CBL & Associates Properties, Inc. (m) | 7,535 | ||||||
| 218 | Cedar Realty Trust, Inc. (m) | 1,398 | ||||||
| 537 | Chambers Street Properties | 4,266 | ||||||
| 370 | CoreSite Realty Corp. | 16,804 | ||||||
| 609 | CubeSmart | 14,109 | ||||||
| 49 | CyrusOne, Inc. | 1,434 | ||||||
| 2,246 | CYS Investments, Inc. | 17,365 | ||||||
| 529 | DCT Industrial Trust, Inc. | 16,626 | ||||||
| 353 | DiamondRock Hospitality Co. | 4,520 | ||||||
| 77 | DuPont Fabros Technology, Inc. | 2,265 | ||||||
| 97 | Education Realty Trust, Inc. | 3,046 | ||||||
| 84 | EPR Properties (m) | 4,574 | ||||||
| 787 | FelCor Lodging Trust, Inc. (m) | 7,773 | ||||||
| 139 | First Industrial Realty Trust, Inc. (m) | 2,611 | ||||||
| 541 | First Potomac Realty Trust | 5,567 | ||||||
| 180 | Franklin Street Properties Corp. | 2,031 | ||||||
| 161 | Getty Realty Corp. (m) | 2,632 | ||||||
| 81 | Gladstone Commercial Corp. (m) | 1,338 | ||||||
| 380 | Government Properties Income Trust | 7,043 | ||||||
| 65 | Highwoods Properties, Inc. (m) | 2,581 | ||||||
| 73 | Home Properties, Inc. (m) | 5,325 | ||||||
| 176 | Hospitality Properties Trust (m) | 5,081 | ||||||
| 88 | LaSalle Hotel Properties (m) | 3,117 | ||||||
| 109 | LTC Properties, Inc. (m) | 4,547 | ||||||
| 16 | Mid-America Apartment Communities, Inc. (m) | 1,156 | ||||||
| 142 | Pebblebrook Hotel Trust | 6,102 | ||||||
| 332 | Pennsylvania Real Estate Investment Trust (m) | 7,087 | ||||||
| 338 | Potlatch Corp. (m) | 11,924 | ||||||
| 39 | PS Business Parks, Inc. (m) | 2,843 | ||||||
| 34 | QTS Realty Trust, Inc., Class A | 1,254 | ||||||
| 1,047 | RAIT Financial Trust (m) | 6,397 | ||||||
| 13 | Saul Centers, Inc. (m) | 644 | ||||||
| 84 | Strategic Hotels & Resorts, Inc. (a) | 1,014 | ||||||
| 484 | Sunstone Hotel Investors, Inc. | 7,260 | ||||||
| 15 | Taubman Centers, Inc. (m) | 1,056 | ||||||
| 86 | Urstadt Biddle Properties, Inc., Class A (m) | 1,610 | ||||||
| 271 | Washington Real Estate Investment Trust (m) | 7,025 | ||||||
| 7 | WP GLIMCHER, Inc. | 90 | ||||||
|
| |||||||
| 242,775 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Management & Development — 1.2% |
| |||||||
| 227 | Alexander & Baldwin, Inc. | 8,944 | ||||||
| 516 | Forestar Group, Inc. (a) | 6,795 | ||||||
| 399 | St. Joe Co. (The) (a) | 6,190 | ||||||
|
| |||||||
| 21,929 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.4% |
| |||||||
| 27 | BankFinancial Corp. | 313 | ||||||
| 118 | Beneficial Bancorp, Inc. (a) | 1,479 | ||||||
| 83 | Brookline Bancorp, Inc. | 941 | ||||||
| 304 | Charter Financial Corp. | 3,771 | ||||||
| 3 | First Financial Northwest, Inc. | 32 | ||||||
| 30 | Fox Chase Bancorp, Inc. | 504 | ||||||
| 22 | Kearny Financial Corp. (a) | 244 | ||||||
| 114 | MGIC Investment Corp. (a) | 1,299 | ||||||
| 686 | Northfield Bancorp, Inc. | 10,329 | ||||||
| 62 | OceanFirst Financial Corp. | 1,162 | ||||||
| 18 | Territorial Bancorp, Inc. | 427 | ||||||
| 107 | United Financial Bancorp, Inc. | 1,443 | ||||||
| 57 | Walker & Dunlop, Inc. (a) | 1,530 | ||||||
| 85 | WSFS Financial Corp. | 2,311 | ||||||
|
| |||||||
| 25,785 | ||||||||
|
| |||||||
Total Financials | 720,021 | |||||||
|
| |||||||
Health Care — 5.2% |
| |||||||
Biotechnology — 1.1% |
| |||||||
| 32 | Agios Pharmaceuticals, Inc. (a) | 3,501 | ||||||
| 11 | Applied Genetic Technologies Corp. (a) | 169 | ||||||
| 38 | Ardelyx, Inc. (a) | 607 | ||||||
| 12 | Avalanche Biotechnologies, Inc. (a) | 198 | ||||||
| 46 | Cara Therapeutics, Inc. (a) | 559 | ||||||
| 27 | Dicerna Pharmaceuticals, Inc. (a) | 372 | ||||||
| 20 | Epizyme, Inc. (a) | 485 | ||||||
| 723 | Idera Pharmaceuticals, Inc. (a) | 2,684 | ||||||
| 12 | Ignyta, Inc. (a) | 184 | ||||||
| 23 | Immune Design Corp. (a) | 471 | ||||||
| 69 | Insmed, Inc. (a) | 1,680 | ||||||
| 9 | Karyopharm Therapeutics, Inc. (a) | 250 | ||||||
| 17 | Kite Pharma, Inc. (a) | 1,048 | ||||||
| 23 | MacroGenics, Inc. (a) | 885 | ||||||
| 68 | Radius Health, Inc. (a) | 4,624 | ||||||
| 8 | Sage Therapeutics, Inc. (a) | 591 | ||||||
| 19 | Ultragenyx Pharmaceutical, Inc. (a) | 1,925 | ||||||
| 57 | Verastem, Inc. (a) | 430 | ||||||
| 16 | Zafgen, Inc. (a) | 568 | ||||||
|
| |||||||
| 21,231 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — 1.5% | ||||||||
| 45 | Inogen, Inc. (a) | 1,989 | ||||||
| 99 | NuVasive, Inc. (a) | 4,700 | ||||||
| 188 | SurModics, Inc. (a) | 4,398 | ||||||
| 363 | Thoratec Corp. (a) | 16,188 | ||||||
|
| |||||||
| 27,275 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.8% |
| |||||||
| 34 | Alliance HealthCare Services, Inc. (a) | 638 | ||||||
| 139 | Centene Corp. (a) | 11,192 | ||||||
| 685 | Cross Country Healthcare, Inc. (a) | 8,687 | ||||||
| 189 | Select Medical Holdings Corp. | 3,065 | ||||||
| 270 | Surgical Care Affiliates, Inc. (a) | 10,370 | ||||||
|
| |||||||
| 33,952 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 339 | MedAssets, Inc. (a) | 7,476 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 78 | Affymetrix, Inc. (a) | 847 | ||||||
|
| |||||||
Pharmaceuticals — 0.3% |
| |||||||
| 94 | Amphastar Pharmaceuticals, Inc. (a) | 1,656 | ||||||
| 95 | Medicines Co. (The) (a) | 2,704 | ||||||
| 29 | Revance Therapeutics, Inc. (a) | 911 | ||||||
| 9 | ZS Pharma, Inc. (a) | 493 | ||||||
|
| |||||||
| 5,764 | ||||||||
|
| |||||||
Total Health Care | 96,545 | |||||||
|
| |||||||
Industrials — 13.3% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
| 632 | AAR Corp. | 20,148 | ||||||
| 124 | Engility Holdings, Inc. | 3,115 | ||||||
| 70 | Moog, Inc., Class A (a) | 4,912 | ||||||
| 17 | National Presto Industries, Inc. | 1,390 | ||||||
|
| |||||||
| 29,565 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
| 232 | Atlas Air Worldwide Holdings, Inc. (a) | 12,745 | ||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
| 93 | Alaska Air Group, Inc. | 5,973 | ||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
| 374 | Gibraltar Industries, Inc. (a) | 7,626 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.2% |
| |||||||
| 67 | ABM Industries, Inc. | 2,191 | ||||||
| 1,477 | ACCO Brands Corp. (a) | 11,473 | ||||||
| 149 | ARC Document Solutions, Inc. (a) | 1,135 | ||||||
| 890 | Cenveo, Inc. (a) | 1,886 | ||||||
| 93 | Ennis, Inc. | 1,723 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Commercial Services & Supplies — continued |
| |||||||
| 278 | Essendant, Inc. | 10,908 | ||||||
| 95 | HNI Corp. | 4,844 | ||||||
| 15 | Kimball International, Inc., Class B | 180 | ||||||
| 321 | Quad/Graphics, Inc. | 5,940 | ||||||
|
| |||||||
| 40,280 | ||||||||
|
| |||||||
Construction & Engineering — 1.7% |
| |||||||
| 279 | Argan, Inc. | 11,236 | ||||||
| 156 | Comfort Systems USA, Inc. | 3,571 | ||||||
| 339 | EMCOR Group, Inc. | 16,199 | ||||||
|
| |||||||
| 31,006 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 208 | General Cable Corp. | 4,096 | ||||||
| 66 | GrafTech International Ltd. (a) | 325 | ||||||
| 156 | LSI Industries, Inc. | 1,461 | ||||||
| 20 | Polypore International, Inc. (a) | 1,192 | ||||||
|
| |||||||
| 7,074 | ||||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
| 91 | Accuride Corp. (a) | 350 | ||||||
| 106 | AGCO Corp. | 5,996 | ||||||
| 298 | Briggs & Stratton Corp. | 5,740 | ||||||
| 413 | Douglas Dynamics, Inc. | 8,871 | ||||||
| 221 | Federal Signal Corp. | 3,301 | ||||||
| 71 | Hurco Cos., Inc. | 2,472 | ||||||
| 76 | Hyster-Yale Materials Handling, Inc. | 5,293 | ||||||
| 146 | Kadant, Inc. | 6,891 | ||||||
| 327 | Mueller Water Products, Inc., Class A | 2,971 | ||||||
| 205 | Wabash National Corp. (a) | 2,568 | ||||||
| 23 | Watts Water Technologies, Inc., Class A | 1,193 | ||||||
|
| |||||||
| 45,646 | ||||||||
|
| |||||||
Marine — 0.6% |
| |||||||
| 289 | Matson, Inc. | 12,149 | ||||||
|
| |||||||
Professional Services — 1.8% |
| |||||||
| 192 | Barrett Business Services, Inc. | 6,977 | ||||||
| 31 | CRA International, Inc. (a) | 853 | ||||||
| 436 | FTI Consulting, Inc. (a) | 17,968 | ||||||
| 181 | RPX Corp. (a) | 3,066 | ||||||
| 76 | VSE Corp. | 4,040 | ||||||
|
| |||||||
| 32,904 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 5 | AMERCO | 1,635 | ||||||
| 238 | ArcBest Corp. | 7,581 | ||||||
| 60 | PAM Transportation Services, Inc. (a) | 3,454 | ||||||
| 178 | USA Truck, Inc. (a) | 3,779 | ||||||
|
| |||||||
| 16,449 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.3% |
| |||||||
| 58 | DXP Enterprises, Inc. (a) | 2,683 | ||||||
| 149 | Univar, Inc. (a) | 3,886 | ||||||
|
| |||||||
| 6,569 | ||||||||
|
| |||||||
Total Industrials | 247,986 | |||||||
|
| |||||||
Information Technology — 10.7% |
| |||||||
Communications Equipment — 1.6% |
| |||||||
| 231 | Black Box Corp. | 4,620 | ||||||
| 167 | Comtech Telecommunications Corp. | 4,843 | ||||||
| 882 | Harmonic, Inc. (a) | 6,025 | ||||||
| 177 | NETGEAR, Inc. (a) | 5,322 | ||||||
| 759 | Polycom, Inc. (a) | 8,684 | ||||||
|
| |||||||
| 29,494 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.7% |
| |||||||
| 548 | Benchmark Electronics, Inc. (a) | 11,924 | ||||||
| 104 | Checkpoint Systems, Inc. | 1,060 | ||||||
| 71 | Coherent, Inc. (a) | 4,488 | ||||||
| 249 | Insight Enterprises, Inc. (a) | 7,460 | ||||||
| 171 | Sanmina Corp. (a) | 3,447 | ||||||
| 24 | Tech Data Corp. (a) | 1,358 | ||||||
| 157 | Vishay Intertechnology, Inc. | 1,833 | ||||||
|
| |||||||
| 31,570 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% |
| |||||||
| 634 | Bazaarvoice, Inc. (a) | 3,734 | ||||||
| 102 | Benefitfocus, Inc. (a) | 4,473 | ||||||
| 411 | Blucora, Inc. (a) | 6,641 | ||||||
| 689 | EarthLink Holdings Corp. | 5,158 | ||||||
| 899 | Monster Worldwide, Inc. (a) | 5,881 | ||||||
|
| |||||||
| 25,887 | ||||||||
|
| |||||||
IT Services — 1.4% |
| |||||||
| 305 | Convergys Corp. | 7,772 | ||||||
| 38 | EVERTEC, Inc., (Puerto Rico) | 811 | ||||||
| 68 | Global Cash Access Holdings, Inc. (a) | 523 | ||||||
| 248 | MoneyGram International, Inc. (a) | 2,281 | ||||||
| 22 | NeuStar, Inc., Class A (a) | 631 | ||||||
| 138 | Sykes Enterprises, Inc. (a) | 3,347 | ||||||
| 573 | Unisys Corp. (a) | 11,458 | ||||||
|
| |||||||
| 26,823 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 524 | Amkor Technology, Inc. (a) | 3,132 | ||||||
| 160 | Cohu, Inc. | 2,114 | ||||||
| 1,203 | Cypress Semiconductor Corp. (a) | 14,145 | ||||||
| 286 | DSP Group, Inc. (a) | 2,956 | ||||||
| 50 | Fairchild Semiconductor International, Inc. (a) | 869 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 114 | First Solar, Inc. (a) | 5,365 | ||||||
| 73 | IXYS Corp. | 1,121 | ||||||
| 87 | Pericom Semiconductor Corp. | 1,140 | ||||||
| 197 | Photronics, Inc. (a) | 1,872 | ||||||
| 106 | Qorvo, Inc. (a) | 8,513 | ||||||
| 497 | Ultra Clean Holdings, Inc. (a) | 3,097 | ||||||
| 511 | Xcerra Corp. (a) | 3,865 | ||||||
|
| |||||||
| 48,189 | ||||||||
|
| |||||||
Software — 2.1% |
| |||||||
| 202 | A10 Networks, Inc. (a) | 1,300 | ||||||
| 140 | Aspen Technology, Inc. (a) | 6,364 | ||||||
| 460 | EnerNOC, Inc. (a) | 4,461 | ||||||
| 71 | Fair Isaac Corp. | 6,427 | ||||||
| 372 | Rovi Corp. (a) | 5,926 | ||||||
| 533 | Take-Two Interactive Software, Inc. (a) | 14,681 | ||||||
|
| |||||||
| 39,159 | ||||||||
|
| |||||||
Total Information Technology | 201,122 | |||||||
|
| |||||||
Materials — 3.9% |
| |||||||
Chemicals — 1.6% |
| |||||||
| 19 | KMG Chemicals, Inc. | 478 | ||||||
| 221 | Minerals Technologies, Inc. | 15,057 | ||||||
| 247 | Olin Corp. | 6,660 | ||||||
| 145 | OM Group, Inc. | 4,855 | ||||||
| 100 | Tredegar Corp. | 2,205 | ||||||
|
| |||||||
| 29,255 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 700 | Graphic Packaging Holding Co. | 9,747 | ||||||
| 85 | Myers Industries, Inc. | 1,613 | ||||||
|
| |||||||
| 11,360 | ||||||||
|
| |||||||
Metals & Mining — 0.9% |
| |||||||
| 756 | Cliffs Natural Resources, Inc. | 3,275 | ||||||
| 298 | Coeur Mining, Inc. (a) | 1,700 | ||||||
| 213 | Schnitzer Steel Industries, Inc., Class A | 3,729 | ||||||
| 259 | Worthington Industries, Inc. | 7,788 | ||||||
|
| |||||||
| 16,492 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 140 | Domtar Corp., (Canada) | 5,804 | ||||||
| 19 | PH Glatfelter Co. | 416 | ||||||
| 242 | Schweitzer-Mauduit International, Inc. | 9,647 | ||||||
|
| |||||||
| 15,867 | ||||||||
|
| |||||||
Total Materials | 72,974 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
| 1,096 | Cincinnati Bell, Inc. (a) | 4,185 | ||||||
| 128 | FairPoint Communications, Inc. (a) | 2,334 | ||||||
| 82 | magicJack VocalTec Ltd., (Israel) (a) | 607 | ||||||
| 2,021 | Vonage Holdings Corp. (a) | 9,923 | ||||||
| 100 | Windstream Holdings, Inc. | 637 | ||||||
|
| |||||||
Total Telecommunication Services | 17,686 | |||||||
|
| |||||||
Utilities — 6.1% |
| |||||||
Electric Utilities — 1.7% |
| |||||||
| 330 | El Paso Electric Co. | 11,424 | ||||||
| 158 | PNM Resources, Inc. | 3,875 | ||||||
| 424 | Portland General Electric Co. | 14,053 | ||||||
| 12 | Spark Energy, Inc., Class A | 195 | ||||||
| 57 | Unitil Corp. | 1,892 | ||||||
|
| |||||||
| 31,439 | ||||||||
|
| |||||||
Gas Utilities — 2.1% |
| |||||||
| 94 | AGL Resources, Inc. | 4,385 | ||||||
| 34 | Chesapeake Utilities Corp. | 1,823 | ||||||
| 286 | Laclede Group, Inc. (The) | 14,868 | ||||||
| 159 | Northwest Natural Gas Co. | 6,690 | ||||||
| 51 | Piedmont Natural Gas Co., Inc. | 1,787 | ||||||
| 167 | Southwest Gas Corp. | 8,870 | ||||||
|
| |||||||
| 38,423 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.6% |
| |||||||
| 2,025 | Atlantic Power Corp. | 6,237 | ||||||
| 129 | Ormat Technologies, Inc. | 4,846 | ||||||
|
| |||||||
| 11,083 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 382 | Avista Corp. | 11,711 | ||||||
| 239 | NorthWestern Corp. | 11,661 | ||||||
|
| |||||||
| 23,372 | ||||||||
|
| |||||||
Water Utilities — 0.5% |
| |||||||
| 179 | American States Water Co. | 6,685 | ||||||
| 123 | California Water Service Group | 2,818 | ||||||
|
| |||||||
| 9,503 | ||||||||
|
| |||||||
Total Utilities | 113,820 | |||||||
|
| |||||||
Total Common Stocks | 1,807,998 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 3 | Imperial Holdings, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (i) | — | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.1% |
| ||||||
Investment Company — 3.1% |
| |||||||
| 58,498 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 58,498 | ||||||
|
| |||||||
Total Investments — 99.8% | 1,866,496 | |||||||
Other Assets in Excess of | 4,247 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,870,743 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Futures Outstanding | ||||||||||||||||||
| 435 | E-mini Russell 2000 | 09/18/15 | USD | $ | 54,392 | $ | (407 | ) | ||||||||||
|
| |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% |
| ||||||
Consumer Discretionary — 14.1% |
| |||||||
Auto Components — 1.9% |
| |||||||
| 27 | American Axle & Manufacturing Holdings, Inc. (a) | 554 | ||||||
| 272 | Cooper Tire & Rubber Co. | 9,192 | ||||||
| 81 | Dana Holding Corp. | 1,671 | ||||||
| 363 | Stoneridge, Inc. (a) | 4,255 | ||||||
| 97 | Tower International, Inc. (a) | 2,527 | ||||||
|
| |||||||
| 18,199 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 131 | VOXX International Corp. (a) | 1,088 | ||||||
|
| |||||||
Diversified Consumer Services — 2.1% |
| |||||||
| 159 | Houghton Mifflin Harcourt Co. (a) | 4,014 | ||||||
| 66 | K12, Inc. (a) | 831 | ||||||
| 525 | Regis Corp. (a) | 8,271 | ||||||
| 21 | Steiner Leisure Ltd., (Bahamas) (a) | 1,146 | ||||||
| 141 | Strayer Education, Inc. (a) | 6,077 | ||||||
|
| |||||||
| 20,339 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||||
| 51 | Bob Evans Farms, Inc. | 2,609 | ||||||
| 9 | Bojangles’, Inc. (a) | 222 | ||||||
| 40 | Dave & Buster’s Entertainment, Inc. (a) | 1,436 | ||||||
| 6 | DineEquity, Inc. | 634 | ||||||
| 17 | Fogo De Chao, Inc. (a) | 382 | ||||||
| 605 | Isle of Capri Casinos, Inc. (a) | 10,979 | ||||||
| 90 | Jack in the Box, Inc. | 7,890 | ||||||
| 7 | Red Robin Gourmet Burgers, Inc. (a) | 584 | ||||||
| 194 | Ruby Tuesday, Inc. (a) | 1,218 | ||||||
| 266 | Sonic Corp. | 7,667 | ||||||
| 60 | Speedway Motorsports, Inc. | 1,361 | ||||||
| 18 | Wingstop, Inc. (a) | 514 | ||||||
|
| |||||||
| 35,496 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
| 44 | CSS Industries, Inc. | 1,331 | ||||||
| 60 | Leggett & Platt, Inc. | 2,901 | ||||||
| 43 | NACCO Industries, Inc., Class A | 2,607 | ||||||
|
| |||||||
| 6,839 | ||||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
| 107 | Nautilus, Inc. (a) | 2,293 | ||||||
|
| |||||||
Media — 0.9% |
| |||||||
| 53 | Nexstar Broadcasting Group, Inc., Class A | 2,979 | ||||||
| 196 | Sinclair Broadcast Group, Inc., Class A | 5,462 | ||||||
|
| |||||||
| 8,441 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multiline Retail — 1.0% |
| |||||||
| 47 | Big Lots, Inc. | 2,115 | ||||||
| 74 | Dillard’s, Inc., Class A | 7,763 | ||||||
|
| |||||||
| 9,878 | ||||||||
|
| |||||||
Specialty Retail — 2.9% |
| |||||||
| 19 | ANN, Inc. (a) | 908 | ||||||
| 198 | Children’s Place, Inc. (The) | 12,971 | ||||||
| 52 | Guess?, Inc. | 995 | ||||||
| 53 | hhgregg, Inc. (a) | 177 | ||||||
| 164 | Outerwall, Inc. | 12,513 | ||||||
| 19 | Party City Holdco, Inc. (a) | 383 | ||||||
|
| |||||||
| 27,947 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 199 | Iconix Brand Group, Inc. (a) | 4,966 | ||||||
| 55 | Unifi, Inc. (a) | 1,836 | ||||||
|
| |||||||
| 6,802 | ||||||||
|
| |||||||
Total Consumer Discretionary | 137,322 | |||||||
|
| |||||||
Consumer Staples — 2.4% |
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
| 64 | Ingles Markets, Inc., Class A | 3,033 | ||||||
| 70 | Smart & Final Stores, Inc. (a) | 1,258 | ||||||
|
| |||||||
| 4,291 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 52 | B&G Foods, Inc. | 1,481 | ||||||
| 116 | Pilgrim’s Pride Corp. | 2,664 | ||||||
| 85 | Pinnacle Foods, Inc. | 3,853 | ||||||
| 31 | Sanderson Farms, Inc. | 2,360 | ||||||
| 14 | Seneca Foods Corp., Class A (a) | 389 | ||||||
|
| |||||||
| 10,747 | ||||||||
|
| |||||||
Personal Products — 0.7% |
| |||||||
| 13 | Herbalife Ltd. (a) | 689 | ||||||
| 13 | Inter Parfums, Inc. | 424 | ||||||
| 9 | Medifast, Inc. (a) | 304 | ||||||
| 38 | USANA Health Sciences, Inc. (a) | 5,179 | ||||||
|
| |||||||
| 6,596 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
| 36 | Universal Corp. | 2,063 | ||||||
|
| |||||||
Total Consumer Staples | 23,697 | |||||||
|
| |||||||
Energy — 4.3% |
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
| 95 | Basic Energy Services, Inc. (a) | 719 | ||||||
| 21 | Exterran Holdings, Inc. | 679 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy Equipment & Services — continued |
| |||||||
| 226 | Gulfmark Offshore, Inc., Class A | 2,625 | ||||||
| 627 | Key Energy Services, Inc. (a) | 1,129 | ||||||
| 5 | Mitcham Industries, Inc. (a) | 22 | ||||||
| 185 | Pioneer Energy Services Corp. (a) | 1,170 | ||||||
| 75 | SEACOR Holdings, Inc. (a) | 5,328 | ||||||
| 85 | Unit Corp. (a) | 2,297 | ||||||
|
| |||||||
| 13,969 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% |
| |||||||
| 13 | Adams Resources & Energy, Inc. | 557 | ||||||
| 59 | Alon USA Energy, Inc. | 1,109 | ||||||
| 742 | Bill Barrett Corp. (a) | 6,375 | ||||||
| 36 | Cloud Peak Energy, Inc. (a) | 168 | ||||||
| 35 | Green Plains, Inc. | 961 | ||||||
| 3 | Isramco, Inc. (a) | 417 | ||||||
| 404 | Penn Virginia Corp. (a) | 1,770 | ||||||
| 42 | Renewable Energy Group, Inc. (a) | 487 | ||||||
| 182 | REX American Resources Corp. (a) | 11,576 | ||||||
| 279 | Rex Energy Corp. (a) | 1,560 | ||||||
| 133 | Stone Energy Corp. (a) | 1,677 | ||||||
| 26 | VAALCO Energy, Inc. (a) | 56 | ||||||
| 27 | Western Refining, Inc. | 1,191 | ||||||
|
| |||||||
| 27,904 | ||||||||
|
| |||||||
Total Energy | 41,873 | |||||||
|
| |||||||
Financials — 21.8% |
| |||||||
Banks — 7.9% |
| |||||||
| 36 | 1st Source Corp. | 1,228 | ||||||
| 62 | BancFirst Corp. | 4,045 | ||||||
| 152 | BancorpSouth, Inc. | 3,918 | ||||||
| 36 | Banner Corp. | 1,725 | ||||||
| 50 | BBCN Bancorp, Inc. | 739 | ||||||
| 157 | Capital Bank Financial Corp., Class A (a) | 4,555 | ||||||
| 60 | Cathay General Bancorp | 1,934 | ||||||
| 337 | Central Pacific Financial Corp. | 7,994 | ||||||
| 23 | Chemical Financial Corp. | 774 | ||||||
| 16 | Citizens & Northern Corp. | 321 | ||||||
| 38 | City Holding Co. | 1,867 | ||||||
| 41 | CoBiz Financial, Inc. | 529 | ||||||
| 257 | CVB Financial Corp. | 4,524 | ||||||
| 4 | East West Bancorp, Inc. | 167 | ||||||
| 410 | First Commonwealth Financial Corp. | 3,936 | ||||||
| 7 | First Financial Bancorp | 124 | ||||||
| 25 | First Interstate BancSystem, Inc., Class A | 696 | ||||||
| 60 | Flushing Financial Corp. | 1,256 | ||||||
| 94 | FNB Corp. | 1,345 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 25 | Guaranty Bancorp | 416 | ||||||
| 22 | MainSource Financial Group, Inc. | 481 | ||||||
| 42 | National Penn Bancshares, Inc. | 477 | ||||||
| 165 | OFG Bancorp, (Puerto Rico) | 1,755 | ||||||
| 41 | PacWest Bancorp | 1,903 | ||||||
| 17 | Sierra Bancorp | 298 | ||||||
| 42 | Simmons First National Corp., Class A | 1,975 | ||||||
| 11 | Southside Bancshares, Inc. | 323 | ||||||
| 41 | Southwest Bancorp, Inc. | 756 | ||||||
| 80 | Suffolk Bancorp | 2,045 | ||||||
| 86 | Susquehanna Bancshares, Inc. | 1,216 | ||||||
| 153 | TCF Financial Corp. | 2,548 | ||||||
| 23 | UMB Financial Corp. | 1,334 | ||||||
| 236 | Union Bankshares Corp. | 5,475 | ||||||
| 14 | Webster Financial Corp. | 558 | ||||||
| 67 | West Bancorporation, Inc. | 1,329 | ||||||
| 211 | Westamerica Bancorporation | 10,682 | ||||||
| 144 | Wilshire Bancorp, Inc. | 1,819 | ||||||
|
| |||||||
| 77,067 | ||||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
| 36 | Arlington Asset Investment Corp., Class A | 704 | ||||||
| 90 | BGC Partners, Inc., Class A | 790 | ||||||
| 307 | Cowen Group, Inc., Class A (a) | 1,962 | ||||||
| 22 | Federated Investors, Inc., Class B | 730 | ||||||
| 8 | INTL. FCStone, Inc. (a) | 259 | ||||||
| 180 | Investment Technology Group, Inc. | 4,457 | ||||||
| 25 | Stifel Financial Corp. (a) | 1,450 | ||||||
| 20 | Virtu Financial, Inc., Class A (a) | 458 | ||||||
| 57 | WisdomTree Investments, Inc. | 1,243 | ||||||
|
| |||||||
| 12,053 | ||||||||
|
| |||||||
Consumer Finance — 0.6% |
| |||||||
| 7 | Credit Acceptance Corp. (a) | 1,625 | ||||||
| 64 | Nelnet, Inc., Class A | 2,780 | ||||||
| 25 | World Acceptance Corp. (a) | 1,562 | ||||||
|
| |||||||
| 5,967 | ||||||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
| 16 | MarketAxess Holdings, Inc. | 1,447 | ||||||
|
| |||||||
Insurance — 2.2% |
| |||||||
| 11 | Ambac Financial Group, Inc. (a) | 185 | ||||||
| 169 | American Equity Investment Life Holding Co. | 4,568 | ||||||
| 17 | Aspen Insurance Holdings Ltd., (Bermuda) | 824 | ||||||
| 290 | CNO Financial Group, Inc. | 5,318 | ||||||
| 14 | Global Indemnity plc, (Ireland) (a) | 393 | ||||||
| 74 | Kemper Corp. | 2,856 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 33 | Navigators Group, Inc. (The) (a) | 2,552 | ||||||
| 36 | Primerica, Inc. | 1,645 | ||||||
| 52 | ProAssurance Corp. | 2,398 | ||||||
| 1 | RenaissanceRe Holdings Ltd., (Bermuda) | 54 | ||||||
| 9 | Stewart Information Services Corp. | 374 | ||||||
|
| |||||||
| 21,167 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.2% |
| |||||||
| 66 | American Assets Trust, Inc. (m) | 2,580 | ||||||
| 200 | Anworth Mortgage Asset Corp. (m) | 984 | ||||||
| 9 | Armada Hoffler Properties, Inc. | 93 | ||||||
| 7 | Ashford Hospitality Prime, Inc. (m) | 105 | ||||||
| 28 | Ashford Hospitality Trust, Inc. (m) | 238 | ||||||
| 14 | Associated Estates Realty Corp. (m) | 401 | ||||||
| 36 | BioMed Realty Trust, Inc. (m) | 696 | ||||||
| 522 | Capstead Mortgage Corp. (m) | 5,796 | ||||||
| 72 | CBL & Associates Properties, Inc. (m) | 1,166 | ||||||
| 88 | Chambers Street Properties (m) | 700 | ||||||
| 215 | CoreSite Realty Corp. (m) | 9,760 | ||||||
| 19 | Cousins Properties, Inc. (m) | 192 | ||||||
| 1,006 | CYS Investments, Inc. (m) | 7,777 | ||||||
| 34 | DCT Industrial Trust, Inc. (m) | 1,071 | ||||||
| 70 | DiamondRock Hospitality Co. (m) | 899 | ||||||
| 39 | EastGroup Properties, Inc. (m) | 2,215 | ||||||
| 42 | EPR Properties (m) | 2,317 | ||||||
| 25 | Equity LifeStyle Properties, Inc. (m) | 1,325 | ||||||
| 67 | FelCor Lodging Trust, Inc. (m) | 663 | ||||||
| 35 | First Industrial Realty Trust, Inc. (m) | 659 | ||||||
| 61 | Franklin Street Properties Corp. (m) | 690 | ||||||
| 14 | Gladstone Commercial Corp. (m) | 232 | ||||||
| 39 | Home Properties, Inc. (m) | 2,878 | ||||||
| 72 | Hospitality Properties Trust (m) | 2,075 | ||||||
| 113 | LTC Properties, Inc. (m) | 4,697 | ||||||
| 27 | National Retail Properties, Inc. (m) | 931 | ||||||
| 70 | Pennsylvania Real Estate Investment Trust (m) | 1,502 | ||||||
| 38 | Post Properties, Inc. (m) | 2,050 | ||||||
| 130 | Potlatch Corp. (m) | 4,592 | ||||||
| 13 | PS Business Parks, Inc. (m) | 909 | ||||||
| 34 | RAIT Financial Trust (m) | 209 | ||||||
| 130 | Ramco-Gershenson Properties Trust (m) | 2,122 | ||||||
| 34 | Saul Centers, Inc. (m) | 1,692 | ||||||
| 335 | Strategic Hotels & Resorts, Inc. (a) (m) | 4,063 | ||||||
| 23 | Summit Hotel Properties, Inc. | 294 | ||||||
| 23 | Taubman Centers, Inc. (m) | 1,626 | ||||||
|
| |||||||
| 70,199 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 91 | Alexander & Baldwin, Inc. | 3,582 | ||||||
| 310 | Forestar Group, Inc. (a) | 4,077 | ||||||
| 14 | St. Joe Co. (The) (a) | 217 | ||||||
|
| |||||||
| 7,876 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.7% |
| |||||||
| 17 | Astoria Financial Corp. | 237 | ||||||
| 13 | BankFinancial Corp. | 152 | ||||||
| 48 | Beneficial Bancorp, Inc. (a) | 600 | ||||||
| 14 | Capitol Federal Financial, Inc. | 169 | ||||||
| 72 | Charter Financial Corp. | 890 | ||||||
| 156 | MGIC Investment Corp. (a) | 1,777 | ||||||
| 150 | NMI Holdings, Inc., Class A (a) | 1,205 | ||||||
| 584 | Northfield Bancorp, Inc. | 8,791 | ||||||
| 47 | OceanFirst Financial Corp. | 876 | ||||||
| 53 | Walker & Dunlop, Inc. (a) | 1,420 | ||||||
|
| |||||||
| 16,117 | ||||||||
|
| |||||||
Total Financials | 211,893 | |||||||
|
| |||||||
Health Care — 17.1% |
| |||||||
Biotechnology — 6.9% |
| |||||||
| 117 | ACADIA Pharmaceuticals, Inc. (a) | 4,900 | ||||||
| 43 | Adamas Pharmaceuticals, Inc. (a) | 1,120 | ||||||
| 15 | Aduro Biotech, Inc. (a) | 452 | ||||||
| 46 | Anacor Pharmaceuticals, Inc. (a) | 3,593 | ||||||
| 8 | Applied Genetic Technologies Corp. (a) | 121 | ||||||
| 29 | Ardelyx, Inc. (a) | 457 | ||||||
| 333 | Arrowhead Research Corp. (a) | 2,381 | ||||||
| 48 | Atara Biotherapeutics, Inc. (a) | 2,527 | ||||||
| 67 | aTyr Pharma, Inc. (a) | 1,237 | ||||||
| 43 | Avalanche Biotechnologies, Inc. (a) | 690 | ||||||
| 43 | Axovant Sciences Ltd., (Bermuda) (a) | 884 | ||||||
| 75 | Bellicum Pharmaceuticals, Inc. (a) | 1,600 | ||||||
| 23 | Blueprint Medicines Corp. (a) | 612 | ||||||
| 35 | Cara Therapeutics, Inc. (a) | 426 | ||||||
| 73 | ChemoCentryx, Inc. (a) | 599 | ||||||
| 38 | Chimerix, Inc. (a) | 1,737 | ||||||
| 72 | Coherus Biosciences, Inc. (a) | 2,069 | ||||||
| 21 | Dicerna Pharmaceuticals, Inc. (a) | 292 | ||||||
| 77 | FibroGen, Inc. (a) | 1,805 | ||||||
| 71 | Immune Design Corp. (a) | 1,458 | ||||||
| 188 | Infinity Pharmaceuticals, Inc. (a) | 2,058 | ||||||
| 129 | Invitae Corp. (a) | 1,920 | ||||||
| 49 | Karyopharm Therapeutics, Inc. (a) | 1,344 | ||||||
| 10 | Kite Pharma, Inc. (a) | 610 | ||||||
| 62 | MacroGenics, Inc. (a) | 2,335 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 122 | Merrimack Pharmaceuticals, Inc. (a) | 1,507 | ||||||
| 64 | Mirati Therapeutics, Inc. (a) | 2,005 | ||||||
| 81 | Neurocrine Biosciences, Inc. (a) | 3,859 | ||||||
| 91 | Nivalis Therapeutics, Inc. (a) | 1,372 | ||||||
| 41 | Ophthotech Corp. (a) | 2,119 | ||||||
| 69 | Prothena Corp. plc, (Ireland) (a) | 3,639 | ||||||
| 60 | PTC Therapeutics, Inc. (a) | 2,902 | ||||||
| 5 | Sage Therapeutics, Inc. (a) | 336 | ||||||
| 8 | Seres Therapeutics, Inc. (a) | 344 | ||||||
| 35 | Spark Therapeutics, Inc. (a) | 2,079 | ||||||
| 261 | Synergy Pharmaceuticals, Inc. (a) | 2,167 | ||||||
| 76 | Tokai Pharmaceuticals, Inc. (a) | 1,012 | ||||||
| 63 | Trius Therapeutics, Inc. (a) (i) | — | (h) | |||||
| 10 | Ultragenyx Pharmaceutical, Inc. (a) | 983 | ||||||
| 53 | Versartis, Inc. (a) | 810 | ||||||
| 110 | Xencor, Inc. (a) | 2,408 | ||||||
| 424 | XOMA Corp. (a) | 1,647 | ||||||
| 10 | Zafgen, Inc. (a) | 360 | ||||||
| 2 | ZIOPHARM Oncology, Inc. (a) | 18 | ||||||
|
| |||||||
| 66,794 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
| 248 | Accuray, Inc. (a) | 1,668 | ||||||
| 77 | CONMED Corp. | 4,469 | ||||||
| 38 | Cynosure, Inc., Class A (a) | 1,454 | ||||||
| 4 | Glaukos Corp. (a) | 101 | ||||||
| 23 | Inogen, Inc. (a) | 1,044 | ||||||
| 74 | NuVasive, Inc. (a) | 3,497 | ||||||
| 85 | Orthofix International N.V., (Curacao) (a) | 2,809 | ||||||
| 242 | SurModics, Inc. (a) | 5,668 | ||||||
| 156 | Thoratec Corp. (a) | 6,935 | ||||||
| 184 | Wright Medical Group, Inc. (a) | 4,821 | ||||||
|
| |||||||
| 32,466 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.2% |
| |||||||
| 41 | Alliance HealthCare Services, Inc. (a) | 762 | ||||||
| 106 | Centene Corp. (a) | 8,522 | ||||||
| 473 | Cross Country Healthcare, Inc. (a) | 6,001 | ||||||
| 36 | HealthSouth Corp. | 1,658 | ||||||
| 49 | Landauer, Inc. | 1,761 | ||||||
| 33 | Molina Healthcare, Inc. (a) | 2,334 | ||||||
| 102 | Select Medical Holdings Corp. | 1,651 | ||||||
| 207 | Surgical Care Affiliates, Inc. (a) | 7,941 | ||||||
| 30 | Teladoc, Inc. (a) | 566 | ||||||
|
| |||||||
| 31,196 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 1.6% |
| |||||||
| 276 | Castlight Health, Inc., Class B (a) | 2,244 | ||||||
| 39 | Evolent Health, Inc., Class A (a) | 757 | ||||||
| 172 | HMS Holdings Corp. (a) | 2,955 | ||||||
| 246 | MedAssets, Inc. (a) | 5,431 | ||||||
| 389 | Merge Healthcare, Inc. (a) | 1,865 | ||||||
| 118 | Quality Systems, Inc. | 1,960 | ||||||
|
| |||||||
| 15,212 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
| 44 | Affymetrix, Inc. (a) | 477 | ||||||
| 70 | PAREXEL International Corp. (a) | 4,521 | ||||||
|
| |||||||
| 4,998 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
| 75 | Amphastar Pharmaceuticals, Inc. (a) | 1,310 | ||||||
| 140 | BioDelivery Sciences International, Inc. (a) | 1,116 | ||||||
| 44 | Flex Pharma, Inc. (a) | 762 | ||||||
| 35 | Lannett Co., Inc. (a) | 2,098 | ||||||
| 44 | Pacira Pharmaceuticals, Inc. (a) | 3,119 | ||||||
| 29 | Phibro Animal Health Corp., Class A | 1,145 | ||||||
| 94 | Prestige Brands Holdings, Inc. (a) | 4,346 | ||||||
| 23 | Revance Therapeutics, Inc. (a) | 748 | ||||||
| 10 | ZS Pharma, Inc. (a) | 498 | ||||||
|
| |||||||
| 15,142 | ||||||||
|
| |||||||
Total Health Care | 165,808 | |||||||
|
| |||||||
Industrials — 11.8% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
| 329 | AAR Corp. | 10,482 | ||||||
| 5 | Engility Holdings, Inc. | 118 | ||||||
| 43 | Moog, Inc., Class A (a) | 3,047 | ||||||
|
| |||||||
| 13,647 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 52 | Atlas Air Worldwide Holdings, Inc. (a) | 2,831 | ||||||
| 3 | Park-Ohio Holdings Corp. | 165 | ||||||
|
| |||||||
| 2,996 | ||||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
| 93 | Alaska Air Group, Inc. | 5,966 | ||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
| 130 | Gibraltar Industries, Inc. (a) | 2,646 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.2% |
| |||||||
| 694 | ACCO Brands Corp. (a) | 5,389 | ||||||
| 74 | Deluxe Corp. | 4,576 | ||||||
| 164 | Ennis, Inc. | 3,054 | ||||||
| 221 | Essendant, Inc. | 8,670 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Commercial Services & Supplies — continued |
| |||||||
| 10 | TRC Cos., Inc. (a) | 100 | ||||||
|
| |||||||
| 21,789 | ||||||||
|
| |||||||
Construction & Engineering — 1.3% |
| |||||||
| 120 | Argan, Inc. | 4,847 | ||||||
| 154 | EMCOR Group, Inc. | 7,333 | ||||||
|
| |||||||
| 12,180 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
| 107 | Polypore International, Inc. (a) | 6,401 | ||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
| 31 | Blount International, Inc. | 343 | ||||||
| 226 | Briggs & Stratton Corp. | 4,343 | ||||||
| 292 | Douglas Dynamics, Inc. | 6,261 | ||||||
| 38 | Hurco Cos., Inc. | 1,305 | ||||||
| 16 | Hyster-Yale Materials Handling, Inc. | 1,095 | ||||||
| 85 | Kadant, Inc. | 3,993 | ||||||
| 6 | Watts Water Technologies, Inc., Class A | 332 | ||||||
|
| |||||||
| 17,672 | ||||||||
|
| |||||||
Marine — 0.9% |
| |||||||
| 220 | Matson, Inc. | 9,228 | ||||||
|
| |||||||
Professional Services — 0.8% |
| |||||||
| 91 | Barrett Business Services, Inc. | 3,300 | ||||||
| 40 | CRA International, Inc. (a) | 1,109 | ||||||
| 58 | VSE Corp. | 3,077 | ||||||
|
| |||||||
| 7,486 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 80 | ArcBest Corp. | 2,537 | ||||||
| 18 | PAM Transportation Services, Inc. (a) | 1,045 | ||||||
| 85 | Swift Transportation Co. (a) | 1,918 | ||||||
| 162 | USA Truck, Inc. (a) | 3,433 | ||||||
|
| |||||||
| 8,933 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
| 52 | Applied Industrial Technologies, Inc. | 2,058 | ||||||
| 38 | DXP Enterprises, Inc. (a) | 1,749 | ||||||
| 70 | Univar, Inc. (a) | 1,819 | ||||||
|
| |||||||
| 5,626 | ||||||||
|
| |||||||
Total Industrials | 114,570 | |||||||
|
| |||||||
Information Technology — 17.6% |
| |||||||
Communications Equipment — 2.9% |
| |||||||
| 14 | Arista Networks, Inc. (a) | 1,153 | ||||||
| 688 | Harmonic, Inc. (a) | 4,697 | ||||||
| 185 | InterDigital, Inc. | 10,513 | ||||||
| 606 | Polycom, Inc. (a) | 6,931 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — continued |
| |||||||
| 141 | Ubiquiti Networks, Inc. | 4,500 | ||||||
|
| |||||||
| 27,794 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.8% |
| |||||||
| 157 | Benchmark Electronics, Inc. (a) | 3,411 | ||||||
| 66 | Coherent, Inc. (a) | 4,177 | ||||||
| 94 | Fitbit, Inc., Class A (a) | 3,586 | ||||||
| 74 | Insight Enterprises, Inc. (a) | 2,198 | ||||||
| 177 | Sanmina Corp. (a) | 3,572 | ||||||
| 67 | Vishay Intertechnology, Inc. | 783 | ||||||
|
| |||||||
| 17,727 | ||||||||
|
| |||||||
Internet Software & Services — 2.1% |
| |||||||
| 33 | Appfolio, Inc., Class A (a) | 468 | ||||||
| 709 | Bazaarvoice, Inc. (a) | 4,176 | ||||||
| 241 | Blucora, Inc. (a) | 3,895 | ||||||
| 766 | EarthLink Holdings Corp. | 5,737 | ||||||
| 363 | Marchex, Inc., Class B | 1,794 | ||||||
| 126 | Monster Worldwide, Inc. (a) | 827 | ||||||
| 150 | Unwired Planet, Inc. (a) | 93 | ||||||
| 47 | WebMD Health Corp. (a) | 2,090 | ||||||
| 147 | Xactly Corp. (a) | 1,262 | ||||||
|
| |||||||
| 20,342 | ||||||||
|
| |||||||
IT Services — 2.4% |
| |||||||
| 161 | Convergys Corp. | 4,109 | ||||||
| 23 | EVERTEC, Inc., (Puerto Rico) | 497 | ||||||
| 42 | Heartland Payment Systems, Inc. | 2,286 | ||||||
| 77 | ModusLink Global Solutions, Inc. (a) | 262 | ||||||
| 80 | MoneyGram International, Inc. (a) | 732 | ||||||
| 127 | Science Applications International Corp. | 6,691 | ||||||
| 368 | Unisys Corp. (a) (m) | 7,347 | ||||||
| 33 | Vantiv, Inc., Class A (a) | 1,276 | ||||||
|
| |||||||
| 23,200 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 204 | Brooks Automation, Inc. | 2,330 | ||||||
| 98 | Cohu, Inc. | 1,290 | ||||||
| 518 | Fairchild Semiconductor International, Inc. (a) | 9,003 | ||||||
| 52 | First Solar, Inc. (a) | 2,438 | ||||||
| 223 | Integrated Device Technology, Inc. (a) | 4,830 | ||||||
| 204 | Intersil Corp., Class A | 2,556 | ||||||
| 224 | PMC-Sierra, Inc. (a) | 1,917 | ||||||
| 68 | Qorvo, Inc. (a) | 5,468 | ||||||
| 437 | Ultra Clean Holdings, Inc. (a) | 2,723 | ||||||
|
| |||||||
| 32,555 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — 5.1% |
| |||||||
| 130 | ACI Worldwide, Inc. (a) | 3,194 | ||||||
| 309 | Aspen Technology, Inc. (a) | 14,093 | ||||||
| 414 | AVG Technologies N.V., (Netherlands) (a) | 11,265 | ||||||
| 198 | EnerNOC, Inc. (a) | 1,925 | ||||||
| 55 | Fair Isaac Corp. | 4,984 | ||||||
| 72 | Manhattan Associates, Inc. (a) | 4,295 | ||||||
| 15 | Qualys, Inc. (a) | 617 | ||||||
| 316 | Take-Two Interactive Software, Inc. (a) | 8,701 | ||||||
|
| |||||||
| 49,074 | ||||||||
|
| |||||||
Total Information Technology | 170,692 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 1.4% |
| |||||||
| 299 | Intrepid Potash, Inc. (a) | 3,570 | ||||||
| 105 | Minerals Technologies, Inc. | 7,147 | ||||||
| 74 | OM Group, Inc. | 2,480 | ||||||
|
| |||||||
| 13,197 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
| 587 | Graphic Packaging Holding Co. | 8,183 | ||||||
| 75 | Myers Industries, Inc. | 1,423 | ||||||
|
| |||||||
| 9,606 | ||||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
| 114 | Century Aluminum Co. (a) | 1,187 | ||||||
| 88 | SunCoke Energy, Inc. | 1,144 | ||||||
| 160 | Worthington Industries, Inc. | 4,806 | ||||||
|
| |||||||
| 7,137 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| 28 | Domtar Corp., (Canada) | 1,163 | ||||||
|
| |||||||
Total Materials | 31,103 | |||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 584 | Cincinnati Bell, Inc. (a) | 2,231 | ||||||
| 75 | FairPoint Communications, Inc. (a) | 1,365 | ||||||
| 88 | magicJack VocalTec Ltd., (Israel) (a) | 656 | ||||||
| 98 | Premiere Global Services, Inc. (a) | 1,009 | ||||||
| 634 | Vonage Holdings Corp. (a) | 3,111 | ||||||
| 188 | Windstream Holdings, Inc. | 1,201 | ||||||
|
| |||||||
Total Telecommunication Services | 9,573 | |||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
Electric Utilities — 0.8% |
| |||||||
| 72 | El Paso Electric Co. | 2,496 | ||||||
| 53 | PNM Resources, Inc. | 1,309 | ||||||
| 107 | Portland General Electric Co. | 3,538 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — continued |
| |||||||
| 13 | Spark Energy, Inc., Class A | 206 | ||||||
|
| |||||||
| 7,549 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 33 | AGL Resources, Inc. | 1,539 | ||||||
| 42 | Laclede Group, Inc. (The) | 2,202 | ||||||
| 69 | New Jersey Resources Corp. | 1,893 | ||||||
| 41 | Piedmont Natural Gas Co., Inc. | 1,437 | ||||||
| 36 | Southwest Gas Corp. | 1,915 | ||||||
|
| |||||||
| 8,986 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.8% |
| |||||||
| 815 | Atlantic Power Corp. | 2,510 | ||||||
| 92 | Ormat Technologies, Inc. | 3,451 | ||||||
| 180 | Vivint Solar, Inc. (a) | 2,191 | ||||||
|
| |||||||
| 8,152 | ||||||||
|
| |||||||
Multi-Utilities — 0.1% |
| |||||||
| 20 | NorthWestern Corp. | 956 | ||||||
|
| |||||||
Water Utilities — 0.6% |
| |||||||
| 152 | American States Water Co. | 5,695 | ||||||
|
| |||||||
Total Utilities | 31,338 | |||||||
|
| |||||||
Total Common Stocks | 937,869 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| — | (h) | Imperial Holdings, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (i) | — | |||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% |
| |||||||
| 23,360 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 23,360 | ||||||
|
| |||||||
Total Investments — 98.9% | 961,229 | |||||||
Other Assets in Excess | 10,319 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 971,548 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 240 | E-mini Russell 2000 | 09/18/15 | USD | $ | 30,010 | $ | (235 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan Small Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
| REIT | — Real Estate Investment Trust | |
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand (shares, number of warrants or dollars). | |
| (i) | — Security has been deemed illiquid and may be difficult to sell. | |
| (l) | — The rate shown is the current yield as of June 30, 2015. | |
| (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.
| 46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(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 | $ | 504,566 | $ | 779,572 | $ | 3,231,993 | ||||||
Investments in affiliates, at value | 831 | 22,565 | 161,301 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 505,397 | 802,137 | 3,393,294 | |||||||||
Deposits at broker for futures contracts | — | 1,265 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 9,316 | 28,045 | 7,523 | |||||||||
Fund shares sold | 937 | 1,504 | 3,937 | |||||||||
Dividends from non-affiliates | 199 | 773 | 3,814 | |||||||||
Dividends from affiliates | — | (a) | 1 | 7 | ||||||||
Variation margin on futures contracts | — | 122 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 515,849 | 833,847 | 3,408,575 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 4,149 | 17,072 | 8,370 | |||||||||
Fund shares redeemed | 1,225 | 316 | 2,830 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 273 | 322 | 1,801 | |||||||||
Administration fees | 35 | — | 230 | |||||||||
Distribution fees | 46 | — | 164 | |||||||||
Shareholder servicing fees | 104 | 169 | 337 | |||||||||
Custodian and accounting fees | 15 | 19 | 45 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 1 | 1 | ||||||||
Transfer agent fees | 111 | 222 | 771 | |||||||||
Other | 95 | 74 | 188 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 6,053 | 18,195 | 14,737 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 509,796 | $ | 815,652 | $ | 3,393,838 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 314,536 | $ | 570,606 | $ | 2,035,712 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (1,638 | ) | 3,671 | 7,031 | ||||||||
Accumulated net realized gains (losses) | 39,954 | 56,505 | 140,766 | |||||||||
Net unrealized appreciation (depreciation) | 156,944 | 184,870 | 1,210,329 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 509,796 | $ | 815,652 | $ | 3,393,838 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 73,175 | $ | — | $ | 674,619 | ||||||
Class C | 50,162 | — | 35,783 | |||||||||
Class R2 | — | — | 3,446 | |||||||||
Class R5 | — | — | 1,244,878 | |||||||||
Select Class | 386,459 | 815,652 | 1,435,112 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 509,796 | $ | 815,652 | $ | 3,393,838 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 2,811 | — | 15,100 | |||||||||
Class C | 2,283 | — | 1,013 | |||||||||
Class R2 | — | — | 78 | |||||||||
Class R5 | — | — | 24,686 | |||||||||
Select Class | 13,638 | 14,519 | 28,528 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 26.04 | $ | — | $ | 44.68 | ||||||
Class C — Offering price per share (b) | 21.97 | — | 35.32 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 44.04 | |||||||||
Class R5 — Offering and redemption price per share | — | — | 50.43 | |||||||||
Select Class — Offering and redemption price per share | 28.34 | 56.18 | 50.31 | |||||||||
Class A maximum sales charge | 5.25 | % | — | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 27.48 | $ | — | $ | 47.16 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 347,622 | $ | 594,334 | $ | 2,021,664 | ||||||
Cost of investments in affiliates | 831 | 22,565 | 161,301 | |||||||||
| (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, 2015 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (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 | $ | 1,227,803 | $ | 1,807,998 | $ | 937,869 | ||||||
Investments in affiliates, at value | 7,123 | 58,498 | 23,360 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,234,926 | 1,866,496 | 961,229 | |||||||||
Cash | — | 6 | 1 | |||||||||
Deposits at broker for futures contracts | — | 2,315 | 1,248 | |||||||||
Due from custodian | 934 | 3,309 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 22,608 | 63,717 | 49,665 | |||||||||
Fund shares sold | 1,070 | 11,205 | 6,510 | |||||||||
Dividends from non-affiliates | 483 | 3,849 | 1,183 | |||||||||
Dividends from affiliates | 2 | 5 | 2 | |||||||||
Variation margin on futures contracts | — | 205 | 118 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,260,023 | 1,951,107 | 1,019,956 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 1 | — | |||||||||
Investment securities purchased | 11,097 | 72,973 | 47,133 | |||||||||
Fund shares redeemed | 2,573 | 5,328 | 318 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 662 | 997 | 454 | |||||||||
Administration fees | 83 | 127 | 65 | |||||||||
Distribution fees | 84 | 181 | 84 | |||||||||
Shareholder servicing fees | 118 | 232 | 74 | |||||||||
Custodian and accounting fees | 21 | 29 | 18 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 1 | 1 | |||||||||
Other | 314 | 495 | 261 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 14,954 | 80,364 | 48,408 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,245,069 | $ | 1,870,743 | $ | 971,548 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 839,654 | $ | 1,557,455 | $ | 838,211 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (2,802 | ) | 1,913 | 2,417 | ||||||||
Accumulated net realized gains (losses) | 62,709 | 54,949 | 22,463 | |||||||||
Net unrealized appreciation (depreciation) | 345,508 | 256,426 | 108,457 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,245,069 | $ | 1,870,743 | $ | 971,548 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 266,805 | $ | 618,977 | $ | 240,064 | ||||||
Class C | 26,297 | 49,815 | 45,202 | |||||||||
Class R2 | 28,364 | 48,675 | 17,846 | |||||||||
Class R5 | — | 103,149 | — | |||||||||
Class R6 | 486,724 | 554,522 | 69,755 | |||||||||
Institutional Class | 279,248 | — | 352,036 | |||||||||
Select Class | 157,631 | 495,605 | 246,645 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,245,069 | $ | 1,870,743 | $ | 971,548 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 18,403 | 23,227 | 14,153 | |||||||||
Class C | 2,286 | 2,188 | 2,746 | |||||||||
Class R2 | 1,998 | 1,837 | 1,064 | |||||||||
Class R5 | — | 3,683 | — | |||||||||
Class R6 | 30,396 | 19,782 | 4,035 | |||||||||
Institutional Class | 17,532 | — | 20,378 | |||||||||
Select Class | 10,098 | 17,697 | 14,265 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 14.50 | $ | 26.65 | $ | 16.96 | ||||||
Class C — Offering price per share (b) | 11.50 | 22.77 | 16.46 | |||||||||
Class R2 — Offering and redemption price per share | 14.20 | 26.49 | 16.77 | |||||||||
Class R5 — Offering and redemption price per share | — | 28.01 | — | |||||||||
Class R6 — Offering and redemption price per share | 16.01 | 28.03 | 17.29 | |||||||||
Institutional Class — Offering and redemption price per share | 15.93 | — | 17.28 | |||||||||
Select Class — Offering and redemption price per share | 15.61 | 28.00 | 17.29 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 15.30 | $ | 28.13 | $ | 17.90 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 882,295 | $ | 1,551,165 | $ | 829,177 | ||||||
Cost of investments in affiliates | 7,123 | 58,498 | 23,360 | |||||||||
| (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, 2015 | J.P. MORGAN SMALL CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 1 | $ | — | ||||||
Dividend income from non-affiliates | 2,274 | 10,786 | 49,325 | |||||||||
Dividend income from affiliates | 3 | 6 | 46 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,277 | 10,793 | 49,371 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 3,485 | 4,815 | 21,817 | |||||||||
Administration fees | 441 | 609 | 2,761 | |||||||||
Distribution fees: | ||||||||||||
Class A | 178 | — | 1,722 | |||||||||
Class B (a) | 3 | — | 23 | |||||||||
Class C | 377 | — | 277 | |||||||||
Class R2 | — | — | 18 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 178 | — | 1,722 | |||||||||
Class B (a) | 1 | — | 8 | |||||||||
Class C | 126 | — | 92 | |||||||||
Class R2 | — | — | 9 | |||||||||
Class R5 | — | — | 583 | |||||||||
Select Class | 1,035 | 1,852 | 3,644 | |||||||||
Custodian and accounting fees | 39 | 66 | 109 | |||||||||
Interest expense to affiliates | — | (b) | — | — | (b) | |||||||
Professional fees | 52 | 51 | 73 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 5 | 7 | 33 | |||||||||
Printing and mailing costs | 97 | 65 | 367 | |||||||||
Registration and filing fees | 71 | 49 | 151 | |||||||||
Transfer agent fees | 426 | 836 | 3,758 | |||||||||
Other | 122 | 14 | 262 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 6,636 | 8,364 | 37,429 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (718 | ) | (2,471 | ) | (4,077 | ) | ||||||
Less expense reimbursements | (17 | ) | — | — | (b) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 5,901 | 5,893 | 33,352 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (3,624 | ) | 4,900 | 16,019 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 60,975 | 74,401 | 217,676 | |||||||||
Futures | — | 1,236 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 60,975 | 75,637 | 217,676 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 8,299 | (29,995 | ) | 22,116 | ||||||||
Futures | — | (551 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 8,299 | (30,546 | ) | 22,116 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 69,274 | 45,091 | 239,792 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 65,650 | $ | 49,991 | $ | 255,811 | ||||||
|
|
|
|
|
| |||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 2 | $ | 1 | ||||||
Dividend income from non-affiliates | 4,952 | 34,214 | 10,751 | |||||||||
Dividend income from affiliates | 10 | 31 | 11 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 4,962 | 34,247 | 10,763 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 7,517 | 10,642 | 4,417 | |||||||||
Administration fees | 951 | 1,346 | 605 | |||||||||
Distribution fees: | ||||||||||||
Class A | 652 | 1,317 | 429 | |||||||||
Class B (a) | 12 | 18 | — | |||||||||
Class C | 193 | 373 | 229 | |||||||||
Class R2 | 140 | 237 | 57 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 652 | 1,317 | 429 | |||||||||
Class B (a) | 4 | 6 | — | |||||||||
Class C | 64 | 124 | 76 | |||||||||
Class R2 | 70 | 119 | 29 | |||||||||
Class R5 | — | 43 | — | |||||||||
Institutional Class | 278 | — | 273 | |||||||||
Select Class | 370 | 1,067 | 487 | |||||||||
Custodian and accounting fees | 57 | 87 | 57 | |||||||||
Professional fees | 58 | 66 | 55 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 11 | 16 | 6 | |||||||||
Printing and mailing costs | 89 | 190 | 65 | |||||||||
Registration and filing fees | 90 | 103 | 154 | |||||||||
Transfer agent fees | 1,101 | 2,009 | 892 | |||||||||
Other | 26 | 26 | 33 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 12,335 | 19,106 | 8,293 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,241 | ) | (1,857 | ) | (807 | ) | ||||||
Less expense reimbursements | (20 | ) | (81 | ) | (31 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 11,074 | 17,168 | 7,455 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (6,112 | ) | 17,079 | 3,308 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 105,332 | 78,682 | 34,286 | |||||||||
Futures | — | 3,900 | 2,613 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 105,332 | 82,582 | 36,899 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 49,185 | (75,867 | ) | 23,956 | ||||||||
Futures | — | (1,821 | ) | (747 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 49,185 | (77,688 | ) | 23,209 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 154,517 | 4,894 | 60,108 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 148,405 | $ | 21,973 | $ | 63,416 | ||||||
|
|
|
|
|
| |||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 53 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (3,624 | ) | $ | (4,526 | ) | $ | 4,900 | $ | 1,798 | ||||||
Net realized gain (loss) | 60,975 | 59,230 | 75,637 | 80,341 | ||||||||||||
Change in net unrealized appreciation/depreciation | 8,299 | 39,546 | (30,546 | ) | 73,289 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 65,650 | 94,250 | 49,991 | 155,428 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net realized gains | (5,692 | ) | (7,308 | ) | — | — | ||||||||||
Class B (a) | ||||||||||||||||
From net realized gains | (37 | ) | (72 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net realized gains | (4,687 | ) | (5,669 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (1,375 | ) | (3,196 | ) | ||||||||||
From net realized gains | (32,531 | ) | (30,984 | ) | (72,101 | ) | (30,439 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (42,947 | ) | (44,033 | ) | (73,476 | ) | (33,635 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (72,931 | ) | (9,967 | ) | 135,830 | 59,219 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (50,228 | ) | 40,250 | 112,345 | 181,012 | |||||||||||
Beginning of period | 560,024 | 519,774 | 703,307 | 522,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 509,796 | $ | 560,024 | $ | 815,652 | $ | 703,307 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,638 | ) | $ | (2,468 | ) | $ | 3,671 | $ | (28 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 16,019 | $ | 16,224 | $ | (6,112 | ) | $ | (6,681 | ) | ||||||
Net realized gain (loss) | 217,676 | 337,200 | 105,332 | 107,813 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | 1 | — | — | ||||||||||||
Change in net unrealized appreciation/depreciation | 22,116 | 297,373 | 49,185 | 79,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 255,811 | 650,798 | 148,405 | 180,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,326 | ) | (1,154 | ) | — | — | ||||||||||
From net realized gains | (72,144 | ) | (39,200 | ) | (20,645 | ) | (27,816 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | (441 | ) | (468 | ) | (176 | ) | (372 | ) | ||||||||
Class C | ||||||||||||||||
From net realized gains | (4,673 | ) | (2,540 | ) | (2,503 | ) | (3,356 | ) | ||||||||
Class R2 | ||||||||||||||||
From net realized gains | (372 | ) | (285 | ) | (2,202 | ) | (3,175 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (7,331 | ) | (5,697 | ) | — | — | ||||||||||
From net realized gains | (107,883 | ) | (48,030 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | — | — | (30,237 | ) | (27,222 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net realized gains | — | — | (20,050 | ) | (26,893 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (6,696 | ) | (4,998 | ) | — | — | ||||||||||
From net realized gains | (140,920 | ) | (64,468 | ) | (10,568 | ) | (13,777 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (341,786 | ) | (166,840 | ) | (86,381 | ) | (102,611 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 70,368 | 228,662 | 25,731 | 147,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (15,607 | ) | 712,620 | 87,755 | 225,396 | |||||||||||
Beginning of period | 3,409,445 | 2,696,825 | 1,157,314 | 931,918 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,393,838 | $ | 3,409,445 | $ | 1,245,069 | $ | 1,157,314 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 7,031 | $ | 7,594 | $ | (2,802 | ) | $ | (4,080 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 17,079 | $ | 8,145 | $ | 3,308 | $ | 543 | ||||||||
Net realized gain (loss) | 82,582 | 93,483 | 36,899 | 16,977 | ||||||||||||
Change in net unrealized appreciation/depreciation | (77,688 | ) | 129,626 | 23,209 | 56,837 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 21,973 | 231,254 | 63,416 | 74,357 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (4,063 | ) | (1,828 | ) | — | (72 | ) | |||||||||
From net realized gains | (24,585 | ) | (10,944 | ) | (5,065 | ) | (1,746 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | (10 | ) | (8 | ) | — | — | ||||||||||
From net realized gains | (142 | ) | (101 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (237 | ) | (123 | ) | — | — | ||||||||||
From net realized gains | (2,788 | ) | (1,424 | ) | (879 | ) | (246 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (253 | ) | (82 | ) | — | (6 | ) | |||||||||
From net realized gains | (2,245 | ) | (741 | ) | (339 | ) | (98 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (897 | ) | (467 | ) | — | — | ||||||||||
From net realized gains | (3,945 | ) | (1,547 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | (5,716 | ) | (2,662 | ) | (152 | ) | (146 | ) | ||||||||
From net realized gains | (23,274 | ) | (8,043 | ) | (1,577 | ) | (738 | ) | ||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (689 | ) | (275 | ) | ||||||||||
From net realized gains | — | — | (8,505 | ) | (1,543 | ) | ||||||||||
Select Class | �� | |||||||||||||||
From net investment income | (4,081 | ) | (2,226 | ) | (184 | ) | (207 | ) | ||||||||
From net realized gains | (19,170 | ) | (8,523 | ) | (5,885 | ) | (2,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (91,406 | ) | (38,719 | ) | (23,275 | ) | (7,083 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 381,022 | 468,137 | 349,644 | 341,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 311,589 | 660,672 | 389,785 | 409,054 | ||||||||||||
Beginning of period | 1,559,154 | 898,482 | 581,763 | 172,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,870,743 | $ | 1,559,154 | $ | 971,548 | $ | 581,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,913 | $ | 282 | $ | 2,417 | $ | 254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 11,741 | $ | 23,858 | $ | — | $ | — | ||||||||
Distributions reinvested | 4,072 | 5,262 | — | — | ||||||||||||
Cost of shares redeemed | (32,156 | ) | (26,472 | ) | — | — | ||||||||||
Conversion from Class B Shares | 366 | 76 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (15,977 | ) | $ | 2,724 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 8 | $ | 23 | $ | — | $ | — | ||||||||
Distributions reinvested | 33 | 66 | — | — | ||||||||||||
Cost of shares redeemed | (202 | ) | (351 | ) | — | — | ||||||||||
Conversion to Class A Shares | (366 | ) | (76 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (527 | ) | $ | (338 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 12,653 | $ | 19,447 | $ | — | $ | — | ||||||||
Distributions reinvested | 515 | 655 | — | — | ||||||||||||
Cost of shares redeemed | (19,389 | ) | (22,674 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (6,221 | ) | $ | (2,572 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 109,502 | $ | 149,852 | $ | 165,199 | $ | 99,370 | ||||||||
Distributions reinvested | 32,251 | 30,591 | 69,335 | 31,856 | ||||||||||||
Cost of shares redeemed | (191,959 | ) | (190,224 | ) | (98,704 | ) | (72,007 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (50,206 | ) | $ | (9,781 | ) | $ | 135,830 | $ | 59,219 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (72,931 | ) | $ | (9,967 | ) | $ | 135,830 | $ | 59,219 | ||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 487 | 941 | — | — | ||||||||||||
Reinvested | 179 | 218 | — | — | ||||||||||||
Redeemed | (1,334 | ) | (1,048 | ) | — | — | ||||||||||
Conversion from Class B Shares | 14 | 3 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (654 | ) | 114 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 1 | 1 | — | — | ||||||||||||
Reinvested | 1 | 3 | — | — | ||||||||||||
Redeemed | (10 | ) | (16 | ) | — | — | ||||||||||
Conversion to Class A Shares | (16 | ) | (3 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (24 | ) | (15 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 625 | 893 | — | — | ||||||||||||
Reinvested | 27 | 32 | — | — | ||||||||||||
Redeemed | (935 | ) | (1,034 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (283 | ) | (109 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 4,202 | 5,539 | 2,959 | 1,841 | ||||||||||||
Reinvested | 1,306 | 1,176 | 1,342 | 602 | ||||||||||||
Redeemed | (7,272 | ) | (6,999 | ) | (1,763 | ) | (1,319 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (1,764 | ) | (284 | ) | 2,538 | 1,124 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 108,279 | $ | 142,948 | $ | 41,024 | $ | 86,393 | ||||||||
Distributions reinvested | 66,061 | 36,174 | 19,785 | 26,847 | ||||||||||||
Cost of shares redeemed | (213,835 | ) | (247,996 | ) | (88,174 | ) | (100,660 | ) | ||||||||
Conversion from Class B Shares | 1,096 | 157 | 1,416 | 166 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (38,399 | ) | $ | (68,717 | ) | $ | (25,949 | ) | $ | 12,746 | |||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 54 | $ | 109 | $ | 18 | $ | 108 | ||||||||
Distributions reinvested | 405 | 440 | 165 | 299 | ||||||||||||
Cost of shares redeemed | (4,544 | ) | (4,236 | ) | (832 | ) | (1,368 | ) | ||||||||
Conversion to Class A Shares | (1,096 | ) | (157 | ) | (1,416 | ) | (166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (5,181 | ) | $ | (3,844 | ) | $ | (2,065 | ) | $ | (1,127 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,597 | $ | 1,754 | $ | 1,657 | $ | 3,615 | ||||||||
Distributions reinvested | 3,928 | 2,078 | 2,095 | 2,792 | ||||||||||||
Cost of shares redeemed | (7,262 | ) | (6,514 | ) | (5,918 | ) | (5,082 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (1,737 | ) | $ | (2,682 | ) | $ | (2,166 | ) | $ | 1,325 | |||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 864 | $ | 1,876 | $ | 3,831 | $ | 9,894 | ||||||||
Distributions reinvested | 267 | 169 | 2,147 | 3,015 | ||||||||||||
Cost of shares redeemed | (1,407 | ) | (3,854 | ) | (9,815 | ) | (10,303 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (276 | ) | $ | (1,809 | ) | $ | (3,837 | ) | $ | 2,606 | |||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 212,080 | $ | 341,675 | $ | — | $ | — | ||||||||
Distributions reinvested | 108,316 | 50,412 | — | — | ||||||||||||
Cost of shares redeemed | (227,737 | ) | (187,973 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 92,659 | $ | 204,114 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 120,496 | $ | 107,896 | ||||||||
Distributions reinvested | — | — | 30,237 | 27,222 | ||||||||||||
Cost of shares redeemed | — | — | (46,820 | ) | (52,030 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 103,913 | $ | 83,088 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 65,873 | $ | 127,596 | ||||||||
Distributions reinvested | — | — | 18,418 | 24,325 | ||||||||||||
Cost of shares redeemed | — | — | (121,813 | ) | (97,844 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | (37,522 | ) | $ | 54,077 | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 365,334 | $ | 436,244 | $ | 35,361 | $ | 51,702 | ||||||||
Distributions reinvested | 136,721 | 63,813 | 9,680 | 12,567 | ||||||||||||
Cost of shares redeemed | (478,753 | ) | (398,457 | ) | (51,684 | ) | (69,788 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 23,302 | $ | 101,600 | $ | (6,643 | ) | $ | (5,519 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 70,368 | $ | 228,662 | $ | 25,731 | $ | 147,196 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | �� | |||||||||||||||
Class A | ||||||||||||||||
Issued | 2,447 | 3,253 | 3,026 | 6,033 | ||||||||||||
Reinvested | 1,602 | 848 | 1,564 | 2,002 | ||||||||||||
Redeemed | (4,844 | ) | (5,680 | ) | (6,513 | ) | (7,045 | ) | ||||||||
Conversion from Class B Shares | 24 | 4 | 96 | 12 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (771 | ) | (1,575 | ) | (1,827 | ) | 1,002 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 2 | 3 | 1 | 11 | ||||||||||||
Reinvested | 12 | 13 | 17 | 29 | ||||||||||||
Redeemed | (127 | ) | (117 | ) | (80 | ) | (124 | ) | ||||||||
Conversion to Class A Shares | (31 | ) | (4 | ) | (129 | ) | (15 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (144 | ) | (105 | ) | (191 | ) | (99 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 47 | 49 | 154 | 311 | ||||||||||||
Reinvested | 120 | 60 | 208 | 255 | ||||||||||||
Redeemed | (203 | ) | (180 | ) | (544 | ) | (437 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (36 | ) | (71 | ) | (182 | ) | 129 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 20 | 44 | 288 | 698 | ||||||||||||
Reinvested | 7 | 4 | 173 | 229 | ||||||||||||
Redeemed | (33 | ) | (88 | ) | (730 | ) | (729 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (6 | ) | (40 | ) | (269 | ) | 198 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 4,248 | 7,041 | — | — | ||||||||||||
Reinvested | 2,321 | 1,058 | — | — | ||||||||||||
Redeemed | (4,580 | ) | (3,834 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1,989 | 4,265 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 8,080 | 7,124 | ||||||||||||
Reinvested | — | — | 2,169 | 1,867 | ||||||||||||
Redeemed | — | — | (3,169 | ) | (3,418 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 7,080 | 5,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 4,442 | 8,158 | ||||||||||||
Reinvested | — | — | 1,328 | 1,674 | ||||||||||||
Redeemed | — | — | (8,156 | ) | (6,418 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | (2,386 | ) | 3,414 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 7,313 | 9,006 | 2,421 | 3,395 | ||||||||||||
Reinvested | 2,941 | 1,344 | 711 | 879 | ||||||||||||
Redeemed | (9,609 | ) | (8,177 | ) | (3,538 | ) | (4,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 645 | 2,173 | (406 | ) | (254 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 59 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 267,230 | $ | 248,875 | $ | 158,127 | $ | 95,000 | ||||||||
Distributions reinvested | 26,931 | 12,217 | 4,623 | 1,637 | ||||||||||||
Cost of shares redeemed | (168,313 | ) | (142,413 | ) | (59,204 | ) | (35,876 | ) | ||||||||
Conversion from Class B Shares | 2,069 | 175 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 127,917 | $ | 118,854 | $ | 103,546 | $ | 60,761 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 35 | $ | 11 | $ | — | $ | — | ||||||||
Distributions reinvested | 150 | 106 | — | — | ||||||||||||
Cost of shares redeemed | (1,071 | ) | (1,189 | ) | — | — | ||||||||||
Conversion to Class A Shares | (2,069 | ) | (175 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (2,955 | ) | $ | (1,247 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 7,961 | $ | 13,317 | $ | 25,684 | $ | 15,087 | ||||||||
Distributions reinvested | 2,683 | 1,374 | 772 | 203 | ||||||||||||
Cost of shares redeemed | (10,808 | ) | (10,049 | ) | (5,242 | ) | (2,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (164 | ) | $ | 4,642 | $ | 21,214 | $ | 13,058 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 17,717 | $ | 35,618 | $ | 11,570 | $ | 7,974 | ||||||||
Distributions reinvested | 2,299 | 734 | 335 | 104 | ||||||||||||
Cost of shares redeemed | (17,153 | ) | (8,241 | ) | (4,428 | ) | (979 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 2,863 | $ | 28,111 | $ | 7,477 | $ | 7,099 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 46,041 | $ | 75,057 | $ | — | $ | — | ||||||||
Distributions reinvested | 4,335 | 987 | — | — | ||||||||||||
Cost of shares redeemed | (23,688 | ) | (38,175 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 26,688 | $ | 37,869 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 149,197 | $ | 220,005 | $ | 39,209 | $ | 30,227 | ||||||||
Distributions reinvested | 28,990 | 10,705 | 1,450 | 884 | ||||||||||||
Cost of shares redeemed | (58,319 | ) | (35,099 | ) | (19,367 | ) | (9,167 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 119,868 | $ | 195,611 | $ | 21,292 | $ | 21,944 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 184,860 | $ | 200,414 | ||||||||
Distributions reinvested | — | — | 8,769 | 1,623 | ||||||||||||
Cost of shares redeemed | — | — | (73,427 | ) | (34,113 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 120,202 | $ | 167,924 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 210,959 | $ | 180,916 | $ | 114,544 | $ | 99,637 | ||||||||
Distributions reinvested | 20,813 | 9,746 | 5,585 | 1,883 | ||||||||||||
Cost of shares redeemed | (124,967 | ) | (106,365 | ) | (44,216 | ) | (30,526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 106,805 | $ | 84,297 | $ | 75,913 | $ | 70,994 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 381,022 | $ | 468,137 | $ | 349,644 | $ | 341,780 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 9,914 | 9,450 | 9,673 | 6,312 | ||||||||||||
Reinvested | 1,055 | 470 | 298 | 111 | ||||||||||||
Redeemed | (6,295 | ) | (5,425 | ) | (3,624 | ) | (2,385 | ) | ||||||||
Conversion from Class B Shares | 76 | 7 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,750 | 4,502 | 6,347 | 4,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 2 | 1 | — | — | ||||||||||||
Reinvested | 7 | 5 | — | — | ||||||||||||
Redeemed | (47 | ) | (52 | ) | — | — | ||||||||||
Conversion to Class A Shares | (88 | ) | (8 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (126 | ) | (54 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 349 | 584 | 1,604 | 1,017 | ||||||||||||
Reinvested | 123 | 61 | 51 | 14 | ||||||||||||
Redeemed | (471 | ) | (441 | ) | (330 | ) | (150 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1 | 204 | 1,325 | 881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 669 | 1,353 | 706 | 532 | ||||||||||||
Reinvested | 91 | 28 | 22 | 7 | ||||||||||||
Redeemed | (646 | ) | (312 | ) | (271 | ) | (65 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 114 | 1,069 | 457 | 474 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 1,643 | 2,744 | — | — | ||||||||||||
Reinvested | 161 | 36 | — | — | ||||||||||||
Redeemed | (843 | ) | (1,358 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 961 | 1,422 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 5,312 | 8,000 | 2,338 | 2,006 | ||||||||||||
Reinvested | 1,077 | 390 | 92 | 58 | ||||||||||||
Redeemed | (2,075 | ) | (1,270 | ) | (1,156 | ) | (594 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 4,314 | 7,120 | 1,274 | 1,470 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 11,156 | 12,964 | ||||||||||||
Reinvested | — | — | 554 | 107 | ||||||||||||
Redeemed | — | — | (4,455 | ) | (2,213 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 7,255 | 10,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 7,576 | 6,600 | 6,883 | 6,536 | ||||||||||||
Reinvested | 775 | 356 | 354 | 125 | ||||||||||||
Redeemed | (4,468 | ) | (3,845 | ) | (2,668 | ) | (1,971 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,883 | 3,111 | 4,569 | 4,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 61 | ||||||
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, 2015 | $ | 25.11 | $ | (0.20 | )(d) | $ | 3.17 | $ | 2.97 | $ | (2.04 | ) | ||||||||
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 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 21.61 | (0.28 | )(d) | 2.68 | 2.40 | (2.04 | ) | |||||||||||||
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 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 27.08 | (0.15 | )(d) | 3.45 | 3.30 | (2.04 | ) | |||||||||||||
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 | — | ||||||||||||||
| (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) and $(0.14) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.00)%, (1.51)% and (0.64)% for Class A, 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) and $(0.10) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.94)%, (1.43)% and (0.53)% for Class A, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 26.04 | 13.02 | % | $ | 73,175 | 1.25 | % | (0.82 | )% | 1.44 | % | 48 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 21.97 | 12.46 | 50,162 | 1.75 | (1.32 | ) | 2.02 | 48 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 28.34 | 13.30 | 386,459 | 1.00 | (0.57 | ) | 1.11 | 48 | |||||||||||||||||||
| 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 | (0.32 | )(f) | 1.22 | 63 | ||||||||||||||||||
| 21.39 | 46.91 | 150,921 | 1.08 | (0.57 | ) | 1.24 | 79 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 Core Fund | ||||||||||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 58.70 | $ | 0.37 | (d) | $ | 3.20 | $ | 3.57 | $ | (0.10 | ) | $ | (5.99 | ) | $ | (6.09 | ) | ||||||||||
Year Ended June 30, 2014 | 48.11 | 0.15 | (e) | 13.44 | 13.59 | (0.27 | ) | (2.73 | ) | (3.00 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 37.54 | 0.37 | (f) | 10.63 | 11.00 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 39.44 | 0.27 | (g) | (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 | ) | |||||||||||||||||||
| (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 $0.09 and the net investment income (loss) ratio would have been 0.17% 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 $0.19 and the net investment income (loss) ratio would have been 0.44% for Select Class Shares. |
| (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 $0.14 and the net investment income (loss) ratio would have been 0.39% for Select Class Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 56.18 | 7.01 | % | $ | 815,652 | 0.80 | % | 0.66 | % | 1.13 | % | 56 | % | |||||||||||||
| 58.70 | 28.95 | 703,307 | 0.79 | 0.28 | (e) | 1.12 | 51 | |||||||||||||||||||
| 48.11 | 29.50 | 522,295 | 0.79 | 0.84 | (f) | 1.19 | 55 | �� | ||||||||||||||||||
| 37.54 | (4.29 | ) | 406,590 | 0.80 | 0.64 | (g) | 1.02 | 45 | ||||||||||||||||||
| 39.44 | 38.37 | 549,530 | 0.79 | 0.39 | 1.09 | 38 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Small Cap Equity Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 46.56 | $ | 0.08 | (d) | $ | 2.98 | $ | 3.06 | $ | (0.08 | ) | $ | (4.86 | ) | $ | (4.94 | ) | ||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.96 | (0.12 | )(d) | 2.34 | 2.22 | — | (4.86 | ) | (4.86 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 45.99 | (0.04 | )(d) | 2.95 | 2.91 | — | (4.86 | ) | (4.86 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 51.88 | 0.34 | (d) | 3.37 | 3.71 | (0.30 | ) | (4.86 | ) | (5.16 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 51.78 | 0.24 | (d) | 3.36 | 3.60 | (0.21 | ) | (4.86 | ) | (5.07 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
| (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), $(0.15), $0.20 and $0.10 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.09)%, (0.59)%, (0.34)%, 0.41% and 0.21% for Class A, 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), $(0.04), $0.26 and $0.18 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.14%, (0.36)%, (0.10)%, 0.62% and 0.44% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 44.68 | 7.49 | % | $ | 674,619 | 1.29 | % | 0.17 | % | 1.39 | % | 20 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 35.32 | 6.92 | 35,783 | 1.79 | (0.33 | ) | 1.87 | 20 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 44.04 | 7.23 | 3,446 | 1.54 | (0.08 | ) | 1.73 | 20 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 50.43 | 8.03 | 1,244,878 | 0.79 | 0.68 | 0.89 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 50.31 | 7.81 | 1,435,112 | 0.99 | 0.48 | 1.14 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 realized gain | ||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 13.96 | $ | (0.11 | )(f)(g) | $ | 1.77 | $ | 1.66 | $ | (1.12 | ) | ||||||||
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)(h) | 2.94 | 2.88 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.17 | (0.05 | )(f)(i) | (0.77 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.28 | (0.08 | )(f) | 3.97 | 3.89 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 11.36 | (0.14 | )(f)(g) | 1.40 | 1.26 | (1.12 | ) | |||||||||||||
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)(h) | 2.47 | 2.37 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 10.48 | (0.09 | )(f)(i) | (0.66 | ) | (0.75 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 7.17 | (0.12 | )(f) | 3.43 | 3.31 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2015 | 13.73 | (0.14 | )(f)(g) | 1.73 | 1.59 | (1.12 | ) | |||||||||||||
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)(h) | 2.91 | 2.82 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.09 | (0.08 | )(f)(i) | (0.76 | ) | (0.84 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.25 | (0.11 | )(f) | 3.95 | 3.84 | — | ||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2015 | 15.23 | (0.05 | )(f)(g) | 1.95 | 1.90 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 14.00 | (0.06 | )(f) | 2.73 | 2.67 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.85 | — | (f)(h)(j) | 3.16 | 3.16 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.88 | — | (f)(i)(j) | (0.81 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
November 30, 2010 (l) through June 30, 2011 | 11.02 | (0.02 | )(f) | 1.88 | 1.86 | — | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 15.17 | �� | (0.06 | )(f)(g) | 1.94 | 1.88 | (1.12 | ) | ||||||||||||
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)(h) | 3.14 | 3.13 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.87 | (0.01 | )(f)(i) | (0.80 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.73 | (0.04 | )(f) | 4.18 | 4.14 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 14.91 | (0.08 | )(f)(g) | 1.90 | 1.82 | (1.12 | ) | |||||||||||||
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)(h) | 3.11 | 3.08 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.74 | (0.02 | )(f)(i) | (0.80 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.65 | (0.05 | )(f) | 4.14 | 4.09 | — | ||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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) | Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes. |
| (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 $(0.09), $(0.13), $(0.12), $(0.04), $(0.05) and $(0.07) 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 (0.80)%, (1.30)%, (1.04)%, (0.29)%, (0.40)% and (0.54)% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (i) | 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), $(0.10), $(0.02), $(0.27) and $(0.40) 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 (0.68)%, (1.18)%, (0.92)%, (0.19)%, (0.03)% and (0.05)% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (j) | Amount rounds to less than $0.01. |
| (k) | Amount rounds to less than 0.01%. |
| (l) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 14.50 | 13.04 | % | $ | 266,805 | 1.25 | % | (0.82 | )%(g) | 1.42 | % | 50 | % | |||||||||||||
| 13.96 | 18.94 | 282,408 | 1.25 | (0.86 | ) | 1.37 | 58 | |||||||||||||||||||
| 13.00 | 27.94 | 249,986 | 1.24 | (0.50 | )(h) | 1.42 | 60 | |||||||||||||||||||
| 11.13 | (6.59 | ) | 219,946 | 1.25 | (0.46 | )(i) | 1.44 | 58 | ||||||||||||||||||
| 12.17 | 46.98 | 271,606 | 1.24 | (0.72 | ) | 1.39 | 79 | |||||||||||||||||||
| 11.50 | 12.47 | 26,297 | 1.75 | (1.32 | )(g) | 1.87 | 50 | |||||||||||||||||||
| 11.36 | 18.29 | 28,035 | 1.75 | (1.36 | ) | 1.87 | 58 | |||||||||||||||||||
| 10.87 | 27.30 | 25,415 | 1.74 | (1.00 | )(h) | 1.92 | 60 | |||||||||||||||||||
| 9.51 | (6.99 | ) | 23,689 | 1.75 | (0.97 | )(i) | 1.94 | 58 | ||||||||||||||||||
| 10.48 | 46.16 | 31,665 | 1.78 | (1.26 | ) | 1.89 | 79 | |||||||||||||||||||
| 14.20 | 12.74 | 28,364 | 1.50 | (1.07 | )(g) | 1.72 | 50 | |||||||||||||||||||
| 13.73 | 18.62 | 31,119 | 1.50 | (1.11 | ) | 1.62 | 58 | |||||||||||||||||||
| 12.84 | 27.64 | 26,561 | 1.49 | (0.75 | )(h) | 1.67 | 60 | |||||||||||||||||||
| 11.03 | (6.80 | ) | 22,514 | 1.50 | (0.71 | )(i) | 1.69 | 58 | ||||||||||||||||||
| 12.09 | 46.55 | 16,109 | 1.50 | (0.98 | ) | 1.64 | 79 | |||||||||||||||||||
| 16.01 | 13.55 | 486,724 | 0.75 | (0.31 | )(g) | 0.79 | 50 | |||||||||||||||||||
| 15.23 | 19.55 | 355,032 | 0.75 | (0.36 | ) | 0.87 | 58 | |||||||||||||||||||
| 14.00 | 28.63 | 248,415 | 0.75 | — | (h)(k) | 0.92 | 60 | |||||||||||||||||||
| 11.85 | (6.14 | ) | 200,960 | 0.75 | 0.02 | (i) | 0.94 | 58 | ||||||||||||||||||
| 12.88 | 16.88 | 83,457 | 0.74 | (0.24 | ) | 0.88 | 79 | |||||||||||||||||||
| 15.93 | 13.47 | 279,248 | 0.85 | (0.42 | )(g) | 0.95 | 50 | |||||||||||||||||||
| 15.17 | 19.46 | 302,087 | 0.85 | (0.46 | ) | 0.97 | 58 | |||||||||||||||||||
| 13.96 | 28.39 | 230,458 | 0.85 | (0.11 | )(h) | 1.02 | 60 | |||||||||||||||||||
| 11.84 | (6.15 | ) | 226,834 | 0.85 | (0.06 | )(i) | 1.04 | 58 | ||||||||||||||||||
| 12.87 | 47.42 | 207,977 | 0.85 | (0.32 | ) | 1.00 | 79 | |||||||||||||||||||
| 15.61 | 13.29 | 157,631 | 1.00 | (0.57 | )(g) | 1.16 | 50 | |||||||||||||||||||
| 14.91 | 19.20 | 156,585 | 1.00 | (0.62 | ) | 1.12 | 58 | |||||||||||||||||||
| 13.77 | 28.30 | 148,078 | 1.00 | (0.25 | )(h) | 1.17 | 60 | |||||||||||||||||||
| 11.70 | (6.29 | ) | 123,887 | 1.00 | (0.21 | )(i) | 1.19 | 58 | ||||||||||||||||||
| 12.74 | 47.28 | 128,617 | 0.99 | (0.47 | ) | 1.14 | 79 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 27.98 | $ | 0.22 | (d) | $ | (0.01 | ) | $ | 0.21 | $ | (0.20 | ) | $ | (1.34 | ) | $ | (1.54 | ) | |||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 24.19 | 0.05 | (d) | (0.01 | ) | 0.04 | (0.11 | ) | (1.34 | ) | (1.45 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 27.83 | 0.16 | (d) | (0.02 | ) | 0.14 | (0.14 | ) | (1.34 | ) | (1.48 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.34 | (d) | (0.02 | ) | 0.32 | (0.28 | ) | (1.34 | ) | (1.62 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.33 | 0.37 | (d) | (0.02 | ) | 0.35 | (0.31 | ) | (1.34 | ) | (1.65 | ) | ||||||||||||||||
Year Ended June 30, 2014 | 24.87 | 0.24 | (d)(e) | 5.09 | 5.33 | (0.20 | ) | (0.67 | ) | (0.87 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.59 | 0.29 | (d)(f) | 5.29 | 5.58 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.83 | 0.22 | (d) | (0.23 | ) | (0.01 | ) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.20 | (d) | 4.65 | 4.85 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.31 | (d) | (0.02 | ) | 0.29 | (0.26 | ) | (1.34 | ) | (1.60 | ) | ||||||||||||||||
Year Ended June 30, 2014 | 24.86 | 0.20 | (d)(e) | 5.09 | 5.29 | (0.17 | ) | (0.67 | ) | (0.84 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.58 | 0.26 | (d)(f) | 5.29 | 5.55 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.82 | 0.19 | (d) | (0.23 | ) | (0.04 | ) | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.17 | (d) | 4.65 | 4.82 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
| (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, $0.22, $0.23 and $0.18 for Class A, 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%, (0.20)%, 0.20%, 0.79%, 0.82% and 0.66% for Class A, 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), $0.06, $0.19, $0.20 and $0.17 for Class A, 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)%, 0.27%, 0.86%, 0.89% and 0.77% for Class A, 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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 26.65 | 1.04 | % | $ | 618,977 | 1.24 | % | 0.84 | % | 1.44 | % | 38 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 22.77 | 0.42 | 49,815 | 1.85 | 0.23 | 1.89 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 26.49 | 0.77 | 48,675 | 1.49 | 0.59 | 1.76 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 28.01 | 1.39 | 103,149 | 0.91 | 1.19 | 0.93 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 28.03 | 1.49 | 554,522 | 0.79 | 1.32 | 0.81 | 38 | ||||||||||||||||||||
| 29.33 | 21.71 | 453,645 | 0.85 | 0.87 | (e) | 0.90 | 40 | |||||||||||||||||||
| 24.87 | 28.62 | 207,613 | 0.85 | 1.32 | (f) | 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 | ||||||||||||||||||||
| 28.00 | 1.27 | 495,605 | 0.99 | 1.10 | 1.14 | 38 | ||||||||||||||||||||
| 29.31 | 21.52 | 404,848 | 0.99 | 0.71 | (e) | 1.15 | 40 | |||||||||||||||||||
| 24.86 | 28.47 | 266,018 | 0.99 | 1.19 | (f) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | $ | 16.25 | $ | 0.03 | (f) | $ | 1.22 | $ | 1.25 | $ | — | $ | (0.54 | ) | $ | (0.54 | ) | |||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.86 | (0.05 | )(f) | 1.19 | 1.14 | — | (0.54 | ) | (0.54 | ) | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.12 | (0.01 | )(f) | 1.20 | 1.19 | — | (0.54 | ) | (0.54 | ) | ||||||||||||||||||
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, 2015 | 16.52 | 0.12 | (f) | 1.24 | 1.36 | (0.05 | ) | (0.54 | ) | (0.59 | ) | |||||||||||||||||
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, 2015 | 16.51 | 0.11 | (f) | 1.24 | 1.35 | (0.04 | ) | (0.54 | ) | (0.58 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.53 | 0.08 | (f) | 1.24 | 1.32 | (0.02 | ) | (0.54 | ) | (0.56 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 16.96 | 7.98 | % | $ | 240,064 | 1.25 | % | 0.21 | % | 1.40 | % | 56 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 16.46 | 7.47 | 45,202 | 1.75 | (0.28 | ) | 1.88 | 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 | |||||||||||||||||||
| 16.77 | 7.66 | 17,846 | 1.50 | (0.04 | ) | 1.66 | 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 | |||||||||||||||||||
| 17.29 | 8.54 | 69,755 | 0.73 | 0.73 | 0.76 | 56 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 17.28 | 8.49 | 352,036 | 0.82 | 0.64 | 0.94 | 56 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 17.29 | 8.25 | 246,645 | 1.00 | 0.45 | 1.11 | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 73 | ||||||
Table of Contents
AS OF JUNE 30, 2015
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 C and Select Class | JPM I | Diversified | |||
| Small Cap Core Fund | Select Class | JPM I | Diversified | |||
| Small Cap Equity Fund | Class A, Class C, Class R2, Class R5 and Select Class | JPM I | Diversified | |||
| Small Cap Growth Fund | Class A, Class C, Class R2, Class R6, Institutional Class and Select Class | JPM II | Diversified | |||
| Small Cap Value Fund | Class A, 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 Dynamic Small Cap Growth Fund, Small Cap Equity 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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
| 74 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Futures are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Dynamic Small Cap Growth Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 504,962 | $ | 435 | $ | — | $ | 505,397 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Core Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 95,199 | $ | — | $ | — | $ | 95,199 | ||||||||
Consumer Staples | 28,494 | — | — | 28,494 | ||||||||||||
Energy | 33,154 | — | — | 33,154 | ||||||||||||
Financials | 181,843 | — | — | 181,843 | ||||||||||||
Health Care | 119,009 | 475 | — | 119,484 | ||||||||||||
Industrials | 123,370 | — | — | 123,370 | ||||||||||||
Information Technology | 136,285 | — | — | 136,285 | ||||||||||||
Materials | 26,312 | — | — | 26,312 | ||||||||||||
Telecommunication Services | 10,391 | — | — | 10,391 | ||||||||||||
Utilities | 24,872 | — | — | 24,872 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 778,929 | 475 | — | 779,404 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Right | ||||||||||||||||
Health Care | — | — | 168 | 168 | ||||||||||||
Warrant | ||||||||||||||||
Financials | — | — | — | (b) | — | (b) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 22,565 | — | — | 22,565 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 801,494 | $ | 475 | $ | 168 | $ | 802,137 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (368 | ) | $ | — | $ | — | $ | (368 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 75 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
Small Cap Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 3,393,294 | $ | — | $ | — | $ | 3,393,294 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,233,864 | $ | 1,062 | $ | — | $ | 1,234,926 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 179,164 | $ | — | $ | — | $ | 179,164 | ||||||||
Consumer Staples | 44,168 | — | — | 44,168 | ||||||||||||
Energy | 114,512 | — | — | 114,512 | ||||||||||||
Financials | 720,021 | — | — | 720,021 | ||||||||||||
Health Care | 96,545 | — | — | 96,545 | ||||||||||||
Industrials | 247,986 | — | — | 247,986 | ||||||||||||
Information Technology | 201,122 | — | — | 201,122 | ||||||||||||
Materials | 72,974 | — | — | 72,974 | ||||||||||||
Telecommunication Services | 17,686 | — | — | 17,686 | ||||||||||||
Utilities | 113,820 | — | — | 113,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,807,998 | — | — | 1,807,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrant | ||||||||||||||||
Financials | — | — | — | (b) | — | (b) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 58,498 | — | — | 58,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,866,496 | $ | — | $ | — | (b) | $ | 1,866,496 | |||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (407 | ) | $ | — | $ | — | $ | (407 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
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 | $ | 137,322 | $ | — | $ | — | $ | 137,322 | ||||||||
Consumer Staples | 23,697 | — | — | 23,697 | ||||||||||||
Energy | 41,873 | — | — | 41,873 | ||||||||||||
Financials | 211,893 | — | — | 211,893 | ||||||||||||
Health Care | 165,242 | 566 | — | (d) | 165,808 | |||||||||||
Industrials | 114,570 | — | — | 114,570 | ||||||||||||
Information Technology | 170,692 | — | — | 170,692 | ||||||||||||
Materials | 31,103 | — | — | 31,103 | ||||||||||||
Telecommunication Services | 9,573 | — | — | 9,573 | ||||||||||||
Utilities | 31,338 | — | — | 31,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 937,303 | 566 | — | (d) | 937,869 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| 76 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Warrant | ||||||||||||||||
Financials | $ | — | $ | — | $ | — | (b) | $ | — | (b) | ||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 23,360 | — | — | 23,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 960,663 | $ | 566 | $ | — | (d) | $ | 961,229 | |||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (235 | ) | $ | — | $ | — | $ | (235 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOIs. Level 2 consists of a common stock that was disclosed in the Health Care industry on the SOI. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Value is zero. |
| (c) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (d) | Amount rounds to less than $1,000. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2015.
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, 2015, the Funds had no investments in restricted securities.
The following are the values and percentages of net assets of securities deemed to be illiquid as of June 30, 2015 (amounts in thousands):
| Value | Percentage | |||||||
Small Cap Core Fund | $ | 168 | 0.0 | %(a) | ||||
Small Cap Value Fund | — | (b) | — | |||||
U.S. Small Company Fund | — | (c) | 0.0 | (a) | ||||
| (a) | Amount rounds to less than 0.1%. |
| (b) | Value is zero. |
| (c) | Amount rounds to less than $1,000. |
C. Futures Contracts — Small Cap Core Fund, Small Cap Value Fund and U.S. Small Company Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds also bought futures contracts to immediately invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/ depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on 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 use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2015 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 18,317 | $ | 54,579 | $ | 24,284 | ||||||
Ending Notional Balance Long | 35,011 | 54,392 | 30,010 | |||||||||
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, 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.
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years 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 | $ | — | $ | 4,454 | $ | (4,454 | ) | |||||
Small Cap Core Fund | — | 174 | (174 | ) | ||||||||
Small Cap Equity Fund | — | (a) | (1,229 | ) | 1,229 | |||||||
Small Cap Growth Fund | (1,773 | ) | 7,390 | (5,617 | ) | |||||||
Small Cap Value Fund | — | (a) | (191 | ) | 191 | |||||||
U.S. Small Company Fund | — | (120 | ) | 120 | ||||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to litigation payment reclassifications, non-taxable dividends and net operating losses.
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3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), 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, 2015, 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 has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds, as applicable, 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, 2015, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Dynamic Small Cap Growth Fund | $ | 2 | $ | — | ||||
Small Cap Equity Fund | 4 | 2 | ||||||
Small Cap Growth Fund | 6 | 1 | ||||||
Small Cap Value Fund | 26 | — | (a) | |||||
U.S. Small Company Fund | 22 | — | (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 | |||||||||||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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 on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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’s 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. |
The expense limitation agreements were in effect for the year ended June 30, 2015. The contractual expense limitation percentages in the table above are in place until at least October 31, 2015, except Class B Shares which are no longer operating. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2015. 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, 2015, 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 | ||||||||||||||||
Dynamic Small Cap Growth Fund | $ | 378 | $ | 203 | $ | 120 | $ | 701 | $ | 17 | ||||||||||
Small Cap Core Fund | 1,623 | 609 | 206 | 2,438 | — | |||||||||||||||
Small Cap Equity Fund | 1,348 | 871 | 1,595 | 3,814 | — | (a) | ||||||||||||||
Small Cap Growth Fund | 321 | 211 | 676 | 1,208 | 20 | |||||||||||||||
Small Cap Value Fund | 126 | 79 | 1,550 | 1,755 | 81 | |||||||||||||||
U.S. Small Company Fund | 82 | 52 | 618 | 752 | 31 | |||||||||||||||
| (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.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2015 was as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 17 | ||
Small Cap Core Fund | 33 | |||
Small Cap Equity Fund | 263 | |||
Small Cap Growth Fund | 33 | |||
Small Cap Value Fund | 102 | |||
U.S. Small Company Fund | 55 |
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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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the 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, 2015, 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, 2015, U.S. Small Company Fund incurred less than $1,000 in 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, 2015, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding | Sales (excluding | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 252,607 | $ | 367,839 | $ | — | $ | — | ||||||||
Small Cap Core Fund | 445,662 | 401,873 | — | 915 | ||||||||||||
Small Cap Equity Fund | 628,739 | 933,597 | — | — | ||||||||||||
Small Cap Growth Fund | 570,154 | 632,284 | — | — | ||||||||||||
Small Cap Value Fund | 910,553 | 600,398 | — | 1,670 | ||||||||||||
U.S. Small Company Fund | 725,240 | 393,993 | — | 610 | ||||||||||||
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, 2015 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 353,020 | $ | 169,006 | $ | 16,629 | $ | 152,377 | ||||||||
Small Cap Core Fund | 621,725 | 212,660 | 32,248 | 180,412 | ||||||||||||
Small Cap Equity Fund | 2,182,938 | 1,290,974 | 80,618 | 1,210,356 | ||||||||||||
Small Cap Growth Fund | 896,346 | 388,750 | 50,170 | 338,580 | ||||||||||||
Small Cap Value Fund | 1,619,542 | 348,358 | 101,404 | 246,954 | ||||||||||||
U.S. Small Company Fund | 857,922 | 146,087 | �� | 42,780 | 103,307 | |||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and non-taxable dividends.
The tax character of distributions paid during the year ended June 30, 2015 was as follows (amounts in thousands):
| Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Dynamic Small Cap Growth Fund | $ | 6,167 | $ | 36,780 | $ | 42,947 | ||||||
Small Cap Core Fund | 13,046 | 60,430 | 73,476 | |||||||||
Small Cap Equity Fund | 37,796 | 303,990 | 341,786 | |||||||||
Small Cap Growth Fund | 303 | 86,078 | 86,381 | |||||||||
Small Cap Value Fund | 27,790 | 63,616 | 91,406 | |||||||||
U.S. Small Company Fund | 11,336 | 11,939 | 23,275 | |||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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 | ||||||||||
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 | |||||||||
As of June 30, 2015, 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 | $ | 714 | $ | 43,805 | $ | 152,377 | ||||||
Small Cap Core Fund | 15,008 | 49,655 | 180,412 | |||||||||
Small Cap Equity Fund | 29,585 | 118,231 | 1,210,356 | |||||||||
Small Cap Growth Fund | — | 69,637 | 338,580 | |||||||||
Small Cap Value Fund | 2,124 | 64,235 | 246,954 | |||||||||
U.S. Small Company Fund | 5,886 | 24,153 | 103,307 | |||||||||
For the Funds, the cumulative timing differences primarily consist of late year ordinary loss deferrals, wash sale loss deferrals and non-taxable dividends.
As of June 30, 2015, the Funds did not have any capital loss carryforwards.
Late year ordinary losses incurred after December 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, 2015, the following Funds deferred to July 1, 2015 late year ordinary losses of (amounts in thousands):
| Late Year Ordinary Loss | ||||
Dynamic Small Cap Growth Fund | $ | 1,622 | ||
Small Cap Growth Fund | 2,779 | |||
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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015. Average borrowings from the Facility for, or at any time during, the year ended June 30, 2015, were as follows (amounts in thousands):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Small Cap Equity Fund | $ | 11,632 | 0.23 | % | 3 | $ | — | (a) | ||||||||
| (a) | Amount rounds to less than $1,000. |
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Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on 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:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Small Cap Growth Fund | — | % | 23.1 | % | ||||
Small Cap Value Fund | 10.3 | 13.6 | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
Because the Funds may invest a significant portion of their assets in REITs, the Funds may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
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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, 2015, 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, 2015 by correspondence with the custodian, transfer agent and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 85 | ||||||
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(Unaudited) (continued)
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 (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 86 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 87 | ||||||
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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 (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, 2015, and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,096.90 | $ | 6.50 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,093.60 | 9.08 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,098.00 | 5.20 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Small Cap Core Fund | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,034.20 | 3.98 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,048.10 | 6.55 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,045.30 | 9.08 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,046.80 | 7.82 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,050.60 | 4.02 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
| 88 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Small Cap Equity Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.40 | $ | 5.03 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,096.00 | 6.50 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,093.20 | 9.08 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,094.00 | 7.79 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,098.10 | 3.90 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,097.90 | 4.42 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,097.00 | 5.20 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,005.50 | 6.17 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,002.30 | 9.18 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.62 | 9.25 | 1.85 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,004.10 | 7.40 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,007.10 | 4.38 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,007.80 | 3.73 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,006.40 | 4.93 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,044.30 | 6.34 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,041.80 | 8.86 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,042.90 | 7.60 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
| JUNE 30, 2015 | J.P. MORGAN SMALL CAP FUNDS | 89 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Small Company Fund (continued) | ||||||||||||||||
Class R6 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,047.20 | $ | 3.65 | 0.72 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.22 | 3.61 | 0.72 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,046.60 | 4.16 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.73 | 4.11 | 0.82 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,045.30 | 5.07 | 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). |
| 90 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2015 | ||||
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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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deductions | ||||
Small Cap Core Fund | 71.47 | |||
Small Cap Equity Fund | 100.00 | |||
Small Cap Value Fund | 100.00 | |||
U.S. Small Company Fund | 79.99 | |||
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Dynamic Small Cap Growth Fund | $ | 36,780 | ||
Small Cap Core Fund | 60,430 | |||
Small Cap Equity Fund | 303,990 | |||
Small Cap Growth Fund | 86,078 | |||
Small Cap Value Fund | 63,616 | |||
U.S. Small Company Fund | 11,939 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Dynamic Small Cap Growth Fund | $ | 2,325 | ||
Small Cap Core Fund | 11,910 | |||
Small Cap Equity Fund | 37,796 | |||
Small Cap Growth Fund | 303 | |||
Small Cap Value Fund | 27,790 | |||
U.S. Small Company Fund | 11,316 | |||
| JUNE 30, 2015 | 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 | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and 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., 2015. All rights reserved. June 2015. | AN-SC-615 |
Table of Contents
Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2015
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
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.
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July 27, 2015 (Unaudited)
Dear Shareholders,
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment – though not reflected in wage growth – drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve
months ended June 30, 2015, the Barclays U.S. Aggregate Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09 financial crisis. While the challenges faced by financial markets
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 | ||||||
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July 27, 2015 (Unaudited) (continued)
and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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J.P. Morgan Mid Cap/Multi-Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
U.S equity markets performed strongly in the latter half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at several record highs but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928.
Overall, U.S. large cap stocks only slightly outperformed mid cap and small cap stocks for the twelve months ended June 30, 2015. However, small cap growth stocks outperformed all other equity categories and growth stocks outperformed value stocks across all market cap categories. For the twelve month period, the S&P 500 Index returned 7.42%, while the Russell Midcap Index returned 6.63%, the Russell Midcap Growth Index returned 9.45% and the Russell Midcap Value Index returned 3.67%.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
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JPMorgan Growth Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 14.99% | |||
| Russell 3000 Growth Index | 10.69% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 5,188,280 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the technology and health care sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and consumer staples sectors detracted from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., Regeneron Pharmaceuticals Inc. and Avago Technologies Inc. Shares of Valeant, a drug and medical device maker, rose on strong profit and revenue growth. Shares of Regeneron, a biopharmaceutical company, rose on accelerating sales of its eye drug, Eylea, and advances in the company’s pipeline of potential new drugs. Shares of
Avago, a Singapore maker of analog semiconductors, strengthened on increased demand for semiconductors and its $37 billion acquisition of Broadcom Corp.
Leading individual detractors from relative performance included the Fund’s overweight positions in Michael Kors Holdings Ltd. and Antero Resources Corp. and its underweight position in Apple Inc. Shares of Michael Kors, a luxury apparel brand, fell on investor concerns about growing inventory, margin growth and management’s ability to execute strategy. Shares of Antero Resources, an independent oil and gas exploration and production company, declined amid weakness in global oil prices. Shares of Apple, a consumer electronics company, rose on a string of positive earnings announcements.
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. | Apple, Inc. | 3.8 | % | |||||
| 2. | Facebook, Inc., Class A | 3.7 | ||||||
| 3. | Gilead Sciences, Inc. | 2.8 | ||||||
| 4. | Google, Inc., Class C | 2.7 | ||||||
| 5. | UnitedHealth Group, Inc. | 2.5 | ||||||
| 6. | Amazon.com, Inc. | 2.3 | ||||||
| 7. | MasterCard, Inc., Class A | 2.1 | ||||||
| 8. | Valeant Pharmaceuticals International, Inc. | 2.1 | ||||||
| 9. | Acuity Brands, Inc. | 2.0 | ||||||
| 10. | Regeneron Pharmaceuticals, Inc. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 30.6 | % | ||
| Health Care | 20.5 | |||
| Consumer Discretionary | 16.2 | |||
| Industrials | 11.0 | |||
| Financials | 9.1 | |||
| Materials | 4.5 | |||
| Energy | 2.5 | |||
| Consumer Staples | 1.7 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | October 29, 1999 | |||||||||||||
Without Sales Charge | 14.99 | % | 20.60 | % | 11.38 | % | ||||||||
With Sales Charge* | 8.95 | 19.33 | 10.77 | |||||||||||
CLASS C SHARES | May 1, 2006 | |||||||||||||
Without CDSC | 14.43 | 20.01 | 10.76 | |||||||||||
With CDSC** | 13.43 | 20.01 | 10.76 | |||||||||||
CLASS R5 SHARES | January 8, 2009 | 15.42 | 21.09 | 11.75 | ||||||||||
CLASS R6 SHARES | December 23, 2013 | 15.48 | 21.12 | 11.77 | ||||||||||
SELECT CLASS SHARES | May 1, 2006 | 15.14 | 20.84 | 11.61 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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, all of which converted to Class A Shares on June 19, 2015 and are no longer offered. The actual returns of Class C Shares would have been similar to those shown because Class C Shares had similar expenses to Class B Shares at the time of their inception. 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 7, 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 8, 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, 2005 to June 30, 2015. 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.
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.
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, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 10.37% | |||
| Russell Midcap Index | 6.63% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 3,303,293 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in both the technology and materials & processing sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position in the health care sector and its security selection in the utilities sector detracted from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Humana Inc., Valeant Pharmaceuticals International Inc. and Mohawk Industries Inc. Shares of Humana, a health insurance provider, rose on news of a $33 billion takeover bid from Aetna Inc. Shares of Valeant, a drug and medical device maker not held in the Benchmark, rose on strong profit and revenue growth. Shares of Mohawk Industries, a maker of flooring for residential and commercial property, rose on strong earnings growth.
Leading individual detractors from relative performance included the Fund’s overweight positions in Michael Kors Holdings Ltd., Laredo Petroleum Holdings Inc. and Southwestern Energy Co. Shares of Michael Kors, a luxury apparel brand, fell on investor concerns about growing inventory, margin growth and management’s ability to execute strategy. Shares of Laredo Petroleum and Southwestern Energy, both oil and gas exploration and production companies, declined on global weakness in energy prices.
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. | Mohawk Industries, Inc. | 1.8 | % | |||||
| 2. | Sherwin-Williams Co. (The) | 1.5 | ||||||
| 3. | Humana, Inc. | 1.5 | ||||||
| 4. | Carlisle Cos., Inc. | 1.4 | ||||||
| 5. | Amphenol Corp., Class A | 1.3 | ||||||
| 6. | Acuity Brands, Inc. | 1.2 | ||||||
| 7. | CBRE Group, Inc., Class A | 1.1 | ||||||
| 8. | NXP Semiconductors N.V., (Netherlands) | 0.9 | ||||||
| 9. | Alliance Data Systems Corp. | 0.9 | ||||||
| 10. | Brookdale Senior Living, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 20.5 | % | ||
| Consumer Discretionary | 19.0 | |||
| Information Technology | 16.9 | |||
| Industrials | 12.6 | |||
| Health Care | 11.6 | |||
| Utilities | 4.3 | |||
| Materials | 4.2 | |||
| Consumer Staples | 4.2 | |||
| Energy | 3.6 | |||
| Short-Term Investment | 3.1 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 2, 2009 | |||||||||||||
Without Sales Charge | 9.97 | % | 18.85 | % | 9.68 | % | ||||||||
With Sales Charge* | 4.19 | 17.57 | 9.09 | |||||||||||
CLASS C SHARES | November 2, 2009 | |||||||||||||
Without CDSC | 9.44 | 18.26 | 9.37 | |||||||||||
With CDSC** | 8.44 | 18.26 | 9.37 | |||||||||||
CLASS R2 SHARES | March 14, 2014 | 9.71 | 18.77 | 9.65 | ||||||||||
CLASS R5 SHARES | March 14, 2014 | 10.49 | 19.30 | 9.91 | ||||||||||
CLASS R6 SHARES | March 14, 2014 | 10.53 | 19.31 | 9.92 | ||||||||||
SELECT CLASS SHARES | January 1, 1997 | 10.37 | 19.26 | 9.89 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Shares prior to their inception date are based of Class A Shares from November 2, 2009 to March 13, 2014 and Select Class Shares prior to November 2, 2009. The actual returns of 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 R5 and Class R6 Shares prior to their inception date are based on the performance of 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, Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Growth Funds Index from June 30, 2005 to June 30, 2015. 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 and 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 Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Growth Funds Index are indices based on total returns of certain mutual funds within the mid cap fund categories 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, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 12.72% | |||
| Russell Midcap Growth Index | 9.45% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 3,062,526 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital.1
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 twelve months ended June 30, 2015. The Fund’s security selection and overweight position in the technology sector and its security selection in the producer durables sector were leading contributors to performance relative to the Benchmark, while the Fund’s underweight position in the consumer staples sector and its security selection in the health care sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., Avago Technologies Ltd. and Electronic Arts Inc. Shares of Valeant, a drug and medical device maker not held in the Benchmark, rose on strong profit and revenue growth. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on increased demand for semiconductors and its $37 billion acquisition of Broadcom Corp. Shares of Electronic Arts, a maker of video games and software, rose on better-than-expected profit and revenue.
Leading individual detractors from relative performance included the Fund’s overweight positions in Michael Kors Holdings Ltd., Laredo Petroleum Holdings Inc. and Kirby Corp. Shares of Michael Kors, a luxury apparel brand, fell on investor concerns about growing inventory, margin growth and management’s ability to execute strategy. Shares of Laredo Petroleum, an independent oil and natural gas exploration and production company, fell amid weakness in global oil prices. Shares of Kirby, a tank and barge operator, fell on disappointing revenue and the lower revision to the company’s earnings forecast.
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. | Acuity Brands, Inc. | 2.3 | % | |||||
| 2. | Sherwin-Williams Co. (The) | 2.3 | ||||||
| 3. | CBRE Group, Inc., Class A | 2.1 | ||||||
| 4. | Mohawk Industries, Inc. | 1.9 | ||||||
| 5. | NXP Semiconductors N.V., (Netherlands) | 1.9 | ||||||
| 6. | Alliance Data Systems Corp. | 1.8 | ||||||
| 7. | McGraw Hill Financial, Inc. | 1.7 | ||||||
| 8. | Delta Air Lines, Inc. | 1.7 | ||||||
| 9. | Monster Beverage Corp. | 1.7 | ||||||
| 10. | Carlisle Cos., Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 24.7 | % | ||
| Consumer Discretionary | 18.9 | |||
| Health Care | 16.4 | |||
| Industrials | 15.5 | |||
| Financials | 11.5 | |||
| Materials | 3.3 | |||
| Energy | 2.7 | |||
| Consumer Staples | 2.6 | |||
Short-Term Investment | 4.4 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 1 | Effective July 23, 2014, following approval from the Fund’s Board of Trustees, shareholders approved the change to the Fund’s investment objective. The current investment objective is stated above. Prior to July 23, 2014, the Fund’s investment objective was to seek growth of capital and secondarily, current income by investing primarily in equity securities. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 12.37 | % | 19.83 | % | 10.13 | % | ||||||||
With Sales Charge* | 6.48 | 18.53 | 9.54 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 11.78 | 19.22 | 9.52 | |||||||||||
With CDSC** | 10.78 | 19.22 | 9.52 | |||||||||||
CLASS R2 SHARES | June 19, 2009 | 12.18 | 19.64 | 9.96 | ||||||||||
CLASS R5 SHARES | November 1, 2011 | 12.87 | 20.32 | 10.51 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 12.96 | 20.37 | 10.53 | ||||||||||
SELECT CLASS SHARES | March 2, 1989 | 12.72 | 20.19 | 10.45 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 8.19% | |||
| Russell Midcap Value Index | 3.67% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 15,959,073 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s underweight position and security selection in the energy sector and its security selection and overweight position in the consumer discretionary sector were leading contributors to performance relative to the Benchmark, while the Fund’s underweight position in the health care sector and security selection in the utilities sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kroger Co., Expedia Inc. and Cigna Corp. Shares of Kroger, a supermarket chain not held in the Benchmark, rose on increased consumer spending in the U.S., an increase in its dividend and a share repurchase program. Shares of Expedia, an online travel service not held in the Benchmark, rose on growth in earnings and revenue. Shares of Cigna, a health insurer, rose on news of a $54 billion takeover offer from Anthem Inc.
Leading individual detractors from relative performance included the Fund’s overweight positions in Southwestern Energy Co. and MSC Industrial Direct Co. and its underweight position in HCA Holdings Inc. Shares of Southwestern Energy, an oil and gas exploration and production company, declined on global weakness in energy prices. Shares of MSC Industrial, a provider of metalworking products, fell after the company forecast sales and earnings below analysts’ estimates. Shares of HCA Holdings, an owner/operator of hospitals and other medical centers that was not held by the Fund, rose on the company’s improved forecast for earnings and revenue.
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. Relative to the Benchmark, the Fund had an overweight position in consumer discretionary stocks during the twelve month reporting period. The Fund’s largest relative underweight position was in the health care sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Cigna Corp. | 1.7 | % | |||||
| 2. | Kohl’s Corp. | 1.7 | ||||||
| 3. | Mohawk Industries, Inc. | 1.6 | ||||||
| 4. | Energen Corp. | 1.6 | ||||||
| 5. | Humana, Inc. | 1.6 | ||||||
| 6. | Jack Henry & Associates, Inc. | 1.5 | ||||||
| 7. | Loews Corp. | 1.5 | ||||||
| 8. | Fifth Third Bancorp | 1.5 | ||||||
| 9. | Arrow Electronics, Inc. | 1.5 | ||||||
| 10. | Synopsys, Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 29.5 | % | ||
| Consumer Discretionary | 18.7 | |||
| Industrials | 9.4 | |||
| Utilities | 8.6 | |||
| Information Technology | 8.5 | |||
| Health Care | 6.5 | |||
| Consumer Staples | 5.7 | |||
| Materials | 5.1 | |||
Energy | 3.9 | |||
Short-Term Investment | 4.1 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||
Without Sales Charge | 7.68 | % | 18.10 | % | 9.10 | % | ||||||||
With Sales Charge* | 2.04 | 16.83 | 8.51 | |||||||||||
CLASS C SHARES | April 30, 2001 | |||||||||||||
Without CDSC | 7.12 | 17.50 | 8.55 | |||||||||||
With CDSC** | 6.12 | 17.50 | 8.55 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 7.38 | 17.80 | 8.91 | ||||||||||
INSTITUTIONAL CLASS SHARES | November 13, 1997 | 8.19 | 18.69 | 9.63 | ||||||||||
SELECT CLASS SHARES | October 31, 2001 | 7.92 | 18.40 | 9.37 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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, 2015 | 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, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -0.20% | |||
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.02% | |||
| Net Assets as of 6/30/15 (In Thousands) | $ | 290,680 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection process produced positive returns in the energy and health care sectors and negative returns in the consumer discretionary and utilities sectors.
Leading individual detractors from Fund returns included its short positions in Nuance Communications Inc. and Electronic Arts Inc. and its long positions in Kate Spade & Co. Shares of Nuance Communications, a provider of voice recognition and related technologies, rose on strong quarterly earnings and positive trends in the industry. Shares of Electronic Arts, a developer of videogame software and content, rose on positive earnings announcements, strong industry fundamentals and popular new releases. Shares of Kate Spade, a brand name apparel maker, fell on slowing sales growth.
Leading individual contributors to Fund returns included its long position in McDermott International Inc. and its short positions in Rovi Corp. and Southwest Airlines Co. Shares of McDermott International, a provider of engineering and construction services to the energy industry, rose on news of an organizational restructuring and the winning of several large contracts. Shares of Rovi, a provider of television guide programs to cable TV companies, declined on investor worries about the company’s prospects for contract renewals and litigation over key technology patents. Shares of Southwest Airlines, a passenger airline operator, fell on weak growth in large markets and volatility in fuel prices.
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. | Nuance Communications, Inc. | 1.0 | % | |||||
| 2. | Apple, Inc. | 1.0 | ||||||
| 3. | Archer-Daniels-Midland Co. | 1.0 | ||||||
| 4. | eBay, Inc. | 1.0 | ||||||
| 5. | Intuit, Inc. | 1.0 | ||||||
| 6. | Darden Restaurants, Inc. | 1.0 | ||||||
| 7. | Target Corp. | 1.0 | ||||||
| 8. | Electronic Arts, Inc. | 1.0 | ||||||
| 9. | Lowe’s Cos., Inc. | 1.0 | ||||||
| 10. | ServiceMaster Global Holdings, Inc. | 1.0 | ||||||
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
| 1. | Brown-Forman Corp., Class B | 1.3 | % | |||||
| 2. | Estee Lauder Cos., Inc. (The), Class A | 1.2 | ||||||
| 3. | McCormick & Co., Inc. (Non-Voting) | 1.2 | ||||||
| 4. | Hain Celestial Group, Inc. (The) | 1.2 | ||||||
| 5. | Dominion Resources, Inc. | 1.2 | ||||||
| 6. | Team Health Holdings, Inc. | 1.1 | ||||||
| 7. | Tenet Healthcare Corp. | 1.1 | ||||||
| 8. | Cooper Cos., Inc. (The) | 1.1 | ||||||
| 9. | Markel Corp. | 1.1 | ||||||
| 10. | Acadia Healthcare Co., Inc. | 1.1 | ||||||
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 23.3 | % | ||
| Industrials | 15.1 | |||
| Consumer Discretionary | 13.2 | |||
| Health Care | 11.3 | |||
| Consumer Staples | 6.9 | |||
| Energy | 4.2 | |||
| Financials | 4.2 | |||
| Materials | 3.9 | |||
| Utilities | 2.9 | |||
| Telecommunication Services | 1.8 | |||
| Short-Term Investment | 13.2 | |||
| 12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 23.8 | % | ||
| Industrials | 19.9 | |||
| Consumer Discretionary | 15.1 | |||
| Health Care | 12.0 | |||
| Consumer Staples | 9.1 | |||
| Financials | 5.8 | |||
| Energy | 5.1 | |||
| Materials | 4.1 | |||
| Utilities | 3.2 | |||
| Telecommunication Services | 1.9 | |||
| * | 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 long investments as of June 30, 2015. The Fund’s portfolio composition is subject to change. |
| **** | Percentages indicated are based on total short investments as of June 30, 2015. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2015 | 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, 2015 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 23, 2003 | |||||||||||||
Without Sales Charge | (0.40 | )% | 0.33 | % | 0.25 | % | ||||||||
With Sales Charge* | (5.64 | ) | (0.75 | ) | (0.29 | ) | ||||||||
CLASS C SHARES | May 23, 2003 | |||||||||||||
Without CDSC | (0.96 | ) | (0.32 | ) | (0.45 | ) | ||||||||
With CDSC** | (1.96 | ) | (0.32 | ) | (0.45 | ) | ||||||||
SELECT CLASS SHARES | May 23, 2003 | (0.20 | ) | 0.57 | 0.49 | |||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Index from June 30, 2015 to June 30, 2015. Return information prior to October 31, 2005 for the Lipper Alternative Equity Market Neutral Funds Index is not provided by Lipper, Inc. 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 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 BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Alternative Equity Market Neutral 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.
| 14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 6.36% | |||
| Russell 3000 Value Index | 3.86% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 11,294,507 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s underweight position and security selection in the energy sector and its security selection and overweight position in the consumer discretionary sector were leading contributors to performance relative to the Benchmark, while the Fund’s underweight position in the health care sector and security selection in the financial services sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in Chevron Corp. and its overweight positions in Valeant Pharmaceuticals International Inc. and Aetna Inc. Shares of Chevron, an integrated energy producer not held by the Fund, fell amid continued weakness in global energy prices. Shares of Valeant, a drug and medical device maker not held in the Benchmark, rose on strong profit and revenue growth. Shares of Aetna, a health insurer, rose after the company raised its earnings forecast.
Leading individual detractors from relative performance included the Fund’s overweight positions in Consol Energy Inc. and Southwestern Energy Co. and its underweight position in JPMorgan Chase & Co. Shares of both Consol Energy and Southwestern Energy, oil and gas exploration and production companies, fell amid continued weakness in global energy prices. Shares of J.P Morgan, a banking and financial services company that cannot be held by the Fund, rose on earnings and revenue growth.
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 position continued to be in the consumer discretionary sector, where the Fund’s portfolio managers found what they believed to be compelling investment opportunities.
The Fund’s largest underweight position was in 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. | Wells Fargo & Co. | 3.8 | % | |||||
| 2. | Exxon Mobil Corp. | 2.2 | ||||||
| 3. | Pfizer, Inc. | 2.1 | ||||||
| 4. | Capital One Financial Corp. | 2.0 | ||||||
| 5. | Bank of America Corp. | 1.8 | ||||||
| 6. | Johnson & Johnson | 1.6 | ||||||
| 7. | Loews Corp. | 1.6 | ||||||
| 8. | American International Group, Inc. | 1.6 | ||||||
| 9. | Kohl’s Corp. | 1.5 | ||||||
| 10. | Merck & Co., Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 32.8 | % | ||
| Consumer Discretionary | 14.7 | |||
| Health Care | 8.8 | |||
| Industrials | 7.4 | |||
| Energy | 7.2 | |||
| Utilities | 5.4 | |||
| Consumer Staples | 4.8 | |||
| Information Technology | 4.6 | |||
| Materials | 3.7 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 9.1 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 28, 2005 | |||||||||||||
Without Sales Charge | 5.78 | % | 16.69 | % | 9.36 | % | ||||||||
With Sales Charge* | 0.21 | 15.44 | 8.77 | |||||||||||
CLASS C SHARES | February 28, 2005 | |||||||||||||
Without CDSC | 5.26 | 16.11 | 8.82 | |||||||||||
With CDSC** | 4.26 | 16.11 | 8.82 | |||||||||||
INSTITUTIONAL CLASS SHARES | February 28, 2005 | 6.36 | 17.28 | 9.86 | ||||||||||
SELECT CLASS SHARES | February 28, 2005 | 6.05 | 16.98 | 9.64 | ||||||||||
| * | 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. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2005 to June 30, 2015. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.2% |
| ||||||
Consumer Discretionary — 16.4% | ||||||||
Automobiles — 1.1% |
| |||||||
| 220 | Tesla Motors, Inc. (a) | 58,937 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.3% |
| |||||||
| 1,858 | Hilton Worldwide Holdings, Inc. (a) | 51,182 | ||||||
| 1,246 | Starbucks Corp. | 66,826 | ||||||
|
| |||||||
| 118,008 | ||||||||
|
| |||||||
Household Durables — 1.2% |
| |||||||
| 336 | Mohawk Industries, Inc. (a) | 64,047 | ||||||
|
| |||||||
Internet & Catalog Retail — 6.0% |
| |||||||
| 277 | Amazon.com, Inc. (a) | 120,417 | ||||||
| 133 | Netflix, Inc. (a) | 87,373 | ||||||
| 57 | Priceline Group, Inc. (The) (a) | 65,052 | ||||||
| 988 | Wayfair, Inc., Class A (a) | 37,188 | ||||||
|
| |||||||
| 310,030 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 518 | Dollar General Corp. | 40,293 | ||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
| 1,044 | GameStop Corp., Class A | 44,842 | ||||||
| 859 | Home Depot, Inc. (The) | 95,416 | ||||||
| 405 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 62,521 | ||||||
| 662 | Urban Outfitters, Inc. (a) | 23,177 | ||||||
|
| |||||||
| 225,956 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 1,146 | Wolverine World Wide, Inc. | 32,632 | ||||||
|
| |||||||
Total Consumer Discretionary | 849,903 | |||||||
|
| |||||||
Consumer Staples — 1.7% | ||||||||
Beverages — 0.9% |
| |||||||
| 347 | Monster Beverage Corp. (a) | 46,492 | ||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
| 1,542 | Sprouts Farmers Market, Inc. (a) | 41,592 | ||||||
|
| |||||||
Total Consumer Staples | 88,084 | |||||||
|
| |||||||
Energy — 2.6% | ||||||||
Energy Equipment & Services — 0.4% |
| |||||||
| 284 | Dril-Quip, Inc. (a) | 21,363 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
| 582 | Concho Resources, Inc. (a) | 66,244 | ||||||
| 920 | Range Resources Corp. | 45,440 | ||||||
|
| |||||||
| 111,684 | ||||||||
|
| |||||||
Total Energy | 133,047 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Financials — 9.2% | ||||||||
Banks — 2.0% |
| |||||||
| 872 | East West Bancorp, Inc. | 39,088 | ||||||
| 437 | Signature Bank (a) | 63,928 | ||||||
|
| |||||||
| 103,016 | ||||||||
|
| |||||||
Capital Markets — 3.5% |
| |||||||
| 321 | Affiliated Managers Group, Inc. (a) | 70,214 | ||||||
| 1,069 | Lazard Ltd., (Bermuda), Class A | 60,132 | ||||||
| 1,480 | TD Ameritrade Holding Corp. | 54,486 | ||||||
|
| |||||||
| 184,832 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
| 757 | McGraw Hill Financial, Inc. | 76,071 | ||||||
|
| |||||||
Insurance — 0.5% |
| |||||||
| 376 | AmTrust Financial Services, Inc. | 24,608 | ||||||
|
| |||||||
Real Estate Management & Development — 1.7% |
| |||||||
| 2,375 | CBRE Group, Inc., Class A (a) | 87,886 | ||||||
|
| |||||||
Total Financials | 476,413 | |||||||
|
| |||||||
Health Care — 20.8% | ||||||||
Biotechnology — 8.6% |
| |||||||
| 284 | Alexion Pharmaceuticals, Inc. (a) | 51,303 | ||||||
| 725 | Celgene Corp. (a) | 83,908 | ||||||
| 1,237 | Gilead Sciences, Inc. | 144,769 | ||||||
| 393 | Kite Pharma, Inc. (a) | 23,967 | ||||||
| 203 | Regeneron Pharmaceuticals, Inc. (a) | 103,352 | ||||||
| 311 | Vertex Pharmaceuticals, Inc. (a) | 38,427 | ||||||
|
| |||||||
| 445,726 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.4% |
| |||||||
| 1,566 | Novadaq Technologies, Inc., (Canada) (a) | 18,968 | ||||||
|
| |||||||
Health Care Providers & Services — 7.1% | ||||||||
| 811 | Acadia Healthcare Co., Inc. (a) | 63,549 | ||||||
| 1,056 | Envision Healthcare Holdings, Inc. (a) | 41,703 | ||||||
| 364 | Humana, Inc. (m) | 69,530 | ||||||
| 277 | McKesson Corp. | 62,228 | ||||||
| 1,079 | UnitedHealth Group, Inc. | 131,650 | ||||||
|
| |||||||
| 368,660 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
| 1,245 | Veeva Systems, Inc., Class A (a) | 34,900 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.9% |
| |||||||
| 703 | Fluidigm Corp. (a) | 17,008 | ||||||
| 388 | Illumina, Inc. (a) | 84,811 | ||||||
|
| |||||||
| 101,819 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Pharmaceuticals — 2.1% |
| |||||||
| 487 | Valeant Pharmaceuticals International, Inc. (a) | 108,187 | ||||||
|
| |||||||
Total Health Care | 1,078,260 | |||||||
|
| |||||||
Industrials — 11.1% | ||||||||
Airlines — 1.0% | ||||||||
| 1,304 | Delta Air Lines, Inc. | 53,581 | ||||||
|
| |||||||
Building Products — 2.6% |
| |||||||
| 285 | Advanced Drainage Systems, Inc. | 8,354 | ||||||
| 922 | Fortune Brands Home & Security, Inc. | 42,265 | ||||||
| 386 | Lennox International, Inc. | 41,568 | ||||||
| 833 | Trex Co., Inc. (a) | 41,160 | ||||||
|
| |||||||
| 133,347 | ||||||||
|
| |||||||
Electrical Equipment — 2.0% | ||||||||
| 581 | Acuity Brands, Inc. | 104,586 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% | ||||||||
| 750 | Carlisle Cos., Inc. | 75,100 | ||||||
|
| |||||||
Machinery — 1.2% | ||||||||
| 488 | Pall Corp. | 60,669 | ||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
| 441 | Old Dominion Freight Line, Inc. (a) | 30,265 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.3% | ||||||||
| 1,788 | HD Supply Holdings, Inc. (a) | 62,913 | ||||||
| 557 | Rush Enterprises, Inc., Class A (a) | 14,604 | ||||||
| 343 | Watsco, Inc. | 42,418 | ||||||
|
| |||||||
| 119,935 | ||||||||
|
| |||||||
Total Industrials | 577,483 | |||||||
|
| |||||||
Information Technology — 30.9% | ||||||||
Communications Equipment — 1.6% | ||||||||
| 574 | Arista Networks, Inc. (a) | 46,911 | ||||||
| 219 | Palo Alto Networks, Inc. (a) | 38,329 | ||||||
|
| |||||||
| 85,240 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 907 | Amphenol Corp., Class A | 52,579 | ||||||
|
| |||||||
Internet Software & Services — 8.1% | ||||||||
| 232 | CoStar Group, Inc. (a) | 46,632 | ||||||
| 664 | Dealertrack Technologies, Inc. (a) | 41,680 | ||||||
| 2,256 | Facebook, Inc., Class A (a) | 193,469 | ||||||
| 268 | Google, Inc., Class C (a) | 139,343 | ||||||
|
| |||||||
| 421,124 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — 6.7% | ||||||||
| 239 | Alliance Data Systems Corp. (a) | 69,803 | ||||||
| 497 | Gartner, Inc. (a) | 42,590 | ||||||
| 1,176 | MasterCard, Inc., Class A | 109,932 | ||||||
| 1,145 | VeriFone Systems, Inc. (a) | 38,898 | ||||||
| 1,285 | Visa, Inc., Class A | 86,254 | ||||||
|
| |||||||
| 347,477 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
| 467 | Avago Technologies Ltd., (Singapore) | 62,052 | ||||||
| 462 | Lam Research Corp. | 37,608 | ||||||
| 843 | NXP Semiconductors N.V., (Netherlands) (a) | 82,753 | ||||||
|
| |||||||
| 182,413 | ||||||||
|
| |||||||
Software — 5.6% |
| |||||||
| 705 | Adobe Systems, Inc. (a) | 57,112 | ||||||
| 747 | Electronic Arts, Inc. (a) | 49,682 | ||||||
| 823 | Guidewire Software, Inc. (a) | 43,551 | ||||||
| 1,162 | Microsoft Corp. | 51,289 | ||||||
| 601 | Mobileye N.V., (Israel) (a) | 31,976 | ||||||
| 437 | ServiceNow, Inc. (a) | 32,481 | ||||||
| 291 | Workday, Inc., Class A (a) | 22,191 | ||||||
|
| |||||||
| 288,282 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.4% |
| |||||||
| 1,605 | Apple, Inc. (m) | 201,276 | ||||||
| 953 | Nimble Storage, Inc. (a) | 26,744 | ||||||
|
| |||||||
| 228,020 | ||||||||
|
| |||||||
Total Information Technology | 1,605,135 | |||||||
|
| |||||||
Materials — 4.5% |
| |||||||
Chemicals — 3.9% |
| |||||||
| 416 | Air Products & Chemicals, Inc. (m) | 56,976 | ||||||
| 636 | PPG Industries, Inc. | 72,927 | ||||||
| 263 | Sherwin-Williams Co. (The) | 72,413 | ||||||
|
| |||||||
| 202,316 | ||||||||
|
| |||||||
Construction Materials — 0.6% |
| |||||||
| 433 | Eagle Materials, Inc. | 33,021 | ||||||
|
| |||||||
Total Materials | 235,337 | |||||||
|
| |||||||
Total Common Stocks | 5,043,662 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.0% |
| ||||||
Investment Company — 4.0% |
| |||||||
| 205,478 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 205,478 | ||||||
|
| |||||||
Total Investments — 101.2% | 5,249,140 | |||||||
Liabilities in Excess of | (60,860 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,188,280 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.6% | |||||||
Consumer Discretionary — 18.9% | ||||||||
Automobiles — 0.9% | ||||||||
| 249 | Harley-Davidson, Inc. | 14,005 | ||||||
| 58 | Tesla Motors, Inc. (a) | 15,586 | ||||||
|
| |||||||
| 29,591 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
| 118 | Genuine Parts Co. | 10,592 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
| 911 | Hilton Worldwide Holdings, Inc. (a) | 25,109 | ||||||
| 131 | Marriott International, Inc., Class A | 9,752 | ||||||
| 399 | Norwegian Cruise Line Holdings Ltd. (a) | 22,348 | ||||||
| 153 | Starwood Hotels & Resorts Worldwide, Inc. | 12,412 | ||||||
|
| |||||||
| 69,621 | ||||||||
|
| |||||||
Household Durables — 2.8% |
| |||||||
| 345 | Jarden Corp. (a) | 17,842 | ||||||
| 309 | Mohawk Industries, Inc. (a) | 58,897 | ||||||
| 389 | Toll Brothers, Inc. (a) | 14,863 | ||||||
|
| |||||||
| 91,602 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 190 | Expedia, Inc. | 20,732 | ||||||
| 34 | Netflix, Inc. (a) | 22,533 | ||||||
| 107 | TripAdvisor, Inc. (a) | 9,315 | ||||||
|
| |||||||
| 52,580 | ||||||||
|
| |||||||
Media — 1.6% |
| |||||||
| 194 | CBS Corp. (Non-Voting), Class B | 10,791 | ||||||
| 262 | DISH Network Corp., Class A (a) | 17,713 | ||||||
| 195 | Gannett Co., Inc. (a) | 2,723 | ||||||
| 389 | TEGNA, Inc. | 12,485 | ||||||
| 354 | Time, Inc. | 8,138 | ||||||
|
| |||||||
| 51,850 | ||||||||
|
| |||||||
Multiline Retail — 2.5% |
| |||||||
| 368 | Big Lots, Inc. | 16,539 | ||||||
| 309 | Dollar General Corp. | 23,993 | ||||||
| 447 | Kohl’s Corp. | 27,962 | ||||||
| 183 | Nordstrom, Inc. | 13,654 | ||||||
|
| |||||||
| 82,148 | ||||||||
|
| |||||||
Specialty Retail — 5.8% |
| |||||||
| 28 | AutoZone, Inc. (a) | 18,767 | ||||||
| 272 | Bed Bath & Beyond, Inc. (a) | 18,750 | ||||||
| 518 | Best Buy Co., Inc. | 16,879 | ||||||
| 387 | GameStop Corp., Class A | 16,643 | ||||||
| 516 | Gap, Inc. (The) | 19,698 | ||||||
| 312 | GNC Holdings, Inc., Class A | 13,860 | ||||||
| 207 | Tiffany & Co. | 18,970 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 151 | Tractor Supply Co. | 13,608 | ||||||
| 158 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 24,434 | ||||||
| 461 | Urban Outfitters, Inc. (a) | 16,150 | ||||||
| 165 | Williams-Sonoma, Inc. | 13,548 | ||||||
|
| |||||||
| 191,307 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
| 394 | Gildan Activewear, Inc., (Canada) | 13,109 | ||||||
| 131 | PVH Corp. | 15,100 | ||||||
| 70 | Ralph Lauren Corp. | 9,245 | ||||||
| 105 | V.F. Corp. | 7,339 | ||||||
|
| |||||||
| 44,793 | ||||||||
|
| |||||||
Total Consumer Discretionary | 624,084 | |||||||
|
| |||||||
Consumer Staples — 4.2% |
| |||||||
Beverages — 1.6% |
| |||||||
| 109 | Constellation Brands, Inc., Class A | 12,685 | ||||||
| 187 | Dr. Pepper Snapple Group, Inc. | 13,607 | ||||||
| 207 | Monster Beverage Corp. (a) | 27,796 | ||||||
|
| |||||||
| 54,088 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.7% |
| |||||||
| 310 | Kroger Co. (The) | 22,472 | ||||||
| 1,977 | Rite Aid Corp. (a) | 16,509 | ||||||
| 576 | Sprouts Farmers Market, Inc. (a) | 15,541 | ||||||
|
| |||||||
| 54,522 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
| 150 | Hershey Co. (The) | 13,353 | ||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
| 130 | Energizer Holdings, Inc. | 17,159 | ||||||
| 13 | Energizer SpinCo, Inc. (a) (w) | 450 | ||||||
|
| |||||||
| 17,609 | ||||||||
|
| |||||||
Total Consumer Staples | 139,572 | |||||||
|
| |||||||
Energy — 3.6% |
| |||||||
Energy Equipment & Services — 0.3% |
| |||||||
| 132 | Dril-Quip, Inc. (a) | 9,963 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
| 202 | Concho Resources, Inc. (a) | 23,045 | ||||||
| 390 | Energen Corp. | 26,624 | ||||||
| 267 | EQT Corp. | 21,724 | ||||||
| 278 | PBF Energy, Inc., Class A | 7,888 | ||||||
| 283 | Range Resources Corp. | 13,950 | ||||||
| 731 | Southwestern Energy Co. (a) | 16,615 | ||||||
|
| |||||||
| 109,846 | ||||||||
|
| |||||||
Total Energy | 119,809 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Financials — 20.4% | ||||||||
Banks — 4.5% | ||||||||
| 442 | Citizens Financial Group, Inc. | 12,079 | ||||||
| 126 | City National Corp. | 11,378 | ||||||
| 392 | East West Bancorp, Inc. | 17,570 | ||||||
| 1,083 | Fifth Third Bancorp | 22,556 | ||||||
| 175 | First Republic Bank | 11,033 | ||||||
| 550 | Huntington Bancshares, Inc. | 6,223 | ||||||
| 136 | M&T Bank Corp. | 17,025 | ||||||
| 157 | Signature Bank (a) | 22,939 | ||||||
| 515 | SunTrust Banks, Inc. | 22,155 | ||||||
| 168 | Zions Bancorporation | 5,346 | ||||||
|
| |||||||
| 148,304 | ||||||||
|
| |||||||
Capital Markets — 4.4% |
| |||||||
| 126 | Affiliated Managers Group, Inc. (a) | 27,609 | ||||||
| 164 | Ameriprise Financial, Inc. | 20,429 | ||||||
| 381 | Invesco Ltd. | 14,292 | ||||||
| 411 | Lazard Ltd., (Bermuda), Class A | 23,092 | ||||||
| 169 | Legg Mason, Inc. | 8,727 | ||||||
| 152 | Northern Trust Corp. | 11,628 | ||||||
| 225 | T. Rowe Price Group, Inc. | 17,479 | ||||||
| 636 | TD Ameritrade Holding Corp. | 23,429 | ||||||
|
| |||||||
| 146,685 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
| 534 | Ally Financial, Inc. (a) | 11,972 | ||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
| 281 | McGraw Hill Financial, Inc. | 28,196 | ||||||
| 169 | Moody’s Corp. | 18,278 | ||||||
|
| |||||||
| 46,474 | ||||||||
|
| |||||||
Insurance — 4.4% |
| |||||||
| 22 | Alleghany Corp. (a) | 10,465 | ||||||
| 148 | Chubb Corp. (The) | 14,118 | ||||||
| 441 | Hartford Financial Services Group, Inc. (The) | 18,347 | ||||||
| 636 | Loews Corp. | 24,491 | ||||||
| 392 | Marsh & McLennan Cos., Inc. | 22,205 | ||||||
| 500 | Old Republic International Corp. | 7,815 | ||||||
| 278 | Progressive Corp. (The) | 7,745 | ||||||
| 430 | Unum Group | 15,371 | ||||||
| 169 | W.R. Berkley Corp. | 8,780 | ||||||
| 459 | XL Group plc, (Ireland) | 17,066 | ||||||
|
| |||||||
| 146,403 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.0% |
| |||||||
| 273 | American Campus Communities, Inc. | 10,288 | ||||||
| 105 | AvalonBay Communities, Inc. | 16,739 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 80 | Boston Properties, Inc. | 9,704 | ||||||
| 549 | Brixmor Property Group, Inc. | 12,691 | ||||||
| 535 | General Growth Properties, Inc. | 13,720 | ||||||
| 695 | Kimco Realty Corp. | 15,667 | ||||||
| 286 | Outfront Media, Inc. | 7,220 | ||||||
| 370 | Rayonier, Inc. | 9,444 | ||||||
| 159 | Regency Centers Corp. | 9,362 | ||||||
| 171 | Vornado Realty Trust | 16,274 | ||||||
| 387 | Weyerhaeuser Co. | 12,202 | ||||||
|
| |||||||
| 133,311 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.1% |
| |||||||
| 947 | CBRE Group, Inc., Class A (a) | 35,050 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
| 602 | Hudson City Bancorp, Inc. | 5,949 | ||||||
|
| |||||||
Total Financials | 674,148 | |||||||
|
| |||||||
Health Care — 11.5% |
| |||||||
Biotechnology — 1.4% |
| |||||||
| 98 | BioMarin Pharmaceutical, Inc. (a) | 13,377 | ||||||
| 41 | Intercept Pharmaceuticals, Inc. (a) | 9,993 | ||||||
| 66 | Receptos, Inc. (a) | 12,467 | ||||||
| 99 | Vertex Pharmaceuticals, Inc. (a) | 12,225 | ||||||
|
| |||||||
| 48,062 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
| 248 | Insulet Corp. (a) | 7,675 | ||||||
| 219 | Sirona Dental Systems, Inc. (a) | 21,992 | ||||||
|
| |||||||
| 29,667 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.3% |
| |||||||
| 287 | Acadia Healthcare Co., Inc. (a) | 22,442 | ||||||
| 169 | AmerisourceBergen Corp. | 17,955 | ||||||
| 865 | Brookdale Senior Living, Inc. (a) | 30,007 | ||||||
| 176 | Cigna Corp. | 28,498 | ||||||
| 635 | Envision Healthcare Holdings, Inc. (a) | 25,082 | ||||||
| 78 | Henry Schein, Inc. (a) | 11,071 | ||||||
| 254 | Humana, Inc. | 48,626 | ||||||
| 355 | Premier, Inc., Class A (a) | 13,642 | ||||||
| 67 | Universal Health Services, Inc., Class B | 9,585 | ||||||
|
| |||||||
| 206,908 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 125 | Inovalon Holdings, Inc., Class A (a) | 3,482 | ||||||
| 420 | Veeva Systems, Inc., Class A (a) | 11,777 | ||||||
|
| |||||||
| 15,259 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
| 117 | Illumina, Inc. (a) | 25,457 | ||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
| 404 | Horizon Pharma plc, (Ireland) (a) | 14,031 | ||||||
| 103 | Jazz Pharmaceuticals plc, (Ireland) (a) | 18,118 | ||||||
| 44 | Perrigo Co. plc, (Ireland) | 8,169 | ||||||
| 67 | Valeant Pharmaceuticals International, Inc. (a) | 14,840 | ||||||
|
| |||||||
| 55,158 | ||||||||
|
| |||||||
Total Health Care | 380,511 | |||||||
|
| |||||||
Industrials — 12.6% |
| |||||||
Airlines — 0.9% |
| |||||||
| 684 | Delta Air Lines, Inc. | 28,090 | ||||||
|
| |||||||
Building Products — 1.9% |
| |||||||
| 270 | A.O. Smith Corp. | 19,442 | ||||||
| 618 | Fortune Brands Home & Security, Inc. | 28,307 | ||||||
| 146 | Lennox International, Inc. | 15,701 | ||||||
|
| |||||||
| 63,450 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.9% |
| |||||||
| 126 | Stericycle, Inc. (a) | 16,813 | ||||||
| 255 | Waste Connections, Inc. | 12,016 | ||||||
|
| |||||||
| 28,829 | ||||||||
|
| |||||||
Electrical Equipment — 2.6% |
| |||||||
| 215 | Acuity Brands, Inc. | 38,660 | ||||||
| 291 | AMETEK, Inc. | 15,944 | ||||||
| 178 | Hubbell, Inc., Class B | 19,299 | ||||||
| 167 | Regal Beloit Corp. | 12,087 | ||||||
|
| |||||||
| 85,990 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
| 475 | Carlisle Cos., Inc. | 47,564 | ||||||
|
| |||||||
Machinery — 2.6% |
| |||||||
| 226 | IDEX Corp. | 17,760 | ||||||
| 160 | Middleby Corp. (The) (a) | 17,957 | ||||||
| 201 | Pall Corp. | 25,016 | ||||||
| 313 | Rexnord Corp. (a) | 7,492 | ||||||
| 99 | Snap-on, Inc. | 15,761 | ||||||
|
| |||||||
| 83,986 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
| 184 | Equifax, Inc. | 17,905 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.8% |
| |||||||
| 655 | HD Supply Holdings, Inc. (a) | 23,053 | ||||||
| 252 | MSC Industrial Direct Co., Inc., Class A | 17,596 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — continued |
| |||||||
| 156 | Watsco, Inc. | 19,322 | ||||||
|
| |||||||
| 59,971 | ||||||||
|
| |||||||
Total Industrials | 415,785 | |||||||
|
| |||||||
Information Technology — 16.8% |
| |||||||
Communications Equipment — 2.3% |
| |||||||
| 194 | Arista Networks, Inc. (a) | 15,890 | ||||||
| 631 | Ciena Corp. (a) | 14,937 | ||||||
| 341 | �� | CommScope Holding Co., Inc. (a) | 10,413 | |||||
| 213 | Harris Corp. | 16,413 | ||||||
| 105 | Palo Alto Networks, Inc. (a) | 18,326 | ||||||
|
| |||||||
| 75,979 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.7% |
| |||||||
| 754 | Amphenol Corp., Class A | 43,728 | ||||||
| 433 | Arrow Electronics, Inc. (a) | 24,161 | ||||||
| 238 | Fitbit, Inc., Class A (a) | 9,099 | ||||||
| 109 | Zebra Technologies Corp., Class A (a) | 12,071 | ||||||
|
| |||||||
| 89,059 | ||||||||
|
| |||||||
Internet Software & Services — 1.2% |
| |||||||
| 108 | CoStar Group, Inc. (a) | 21,796 | ||||||
| 246 | Dealertrack Technologies, Inc. (a) | 15,434 | ||||||
| 258 | Pandora Media, Inc. (a) | 4,015 | ||||||
|
| |||||||
| 41,245 | ||||||||
|
| |||||||
IT Services — 2.9% |
| |||||||
| 105 | Alliance Data Systems Corp. (a) | 30,741 | ||||||
| 210 | Gartner, Inc. (a) | 18,040 | ||||||
| 398 | Jack Henry & Associates, Inc. | 25,765 | ||||||
| 585 | VeriFone Systems, Inc. (a) | 19,873 | ||||||
|
| |||||||
| 94,419 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
| 242 | Analog Devices, Inc. | 15,556 | ||||||
| 946 | Applied Materials, Inc. | 18,184 | ||||||
| 122 | Avago Technologies Ltd., (Singapore) | 16,257 | ||||||
| 110 | KLA-Tencor Corp. | 6,170 | ||||||
| 208 | Lam Research Corp. | 16,896 | ||||||
| 316 | NXP Semiconductors N.V., (Netherlands) (a) | 31,031 | ||||||
| 433 | Xilinx, Inc. | 19,104 | ||||||
|
| |||||||
| 123,198 | ||||||||
|
| |||||||
Software — 4.0% |
| |||||||
| 70 | Autodesk, Inc. (a) | 3,505 | ||||||
| 390 | Electronic Arts, Inc. (a) | 25,922 | ||||||
| 314 | Guidewire Software, Inc. (a) | 16,641 | ||||||
| 291 | Mobileye N.V., (Israel) (a) | 15,483 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Software — continued |
| |||||||
| 104 | NetSuite, Inc. (a) | 9,560 | ||||||
| 200 | ServiceNow, Inc. (a) | 14,884 | ||||||
| 457 | Synopsys, Inc. (a) | 23,152 | ||||||
| 102 | Tableau Software, Inc., Class A (a) | 11,715 | ||||||
| 146 | Workday, Inc., Class A (a) | 11,168 | ||||||
|
| |||||||
| 132,030 | ||||||||
|
| |||||||
Total Information Technology | 555,930 | |||||||
|
| |||||||
Materials — 4.3% |
| |||||||
Chemicals — 2.4% |
| |||||||
| 187 | Airgas, Inc. | 19,830 | ||||||
| 172 | Albemarle Corp. | 9,530 | ||||||
| 182 | Sherwin-Williams Co. (The) | 50,178 | ||||||
|
| |||||||
| 79,538 | ||||||||
|
| |||||||
Construction Materials — 0.5% |
| |||||||
| 208 | Eagle Materials, Inc. | 15,892 | ||||||
|
| |||||||
Containers & Packaging — 1.4% |
| |||||||
| 191 | Ball Corp. | 13,393 | ||||||
| 202 | Rock-Tenn Co., Class A | 12,170 | ||||||
| 356 | Silgan Holdings, Inc. | 18,758 | ||||||
|
| |||||||
| 44,321 | ||||||||
|
| |||||||
Total Materials | 139,751 | |||||||
|
| |||||||
Utilities — 4.3% |
| |||||||
Electric Utilities — 1.3% |
| |||||||
| 229 | Edison International | 12,752 | ||||||
| 447 | Westar Energy, Inc. | 15,303 | ||||||
| 495 | Xcel Energy, Inc. | 15,927 | ||||||
|
| |||||||
| 43,982 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.9% |
| |||||||
| 172 | National Fuel Gas Co. | 10,114 | ||||||
| 906 | Questar Corp. | 18,939 | ||||||
|
| |||||||
| 29,053 | ||||||||
|
| |||||||
Multi-Utilities — 2.1% |
| |||||||
| 1,073 | CenterPoint Energy, Inc. | 20,422 | ||||||
| 480 | CMS Energy Corp. | 15,289 | ||||||
| 202 | NiSource, Inc. | 9,225 | ||||||
| 112 | Sempra Energy | 11,070 | ||||||
| 283 | WEC Energy Group, Inc. | 12,726 | ||||||
|
| |||||||
| 68,732 | ||||||||
|
| |||||||
Total Utilities | 141,767 | |||||||
|
| |||||||
Total Common Stocks | 3,191,357 | |||||||
|
| |||||||
| Short-Term Investment — 3.1% |
| ||||||
Investment Company — 3.1% |
| |||||||
| 102,329 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 102,329 | ||||||
|
| |||||||
Total Investments — 99.7% | 3,293,686 | |||||||
Other Assets in Excess of | 9,607 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,303,293 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.4% | |||||||
Consumer Discretionary — 19.0% | ||||||||
Automobiles — 1.8% | ||||||||
| 450 | Harley-Davidson, Inc. | 25,341 | ||||||
| 105 | Tesla Motors, Inc. (a) | 28,194 | ||||||
|
| |||||||
| 53,535 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% | ||||||||
| 1,683 | Hilton Worldwide Holdings, Inc. (a) | 46,367 | ||||||
| 737 | Norwegian Cruise Line Holdings Ltd. (a) | 41,290 | ||||||
|
| |||||||
| 87,657 | ||||||||
|
| |||||||
Household Durables — 2.8% | ||||||||
| 308 | Mohawk Industries, Inc. (a) | 58,797 | ||||||
| 721 | Toll Brothers, Inc. (a) | 27,531 | ||||||
|
| |||||||
| 86,328 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.9% | ||||||||
| 62 | Netflix, Inc. (a) | 40,796 | ||||||
| 199 | TripAdvisor, Inc. (a) | 17,324 | ||||||
|
| |||||||
| 58,120 | ||||||||
|
| |||||||
Multiline Retail — 2.4% | ||||||||
| 680 | Big Lots, Inc. | 30,607 | ||||||
| 569 | Dollar General Corp. | 44,203 | ||||||
|
| |||||||
| 74,810 | ||||||||
|
| |||||||
Specialty Retail — 5.9% | ||||||||
| 717 | GameStop Corp., Class A | 30,802 | ||||||
| 577 | GNC Holdings, Inc., Class A | 25,683 | ||||||
| 280 | Tractor Supply Co. | 25,210 | ||||||
| 292 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 45,130 | ||||||
| 854 | Urban Outfitters, Inc. (a) | 29,894 | ||||||
| 305 | Williams-Sonoma, Inc. | 25,117 | ||||||
|
| |||||||
| 181,836 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
| 731 | Gildan Activewear, Inc., (Canada) | 24,304 | ||||||
| 127 | Ralph Lauren Corp. | 16,816 | ||||||
|
| |||||||
| 41,120 | ||||||||
|
| |||||||
Total Consumer Discretionary | 583,406 | |||||||
|
| |||||||
Consumer Staples — 2.6% | ||||||||
Beverages — 1.7% | ||||||||
| 383 | Monster Beverage Corp. (a) | 51,316 | ||||||
|
| |||||||
Food & Staples Retailing — 0.9% | ||||||||
| 1,067 | Sprouts Farmers Market, Inc. (a) | 28,774 | ||||||
|
| |||||||
Total Consumer Staples | 80,090 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 2.8% | ||||||||
Energy Equipment & Services — 0.6% | ||||||||
| 241 | Dril-Quip, Inc. (a) | 18,105 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||||
| 366 | Concho Resources, Inc. (a) | 41,707 | ||||||
| 511 | Range Resources Corp. | 25,243 | ||||||
|
| |||||||
| 66,950 | ||||||||
|
| |||||||
Total Energy | 85,055 | |||||||
|
| |||||||
Financials — 11.6% | ||||||||
Banks — 2.2% | ||||||||
| 584 | East West Bancorp, Inc. | 26,161 | ||||||
| 285 | Signature Bank (a) | 41,692 | ||||||
|
| |||||||
| 67,853 | ||||||||
|
| |||||||
Capital Markets — 4.5% | ||||||||
| 233 | Affiliated Managers Group, Inc. (a) | 50,890 | ||||||
| 758 | Lazard Ltd., (Bermuda), Class A | 42,628 | ||||||
| 1,175 | TD Ameritrade Holding Corp. | 43,274 | ||||||
|
| |||||||
| 136,792 | ||||||||
|
| |||||||
Diversified Financial Services — 2.8% | ||||||||
| 518 | McGraw Hill Financial, Inc. (m) | 52,033 | ||||||
| 313 | Moody’s Corp. | 33,803 | ||||||
|
| |||||||
| 85,836 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.1% |
| |||||||
| 1,747 | CBRE Group, Inc., Class A (a) | 64,647 | ||||||
|
| |||||||
Total Financials | 355,128 | |||||||
|
| |||||||
Health Care — 16.5% | ||||||||
Biotechnology — 2.9% | ||||||||
| 181 | BioMarin Pharmaceutical, Inc. (a) | 24,798 | ||||||
| 77 | Intercept Pharmaceuticals, Inc. (a) | 18,538 | ||||||
| 122 | Receptos, Inc. (a) | 23,129 | ||||||
| 179 | Vertex Pharmaceuticals, Inc. (a) | 22,140 | ||||||
|
| |||||||
| 88,605 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
| 442 | Insulet Corp. (a) | 13,695 | ||||||
| 405 | Sirona Dental Systems, Inc. (a) | 40,640 | ||||||
|
| |||||||
| 54,335 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.1% | ||||||||
| 529 | Acadia Healthcare Co., Inc. (a) | 41,468 | ||||||
| 900 | Brookdale Senior Living, Inc. (a) | 31,223 | ||||||
| 1,173 | Envision Healthcare Holdings, Inc. (a) | 46,318 | ||||||
| 226 | Humana, Inc. (m) | 43,214 | ||||||
| 658 | Premier, Inc., Class A (a) | 25,295 | ||||||
|
| |||||||
| 187,518 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Health Care Technology — 0.9% | ||||||||
| 230 | Inovalon Holdings, Inc., Class A (a) | 6,428 | ||||||
| 779 | Veeva Systems, Inc., Class A (a) | 21,828 | ||||||
|
| |||||||
| 28,256 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
| 211 | Illumina, Inc. (a) | 46,074 | ||||||
|
| |||||||
Pharmaceuticals — 3.3% |
| |||||||
| 749 | Horizon Pharma plc, (Ireland) (a) | 26,010 | ||||||
| 190 | Jazz Pharmaceuticals plc, (Ireland) (a) | 33,506 | ||||||
| 82 | Perrigo Co. plc, (Ireland) | 15,211 | ||||||
| 124 | Valeant Pharmaceuticals International, Inc. (a) | 27,480 | ||||||
|
| |||||||
| 102,207 | ||||||||
|
| |||||||
Total Health Care | 506,995 | |||||||
|
| |||||||
Industrials — 15.6% |
| |||||||
Airlines — 1.7% |
| |||||||
| 1,262 | Delta Air Lines, Inc. | 51,843 | ||||||
|
| |||||||
Building Products — 3.1% |
| |||||||
| 499 | A.O. Smith Corp. | 35,947 | ||||||
| 650 | Fortune Brands Home & Security, Inc. | 29,797 | ||||||
| 270 | Lennox International, Inc. | 29,065 | ||||||
|
| |||||||
| 94,809 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.7% |
| |||||||
| 232 | Stericycle, Inc. (a) | 31,130 | ||||||
| 473 | Waste Connections, Inc. | 22,293 | ||||||
|
| |||||||
| 53,423 | ||||||||
|
| |||||||
Electrical Equipment — 2.3% |
| |||||||
| 396 | Acuity Brands, Inc. | 71,272 | ||||||
|
| |||||||
Industrial Conglomerates — 1.7% |
| |||||||
| 508 | Carlisle Cos., Inc. | 50,901 | ||||||
|
| |||||||
Machinery — 2.6% |
| |||||||
| 296 | Middleby Corp. (The) (a) | 33,209 | ||||||
| 363 | Pall Corp. | 45,225 | ||||||
|
| |||||||
| 78,434 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.5% |
| |||||||
| 1,211 | HD Supply Holdings, Inc. (a) | 42,592 | ||||||
| 288 | Watsco, Inc. | 35,588 | ||||||
|
| |||||||
| 78,180 | ||||||||
|
| |||||||
Total Industrials | 478,862 | |||||||
|
| |||||||
Information Technology — 25.0% |
| |||||||
Communications Equipment — 4.0% |
| |||||||
| 360 | Arista Networks, Inc. (a) | 29,410 | ||||||
| 1,168 | Ciena Corp. (a) | 27,661 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — continued |
| |||||||
| 394 | Harris Corp. (m) | 30,295 | ||||||
| 194 | Palo Alto Networks, Inc. (a) | 33,909 | ||||||
|
| |||||||
| 121,275 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.9% |
| |||||||
| 857 | Amphenol Corp., Class A | 49,680 | ||||||
| 427 | Fitbit, Inc., Class A (a) | 16,332 | ||||||
| 202 | Zebra Technologies Corp., Class A (a) | 22,388 | ||||||
|
| |||||||
| 88,400 | ||||||||
|
| |||||||
Internet Software & Services — 2.5% |
| |||||||
| 200 | CoStar Group, Inc. (a) | 40,292 | ||||||
| 441 | Dealertrack Technologies, Inc. (a) | 27,659 | ||||||
| 474 | Pandora Media, Inc. (a) | 7,367 | ||||||
|
| |||||||
| 75,318 | ||||||||
|
| |||||||
IT Services — 4.1% |
| |||||||
| 194 | Alliance Data Systems Corp. (a) | 56,724 | ||||||
| 389 | Gartner, Inc. (a) | 33,377 | ||||||
| 1,082 | VeriFone Systems, Inc. (a) | 36,738 | ||||||
|
| |||||||
| 126,839 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.9% |
| |||||||
| 1,750 | Applied Materials, Inc. | 33,631 | ||||||
| 221 | Avago Technologies Ltd., (Singapore) | 29,417 | ||||||
| 376 | Lam Research Corp. (m) | 30,579 | ||||||
| 583 | NXP Semiconductors N.V., (Netherlands) (a) | 57,251 | ||||||
|
| |||||||
| 150,878 | ||||||||
|
| |||||||
Software — 6.6% |
| |||||||
| 127 | Autodesk, Inc. (a) | 6,359 | ||||||
| 720 | Electronic Arts, Inc. (a) (m) | 47,867 | ||||||
| 583 | Guidewire Software, Inc. (a) | 30,874 | ||||||
| 539 | Mobileye N.V., (Israel) (a) | 28,664 | ||||||
| 194 | NetSuite, Inc. (a) | 17,781 | ||||||
| 371 | ServiceNow, Inc. (a) | 27,554 | ||||||
| 189 | Tableau Software, Inc., Class A (a) | 21,746 | ||||||
| 271 | Workday, Inc., Class A (a) | 20,725 | ||||||
|
| |||||||
| 201,570 | ||||||||
|
| |||||||
Total Information Technology | 764,280 | |||||||
|
| |||||||
Materials — 3.3% |
| |||||||
Chemicals — 2.3% |
| |||||||
| 259 | Sherwin-Williams Co. (The) | 71,230 | ||||||
|
| |||||||
Construction Materials — 1.0% | ||||||||
| 386 | Eagle Materials, Inc. | 29,425 | ||||||
|
| |||||||
Total Materials | 100,655 | |||||||
|
| |||||||
Total Common Stocks | 2,954,471 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.5% |
| ||||||
Investment Company — 4.5% |
| |||||||
| 136,866 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 136,866 | ||||||
|
| |||||||
Total Investments — 100.9% | 3,091,337 | |||||||
Liabilities in Excess of | (28,811 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,062,526 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.2% |
| ||||||
Consumer Discretionary — 18.8% |
| |||||||
Distributors — 0.6% |
| |||||||
| 1,143 | Genuine Parts Co. | 102,338 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
| 1,274 | Marriott International, Inc., Class A | 94,738 | ||||||
| 1,487 | Starwood Hotels & Resorts Worldwide, Inc. | 120,610 | ||||||
|
| |||||||
| 215,348 | ||||||||
|
| |||||||
Household Durables — 2.7% |
| |||||||
| 3,377 | Jarden Corp. (a) | 174,770 | ||||||
| 1,370 | Mohawk Industries, Inc. (a) | 261,509 | ||||||
|
| |||||||
| 436,279 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.3% |
| |||||||
| 1,946 | Expedia, Inc. | 212,814 | ||||||
|
| |||||||
Media — 3.3% |
| |||||||
| 1,867 | CBS Corp. (Non-Voting), Class B | 103,624 | ||||||
| 2,521 | DISH Network Corp., Class A (a) | 170,693 | ||||||
| 2,171 | Gannett Co., Inc. (a) | 30,370 | ||||||
| 4,342 | TEGNA, Inc. | 139,235 | ||||||
| 3,340 | Time, Inc. | 76,843 | ||||||
|
| |||||||
| 520,765 | ||||||||
|
| |||||||
Multiline Retail — 2.5% |
| |||||||
| 4,288 | Kohl’s Corp. | 268,460 | ||||||
| 1,774 | Nordstrom, Inc. | 132,185 | ||||||
|
| |||||||
| 400,645 | ||||||||
|
| |||||||
Specialty Retail — 5.6% |
| |||||||
| 268 | AutoZone, Inc. (a) | 178,481 | ||||||
| 2,641 | Bed Bath & Beyond, Inc. (a) | 182,191 | ||||||
| 5,053 | Best Buy Co., Inc. | 164,794 | ||||||
| 4,933 | Gap, Inc. (The) | 188,309 | ||||||
| 1,978 | Tiffany & Co. | 181,562 | ||||||
|
| |||||||
| 895,337 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
| 1,245 | PVH Corp. | 143,435 | ||||||
| 1,067 | V.F. Corp. | 74,439 | ||||||
|
| |||||||
| 217,874 | ||||||||
|
| |||||||
Total Consumer Discretionary | 3,001,400 | |||||||
|
| |||||||
Consumer Staples — 5.7% |
| |||||||
Beverages — 1.6% |
| |||||||
| 1,061 | Constellation Brands, Inc., Class A | 123,067 | ||||||
| 1,886 | Dr. Pepper Snapple Group, Inc. | 137,516 | ||||||
|
| |||||||
| 260,583 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 2.2% |
| |||||||
| 3,007 | Kroger Co. (The) | 218,016 | ||||||
| 15,560 | Rite Aid Corp. (a) | 129,926 | ||||||
|
| |||||||
| 347,942 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
| 1,448 | Hershey Co. (The) | 128,600 | ||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
| 1,262 | Energizer Holdings, Inc. | 165,979 | ||||||
| 130 | Energizer SpinCo, Inc. (a) (w) | 4,410 | ||||||
|
| |||||||
| 170,389 | ||||||||
|
| |||||||
Total Consumer Staples | 907,514 | |||||||
|
| |||||||
Energy — 4.0% |
| |||||||
Oil, Gas & Consumable Fuels — 4.0% |
| |||||||
| 3,791 | Energen Corp. | 258,952 | ||||||
| 2,596 | EQT Corp. | 211,159 | ||||||
| 2,622 | PBF Energy, Inc., Class A | 74,513 | ||||||
| 3,820 | Southwestern Energy Co. (a) | 86,825 | ||||||
|
| |||||||
Total Energy | 631,449 | |||||||
|
| |||||||
Financials — 29.6% |
| |||||||
Banks — 7.1% |
| |||||||
| 4,319 | Citizens Financial Group, Inc. | 117,962 | ||||||
| 1,324 | City National Corp. | 119,647 | ||||||
| 11,271 | Fifth Third Bancorp | 234,666 | ||||||
| 1,965 | First Republic Bank | 123,872 | ||||||
| 5,177 | Huntington Bancshares, Inc. | 58,551 | ||||||
| 1,674 | M&T Bank Corp. | 209,128 | ||||||
| 5,028 | SunTrust Banks, Inc. | 216,321 | ||||||
| 1,631 | Zions Bancorporation | 51,746 | ||||||
|
| |||||||
| 1,131,893 | ||||||||
|
| |||||||
Capital Markets — 4.6% |
| |||||||
| 1,655 | Ameriprise Financial, Inc. | 206,757 | ||||||
| 3,935 | Invesco Ltd. | 147,534 | ||||||
| 1,751 | Legg Mason, Inc. | 90,223 | ||||||
| 1,450 | Northern Trust Corp. | 110,892 | ||||||
| 2,309 | T. Rowe Price Group, Inc. | 179,514 | ||||||
|
| |||||||
| 734,920 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
| 4,995 | Ally Financial, Inc. (a) | 112,042 | ||||||
|
| |||||||
Insurance — 8.8% |
| |||||||
| 214 | Alleghany Corp. (a) | 100,285 | ||||||
| 1,449 | Chubb Corp. (The) | 137,880 | ||||||
| 4,279 | Hartford Financial Services Group, Inc. (The) | 177,866 | ||||||
| 6,215 | Loews Corp. | 239,342 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 3,701 | Marsh & McLennan Cos., Inc. | 209,849 | ||||||
| 4,727 | Old Republic International Corp. | 73,877 | ||||||
| 2,582 | Progressive Corp. (The) | 71,865 | ||||||
| 4,150 | Unum Group | 148,360 | ||||||
| 1,610 | W.R. Berkley Corp. | 83,627 | ||||||
| 4,448 | XL Group plc, (Ireland) | 165,465 | ||||||
|
| |||||||
| 1,408,416 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.0% |
| |||||||
| 2,601 | American Campus Communities, Inc. | 98,045 | ||||||
| 1,007 | AvalonBay Communities, Inc. | 161,043 | ||||||
| 763 | Boston Properties, Inc. | 92,295 | ||||||
| 5,251 | Brixmor Property Group, Inc. | 121,460 | ||||||
| 5,105 | General Growth Properties, Inc. | 130,989 | ||||||
| 6,696 | Kimco Realty Corp. | 150,919 | ||||||
| 2,720 | Outfront Media, Inc. | 68,663 | ||||||
| 3,520 | Rayonier, Inc. | 89,937 | ||||||
| 1,517 | Regency Centers Corp. | 89,470 | ||||||
| 1,636 | Vornado Realty Trust | 155,278 | ||||||
| 3,727 | Weyerhaeuser Co. | 117,400 | ||||||
|
| |||||||
| 1,275,499 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 6,261 | Hudson City Bancorp, Inc. | 61,860 | ||||||
|
| |||||||
Total Financials | 4,724,630 | |||||||
|
| |||||||
Health Care — 6.5% |
| |||||||
Health Care Providers & Services — 6.5% |
| |||||||
| 1,747 | AmerisourceBergen Corp. | 185,726 | ||||||
| 3,627 | Brookdale Senior Living, Inc. (a) | 125,859 | ||||||
| 1,709 | Cigna Corp. | 276,815 | ||||||
| 727 | Henry Schein, Inc. (a) | 103,358 | ||||||
| 1,353 | Humana, Inc. | 258,893 | ||||||
| 639 | Universal Health Services, Inc., Class B | 90,774 | ||||||
|
| |||||||
Total Health Care | 1,041,425 | |||||||
|
| |||||||
Industrials — 9.4% |
| |||||||
Building Products — 0.7% |
| |||||||
| 2,564 | Fortune Brands Home & Security, Inc. | 117,472 | ||||||
|
| |||||||
Electrical Equipment — 2.8% |
| |||||||
| 2,818 | AMETEK, Inc. | 154,355 | ||||||
| 1,705 | Hubbell, Inc., Class B | 184,580 | ||||||
| 1,578 | Regal Beloit Corp. | 114,530 | ||||||
|
| |||||||
| 453,465 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 1,939 | Carlisle Cos., Inc. | 194,114 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 2.5% |
| |||||||
| 2,179 | IDEX Corp. | 171,205 | ||||||
| 2,958 | Rexnord Corp. (a) | 70,715 | ||||||
| 954 | Snap-on, Inc. | 151,852 | ||||||
|
| |||||||
| 393,772 | ||||||||
|
| |||||||
Professional Services — 1.1% |
| |||||||
| 1,782 | Equifax, Inc. | 173,033 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
| 2,433 | MSC Industrial Direct Co., Inc., Class A | 169,764 | ||||||
|
| |||||||
Total Industrials | 1,501,620 | |||||||
|
| |||||||
Information Technology — 8.5% |
| |||||||
Communications Equipment — 0.6% |
| |||||||
| 3,270 | CommScope Holding Co., Inc. (a) | 99,760 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.5% |
| |||||||
| 2,766 | Amphenol Corp., Class A | 160,320 | ||||||
| 4,182 | Arrow Electronics, Inc. (a) | 233,341 | ||||||
|
| |||||||
| 393,661 | ||||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
| 3,796 | Jack Henry & Associates, Inc. | 245,631 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 2,489 | Analog Devices, Inc. | 159,732 | ||||||
| 1,141 | KLA-Tencor Corp. | 64,114 | ||||||
| 4,064 | Xilinx, Inc. | 179,459 | ||||||
|
| |||||||
| 403,305 | ||||||||
|
| |||||||
Software — 1.4% |
| |||||||
| 4,377 | Synopsys, Inc. (a) | 221,698 | ||||||
|
| |||||||
Total Information Technology | 1,364,055 | |||||||
|
| |||||||
Materials — 5.1% |
| |||||||
Chemicals — 2.4% |
| |||||||
| 1,813 | Airgas, Inc. | 191,794 | ||||||
| 1,638 | Albemarle Corp. | 90,554 | ||||||
| 401 | Sherwin-Williams Co. (The) | 110,172 | ||||||
|
| |||||||
| 392,520 | ||||||||
|
| |||||||
Containers & Packaging — 2.7% |
| |||||||
| 1,815 | Ball Corp. | 127,340 | ||||||
| 1,963 | Rock-Tenn Co., Class A | 118,144 | ||||||
| 3,450 | Silgan Holdings, Inc. | 182,012 | ||||||
|
| |||||||
| 427,496 | ||||||||
|
| |||||||
Total Materials | 820,016 | |||||||
|
| |||||||
Utilities — 8.6% |
| |||||||
Electric Utilities — 2.7% |
| |||||||
| 2,239 | Edison International | 124,436 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electric Utilities — continued | ||||||||
| 4,302 | Westar Energy, Inc. | 147,230 | ||||||
| 4,756 | Xcel Energy, Inc. | 153,037 | ||||||
|
| |||||||
| 424,703 | ||||||||
|
| |||||||
Gas Utilities — 1.7% |
| |||||||
| 1,628 | National Fuel Gas Co. | 95,845 | ||||||
| 8,852 | Questar Corp. | 185,090 | ||||||
|
| |||||||
| 280,935 | ||||||||
|
| |||||||
Multi-Utilities — 4.2% |
| |||||||
| 10,427 | CenterPoint Energy, Inc. | 198,421 | ||||||
| 4,664 | CMS Energy Corp. | 148,495 | ||||||
| 1,974 | NiSource, Inc. | 89,986 | ||||||
| 1,094 | Sempra Energy | 108,221 | ||||||
| 2,698 | WEC Energy Group, Inc. | 121,333 | ||||||
|
| |||||||
| 666,456 | ||||||||
|
| |||||||
Total Utilities | 1,372,094 | |||||||
|
| |||||||
Total Common Stocks | 15,364,203 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.1% |
| ||||||
Investment Company — 4.1% | ||||||||
| 648,674 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 648,674 | ||||||
|
| |||||||
Total Investments — 100.3% | 16,012,877 | |||||||
Liabilities in Excess of | (53,804 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 15,959,073 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 100.7% (j) |
| ||||||
| Common Stocks — 87.4% |
| ||||||
Consumer Discretionary — 13.3% | ||||||||
Auto Components — 0.4% | ||||||||
| 54 | Dana Holding Corp. | 1,102 | ||||||
|
| |||||||
Diversified Consumer Services — 1.2% | ||||||||
| 63 | Apollo Education Group, Inc. (a) | 811 | ||||||
| 78 | ServiceMaster Global Holdings, Inc. (a) | 2,837 | ||||||
|
| |||||||
| 3,648 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% | ||||||||
| 40 | Darden Restaurants, Inc. | 2,856 | ||||||
| 39 | Restaurant Brands International, Inc., (Canada) | 1,476 | ||||||
| 14 | Vail Resorts, Inc. | 1,523 | ||||||
|
| |||||||
| 5,855 | ||||||||
|
| |||||||
Household Durables — 1.0% | ||||||||
| 1 | NVR, Inc. (a) | 737 | ||||||
| 46 | PulteGroup, Inc. | 925 | ||||||
| 36 | Toll Brothers, Inc. (a) | 1,391 | ||||||
|
| |||||||
| 3,053 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.9% | ||||||||
| 94 | Liberty Interactive Corp. QVC Group, Class A (a) | 2,613 | ||||||
|
| |||||||
Media — 2.1% | ||||||||
| 16 | John Wiley & Sons, Inc., Class A | 872 | ||||||
| 64 | Live Nation Entertainment, Inc. (a) | 1,764 | ||||||
| 6 | Regal Entertainment Group, Class A | 127 | ||||||
| 379 | Sirius XM Holdings, Inc. (a) | 1,413 | ||||||
| 19 | Time Warner, Inc. | 1,685 | ||||||
| 8 | Time, Inc. | 185 | ||||||
|
| |||||||
| 6,046 | ||||||||
|
| |||||||
Multiline Retail — 2.1% | ||||||||
| 18 | Dillard’s, Inc., Class A | 1,881 | ||||||
| 20 | Macy’s, Inc. | 1,316 | ||||||
| 35 | Target Corp. | 2,855 | ||||||
|
| |||||||
| 6,052 | ||||||||
|
| |||||||
Specialty Retail — 2.7% | ||||||||
| 74 | Best Buy Co., Inc. | 2,405 | ||||||
| 42 | Lowe’s Cos., Inc. | 2,844 | ||||||
| 164 | Staples, Inc. | 2,505 | ||||||
|
| |||||||
| 7,754 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% | ||||||||
| 5 | Carter’s, Inc. | 547 | ||||||
| 29 | Deckers Outdoor Corp. (a) | 2,107 | ||||||
|
| |||||||
| 2,654 | ||||||||
|
| |||||||
Total Consumer Discretionary | 38,777 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 6.9% | ||||||||
Beverages — 0.9% | ||||||||
| 39 | Molson Coors Brewing Co., Class B | 2,730 | ||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
| 37 | Kroger Co. (The) | 2,718 | ||||||
| 9 | Walgreens Boots Alliance, Inc. | 766 | ||||||
|
| |||||||
| 3,484 | ||||||||
|
| |||||||
Food Products — 3.4% | ||||||||
| 60 | Archer-Daniels-Midland Co. | 2,880 | ||||||
| 31 | Bunge Ltd. | 2,685 | ||||||
| 30 | Ingredion, Inc. | 2,368 | ||||||
| 90 | Pilgrim’s Pride Corp. | 2,063 | ||||||
|
| |||||||
| 9,996 | �� | |||||||
|
| |||||||
Household Products — 0.9% | ||||||||
| 20 | Edgewell Personal Care Co. | 2,635 | ||||||
|
| |||||||
Personal Products — 0.3% | ||||||||
| 14 | Herbalife Ltd. (a) | 753 | ||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
| 7 | Reynolds American, Inc. | 503 | ||||||
|
| |||||||
Total Consumer Staples | 20,101 | |||||||
|
| |||||||
Energy — 4.2% | ||||||||
Energy Equipment & Services — 1.2% | ||||||||
| 39 | Cameron International Corp. (a) | 2,016 | ||||||
| 22 | Ensco plc, (United Kingdom), Class A | 482 | ||||||
| 51 | Superior Energy Services, Inc. | 1,080 | ||||||
|
| |||||||
| 3,578 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
| 71 | Denbury Resources, Inc. | 453 | ||||||
| 24 | Devon Energy Corp. | 1,417 | ||||||
| 50 | Kosmos Energy Ltd. (a) | 423 | ||||||
| 21 | Marathon Oil Corp. | 546 | ||||||
| 20 | Newfield Exploration Co. (a) | 715 | ||||||
| 82 | Oasis Petroleum, Inc. (a) | 1,297 | ||||||
| 8 | Tesoro Corp. | 714 | ||||||
| 26 | Valero Energy Corp. | 1,612 | ||||||
| 21 | World Fuel Services Corp. | 987 | ||||||
| 39 | WPX Energy, Inc. (a) | 477 | ||||||
|
| |||||||
| 8,641 | ||||||||
|
| |||||||
Total Energy | 12,219 | |||||||
|
| |||||||
Financials — 4.2% |
| |||||||
Banks — 0.6% |
| |||||||
| 46 | KeyCorp | 698 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Banks — continued |
| |||||||
| 35 | Popular, Inc., (Puerto Rico) (a) | 1,000 | ||||||
|
| |||||||
| 1,698 | ||||||||
|
| |||||||
Capital Markets — 0.9% |
| |||||||
| 74 | E*TRADE Financial Corp. (a) | 2,218 | ||||||
| 23 | NorthStar Asset Management Group, Inc. | 426 | ||||||
|
| |||||||
| 2,644 | ||||||||
|
| |||||||
Consumer Finance — 0.2% |
| |||||||
| 10 | Springleaf Holdings, Inc. (a) | 457 | ||||||
|
| |||||||
Insurance — 0.8% |
| |||||||
| 13 | Aspen Insurance Holdings Ltd., (Bermuda) | 613 | ||||||
| 3 | Everest Re Group Ltd., (Bermuda) | 456 | ||||||
| 15 | Prudential Financial, Inc. | 1,326 | ||||||
|
| |||||||
| 2,395 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
| 153 | NorthStar Realty Finance Corp. | 2,425 | ||||||
| 50 | RLJ Lodging Trust | 1,503 | ||||||
|
| |||||||
| 3,928 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 92 | MGIC Investment Corp. (a) | 1,051 | ||||||
|
| |||||||
Total Financials | 12,173 | |||||||
|
| |||||||
Health Care — 11.4% |
| |||||||
Biotechnology — 2.6% |
| |||||||
| 10 | Amgen, Inc. | 1,478 | ||||||
| 21 | Gilead Sciences, Inc. | 2,511 | ||||||
| 7 | United Therapeutics Corp. (a) | 1,141 | ||||||
| 19 | Vertex Pharmaceuticals, Inc. (a) | 2,394 | ||||||
|
| |||||||
| 7,524 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 22 | Alere, Inc. (a) | 1,170 | ||||||
| 70 | Hologic, Inc. (a) | 2,662 | ||||||
| 21 | Stryker Corp. | 1,966 | ||||||
|
| |||||||
| 5,798 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.8% |
| |||||||
| 19 | Aetna, Inc. | 2,390 | ||||||
| 17 | Anthem, Inc. | 2,827 | ||||||
| 32 | Cardinal Health, Inc. | 2,675 | ||||||
| 30 | Express Scripts Holding Co. (a) | 2,635 | ||||||
| 42 | Health Net, Inc. (a) | 2,669 | ||||||
| 7 | LifePoint Health, Inc. (a) | 650 | ||||||
| 8 | Molina Healthcare, Inc. (a) | 594 | ||||||
| 27 | Omnicare, Inc. | 2,559 | ||||||
|
| |||||||
| 16,999 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — 1.0% |
| |||||||
| 84 | Pfizer, Inc. | 2,832 | ||||||
|
| |||||||
Total Health Care | 33,153 | |||||||
|
| |||||||
Industrials — 15.2% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 35 | Curtiss-Wright Corp. | 2,524 | ||||||
| 12 | General Dynamics Corp. | 1,651 | ||||||
| 12 | Huntington Ingalls Industries, Inc. | 1,312 | ||||||
| 8 | Northrop Grumman Corp. | 1,255 | ||||||
| 39 | Spirit AeroSystems Holdings, Inc., Class A (a) | 2,135 | ||||||
|
| |||||||
| 8,877 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.0% |
| |||||||
| 31 | Expeditors International of Washington, Inc. | 1,429 | ||||||
| 9 | FedEx Corp. | 1,483 | ||||||
|
| |||||||
| 2,912 | ||||||||
|
| |||||||
Airlines — 1.3% |
| |||||||
| 27 | Delta Air Lines, Inc. | 1,115 | ||||||
| 60 | Southwest Airlines Co. | 1,988 | ||||||
| 12 | United Continental Holdings, Inc. (a) | 619 | ||||||
|
| |||||||
| 3,722 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 8 | Cintas Corp. | 698 | ||||||
| 30 | KAR Auction Services, Inc. | 1,104 | ||||||
| 121 | Pitney Bowes, Inc. | 2,512 | ||||||
| 22 | R.R. Donnelley & Sons Co. | 378 | ||||||
|
| |||||||
| 4,692 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
| 79 | AECOM (a) | 2,616 | ||||||
| 50 | KBR, Inc. | 966 | ||||||
|
| |||||||
| 3,582 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
| 54 | Babcock & Wilcox Co. (The) (a) | 1,755 | ||||||
|
| |||||||
Machinery — 5.1% |
| |||||||
| 85 | Allison Transmission Holdings, Inc. | 2,496 | ||||||
| 43 | Crane Co. | 2,517 | ||||||
| 36 | IDEX Corp. | 2,813 | ||||||
| 30 | Illinois Tool Works, Inc. | 2,784 | ||||||
| 10 | Parker-Hannifin Corp. | 1,198 | ||||||
| 13 | SPX Corp. | 959 | ||||||
| 93 | Terex Corp. | 2,160 | ||||||
|
| |||||||
| 14,927 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Professional Services — 0.9% |
| |||||||
| 22 | Dun & Bradstreet Corp. (The) | 2,663 | ||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
| 16 | Landstar System, Inc. | 1,056 | ||||||
|
| |||||||
Total Industrials | 44,186 | |||||||
|
| |||||||
Information Technology — 23.5% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
| 11 | ARRIS Group, Inc. (a) | 347 | ||||||
| 229 | Brocade Communications Systems, Inc. | 2,724 | ||||||
| 103 | Polycom, Inc. (a) | 1,175 | ||||||
|
| |||||||
| 4,246 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 76 | Vishay Intertechnology, Inc. | 888 | ||||||
|
| |||||||
Internet Software & Services — 1.9% |
| |||||||
| 48 | eBay, Inc. (a) | 2,866 | ||||||
| 40 | VeriSign, Inc. (a) | 2,481 | ||||||
|
| |||||||
| 5,347 | ||||||||
|
| |||||||
IT Services — 6.7% |
| |||||||
| 49 | Amdocs Ltd. | 2,670 | ||||||
| 50 | Broadridge Financial Solutions, Inc. | 2,505 | ||||||
| 38 | Computer Sciences Corp. | 2,473 | ||||||
| 68 | CoreLogic, Inc. (a) | 2,707 | ||||||
| 16 | International Business Machines Corp. | 2,521 | ||||||
| 67 | Leidos Holdings, Inc. | 2,696 | ||||||
| 40 | Teradata Corp. (a) | 1,481 | ||||||
| 124 | Western Union Co. (The) | 2,525 | ||||||
|
| |||||||
| 19,578 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 55 | Broadcom Corp., Class A | 2,833 | ||||||
| 5 | Lam Research Corp. | 438 | ||||||
| 77 | NVIDIA Corp. | 1,551 | ||||||
| 124 | Teradyne, Inc. | 2,399 | ||||||
|
| |||||||
| 7,221 | ||||||||
|
| |||||||
Software — 6.3% |
| |||||||
| 17 | Aspen Technology, Inc. (a) | 764 | ||||||
| 13 | CA, Inc. | 379 | ||||||
| 21 | Citrix Systems, Inc. (a) | 1,445 | ||||||
| 43 | Electronic Arts, Inc. (a) | 2,855 | ||||||
| 16 | Fortinet, Inc. (a) | 657 | ||||||
| 28 | Intuit, Inc. | 2,864 | ||||||
| 170 | Nuance Communications, Inc. (a) | 2,973 | ||||||
| 60 | PTC, Inc. (a) | 2,472 | ||||||
| 69 | Rovi Corp. (a) | 1,108 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued |
| |||||||
| 23 | SolarWinds, Inc. (a) | 1,066 | ||||||
| 75 | Symantec Corp. | 1,754 | ||||||
|
| |||||||
| 18,337 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
| 23 | Apple, Inc. | 2,941 | ||||||
| 83 | Hewlett-Packard Co. | 2,484 | ||||||
| 63 | Lexmark International, Inc., Class A | 2,795 | ||||||
| 73 | NetApp, Inc. | 2,291 | ||||||
| 26 | Western Digital Corp. | 2,011 | ||||||
|
| |||||||
| 12,522 | ||||||||
|
| |||||||
Total Information Technology | 68,139 | |||||||
|
| |||||||
Materials — 4.0% |
| |||||||
Chemicals — 1.1% |
| |||||||
| 9 | LyondellBasell Industries N.V., Class A | 901 | ||||||
| 38 | Mosaic Co. (The) | 1,770 | ||||||
| 8 | Scotts Miracle-Gro Co. (The), Class A | 485 | ||||||
|
| |||||||
| 3,156 | ||||||||
|
| |||||||
Containers & Packaging — 1.3% |
| |||||||
| 55 | Sealed Air Corp. | 2,823 | ||||||
| 19 | Silgan Holdings, Inc. | 1,023 | ||||||
|
| |||||||
| 3,846 | ||||||||
|
| |||||||
Metals & Mining — 0.6% |
| |||||||
| 33 | Steel Dynamics, Inc. | 693 | ||||||
| 44 | United States Steel Corp. | 913 | ||||||
|
| |||||||
| 1,606 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% |
| |||||||
| 64 | Domtar Corp., (Canada) | 2,664 | ||||||
| 7 | International Paper Co. | 312 | ||||||
|
| |||||||
| 2,976 | ||||||||
|
| |||||||
Total Materials | 11,584 | |||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
| 42 | AT&T, Inc. | 1,496 | ||||||
| 75 | CenturyLink, Inc. | 2,217 | ||||||
| 291 | Frontier Communications Corp. | 1,441 | ||||||
|
| |||||||
Total Telecommunication Services | 5,154 | |||||||
|
| |||||||
Utilities — 2.9% |
| |||||||
Electric Utilities — 0.9% |
| |||||||
| 36 | Entergy Corp. | 2,554 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Gas Utilities — 0.8% |
| |||||||
| 73 | UGI Corp. | 2,512 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 148 | AES Corp. | 1,959 | ||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
| 37 | Public Service Enterprise Group, Inc. | 1,448 | ||||||
|
| |||||||
Total Utilities | 8,473 | |||||||
|
| |||||||
Total Common Stocks | 253,959 | |||||||
|
| |||||||
| Short-Term Investment — 13.3% | |||||||
Investment Company — 13.3% | ||||||||
| 38,662 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 38,662 | ||||||
|
| |||||||
Total Investments — 100.7% | 292,621 | |||||||
Liabilities in Excess of | (1,941 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 290,680 | ||||||
|
| |||||||
| Short Positions — 86.9% |
| ||||||
| Common Stocks — 86.9% |
| ||||||
Consumer Discretionary — 13.1% | ||||||||
Automobiles — 0.2% |
| |||||||
| 2 | Tesla Motors, Inc. (a) | 584 | ||||||
|
| |||||||
Distributors — 0.9% |
| |||||||
| 91 | LKQ Corp. (a) | 2,760 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
| 61 | Aramark | 1,885 | ||||||
| 6 | McDonald’s Corp. | 529 | ||||||
| 12 | Panera Bread Co., Class A (a) | 2,036 | ||||||
| 28 | Starbucks Corp. | 1,524 | ||||||
| 24 | Wynn Resorts Ltd. | 2,378 | ||||||
|
| |||||||
| 8,352 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
| 12 | Mohawk Industries, Inc. (a) | 2,348 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 3 | Amazon.com, Inc. (a) | 1,400 | ||||||
| 1 | Netflix, Inc. (a) | 657 | ||||||
| 5 | TripAdvisor, Inc. (a) | 431 | ||||||
| 29 | zulily, Inc., Class A (a) | 377 | ||||||
|
| |||||||
| 2,865 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — 2.0% |
| |||||||
| 6 | AMC Entertainment Holdings, Inc., Class A | 174 | ||||||
| 5 | Charter Communications, Inc., Class A (a) | 788 | ||||||
| 87 | DreamWorks Animation SKG, Inc., Class A (a) | 2,290 | ||||||
| 32 | Madison Square Garden Co. (The), Class A (a) | 2,707 | ||||||
|
| |||||||
| 5,959 | ||||||||
|
| |||||||
Specialty Retail — 4.3% |
| |||||||
| 40 | Ascena Retail Group, Inc. (a) | 670 | ||||||
| 51 | Cabela’s, Inc. (a) | 2,531 | ||||||
| 38 | CarMax, Inc. (a) | 2,488 | ||||||
| 20 | Restoration Hardware Holdings, Inc. (a) | 1,960 | ||||||
| 21 | Signet Jewelers Ltd., (Bermuda) | 2,631 | ||||||
| 24 | Tractor Supply Co. | 2,198 | ||||||
|
| |||||||
| 12,478 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 86 | Kate Spade & Co. (a) | 1,855 | ||||||
| 11 | Under Armour, Inc., Class A (a) | 936 | ||||||
|
| |||||||
| 2,791 | ||||||||
|
| |||||||
Total Consumer Discretionary | 38,137 | |||||||
|
| |||||||
Consumer Staples — 7.9% | ||||||||
Beverages — 1.9% |
| |||||||
| 9 | Boston Beer Co., Inc. (The), Class A (a) | 2,030 | ||||||
| 34 | Brown-Forman Corp., Class B | 3,387 | ||||||
|
| |||||||
| 5,417 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
| 27 | Sprouts Farmers Market, Inc. (a) | 740 | ||||||
| 40 | United Natural Foods, Inc. (a) | 2,526 | ||||||
|
| |||||||
| 3,266 | ||||||||
|
| |||||||
Food Products — 3.5% |
| |||||||
| 93 | Darling Ingredients, Inc. (a) | 1,360 | ||||||
| 45 | Hain Celestial Group, Inc. (The) (a) | 2,982 | ||||||
| 19 | Hershey Co. (The) | 1,652 | ||||||
| 38 | McCormick & Co., Inc. (Non-Voting) | 3,106 | ||||||
| 23 | WhiteWave Foods Co. (The) (a) | 1,113 | ||||||
|
| |||||||
| 10,213 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 11 | Procter & Gamble Co. (The) | 887 | ||||||
|
| |||||||
Personal Products — 1.1% |
| |||||||
| 36 | Estee Lauder Cos., Inc. (The), Class A | 3,110 | ||||||
|
| |||||||
Total Consumer Staples | 22,893 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Energy — 4.4% | ||||||||
Energy Equipment & Services — 1.0% |
| |||||||
| 273 | McDermott International, Inc. (a) | 1,457 | ||||||
| 30 | Patterson-UTI Energy, Inc. | 568 | ||||||
| 41 | RPC, Inc. | 561 | ||||||
| 34 | Seadrill Ltd., (Bermuda) | 350 | ||||||
|
| |||||||
| 2,936 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.4% |
| |||||||
| 33 | Cabot Oil & Gas Corp. | 1,055 | ||||||
| 7 | Chevron Corp. | 649 | ||||||
| 7 | Concho Resources, Inc. (a) | 757 | ||||||
| 75 | CONSOL Energy, Inc. | 1,633 | ||||||
| 23 | Golar LNG Ltd., (Bermuda) | 1,084 | ||||||
| 14 | Kinder Morgan, Inc. | 530 | ||||||
| 51 | Rice Energy, Inc. (a) | 1,065 | ||||||
| 49 | SM Energy Co. | 2,264 | ||||||
| 8 | Whiting Petroleum Corp. (a) | 267 | ||||||
| 11 | Williams Cos., Inc. (The) | 641 | ||||||
|
| |||||||
| 9,945 | ||||||||
|
| |||||||
Total Energy | 12,881 | |||||||
|
| |||||||
Financials — 5.0% | ||||||||
Banks — 0.6% |
| |||||||
| 110 | People’s United Financial, Inc. | 1,781 | ||||||
|
| |||||||
Capital Markets — 1.3% | ||||||||
| 48 | Artisan Partners Asset Management, Inc., | 2,213 | ||||||
| 18 | T. Rowe Price Group, Inc. | 1,411 | ||||||
|
| |||||||
| 3,624 | ||||||||
|
| |||||||
Insurance — 1.2% |
| |||||||
| 4 | Markel Corp. (a) | 2,822 | ||||||
| 124 | MBIA, Inc. (a) | 747 | ||||||
|
| |||||||
| 3,569 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
| 57 | Plum Creek Timber Co., Inc. | 2,299 | ||||||
| 97 | Rayonier, Inc. | 2,483 | ||||||
|
| |||||||
| 4,782 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
| 14 | Realogy Holdings Corp. (a) | 665 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 22 | Ocwen Financial Corp. (a) | 229 | ||||||
|
| |||||||
Total Financials | 14,650 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 10.4% | ||||||||
Biotechnology — 1.2% |
| |||||||
| 5 | Alnylam Pharmaceuticals, Inc. (a) | 644 | ||||||
| 36 | Cepheid, Inc. (a) | 2,186 | ||||||
| 1 | Regeneron Pharmaceuticals, Inc. (a) | 676 | ||||||
|
| |||||||
| 3,506 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 16 | Cooper Cos., Inc. (The) | 2,847 | ||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
| 36 | Acadia Healthcare Co., Inc. (a) | 2,816 | ||||||
| 66 | Envision Healthcare Holdings, Inc. (a) | 2,609 | ||||||
| 5 | Henry Schein, Inc. (a) | 639 | ||||||
| 44 | Team Health Holdings, Inc. (a) | 2,901 | ||||||
| 50 | Tenet Healthcare Corp. (a) | 2,880 | ||||||
|
| |||||||
| 11,845 | ||||||||
|
| |||||||
Health Care Technology — 0.5% |
| |||||||
| 35 | Allscripts Healthcare Solutions, Inc. (a) | 480 | ||||||
| 10 | athenahealth, Inc. (a) | 1,115 | ||||||
|
| |||||||
| 1,595 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
| 18 | Bio-Techne Corp. | 1,728 | ||||||
|
| |||||||
Pharmaceuticals — 3.0% |
| |||||||
| 58 | Akorn, Inc. (a) | 2,547 | ||||||
| 25 | Eli Lilly & Co. | 2,100 | ||||||
| 21 | Pacira Pharmaceuticals, Inc. (a) | 1,457 | ||||||
| 57 | Zoetis, Inc. | 2,744 | ||||||
|
| |||||||
| 8,848 | ||||||||
|
| |||||||
Total Health Care | 30,369 | |||||||
|
| |||||||
Industrials — 17.3% | ||||||||
Aerospace & Defense — 2.5% |
| |||||||
| 45 | B/E Aerospace, Inc. | 2,450 | ||||||
| 55 | Hexcel Corp. | 2,753 | ||||||
| 11 | Precision Castparts Corp. | 2,116 | ||||||
|
| |||||||
| 7,319 | ||||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
| 9 | Copa Holdings S.A., (Panama), Class A | 704 | ||||||
| 16 | Spirit Airlines, Inc. (a) | 988 | ||||||
|
| |||||||
| 1,692 | ||||||||
|
| |||||||
Building Products — 2.0% |
| |||||||
| 51 | Armstrong World Industries, Inc. (a) | 2,705 | ||||||
| 43 | Fortune Brands Home & Security, Inc. | 1,952 | ||||||
| 27 | Owens Corning | 1,130 | ||||||
|
| |||||||
| 5,787 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Commercial Services & Supplies — 2.5% |
| |||||||
| 48 | Republic Services, Inc. | 1,875 | ||||||
| 21 | Stericycle, Inc. (a) | 2,752 | ||||||
| 58 | Waste Connections, Inc. | 2,726 | ||||||
|
| |||||||
| 7,353 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 89 | Quanta Services, Inc. (a) | 2,554 | ||||||
|
| |||||||
Electrical Equipment — 0.3% |
| |||||||
| 15 | SolarCity Corp. (a) | 803 | ||||||
|
| |||||||
Machinery — 2.5% | ||||||||
| 42 | CLARCOR, Inc. | 2,609 | ||||||
| 15 | Colfax Corp. (a) | 682 | ||||||
| 69 | Donaldson Co., Inc. | 2,482 | ||||||
| 39 | Oshkosh Corp. | 1,632 | ||||||
|
| |||||||
| 7,405 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 8 | Kirby Corp. (a) | 596 | ||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
| 22 | Verisk Analytics, Inc., Class A (a) | 1,633 | ||||||
|
| |||||||
Road & Rail — 2.6% |
| |||||||
| 12 | Genesee & Wyoming, Inc., Class A (a) | 942 | ||||||
| 54 | Hertz Global Holdings, Inc. (a) | 984 | ||||||
| 30 | J.B. Hunt Transport Services, Inc. | 2,487 | ||||||
| 20 | Kansas City Southern | 1,794 | ||||||
| 15 | Ryder System, Inc. | 1,319 | ||||||
|
| |||||||
| 7,526 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.6% |
| |||||||
| 60 | Fastenal Co. | 2,548 | ||||||
| 36 | MSC Industrial Direct Co., Inc., Class A | 2,517 | ||||||
| 11 | W.W. Grainger, Inc. | 2,568 | ||||||
|
| |||||||
| 7,633 | ||||||||
|
| |||||||
Total Industrials | 50,301 | |||||||
|
| |||||||
Information Technology — 20.7% |
| |||||||
Communications Equipment — 0.9% |
| |||||||
| 43 | ViaSat, Inc. (a) | 2,614 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.1% |
| |||||||
| 29 | Amphenol Corp., Class A | 1,706 | ||||||
| 34 | FEI Co. | 2,805 | ||||||
| 106 | Ingram Micro, Inc., Class A (a) | 2,646 | ||||||
| 99 | Knowles Corp. (a) | 1,794 | ||||||
| 94 | Trimble Navigation Ltd. (a) | 2,211 | ||||||
| 8 | Zebra Technologies Corp., Class A (a) | 858 | ||||||
|
| |||||||
| 12,020 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — 4.9% |
| |||||||
| 11 | Akamai Technologies, Inc. (a) | 768 | ||||||
| 13 | CoStar Group, Inc. (a) | 2,556 | ||||||
| 7 | Facebook, Inc., Class A (a) | 566 | ||||||
| 9 | LinkedIn Corp., Class A (a) | 1,762 | ||||||
| 152 | Pandora Media, Inc. (a) | 2,355 | ||||||
| 49 | Twitter, Inc. (a) | 1,771 | ||||||
| 44 | Yelp, Inc. (a) | 1,907 | ||||||
| 28 | Zillow Group, Inc., Class A (a) | 2,420 | ||||||
|
| |||||||
| 14,105 | ||||||||
|
| |||||||
IT Services — 4.3% |
| |||||||
| 30 | Fidelity National Information Services, Inc. | 1,832 | ||||||
| 17 | FleetCor Technologies, Inc. (a) | 2,637 | ||||||
| 38 | IGATE Corp. (a) | 1,829 | ||||||
| 41 | Jack Henry & Associates, Inc. | 2,632 | ||||||
| 54 | Paychex, Inc. | 2,523 | ||||||
| 9 | WEX, Inc. (a) | 1,006 | ||||||
|
| |||||||
| 12,459 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 21 | Analog Devices, Inc. | 1,349 | ||||||
| 5 | Avago Technologies Ltd., (Singapore) | 628 | ||||||
| 30 | Cavium, Inc. (a) | 2,063 | ||||||
| 14 | Cree, Inc. (a) | 352 | ||||||
| 43 | Cypress Semiconductor Corp. (a) | 511 | ||||||
| 25 | SunEdison, Inc. (a) | 738 | ||||||
|
| |||||||
| 5,641 | ||||||||
|
| |||||||
Software — 4.1% |
| |||||||
| 24 | Autodesk, Inc. (a) | 1,197 | ||||||
| 44 | CommVault Systems, Inc. (a) | 1,854 | ||||||
| 18 | FireEye, Inc. (a) | 881 | ||||||
| 28 | NetSuite, Inc. (a) | 2,536 | ||||||
| 9 | ServiceNow, Inc. (a) | 650 | ||||||
| 51 | Solera Holdings, Inc. | 2,283 | ||||||
| 16 | Ultimate Software Group, Inc. (The) (a) | 2,584 | ||||||
|
| |||||||
| 11,985 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 36 | Stratasys Ltd. (a) | 1,255 | ||||||
|
| |||||||
Total Information Technology | 60,079 | |||||||
|
| |||||||
Materials — 3.6% |
| |||||||
Chemicals — 2.6% |
| |||||||
| 17 | Air Products & Chemicals, Inc. | 2,317 | ||||||
| 49 | FMC Corp. | 2,572 | ||||||
| 22 | Praxair, Inc. | 2,630 | ||||||
|
| |||||||
| 7,519 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Metals & Mining — 1.0% |
| |||||||
| 42 | Carpenter Technology Corp. | 1,617 | ||||||
| 24 | Freeport-McMoRan, Inc. | 450 | ||||||
| 30 | Southern Copper Corp., (Mexico) | 878 | ||||||
|
| |||||||
| 2,945 | ||||||||
|
| |||||||
Total Materials | 10,464 | |||||||
|
| |||||||
Telecommunication Services — 1.7% |
| |||||||
Wireless Telecommunication Services — 1.7% |
| |||||||
| 355 | Sprint Corp. (a) | 1,618 | ||||||
| 79 | Telephone & Data Systems, Inc. | 2,322 | ||||||
| 24 | United States Cellular Corp. (a) | 915 | ||||||
|
| |||||||
Total Telecommunication Services | 4,855 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 2.8% |
| |||||||
Electric Utilities — 0.6% |
| |||||||
| 41 | Southern Co. (The) | 1,700 | ||||||
|
| |||||||
Multi-Utilities — 2.2% |
| |||||||
| 44 | Dominion Resources, Inc. | 2,910 | ||||||
| 36 | MDU Resources Group, Inc. | 703 | ||||||
| 59 | NiSource, Inc. | 2,707 | ||||||
|
| |||||||
| 6,320 | ||||||||
|
| |||||||
Total Utilities | 8,020 | |||||||
|
| |||||||
Total Securities Sold Short | $ | 252,649 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Short Futures Outstanding | ||||||||||||||||||||
| (7 | ) | E-mini S&P 500 | 09/18/15 | USD | $ | (719 | ) | $ | 11 | |||||||||||
| (9 | ) | S&P Mid Cap 400 | 09/18/15 | USD | (1,348 | ) | 25 | |||||||||||||
|
| |||||||||||||||||||
| $ | 36 | |||||||||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 90.6% |
| ||||||
Consumer Discretionary — 14.7% |
| |||||||
Distributors — 0.8% |
| |||||||
| 998 | Genuine Parts Co. | 89,351 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
| 1,709 | ClubCorp Holdings, Inc. | 40,805 | ||||||
| 1,860 | La Quinta Holdings, Inc. (a) | 42,505 | ||||||
|
| |||||||
| 83,310 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 999 | Expedia, Inc. | 109,252 | ||||||
|
| |||||||
Media — 5.0% |
| |||||||
| 857 | CBS Corp. (Non-Voting), Class B | 47,563 | ||||||
| 400 | Charter Communications, Inc., Class A (a) | 68,500 | ||||||
| 3,531 | Clear Channel Outdoor Holdings, Inc., Class A | 35,765 | ||||||
| 1,976 | DISH Network Corp., Class A (a) | 133,803 | ||||||
| 1,566 | Entercom Communications Corp., Class A (a) | 17,887 | ||||||
| 455 | Gannett Co., Inc. (a) | 6,361 | ||||||
| 2,168 | Media General, Inc. (a) | 35,819 | ||||||
| 567 | Omnicom Group, Inc. | 39,422 | ||||||
| 909 | TEGNA, Inc. | 29,166 | ||||||
| 714 | Time Warner, Inc. | 62,393 | ||||||
| 2,107 | Time, Inc. | 48,489 | ||||||
| 1,155 | Twenty-First Century Fox, Inc., Class B | 37,217 | ||||||
|
| |||||||
| 562,385 | ||||||||
|
| |||||||
Multiline Retail — 1.4% |
| |||||||
| 2,621 | Kohl’s Corp. | 164,069 | ||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
| 141 | AutoZone, Inc. (a) | 93,980 | ||||||
| 1,727 | Bed Bath & Beyond, Inc. (a) | 119,142 | ||||||
| 3,540 | Best Buy Co., Inc. | 115,424 | ||||||
| 2,501 | Gap, Inc. (The) | 95,467 | ||||||
| 749 | Home Depot, Inc. (The) | 83,193 | ||||||
| 714 | Tiffany & Co. | 65,508 | ||||||
|
| |||||||
| 572,714 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 2,274 | Hanesbrands, Inc. | 75,770 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,656,851 | |||||||
|
| |||||||
Consumer Staples — 4.7% |
| |||||||
Beverages — 0.7% |
| |||||||
| 1,055 | Dr. Pepper Snapple Group, Inc. | 76,878 | ||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 888 | CVS Health Corp. | 93,155 | ||||||
| 1,055 | Kroger Co. (The) | 76,505 | ||||||
|
| |||||||
| 169,660 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 1.3% |
| |||||||
| 1,477 | Post Holdings, Inc. (a) | 79,634 | ||||||
| 849 | TreeHouse Foods, Inc. (a) | 68,809 | ||||||
|
| |||||||
| 148,443 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
| 387 | Energizer SpinCo, Inc. (a) (w) | 13,164 | ||||||
| 1,614 | Procter & Gamble Co. (The) | 126,303 | ||||||
|
| |||||||
| 139,467 | ||||||||
|
| |||||||
Total Consumer Staples | 534,448 | |||||||
|
| |||||||
Energy — 7.1% |
| |||||||
Oil, Gas & Consumable Fuels — 7.1% |
| |||||||
| 3,153 | CONSOL Energy, Inc. | 68,553 | ||||||
| 1,356 | Devon Energy Corp. | 80,674 | ||||||
| 3,018 | Exxon Mobil Corp. | 251,073 | ||||||
| 1,056 | HollyFrontier Corp. | 45,099 | ||||||
| 1,002 | Kinder Morgan, Inc. | 38,474 | ||||||
| 1,072 | Marathon Petroleum Corp. | 56,097 | ||||||
| 2,311 | PBF Energy, Inc., Class A | 65,672 | ||||||
| 1,423 | Phillips 66 | 114,637 | ||||||
| 3,812 | Southwestern Energy Co. (a) | 86,656 | ||||||
|
| |||||||
Total Energy | 806,935 | |||||||
|
| |||||||
Financials — 32.7% |
| |||||||
Banks — 13.0% |
| |||||||
| 12,072 | Bank of America Corp. | 205,460 | ||||||
| 2,427 | Citigroup, Inc. | 134,042 | ||||||
| 2,649 | Citizens Financial Group, Inc. | 72,330 | ||||||
| 3,959 | Fifth Third Bancorp | 82,419 | ||||||
| 1,107 | First Republic Bank | 69,798 | ||||||
| 429 | M&T Bank Corp. | 53,576 | ||||||
| 1,179 | National Bank Holdings Corp., Class A | 24,555 | ||||||
| 1,514 | PNC Financial Services Group, Inc. (The) | 144,824 | ||||||
| 2,850 | SunTrust Banks, Inc. | 122,594 | ||||||
| 2,958 | U.S. Bancorp | 128,382 | ||||||
| 7,603 | Wells Fargo & Co. | 427,565 | ||||||
|
| |||||||
| 1,465,545 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 481 | Ameriprise Financial, Inc. | 60,116 | ||||||
| 1,756 | Legg Mason, Inc. | 90,461 | ||||||
| 774 | Northern Trust Corp. | 59,197 | ||||||
| 1,517 | T. Rowe Price Group, Inc. | 117,919 | ||||||
|
| |||||||
| 327,693 | ||||||||
|
| |||||||
Consumer Finance — 2.8% |
| |||||||
| 4,235 | Ally Financial, Inc. (a) | 94,982 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Consumer Finance — continued |
| |||||||
| 2,534 | Capital One Financial Corp. | 222,872 | ||||||
|
| |||||||
| 317,854 | ||||||||
|
| |||||||
Insurance — 9.4% |
| |||||||
| 90 | Alleghany Corp. (a) | 42,350 | ||||||
| 1,257 | Allied World Assurance Co. Holdings AG, (Switzerland) | 54,319 | ||||||
| 2,936 | American International Group, Inc. | 181,516 | ||||||
| 3,215 | CNO Financial Group, Inc. | 58,999 | ||||||
| 2,756 | Hartford Financial Services Group, Inc. (The) | 114,563 | ||||||
| 4,745 | Loews Corp. | 182,742 | ||||||
| 930 | Marsh & McLennan Cos., Inc. | 52,714 | ||||||
| 2,535 | Old Republic International Corp. | 39,624 | ||||||
| 1,283 | Prudential Financial, Inc. | 112,279 | ||||||
| 1,088 | Travelers Cos., Inc. (The) | 105,166 | ||||||
| 2,516 | Unum Group | 89,961 | ||||||
| 518 | W.R. Berkley Corp. | 26,921 | ||||||
|
| |||||||
| 1,061,154 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.7% |
| |||||||
| 2,818 | American Homes 4 Rent, Class A | 45,206 | ||||||
| 2,067 | American Residential Properties, Inc. (a) | 38,248 | ||||||
| 3,387 | Brixmor Property Group, Inc. | 78,344 | ||||||
| 728 | EastGroup Properties, Inc. | 40,952 | ||||||
| 2,448 | Excel Trust, Inc. | 38,600 | ||||||
| 2,349 | Kimco Realty Corp. | 52,937 | ||||||
| 2,643 | Rayonier, Inc. | 67,529 | ||||||
| 2,018 | Weyerhaeuser Co. | 63,561 | ||||||
|
| |||||||
| 425,377 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 1,890 | Brookfield Asset Management, Inc., (Canada), Class A | 66,018 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||
| 3,518 | Hudson City Bancorp, Inc. | 34,759 | ||||||
|
| |||||||
Total Financials | 3,698,400 | |||||||
|
| |||||||
Health Care — 8.8% |
| |||||||
Health Care Providers & Services — 3.2% |
| |||||||
| 920 | Aetna, Inc. | 117,225 | ||||||
| 946 | HCA Holdings, Inc. (a) | 85,830 | ||||||
| 480 | National HealthCare Corp. | 31,167 | ||||||
| 1,046 | UnitedHealth Group, Inc. | 127,661 | ||||||
|
| |||||||
| 361,883 | ||||||||
|
| |||||||
Pharmaceuticals — 5.6% |
| |||||||
| 1,900 | Johnson & Johnson | 185,203 | ||||||
| 2,846 | Merck & Co., Inc. | 162,040 | ||||||
| 7,068 | Pfizer, Inc. | 236,980 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — continued |
| |||||||
| 211 | Valeant Pharmaceuticals International, Inc. (a) | 46,918 | ||||||
|
| |||||||
| 631,141 | ||||||||
|
| |||||||
Total Health Care | 993,024 | |||||||
|
| |||||||
Industrials — 7.4% |
| |||||||
Aerospace & Defense — 1.9% |
| |||||||
| 946 | Honeywell International, Inc. | 96,433 | ||||||
| 1,024 | United Technologies Corp. | 113,570 | ||||||
|
| |||||||
| 210,003 | ||||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
| 3,111 | Delta Air Lines, Inc. | 127,816 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 1,101 | Carlisle Cos., Inc. | 110,245 | ||||||
|
| |||||||
Machinery — 1.9% |
| |||||||
| 1,655 | Dover Corp. | 116,169 | ||||||
| 1,045 | Illinois Tool Works, Inc. | 95,893 | ||||||
|
| |||||||
| 212,062 | ||||||||
|
| |||||||
Marine — 0.3% |
| |||||||
| 436 | Kirby Corp. (a) | 33,401 | ||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
| 402 | Equifax, Inc. | 39,049 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
| 419 | W.W. Grainger, Inc. | 99,204 | ||||||
|
| |||||||
Total Industrials | 831,780 | |||||||
|
| |||||||
Information Technology — 4.6% |
| |||||||
Communications Equipment — 1.6% |
| |||||||
| 4,073 | Cisco Systems, Inc. | 111,842 | ||||||
| 1,039 | QUALCOMM, Inc. | 65,101 | ||||||
|
| |||||||
| 176,943 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
| 1,543 | Arrow Electronics, Inc. (a) | 86,093 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
| 586 | Analog Devices, Inc. | 37,632 | ||||||
| 577 | KLA-Tencor Corp. | 32,416 | ||||||
| 1,799 | Texas Instruments, Inc. | 92,682 | ||||||
|
| |||||||
| 162,730 | ||||||||
|
| |||||||
Software — 0.5% |
| |||||||
| 1,206 | Microsoft Corp. | 53,262 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 1,382 | Hewlett-Packard Co. | 41,482 | ||||||
|
| |||||||
Total Information Technology | 520,510 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 3.7% |
| |||||||
Chemicals — 0.8% |
| |||||||
| 1,819 | Mosaic Co. (The) | 85,239 | ||||||
|
| |||||||
Construction Materials — 0.9% |
| |||||||
| 743 | Martin Marietta Materials, Inc. | 105,094 | ||||||
|
| |||||||
Containers & Packaging — 1.6% |
| |||||||
| 1,178 | Ball Corp. | 82,616 | ||||||
| 1,550 | Rock-Tenn Co., Class A | 93,304 | ||||||
|
| |||||||
| 175,920 | ||||||||
|
| |||||||
Paper & Forest Products — 0.4% |
| |||||||
| 2,047 | KapStone Paper & Packaging Corp. | 47,331 | ||||||
|
| |||||||
Total Materials | 413,584 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
| 2,331 | Verizon Communications, Inc. | 108,653 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
| 1,645 | T-Mobile US, Inc. (a) | 63,765 | ||||||
|
| |||||||
Total Telecommunication Services | 172,418 | |||||||
|
| |||||||
Utilities — 5.4% |
| |||||||
Electric Utilities — 4.7% |
| |||||||
| 1,611 | American Electric Power Co., Inc. | 85,335 | ||||||
| 1,470 | Duke Energy Corp. | 103,790 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — continued |
| |||||||
| 1,400 | Edison International | 77,836 | ||||||
| 1,418 | Eversource Energy | 64,396 | ||||||
| 1,030 | NextEra Energy, Inc. | 100,951 | ||||||
| 2,917 | Xcel Energy, Inc. | 93,869 | ||||||
|
| |||||||
| 526,177 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
| 861 | Sempra Energy | 85,148 | ||||||
|
| |||||||
Total Utilities | 611,325 | |||||||
|
| |||||||
Total Common Stocks | 10,239,275 | |||||||
|
| |||||||
| Short-Term Investment — 9.1% |
| ||||||
Investment Company — 9.1% |
| |||||||
| 1,024,973 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 1,024,973 | ||||||
|
| |||||||
Total Investments — 99.7% | 11,264,248 | |||||||
Other Assets in Excess of | 30,259 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 11,294,507 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015
| USD | — United States Dollar | |||||
| (a) | — Non-income producing security. | |||||
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |||||
| (c) | — Included in this amount is cash segregated as collateral for futures contracts. | |||||
| (j) | — All or a portion of these securities are segregated for short sales. | |||||
The following approximates the aggregate amount of securities segregated for short sales (amounts in thousands): | ||||||
| Fund | Value | |||||
| Multi-Cap Market Neutral Fund | $ | 48,829 | ||||
| (l) | — The rate shown is the current yield as of June 30, 2015. | |
| (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. | |
| (w) | — When-issued security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(Amounts in thousands, except per share amounts)
Growth | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 5,043,662 | $ | 3,191,357 | $ | 2,954,471 | ||||||
Investments in affiliates, at value | 205,478 | 102,329 | 136,866 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 5,249,140 | 3,293,686 | 3,091,337 | |||||||||
Cash | — | — | (a) | 4 | ||||||||
Receivables: | ||||||||||||
Investment securities sold | 71,347 | 93,935 | 169,777 | |||||||||
Fund shares sold | 20,869 | 3,958 | 6,169 | |||||||||
Dividends from non-affiliates | 1,363 | 2,171 | 533 | |||||||||
Dividends from affiliates | 10 | 7 | 9 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 5,342,729 | 3,393,757 | 3,267,829 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 146,569 | 85,264 | 199,313 | |||||||||
Fund shares redeemed | 3,176 | 2,355 | 3,107 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,741 | 1,757 | 1,579 | |||||||||
Administration fees | 348 | 215 | 185 | |||||||||
Distribution fees | 428 | 64 | 253 | |||||||||
Shareholder servicing fees | 539 | 104 | 313 | |||||||||
Custodian and accounting fees | 49 | 34 | 33 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 2 | 2 | |||||||||
Other | 597 | 669 | 518 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 154,449 | 90,464 | 205,303 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 5,188,280 | $ | 3,303,293 | $ | 3,062,526 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except per share amounts)
Growth | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 3,628,313 | $ | 2,355,380 | $ | 2,158,462 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (10,303 | ) | (25 | ) | (7,971 | ) | ||||||
Accumulated net realized gains (losses) | 139,535 | 115,681 | 123,628 | |||||||||
Net unrealized appreciation (depreciation) | 1,430,735 | 832,257 | 788,407 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 5,188,280 | $ | 3,303,293 | $ | 3,062,526 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,174,260 | $ | 232,320 | $ | 984,262 | ||||||
Class C | 321,500 | 25,597 | 75,494 | |||||||||
Class R2 | — | 823 | 9,868 | |||||||||
Class R5 | 58,686 | 1,636 | 164,713 | |||||||||
Class R6 | 2,414,333 | 1,268,988 | 265,905 | |||||||||
Select Class | 1,219,501 | 1,773,929 | 1,562,284 | |||||||||
|
|
|
| �� |
|
| ||||||
Total | $ | 5,188,280 | $ | 3,303,293 | $ | 3,062,526 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 74,582 | 4,931 | 35,519 | |||||||||
Class C | 22,608 | 555 | 3,292 | |||||||||
Class R2 | — | 17 | 329 | |||||||||
Class R5 | 3,612 | 34 | 5,269 | |||||||||
Class R6 | 148,353 | 26,721 | 8,487 | |||||||||
Select Class | 75,917 | 37,366 | 50,291 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 15.74 | $ | 47.12 | $ | 27.71 | ||||||
Class C — Offering price per share (b) | 14.22 | 46.16 | 22.93 | |||||||||
Class R2 — Offering and redemption price per share | — | 46.98 | 29.96 | |||||||||
Class R5 — Offering and redemption price per share | 16.25 | 47.49 | 31.26 | |||||||||
Class R6 — Offering and redemption price per share | 16.27 | 47.49 | 31.33 | |||||||||
Select Class — Offering and redemption price per share | 16.06 | 47.47 | 31.06 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 16.61 | $ | 49.73 | $ | 29.25 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 3,612,927 | $ | 2,359,100 | $ | 2,166,064 | ||||||
Cost of investments in affiliates | 205,478 | 102,329 | 136,866 | |||||||||
| (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.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 15,364,203 | $ | 253,959 | $ | 10,239,275 | ||||||
Investments in affiliates, at value | 648,674 | 38,662 | 1,024,973 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 16,012,877 | 292,621 | 11,264,248 | |||||||||
Cash | — | 262 | 23 | |||||||||
Deposits at broker for futures contracts | — | 271 | — | |||||||||
Deposits at broker for securities sold short | — | 251,620 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 1,891 | 14,395 | |||||||||
Fund shares sold | 13,514 | 101 | 33,033 | |||||||||
Dividends from non-affiliates | 18,427 | 272 | 10,480 | |||||||||
Dividends from affiliates | 33 | 2 | 50 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 16,044,851 | 547,040 | 11,322,229 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities sold short, at value | — | 252,649 | — | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 83 | — | |||||||||
Investment securities purchased | 42,295 | 3,216 | 12,810 | |||||||||
Interest expense to non-affiliates on securities sold short | — | 45 | — | |||||||||
Fund shares redeemed | 28,133 | 24 | 5,273 | |||||||||
Variation margin on futures contracts | — | 3 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 8,394 | 209 | 5,529 | |||||||||
Administration fees | 1,098 | — | 615 | |||||||||
Distribution fees | 959 | 6 | 938 | |||||||||
Shareholder servicing fees | 1,163 | 61 | 965 | |||||||||
Custodian and accounting fees | 196 | 10 | 105 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 1 | 5 | |||||||||
Other | 3,534 | 53 | 1,482 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 85,778 | 256,360 | 27,722 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 15,959,073 | $ | 290,680 | $ | 11,294,507 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except per share amounts)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 9,943,186 | $ | 310,114 | $ | 9,512,394 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 41,285 | (889 | ) | 39,348 | ||||||||
Accumulated net realized gains (losses) | 670,171 | (58,022 | ) | 91,356 | ||||||||
Net unrealized appreciation (depreciation) | 5,304,431 | 39,477 | 1,651,409 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 15,959,073 | $ | 290,680 | $ | 11,294,507 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 2,623,772 | $ | 6,273 | $ | 2,440,061 | ||||||
Class C | 595,385 | 6,760 | 701,023 | |||||||||
Class R2 | �� | 71,697 | — | — | ||||||||
Institutional Class | 10,320,516 | — | 5,058,172 | |||||||||
Select Class | 2,347,703 | 277,647 | 3,095,251 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,959,073 | $ | 290,680 | $ | 11,294,507 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 70,949 | 636 | 81,765 | |||||||||
Class C | 16,635 | 726 | 23,584 | |||||||||
Class R2 | 2,006 | — | — | |||||||||
Institutional Class | 273,330 | — | 168,290 | |||||||||
Select Class | 62,834 | 27,565 | 103,205 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 36.98 | $ | 9.87 | $ | 29.84 | ||||||
Class C — Offering price per share (b) | 35.79 | 9.31 | 29.72 | |||||||||
Class R2 — Offering and redemption price per share | 35.73 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 37.76 | — | 30.06 | |||||||||
Select Class — Offering and redemption price per share | 37.36 | 10.07 | 29.99 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 39.03 | $ | 10.42 | $ | 31.49 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 10,059,772 | $ | 215,226 | $ | 8,587,866 | ||||||
Cost of investments in affiliates | 648,674 | 38,662 | 1,024,973 | |||||||||
Proceeds from securities sold short | — | 253,357 | — | |||||||||
| (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.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 25,211 | $ | 36,215 | $ | 13,432 | ||||||
Dividend income from affiliates | 46 | 38 | 49 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 25,257 | 36,253 | 13,481 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 27,504 | 19,842 | 15,943 | |||||||||
Administration fees | 3,479 | 2,510 | 2,017 | |||||||||
Distribution fees: | ||||||||||||
Class A | 2,229 | 473 | 2,117 | |||||||||
Class B (a) | 17 | — | 30 | |||||||||
Class C | 1,559 | 169 | 416 | |||||||||
Class R2 | — | 4 | 24 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 2,229 | 473 | 2,117 | |||||||||
Class B (a) | 5 | — | 10 | |||||||||
Class C | 520 | 56 | 139 | |||||||||
Class R2 | — | 2 | 12 | |||||||||
Class R5 | 180 | — | (b) | 30 | ||||||||
Select Class | 2,697 | 4,464 | 3,357 | |||||||||
Custodian and accounting fees | 134 | 89 | 87 | |||||||||
Interest expense to affiliates | — | (b) | — | — | ||||||||
Professional fees | 83 | 71 | 72 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 39 | 28 | 23 | |||||||||
Printing and mailing costs | 252 | 376 | 238 | |||||||||
Registration and filing fees | 429 | 231 | 138 | |||||||||
Transfer agent fees | 2,202 | 3,279 | 2,456 | |||||||||
Other | 224 | 290 | 35 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 43,782 | 32,357 | 29,261 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,331 | ) | (5,513 | ) | (3,798 | ) | ||||||
Less earnings credits | — | — | (b) | — | ||||||||
Less expense reimbursements | — | (293 | ) | (12 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 42,451 | 26,551 | 25,451 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (17,194 | ) | 9,702 | (11,970 | ) | |||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 172,792 | 165,578 | 173,141 | |||||||||
Change in net unrealized appreciation/depreciation of investments in non-affiliates | 461,167 | 134,637 | 150,704 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 633,959 | 300,215 | 323,845 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 616,765 | $ | 309,917 | $ | 311,875 | ||||||
|
|
|
|
|
| |||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 282,182 | $ | 5,549 | $ | 181,881 | ||||||
Dividend income from affiliates | 196 | 19 | 287 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 282,378 | 5,568 | 182,168 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 103,514 | 4,516 | 62,972 | |||||||||
Administration fees | 13,098 | 297 | 7,966 | |||||||||
Distribution fees: | ||||||||||||
Class A | 6,927 | 19 | 5,282 | |||||||||
Class B (a) | 63 | 1 | — | |||||||||
Class C | 4,545 | 58 | 4,144 | |||||||||
Class R2 | 366 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 6,927 | 19 | 5,282 | |||||||||
Class B (a) | 21 | — | (b) | — | ||||||||
Class C | 1,515 | 19 | 1,381 | |||||||||
Class R2 | 183 | — | — | |||||||||
Institutional Class | 9,720 | — | 4,174 | |||||||||
Select Class | 6,867 | 865 | 7,123 | |||||||||
Custodian and accounting fees | 443 | 36 | 279 | |||||||||
Interest expense to affiliates | — | — | (b) | — | ||||||||
Professional fees | 226 | 55 | 128 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 153 | 4 | 87 | |||||||||
Printing and mailing costs | 934 | 6 | 596 | |||||||||
Registration and filing fees | 581 | 49 | 924 | |||||||||
Transfer agent fees | 15,294 | 52 | 6,758 | |||||||||
Other | 809 | 10 | 408 | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 3,734 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 612 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 172,186 | 10,352 | 107,504 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (24,286 | ) | (1,484 | ) | (12,627 | ) | ||||||
Less earnings credits | — | (b) | — | — | ||||||||
Less expense reimbursements | (2,625 | ) | — | (b) | (436 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 145,275 | 8,868 | 94,441 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 137,103 | (3,300 | ) | 87,727 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 1,096,684 | 55,400 | 148,940 | |||||||||
Futures | — | 522 | — | |||||||||
Securities sold short | — | (52,926 | ) | — | ||||||||
Foreign currency transactions | — | 2 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 1,096,684 | 2,998 | 148,940 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | (12,168 | ) | (34,391 | ) | 322,296 | |||||||
Futures | — | 57 | — | |||||||||
Securities sold short | — | 35,440 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (12,168 | ) | 1,106 | 322,296 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,084,516 | 4,104 | 471,236 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,221,619 | $ | 804 | $ | 558,963 | ||||||
|
|
|
|
|
| |||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (17,194 | ) | $ | (7,964 | ) | $ | 9,702 | $ | 4,036 | ||||||
Net realized gain (loss) | 172,792 | 223,546 | 165,578 | 135,142 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | 3 | — | 1 | ||||||||||||
Change in net unrealized appreciation/depreciation | 461,167 | 492,238 | 134,637 | 222,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 616,765 | 707,823 | 309,917 | 361,706 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (81 | ) | (29 | ) | ||||||||||
From net realized gains | (32,469 | ) | (21,773 | ) | (8,089 | ) | (4,217 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | (98 | ) | (123 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | — | ||||||||||||
From net realized gains | (7,969 | ) | (4,242 | ) | (990 | ) | (1,100 | ) | ||||||||
Class R2 (b) | ||||||||||||||||
From net investment income | — | — | — | — | (c) | |||||||||||
From net realized gains | — | — | (30 | ) | — | |||||||||||
Class R5 (b) | ||||||||||||||||
From net investment income | — | — | (2 | ) | — | (c) | ||||||||||
From net realized gains | (1,758 | ) | (54,106 | ) | (26 | ) | — | |||||||||
Class R6 (b) (d) | ||||||||||||||||
From net investment income | — | — | (3,446 | ) | (913 | ) | ||||||||||
From net realized gains | (73,271 | ) | — | (46,736 | ) | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (3,414 | ) | (3,282 | ) | ||||||||||
From net realized gains | (39,626 | ) | (49,152 | ) | (80,115 | ) | (90,616 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (155,191 | ) | (129,396 | ) | (142,929 | ) | (100,157 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,161,499 | 987,358 | 363,135 | 1,551,394 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,623,073 | 1,565,785 | 530,123 | 1,812,943 | ||||||||||||
Beginning of period | 3,565,207 | 1,999,422 | 2,773,170 | 960,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,188,280 | $ | 3,565,207 | $ | 3,303,293 | $ | 2,773,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (10,303 | ) | $ | (7,786 | ) | $ | (25 | ) | $ | (535 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Commencement of offering of class of shares effective March 14, 2014 for Mid Cap Equity Fund. |
| (c) | Amount rounds to less than $1,000. |
| (d) | Commencement of offering of class of shares effective December 23, 2013 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (11,970 | ) | $ | (6,054 | ) | $ | 137,103 | $ | 103,278 | ||||||
Net realized gain (loss) | 173,141 | 314,124 | 1,096,684 | 1,068,473 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | — | (b) | — | 6 | |||||||||||
Change in net unrealized appreciation/depreciation | 150,704 | 225,799 | (12,168 | ) | 1,889,585 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 311,875 | 533,869 | 1,221,619 | 3,061,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (15,287 | ) | (14,338 | ) | ||||||||||
From net realized gains | (80,615 | ) | (69,231 | ) | (197,218 | ) | (135,361 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | (608 | ) | (943 | ) | (668 | ) | (524 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (1,024 | ) | (38 | ) | ||||||||||
From net realized gains | (6,222 | ) | (3,392 | ) | (45,175 | ) | (24,588 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (331 | ) | (201 | ) | ||||||||||
From net realized gains | (345 | ) | (58 | ) | (5,603 | ) | (2,784 | ) | ||||||||
Class R5 | ||||||||||||||||
From net realized gains | (3,427 | ) | (2,276 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | (7,943 | ) | (5,408 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (108,605 | ) | (69,637 | ) | ||||||||||
From net realized gains | — | — | (711,308 | ) | (318,626 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (19,269 | ) | (17,743 | ) | ||||||||||
From net realized gains | (119,065 | ) | (99,863 | ) | (172,337 | ) | (112,976 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (218,225 | ) | (181,171 | ) | (1,276,825 | ) | (696,816 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 787,072 | 251,309 | 368,694 | 18,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 880,722 | 604,007 | 313,488 | 2,382,603 | ||||||||||||
Beginning of period | 2,181,804 | 1,577,797 | 15,645,585 | 13,262,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,062,526 | $ | 2,181,804 | $ | 15,959,073 | $ | 15,645,585 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (7,971 | ) | $ | (5,808 | ) | $ | 41,285 | $ | 48,215 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (3,300 | ) | $ | (4,373 | ) | $ | 87,727 | $ | 83,781 | ||||||
Net realized gain (loss) | 2,998 | 9,737 | 148,940 | 278,242 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | — | (a) | — | 5 | |||||||||||
Change in net unrealized appreciation/depreciation | 1,106 | (136 | ) | 322,296 | 747,106 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 804 | 5,228 | 558,963 | 1,109,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (18,586 | ) | (6,931 | ) | ||||||||||
From net realized gains | — | — | (49,085 | ) | (30,061 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (2,882 | ) | (562 | ) | ||||||||||
From net realized gains | — | — | (12,315 | ) | (7,282 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (51,909 | ) | (19,755 | ) | ||||||||||
From net realized gains | — | — | (93,724 | ) | (54,303 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (31,036 | ) | (12,951 | ) | ||||||||||
From net realized gains | — | — | (67,644 | ) | (42,336 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (327,181 | ) | (174,181 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (161,126 | ) | 101,988 | 3,369,281 | 3,061,568 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (160,322 | ) | 107,216 | 3,601,063 | 3,996,521 | |||||||||||
Beginning of period | 451,002 | 343,786 | 7,693,444 | 3,696,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 290,680 | $ | 451,002 | $ | 11,294,507 | $ | 7,693,444 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (889 | ) | $ | (2,110 | ) | $ | 39,348 | $ | 57,743 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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)
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 548,977 | $ | 463,178 | $ | 93,435 | $ | 92,281 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 42,694 | ||||||||||||
Distributions reinvested | 31,822 | 21,355 | 8,101 | 4,242 | ||||||||||||
Cost of shares redeemed | (222,820 | ) | (135,058 | ) | (35,536 | ) | (16,208 | ) | ||||||||
Conversion from Class B Shares | 2,100 | 34 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 360,079 | $ | 349,509 | $ | 66,000 | $ | 123,009 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 225 | $ | 342 | $ | — | $ | — | ||||||||
Distributions reinvested | 95 | 118 | — | — | ||||||||||||
Cost of shares redeemed | (865 | ) | (565 | ) | — | — | ||||||||||
Conversion to Class A Shares | (2,100 | ) | (34 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (2,645 | ) | $ | (139 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 182,071 | $ | 101,473 | $ | 6,417 | $ | 11,105 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 1,648 | ||||||||||||
Distributions reinvested | 6,954 | 3,500 | 990 | 1,100 | ||||||||||||
Cost of shares redeemed | (32,956 | ) | (18,573 | ) | (2,929 | ) | (1,925 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 156,069 | $ | 86,400 | $ | 4,478 | $ | 11,928 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 336 | $ | 51 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 632 | ||||||||||||
Distributions reinvested | — | — | 18 | — | (c) | |||||||||||
Cost of shares redeemed | — | — | (251 | ) | (28 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 103 | $ | 655 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 77,457 | $ | 540,555 | $ | 1,637 | $ | 1 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 87 | ||||||||||||
Distributions reinvested | 1,758 | 54,106 | 28 | — | (c) | |||||||||||
Cost of shares redeemed | (1,506,939 | ) | (225,926 | ) | (186 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (1,427,724 | ) | $ | 368,735 | $ | 1,479 | $ | 88 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) (d) | ||||||||||||||||
Proceeds from shares issued | $ | 1,928,585 | $ | 276,436 | $ | 369,933 | $ | 108,850 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 676,262 | ||||||||||||
Distributions reinvested | 70,979 | — | 49,924 | 906 | ||||||||||||
Cost of shares redeemed | (53,688 | ) | (11,268 | ) | (35,342 | ) | (751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 1,945,876 | $ | 265,168 | $ | 384,515 | $ | 785,267 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 361,358 | $ | 429,743 | $ | 345,873 | $ | 490,477 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 390,167 | ||||||||||||
Distributions reinvested | 23,846 | 20,345 | 60,746 | 82,318 | ||||||||||||
Cost of shares redeemed | (255,360 | ) | (532,403 | ) | (500,059 | ) | (332,515 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 129,844 | $ | (82,315 | ) | $ | (93,440 | ) | $ | 630,447 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,161,499 | $ | 987,358 | $ | 363,135 | $ | 1,551,394 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (b) | Commencement of offering of class of shares effective March 14, 2014 for Mid Cap Equity Fund. |
| (c) | Amount rounds to less than 1,000. |
| (d) | Commencement of offering of class of shares effective December 23, 2013 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 36,907 | 34,638 | 2,053 | 2,197 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 995 | ||||||||||||
Reinvested | 2,270 | 1,645 | 188 | 107 | ||||||||||||
Redeemed | (15,105 | ) | (10,120 | ) | (784 | ) | (381 | ) | ||||||||
Conversion from Class B Shares | 131 | 3 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 24,203 | 26,166 | 1,457 | 2,918 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 17 | 28 | — | — | ||||||||||||
Reinvested | 7 | 10 | — | — | ||||||||||||
Redeemed | (64 | ) | (47 | ) | — | — | ||||||||||
Conversion to Class A Shares | (146 | ) | (3 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (186 | ) | (12 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 13,414 | 8,282 | 144 | 269 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 39 | ||||||||||||
Reinvested | 547 | 295 | 23 | 28 | ||||||||||||
Redeemed | (2,464 | ) | (1,524 | ) | (65 | ) | (46 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 11,497 | 7,053 | 102 | 290 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Issued | — | — | 7 | 2 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 15 | ||||||||||||
Reinvested | — | — | — | (c) | — | (c) | ||||||||||
Redeemed | — | — | (6 | ) | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 1 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Issued | 5,216 | 39,731 | 35 | — | (c) | |||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 2 | ||||||||||||
Reinvested | 122 | 4,065 | 1 | — | (c) | |||||||||||
Redeemed | (101,089 | ) | (15,945 | ) | (4 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (95,751 | ) | 27,851 | 32 | 2 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) (d) | ||||||||||||||||
Issued | 128,407 | 19,372 | 8,126 | 2,551 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 15,676 | ||||||||||||
Reinvested | 4,909 | — | 1,145 | 20 | ||||||||||||
Redeemed | (3,544 | ) | (791 | ) | (779 | ) | (18 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 129,772 | 18,581 | 8,492 | 18,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 23,952 | 31,913 | 7,557 | 11,736 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 9,044 | ||||||||||||
Reinvested | 1,668 | 1,541 | 1,396 | 2,060 | ||||||||||||
Redeemed | (16,966 | ) | (38,838 | ) | (10,866 | ) | (7,967 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 8,654 | (5,384 | ) | (1,913 | ) | 14,873 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (b) | Commencement of offering of class of shares effective March 14, 2014 for Mid Cap Equity Fund. |
| (c) | Amount rounds to less than $1,000. |
| (d) | Commencement of offering of class of shares effective December 23, 2013 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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)
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 274,574 | $ | 116,580 | $ | 394,792 | $ | 455,082 | ||||||||
Distributions reinvested | 76,907 | 65,053 | 195,292 | 139,350 | ||||||||||||
Cost of shares redeemed | (162,077 | ) | (127,370 | ) | (1,360,678 | ) | (880,766 | ) | ||||||||
Conversion from Class B Shares | 3,778 | 890 | 6,728 | 781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 193,182 | $ | 55,153 | $ | (763,866 | ) | $ | (285,553 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 27 | $ | 60 | $ | 22 | $ | 98 | ||||||||
Distributions reinvested | 593 | 905 | 639 | 502 | ||||||||||||
Cost of shares redeemed | (1,919 | ) | (2,663 | ) | (4,670 | ) | (6,624 | ) | ||||||||
Conversion to Class A Shares | (3,778 | ) | (890 | ) | (6,728 | ) | (781 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (5,077 | ) | $ | (2,588 | ) | $ | (10,737 | ) | $ | (6,805 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 37,238 | $ | 14,903 | $ | 27,636 | $ | 27,504 | ||||||||
Distributions reinvested | 5,274 | 2,860 | 36,724 | 19,472 | ||||||||||||
Cost of shares redeemed | (8,786 | ) | (5,376 | ) | (72,861 | ) | (66,037 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 33,726 | $ | 12,387 | $ | (8,501 | ) | $ | (19,061 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 8,894 | $ | 1,589 | $ | 16,445 | $ | 21,879 | ||||||||
Distributions reinvested | 345 | 58 | 5,637 | 2,790 | ||||||||||||
Cost of shares redeemed | (1,635 | ) | (276 | ) | (21,709 | ) | (20,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 7,604 | $ | 1,371 | $ | 373 | $ | 4,490 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 139,213 | $ | 11,177 | $ | — | $ | — | ||||||||
Distributions reinvested | 3,427 | 2,276 | — | — | ||||||||||||
Cost of shares redeemed | (10,062 | ) | (8,354 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 132,578 | $ | 5,099 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 185,884 | $ | 33,802 | $ | — | $ | — | ||||||||
Distributions reinvested | 7,291 | 4,757 | — | — | ||||||||||||
Cost of shares redeemed | (26,514 | ) | (12,254 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 166,661 | $ | 26,305 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,898,688 | $ | 1,953,853 | ||||||||
Distributions reinvested | — | — | 686,825 | 315,542 | ||||||||||||
Cost of shares redeemed | — | — | (1,786,837 | ) | (1,555,034 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 1,798,676 | $ | 714,361 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 427,509 | $ | 235,397 | $ | 1,046,215 | $ | 551,560 | ||||||||
Distributions reinvested | 103,039 | 84,914 | 174,083 | 120,569 | ||||||||||||
Cost of shares redeemed | (272,150 | ) | (166,729 | ) | (1,867,549 | ) | (1,061,484 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 258,398 | $ | 153,582 | $ | (647,251 | ) | $ | (389,355 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 787,072 | $ | 251,309 | $ | 368,694 | $ | 18,077 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 10,468 | 4,511 | 10,652 | 13,252 | ||||||||||||
Reinvested | 3,166 | 2,708 | 5,494 | 4,172 | ||||||||||||
Redeemed | (6,089 | ) | (4,940 | ) | (36,773 | ) | (25,729 | ) | ||||||||
Conversion from Class B Shares | 136 | 35 | 178 | 23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 7,681 | 2,314 | (20,449 | ) | (8,282 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 1 | 3 | 1 | 4 | ||||||||||||
Reinvested | 37 | 53 | 18 | 15 | ||||||||||||
Redeemed | (106 | ) | (144 | ) | (128 | ) | (200 | ) | ||||||||
Conversion to Class A Shares | (202 | ) | (49 | ) | (182 | ) | (23 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (270 | ) | (137 | ) | (291 | ) | (204 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,668 | 673 | 779 | 830 | ||||||||||||
Reinvested | 262 | 140 | 1,070 | 602 | ||||||||||||
Redeemed | (396 | ) | (244 | ) | (2,021 | ) | (1,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,534 | 569 | (172 | ) | (536 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 310 | 58 | 458 | 654 | ||||||||||||
Reinvested | 13 | 2 | 164 | 86 | ||||||||||||
Redeemed | (57 | ) | (10 | ) | (607 | ) | (599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 266 | 50 | 15 | 141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 4,578 | 397 | — | — | ||||||||||||
Reinvested | 125 | 86 | — | — | ||||||||||||
Redeemed | (334 | ) | (293 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 4,369 | 190 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 6,285 | 1,187 | — | — | ||||||||||||
Reinvested | 266 | 179 | — | — | ||||||||||||
Redeemed | (882 | ) | (432 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 5,669 | 934 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 75,729 | 55,438 | ||||||||||||
Reinvested | — | — | 18,860 | 9,240 | ||||||||||||
Redeemed | — | — | (47,177 | ) | (44,220 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 47,412 | 20,458 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 14,507 | 8,322 | 27,961 | 15,917 | ||||||||||||
Reinvested | 3,790 | 3,204 | 4,839 | 3,571 | ||||||||||||
Redeemed | (9,299 | ) | (5,903 | ) | (48,879 | ) | (30,426 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 8,998 | 5,623 | (16,079 | ) | (10,938 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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)
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 558 | $ | 2,518 | $ | 1,131,012 | $ | 931,606 | ||||||||
Distributions reinvested | — | — | 63,610 | 34,685 | ||||||||||||
Cost of shares redeemed | (4,659 | ) | (6,487 | ) | (503,182 | ) | (255,314 | ) | ||||||||
Conversion from Class B Shares | 79 | 45 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (4,022 | ) | $ | (3,924 | ) | $ | 691,440 | $ | 710,977 | ||||||
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Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 3 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (129 | ) | (280 | ) | — | — | ||||||||||
Conversion to Class A Shares | (79 | ) | (45 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (208 | ) | $ | (322 | ) | $ | — | $ | — | ||||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 522 | $ | 505 | $ | 341,265 | $ | 164,051 | ||||||||
Distributions reinvested | — | — | 12,024 | 6,053 | ||||||||||||
Cost of shares redeemed | (2,310 | ) | (3,141 | ) | (65,697 | ) | (28,716 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (1,788 | ) | $ | (2,636 | ) | $ | 287,592 | $ | 141,388 | ||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,416,260 | $ | 1,480,427 | ||||||||
Distributions reinvested | — | — | 134,005 | 69,075 | ||||||||||||
Cost of shares redeemed | — | — | (641,266 | ) | (330,856 | ) | ||||||||||
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| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 1,908,999 | $ | 1,218,646 | ||||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 8,612 | $ | 114,928 | $ | 883,261 | $ | 1,276,857 | ||||||||
Distributions reinvested | — | — | 87,369 | 49,543 | ||||||||||||
Cost of shares redeemed | (163,720 | ) | (6,058 | ) | (489,380 | ) | (335,843 | ) | ||||||||
|
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| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (155,108 | ) | $ | 108,870 | $ | 481,250 | $ | 990,557 | |||||||
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|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (161,126 | ) | $ | 101,988 | $ | 3,369,281 | $ | 3,061,568 | |||||||
|
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|
|
|
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| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 56 | 257 | 38,204 | 34,698 | ||||||||||||
Reinvested | — | — | 2,177 | 1,320 | ||||||||||||
Redeemed | (468 | ) | (663 | ) | (16,986 | ) | (9,483 | ) | ||||||||
Conversion from Class B Shares | 8 | 5 | — | — | ||||||||||||
|
|
|
|
|
|
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| |||||||||
Change in Class A Shares | (404 | ) | (401 | ) | 23,395 | 26,535 | ||||||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 1 | — | — | ||||||||||||
Redeemed | (14 | ) | (31 | ) | — | — | ||||||||||
Conversion to Class A Shares | (8 | ) | (5 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (22 | ) | (35 | ) | — | — | ||||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued | 56 | 54 | 11,531 | 6,062 | ||||||||||||
Reinvested | — | — | 414 | 232 | ||||||||||||
Redeemed | (245 | ) | (338 | ) | (2,215 | ) | (1,062 | ) | ||||||||
|
|
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|
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|
|
| |||||||||
Change in Class C Shares | (189 | ) | (284 | ) | 9,730 | 5,232 | ||||||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 81,240 | 54,588 | ||||||||||||
Reinvested | — | — | 4,545 | 2,610 | ||||||||||||
Redeemed | — | — | (21,282 | ) | (12,230 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 64,503 | 44,968 | ||||||||||||
|
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| |||||||||
Select Class | ||||||||||||||||
Issued | 848 | 11,408 | 29,705 | 47,271 | ||||||||||||
Reinvested | — | — | 2,972 | 1,877 | ||||||||||||
Redeemed | (16,074 | ) | (607 | ) | (16,492 | ) | (12,507 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (15,226 | ) | 10,801 | 16,185 | 36,641 | |||||||||||
|
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|
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|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 | ||||||
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, 2015 | $ | 14.24 | $ | (0.10 | )(f) | $ | 2.17 | $ | 2.07 | $ | — | $ | (0.57 | ) | $ | (0.57 | ) | |||||||||||
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 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 12.98 | (0.15 | )(f) | 1.96 | 1.81 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.63 | (0.04 | )(f) | 2.23 | 2.19 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.64 | (0.03 | )(f) | 2.23 | 2.20 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
December 23, 2013(j) through June 30, 2014 | 13.86 | (0.01 | )(f) | 0.79 | 0.78 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.50 | (0.07 | )(f) | 2.20 | 2.13 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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), $0.03 and $0.01 for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, 0.27% and 0.09% for Class A, 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), $(0.01) and $(0.03) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.56)%, (1.03)%, (0.12)% and (0.37)% for Class A, 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.
| 56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 15.74 | 14.99 | % | $ | 1,174,260 | 1.24 | % | (0.65 | )% | 1.35 | % | 46 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 14.22 | 14.43 | 321,500 | 1.74 | (1.14 | ) | 1.84 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 16.25 | 15.42 | 58,686 | 0.86 | (0.25 | ) | 0.87 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 16.27 | 15.48 | 2,414,333 | 0.76 | (0.17 | ) | 0.77 | 46 | |||||||||||||||||||
| 14.64 | 5.63 | 271,958 | 0.80 | (0.15 | ) | 0.82 | 62 | |||||||||||||||||||
| 16.06 | 15.14 | 1,219,501 | 1.09 | (0.48 | ) | 1.09 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 44.91 | $ | (0.03 | )(f) | $ | 4.32 | $ | 4.29 | $ | (0.02 | ) | $ | (2.06 | ) | $ | (2.08 | ) | ||||||||||
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)(g) | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 44.21 | (0.25 | )(f) | 4.23 | 3.98 | — | (2.03 | ) | (2.03 | ) | ||||||||||||||||||
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)(g) | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 44.87 | (0.14 | )(f) | 4.30 | 4.16 | — | (2.05 | ) | (2.05 | ) | ||||||||||||||||||
March 14, 2014(i) through June 30, 2014 | 42.92 | (0.05 | )(f) | 2.01 | 1.96 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 45.15 | 0.20 | (f) | 4.33 | 4.53 | (0.13 | ) | (2.06 | ) | (2.19 | ) | |||||||||||||||||
March 14, 2014(i) through June 30, 2014 | 43.14 | 0.04 | (f) | 2.02 | 2.06 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 45.15 | 0.20 | (f) | 4.34 | 4.54 | (0.14 | ) | (2.06 | ) | (2.20 | ) | |||||||||||||||||
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, 2015 | 45.15 | 0.13 | (f) | 4.34 | 4.47 | (0.09 | ) | (2.06 | ) | (2.15 | ) | |||||||||||||||||
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)(g) | (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 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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.
| 58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 47.12 | 9.99 | % | $ | 232,320 | 1.24 | % | (0.06 | )% | 1.44 | % | 41 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 46.16 | 9.44 | 25,597 | 1.74 | (0.56 | ) | 1.91 | 41 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 46.98 | 9.71 | 823 | 1.49 | (0.31 | ) | 1.69 | 41 | |||||||||||||||||||
| 44.87 | 4.56 | 688 | 1.47 | (0.41 | ) | 1.60 | 47 | |||||||||||||||||||
| 47.49 | 10.49 | 1,636 | 0.79 | 0.43 | 0.88 | 41 | ||||||||||||||||||||
| 45.15 | 4.77 | 91 | 0.78 | 0.27 | 0.91 | 47 | ||||||||||||||||||||
| 47.49 | 10.53 | 1,268,988 | 0.74 | 0.45 | 0.80 | 41 | ||||||||||||||||||||
| 45.15 | 4.78 | 823,036 | 0.73 | 0.34 | 0.86 | 47 | ||||||||||||||||||||
| 47.47 | 10.35 | 1,773,929 | 0.89 | 0.29 | 1.16 | 41 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 realized gain | ||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 27.49 | $ | (0.18 | )(f) | $ | 3.19 | $ | 3.01 | $ | (2.79 | ) | ||||||||
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 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 23.35 | (0.26 | )(f) | 2.63 | 2.37 | (2.79 | ) | |||||||||||||
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 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2015 | 29.54 | (0.24 | )(f) | 3.45 | 3.21 | (2.79 | ) | |||||||||||||
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 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2015 | 30.52 | (0.07 | )(f) | 3.60 | 3.53 | (2.79 | ) | |||||||||||||
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 | ) | |||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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), $(0.23), $(0.20), $(0.02), $(0.01) and $(0.06) for Class A, 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)%, (1.03)%, (0.73)%, (0.08)%, (0.03)% and (0.22)% for Class A, 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), $(0.17), $(0.13), $0.01, $0.02 and $(0.02) for Class A, 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)%, (0.92)%, (0.57)%, 0.04%, 0.09% and (0.10)% for Class A, 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), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, 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)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 27.71 | 12.37 | % | $ | 984,262 | 1.23 | % | (0.68 | )% | 1.35 | % | 57 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 22.93 | 11.78 | 75,494 | 1.73 | (1.19 | ) | 1.86 | 57 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 29.96 | 12.18 | 9,868 | 1.39 | (0.85 | ) | 1.64 | 57 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 31.26 | 12.87 | 164,713 | 0.78 | (0.25 | ) | 0.87 | 57 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 (continued) | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 30.57 | $ | (0.06 | )(f) | $ | 3.61 | $ | 3.55 | $ | (2.79 | ) | ||||||||
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, 2015 | 30.39 | (0.11 | )(f) | 3.57 | 3.46 | (2.79 | ) | |||||||||||||
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 | — | ||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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), $(0.23), $(0.20), $(0.02), $(0.01) and $(0.06) for Class A, 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)%, (1.03)%, (0.73)%, (0.08)%, (0.03)% and (0.22)% for Class A, 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), $(0.17), $(0.13), $0.01, $0.02 and $(0.02) for Class A, 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)%, (0.92)%, (0.57)%, 0.04%, 0.09% and (0.10)% for Class A, 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), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, 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)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, 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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 31.33 | 12.92 | % | $ | 265,905 | 0.73 | % | (0.19 | )% | 0.78 | % | 57 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 31.06 | 12.68 | 1,562,284 | 0.92 | (0.37 | ) | 1.12 | 57 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | $ | 37.25 | $ | 0.20 | (d) | $ | 2.52 | $ | 2.72 | $ | (0.20 | ) | $ | (2.79 | ) | $ | (2.99 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 36.19 | 0.01 | (d) | 2.44 | 2.45 | (0.06 | ) | (2.79 | ) | (2.85 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 36.14 | 0.10 | (d) | 2.43 | 2.53 | (0.15 | ) | (2.79 | ) | (2.94 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.99 | 0.40 | (d) | 2.56 | 2.96 | (0.40 | ) | (2.79 | ) | (3.19 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.61 | 0.28 | (d) | 2.55 | 2.83 | (0.29 | ) | (2.79 | ) | (3.08 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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), $0.05, $0.32 and $0.23 for Class A, 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)%, 0.16%, 0.90% and 0.66% for Class A, 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, $0.01, $0.09, $0.31 and $0.23 for Class A, Class C, Class R2, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.04%, 0.31%, 1.04% and 0.80% for Class A, 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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 36.98 | 7.68 | % | $ | 2,623,772 | 1.23 | % | 0.53 | % | 1.38 | % | 18 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 35.79 | 7.12 | 595,385 | 1.74 | 0.03 | 1.84 | 18 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.73 | 7.38 | 71,697 | 1.49 | 0.28 | 1.71 | 18 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.76 | 8.19 | 10,320,516 | 0.74 | 1.05 | 0.94 | 18 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.36 | 7.92 | 2,347,703 | 0.98 | 0.75 | 1.10 | 18 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 | ||||||
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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 | Total from investment operations | |||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended June 30, 2015 | $ | 9.91 | $ | (0.11 | )(e) | $ | 0.07 | $ | (0.04 | ) | ||||||
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 | |||||||||||
Class C | ||||||||||||||||
Year Ended June 30, 2015 | 9.40 | (0.15 | )(e) | 0.06 | (0.09 | ) | ||||||||||
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 | |||||||||||
Select Class | ||||||||||||||||
Year Ended June 30, 2015 | 10.09 | (0.09 | )(e) | 0.07 | (0.02 | ) | ||||||||||
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 | |||||||||||
| (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% or 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 1.48% and 1.95% for the year ended June 30, 2015, 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, and 1.49% and 1.95% for 2011; for Class C are 1.98% and 2.45% for the year ended June 30, 2015, 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; for Select Class are 1.23% and 1.64% for the year ended June 30, 2015, 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, and 1.24% and 1.70% for 2011, 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) and $(0.11) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.38)%, (2.06)% and (1.16)% for Class A, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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| Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (b)(c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (c) | Portfolio turnover rate (d) | Portfolio turnover rate (including short sales) (d) | |||||||||||||||||||||||
| $ | 9.87 | (0.40 | )% | $ | 6,273 | 2.68 | % | (1.14 | )% | 3.15 | % | 74 | % | 204 | % | |||||||||||||||
| 9.91 | 1.23 | 10,301 | 2.78 | (1.36 | ) | 3.20 | 106 | 227 | ||||||||||||||||||||||
| 9.79 | 1.03 | 14,101 | 3.04 | (1.13 | )(g) | 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 | ||||||||||||||||||||||
| 9.31 | (0.96 | ) | 6,760 | 3.18 | (1.62 | ) | 3.65 | 74 | 204 | |||||||||||||||||||||
| 9.40 | 0.75 | 8,602 | 3.28 | (1.85 | ) | 3.70 | 106 | 227 | ||||||||||||||||||||||
| 9.33 | 0.32 | 11,181 | 3.69 | (1.81 | )(g) | 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 | ||||||||||||||||||||||
| 10.07 | (0.20 | ) | 277,647 | 2.43 | (0.89 | ) | 2.84 | 74 | 204 | |||||||||||||||||||||
| 10.09 | 1.51 | 431,890 | 2.52 | (1.07 | ) | 2.94 | 106 | 227 | ||||||||||||||||||||||
| 9.94 | 1.22 | 317,974 | 2.78 | (0.90 | )(g) | 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 | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 67 | ||||||
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 29.15 | $ | 0.19 | (d) | $ | 1.47 | $ | 1.66 | $ | (0.26 | ) | $ | (0.71 | ) | $ | (0.97 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.08 | 0.04 | (d) | 1.47 | 1.51 | (0.16 | ) | (0.71 | ) | (0.87 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.34 | (d) | 1.50 | 1.84 | (0.38 | ) | (0.71 | ) | (1.09 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 29.27 | 0.27 | (d) | 1.48 | 1.75 | (0.32 | ) | (0.71 | ) | (1.03 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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.
| 68 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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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) | ||||||||||||||||||||
| $ | 29.84 | 5.78 | % | $ | 2,440,061 | 1.24 | % | 0.64 | % | 1.41 | % | 17 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 29.72 | 5.26 | 701,023 | 1.73 | 0.14 | 1.83 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 30.06 | 6.36 | 5,058,172 | 0.74 | 1.15 | 0.90 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.99 | 6.05 | 3,095,251 | 0.99 | 0.89 | 1.05 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 69 | ||||||
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AS OF JUNE 30, 2015
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 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 C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Mid Cap Value Fund | Class A, Class C, Class R2, Institutional Class and Select Class | JPMFMFG | Diversified | |||
| Multi-Cap Market Neutral Fund | Class A, 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. |
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.
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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the
| 70 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies excluding Exchange Traded Funds (“ETFs”) (the “Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Growth Advantage Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 5,249,140 | $ | — | $ | — | $ | 5,249,140 | ||||||||
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| Mid Cap Equity Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,293,686 | $ | — | $ | — | $ | 3,293,686 | ||||||||
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| Mid Cap Growth Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,091,337 | $ | — | $ | — | $ | 3,091,337 | ||||||||
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| Mid Cap Value Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 16,012,877 | $ | — | $ | — | $ | 16,012,877 | ||||||||
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| Multi-Cap Market Neutral Fund | �� | |||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 292,621 | $ | — | $ | — | $ | 292,621 | ||||||||
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Total Liabilities for Securities Sold Short (a) | $ | (252,649 | ) | $ | — | $ | — | $ | (252,649 | ) | ||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 36 | $ | — | $ | — | $ | 36 | ||||||||
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| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 71 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
Value Advantage Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 11,264,248 | $ | — | $ | — | $ | 11,264,248 | ||||||||
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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, 2015.
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 on 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 on 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) on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the 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, 2015, the Fund had outstanding short sales as listed on its SOI.
C. Futures Contracts — Multi-Cap Market Neutral Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Fund also bought futures contracts to immediately invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or 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 on 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 on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on 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.
| 72 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2015 (amounts in thousands):
| Multi-Cap Market Neutral Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 3,413 | (a) | |
Average Notional Balance Short | 2,469 | |||
Ending Notional Balance Long | — | |||
Ending Notional Balance Short | 2,067 | |||
| (a) | For the period March 1, 2015 through March 31, 2015. |
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, and dividend expense on securities sold short, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years 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 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 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) | ||||||||||
Growth Advantage Fund | $ | (7,398 | ) | $ | 14,677 | $ | (7,279 | ) | ||||
Mid Cap Equity Fund | (6 | ) | (2,249 | ) | 2,255 | |||||||
Mid Cap Growth Fund | (11 | ) | 9,807 | (9,796 | ) | |||||||
Mid Cap Value Fund | (5,262 | ) | 483 | 4,779 | ||||||||
Multi-Cap Market Neutral Fund | (4,597 | ) | 4,521 | 76 | ||||||||
Value Advantage Fund | — | (1,709 | ) | 1,709 | ||||||||
The reclassification for the Funds relate primarily to capital loss carryforwards, investments in partnerships, net operating losses and non-taxable dividends.
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 73 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), 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, 2015, 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 has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds, as applicable, 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 | ||||||||||||
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, 2015, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 767 | $ | 1 | ||||
Mid Cap Equity Fund | 203 | — | ||||||
Mid Cap Growth Fund | 99 | 1 | ||||||
Mid Cap Value Fund | 37 | — | (a) | |||||
Multi-Cap Market Neutral Fund | 1 | — | ||||||
Value Advantage Fund | 644 | 3 | ||||||
| (a) | Amount rounds to less than $1,000. |
| 74 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is 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 on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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’s 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 | % | 0.85 | %* | 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 | ||||||||||||||||||||||||
| * | Prior to January 1, 2015, the contractual expense limitation for Growth Advantage Fund Class R6 was 0.80%. |
The expense limitation agreements were in effect for the year ended June 30, 2015. The contractual expense limitation percentages in the table above are in place until at least October 31, 2015, except Mid Cap Equity Fund which is in place until October 31, 2016 and Class B Shares which are no longer operating. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2015. 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, 2015, 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 | ||||||||||||||||
Growth Advantage Fund | $ | 40 | $ | 3 | $ | 1,078 | $ | 1,121 | $ | — | ||||||||||
Mid Cap Equity Fund | 923 | 615 | 3,776 | 5,314 | 293 | |||||||||||||||
Mid Cap Growth Fund | 785 | 517 | 2,353 | 3,655 | 12 | |||||||||||||||
Mid Cap Value Fund | 6,594 | 4,303 | 12,366 | 23,263 | 2,625 | |||||||||||||||
Multi-Cap Market Neutral Fund | 1,107 | 297 | 9 | 1,413 | — | (a) | ||||||||||||||
Value Advantage Fund | 2,793 | 1,830 | 6,572 | 11,195 | 436 | |||||||||||||||
| (b) | Amount rounds to less than $1,000. |
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 75 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (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 amount of waivers resulting from investments in these money market funds for the year ended June 30, 2015 was as follows (amounts in thousands):
Growth Advantage Fund | $ | 210 | ||
Mid Cap Equity Fund | 199 | |||
Mid Cap Growth Fund | 143 | |||
Mid Cap Value Fund | 1,023 | |||
Multi-Cap Market Neutral Fund | 71 | |||
Value Advantage Fund | 1,432 |
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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the 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, 2015, 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, 2015, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):
Growth Advantage Fund | $ | 2 | ||
Mid Cap Equity Fund | — | (a) | ||
Mid Cap Growth Fund | — | (a) |
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, 2015, 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 | $ | 2,787,395 | $ | 1,903,868 | $ | — | $ | — | ||||||||
Mid Cap Equity Fund | 1,430,107 | 1,199,994 | — | — | ||||||||||||
Mid Cap Growth Fund | 1,875,012 | 1,346,817 | — | — | ||||||||||||
Mid Cap Value Fund | 2,809,649 | 3,580,977 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 238,074 | 398,530 | 260,535 | 414,404 | ||||||||||||
Value Advantage Fund | 4,181,677 | 1,544,170 | — | — | ||||||||||||
During the year ended June 30, 2015, 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, 2015 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 3,827,543 | $ | 1,468,447 | $ | 46,850 | $ | 1,421,597 | ||||||||
Mid Cap Equity Fund | 2,471,328 | 875,460 | 53,102 | 822,358 | ||||||||||||
Mid Cap Growth Fund | 2,307,026 | 827,294 | 42,983 | 784,311 | ||||||||||||
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| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Mid Cap Value Fund | $ | 10,728,989 | $ | 5,465,948 | $ | 182,060 | $ | 5,283,888 | ||||||||
Multi-Cap Market Neutral Fund | 255,039 | 68,567 | 30,985 | 37,582 | ||||||||||||
Value Advantage Fund | 9,632,583 | 1,850,545 | 218,880 | 1,631,665 | ||||||||||||
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, 2015 was as follows (amounts in thousands):
| Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Growth Advantage Fund | $ | 27,729 | $ | 127,462 | $ | 155,191 | ||||||
Mid Cap Equity Fund | 39,516 | 103,413 | 142,929 | |||||||||
Mid Cap Growth Fund | 27,727 | 190,498 | 218,225 | |||||||||
Mid Cap Value Fund | 255,048 | 1,021,777 | 1,276,825 | |||||||||
Value Advantage Fund | 166,645 | 160,536 | 327,181 | |||||||||
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 | ||||||||||
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 | |||||||||
As of June 30, 2015, 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 | $ | — | $ | 163,952 | $ | — | $ | 1,421,597 | ||||||||
Mid Cap Equity Fund | 20,826 | 104,754 | — | 822,358 | ||||||||||||
Mid Cap Growth Fund | 3,127 | 124,596 | — | 784,311 | ||||||||||||
Mid Cap Value Fund | 56,281 | 698,118 | (22,101 | ) | 5,283,888 | |||||||||||
Multi-Cap Market Neutral Fund | — | — | (16,117 | ) | 27,397 | |||||||||||
Value Advantage Fund | 84,088 | 68,931 | — | 1,629,140 | ||||||||||||
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, late year ordinary loss deferrals, investments in partnerships 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, 2015, the Funds did not have post-enactment capital loss carryforwards.
As of June 30, 2015, 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 Value Fund | $ | — | $ | — | $ | 22,101 | $ | 22,101 | * | |||||||
Multi-Cap Market Neutral Fund | 16,117 | — | — | 16,117 | ||||||||||||
| * | Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381 - 384. Excludes approximately $5,263,000 of losses no longer available due to merger limitations. |
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 77 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
During the year ended June 30, 2015, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
| Pre-Enactment Capital Loss Carryforwards Utilized | ||||
Mid Cap Growth Fund | $ | 13,557 | ||
Mid Cap Value Fund | 7,367 | |||
Multi-Cap Market Neutral Fund | 13,495 | |||
Late year ordinary losses incurred after December 31 as well as 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, 2015, the following Funds deferred to July 1, 2016 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 | $ | 10,270 | $ | 15,279 | $ | — | ||||||
Mid Cap Growth Fund | 7,877 | — | — | |||||||||
Multi-Cap Market Neutral Fund | 854 | 29,825 | — | |||||||||
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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015. Average borrowings from the Facility for the year ended June 30, 2015, were as follows (amounts in thousands):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Multi-Cap Market Neutral Fund | $ | 21,128 | 0.21 | % | 4 | $ | — | (a)�� | ||||||||
| (a) | Amount rounds to less than $1,000. |
Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on 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.
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In addition, as of June 30, 2015, 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 | — | 40.6 | % | |||||
Mid Cap Equity Fund | — | 33.4 | ||||||
Multi-Cap Market Neutral Fund | 89.9 | % | — | |||||
Value Advantage Fund | — | 17.2 | ||||||
Additionally, Mid Cap Value Fund and Value Advantage Fund each have one or more shareholders, each of which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of that Fund’s outstanding shares.
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
As of June 30, 2015, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Citigroup Global Markets, Inc., 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, 2015 (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.
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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, 2015, 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, 2015 by correspondence with the custodian, transfer agent and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
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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 (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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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 (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, 2015, and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,098.40 | $ | 6.45 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,096.40 | 9.04 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,100.20 | 5.00 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.81 | 0.96 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,100.80 | 3.91 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,099.20 | 5.78 | 1.11 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.56 | 1.11 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,057.20 | 6.32 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,054.60 | 8.86 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,055.70 | 7.59 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Equity Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.60 | $ | 4.03 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,059.80 | 3.78 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,058.80 | 4.54 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,102.20 | 6.41 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,099.20 | 9.00 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,101.10 | 7.24 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,104.60 | 4.07 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.91 | 0.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,104.70 | 3.81 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,103.80 | 4.80 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.23 | 4.61 | 0.92 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,014.00 | 6.14 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,011.30 | 8.68 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,012.50 | 7.43 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,016.40 | 3.70 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,015.20 | 4.90 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 980.10 | 13.16 | 2.68 | ||||||||||||
Hypothetical | 1,000.00 | 1,011.50 | 13.37 | 2.68 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 976.90 | 15.59 | 3.18 | ||||||||||||
Hypothetical | 1,000.00 | 1,009.03 | 15.84 | 3.18 | ||||||||||||
| 86 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Multi-Cap Market Neutral Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 980.50 | $ | 11.93 | 2.43 | % | ||||||||
Hypothetical | 1,000.00 | 1,012.74 | 12.13 | 2.43 | ||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,005.70 | 6.12 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,003.40 | 8.59 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,008.40 | 3.64 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,007.10 | 4.88 | 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). |
| JUNE 30, 2015 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 87 | ||||||
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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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deduction | ||||
Mid Cap Equity Fund | 100.00 | % | ||
Mid Cap Growth Fund | 100.00 | |||
Mid Cap Value Fund | 100.00 | |||
Value Advantage Fund | 100.00 | |||
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Growth Advantage Fund | $ | 127,462 | ||
Mid Cap Equity Fund | 103,413 | |||
Mid Cap Growth Fund | 190,499 | |||
Mid Cap Value Fund | 1,021,777 | |||
Value Advantage Fund | 160,536 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Growth Advantage Fund | $ | 25,227 | ||
Mid Cap Equity Fund | 38,478 | |||
Mid Cap Growth Fund | 13,459 | |||
Mid Cap Value Fund | 255,048 | |||
Value Advantage Fund | 166,644 | |||
| 88 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2015 | ||||
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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 | |
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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., 2015. All rights reserved. June 2015. | AN-MC-615 |
Table of Contents
Annual Report
J.P. Morgan Large Cap Funds
June 30, 2015
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 | 3 | |||
| 4 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 14 | ||||
| 16 | ||||
| 18 | ||||
| 20 | ||||
| Schedules of Portfolio Investments | 22 | |||
| Financial Statements | 52 | |||
| Financial Highlights | 76 | |||
| Notes to Financial Statements | 94 | |||
| Report of Independent Registered Public Accounting Firm | 107 | |||
| Trustees | 108 | |||
| Officers | 110 | |||
| Schedule of Shareholder Expenses | 111 | |||
| Tax Letter | 115 | |||
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 27, 2015 (Unaudited)
Dear Shareholder,
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment — though not reflected in wage growth — drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve
months ended June 30, 2015, the Barclays U.S. Aggregate Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
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CEO’S LETTER
July 27, 2015 (Unaudited) (continued)
financial crisis. While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any
questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
J.P. Morgan Large Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
U.S equity markets performed strongly in the latter half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at several record highs but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928.
Overall, U.S. large cap stocks only slightly outperformed mid cap and small cap stocks for the twelve months ended June 30, 2015. Also, growth stocks outperformed value stocks across all market cap categories. For the twelve month period, the S&P 500 Index returned 7.42%, while the Russell 1000 Index returned 7.37%, the Russell 1000 Growth Index returned 10.56% and the Russell 1000 Value Index returned 4.13%.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
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JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 9.53% | |||
| S&P 500 Index | 7.42% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 7,746,415 | ||
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 S&P 500 Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Institutional Class Shares outperformed the Benchmark for the twelve months ended June 30, 2015. The Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and consumer staples sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Avago Technologies Ltd., Lowe’s Cos. and Boston Scientific Corp. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on increased demand for semiconductors and news of its $37 billion acquisition by Broadcom Corp. Shares of Lowe’s, a home-improvement retail chain, rose on increased consumer spending in the U.S. and better-than-expected quarterly sales. Shares of Boston Scientific, a medical device maker, rose after the company’s management unveiled a growth and expansion strategy.
Leading individual detractors from relative performance included the Fund’s overweight positions in Fluor Corp., Marathon Oil Corp. and Union Pacific Corp. Shares of Fluor, an engineering and construction services company, fell on lower demand from the energy sector. Shares of Marathon Oil, an oil and gas exploration and production company, declined on continued weakness in global energy prices. Shares of Union Pacific, a freight railroad operator, fell amid weaker freight volumes, particularly for coal.
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 HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.5 | % | |||||
| 2. | Comcast Corp., Class A | 2.8 | ||||||
| 3. | Goldman Sachs Group, Inc. (The) | 2.4 | ||||||
| 4. | Facebook, Inc., Class A | 2.3 | ||||||
| 5. | Biogen, Inc. | 2.3 | ||||||
| 6. | Morgan Stanley | 2.2 | ||||||
| 7. | Twenty-First Century Fox, Inc., Class A | 2.0 | ||||||
| 8. | Gilead Sciences, Inc. | 2.0 | ||||||
| 9. | Avago Technologies Ltd., (Singapore) | 2.0 | ||||||
| 10. | Lam Research Corp. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 17.9 | % | ||
| Consumer Discretionary | 17.7 | |||
| Financials | 16.9 | |||
| Health Care | 16.5 | |||
| Industrials | 12.0 | |||
| Energy | 6.3 | |||
| Consumer Staples | 4.9 | |||
| Materials | 2.4 | |||
| Utilities | 1.8 | |||
| Telecommunication Services | 1.2 | |||
| Short-Term Investments | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||
Without Sales Charge | 9.04 | % | 17.99 | % | 8.26 | % | ||||||||
With Sales Charge* | 3.34 | 16.73 | 7.68 | |||||||||||
CLASS R6 SHARES | March 24, 2003 | 9.67 | 18.58 | 8.81 | ||||||||||
INSTITUTIONAL CLASS SHARES | January 3, 1997 | 9.53 | 18.46 | 8.70 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 9.34 | 18.28 | 8.53 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.76% | |||
| Russell 1000 Growth Index | 10.56% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 337,196 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Dynamic Growth Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the consumer discretionary and producer durables sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s overweight positions in the health care sector and its security selection in the consumer staples sector were leading positive contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Michael Kors Holdings Ltd. and Schlumberger Ltd., and its underweight position in Apple Inc. Shares of Michael Kors, a luxury apparel brand, fell on investor concerns about growing inventory, margin growth and management’s ability to execute strategy. Shares of Schlumberger, a supplier of services to the energy industry, fell on weak demand amid continued weakness in global oil prices. Shares of Apple, a maker of mobile devices and personal computers, rose on a string of positive earnings announcements.
Leading individual contributors to relative performance included the Fund’s overweight positions in Gilead Sciences Inc., Regeneron Pharmaceuticals Inc. and CVS Health Corp. Shares of Gilead Sciences, a drug development company, rose on the sales prospects for Sovaldi, the company’s drug for the treatment of Hepatitis C. Shares of Regeneron, a biopharmaceutical company, rose on accelerating sales of its eye drug, Eylea, and advances in the company’s pipeline of potential new drugs. Shares of CVS Health, a pharmacy benefits provider and retail chain operator, rose on the strength of its integrated retail/pharmacy benefit operations.
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. | MasterCard, Inc., Class A | 5.3 | % | |||||
| 2. | Facebook, Inc., Class A | 5.0 | ||||||
| 3. | Gilead Sciences, Inc. | 4.9 | ||||||
| 4. | Regeneron Pharmaceuticals, Inc. | 4.5 | ||||||
| 5. | Google, Inc., Class A | 4.3 | ||||||
| 6. | Amazon.com, Inc. | 4.2 | ||||||
| 7. | Home Depot, Inc. (The) | 3.6 | ||||||
| 8. | Celgene Corp. | 3.6 | ||||||
| 9. | Starbucks Corp. | 3.5 | ||||||
| 10. | Salesforce.com, Inc. | 3.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 33.7 | % | ||
| Health Care | 22.9 | |||
| Consumer Discretionary | 20.1 | |||
| Industrials | 5.6 | |||
| Financials | 4.6 | |||
| Energy | 3.8 | |||
| Materials | 2.9 | |||
| Consumer Staples | 2.5 | |||
| 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 are based on total investments as of June 30, 2015. The Fund’s portfolio composition is subject to change. |
| 6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | November 30, 2007 | |||||||||||||||
Without Sales Charge | 7.46 | % | 17.61 | % | 7.38 | % | ||||||||||
With Sales Charge* | 1.81 | 16.35 | 6.62 | |||||||||||||
CLASS C SHARES | November 30, 2007 | |||||||||||||||
Without CDSC | 6.93 | 17.03 | 6.85 | |||||||||||||
With CDSC** | 5.93 | 17.03 | 6.85 | |||||||||||||
CLASS R5 SHARES | November 30, 2007 | 7.99 | 18.13 | 7.86 | ||||||||||||
SELECT CLASS SHARES | November 30, 2007 | 7.76 | 17.91 | 7.65 | ||||||||||||
| * | 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 6/30/15)
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, 2015. 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 and 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.
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 6.26% | |||
| S&P 500 Index | 7.42% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 83,504 | ||
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) underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the technology and financials services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector and its underweight position in the energy sector were leading positive contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Google Inc. and Kansas City Southern. Shares of Apple, a maker of mobile devices and personal computers that was not held by the Fund, rose on a string of positive earnings announcements. Shares of Google, a provider of internet services and technology, declined weaker-than-expected results and the decision by Mozilla Corp. to replace Google with Yahoo Inc. as its default search engine. Shares of Kansas City Southern, a freight railroad operator, declined on lower volumes for coal and agricultural products.
Leading individual contributors to relative performance included the Fund’s overweight positions in Gilead Sciences Inc., Starbucks Corp. and Mastercard Inc. Shares of Gilead Sciences, a drug development company, rose on the sales prospects for Sovaldi, the company’s drug for the treatment of Hepatitis C. Shares of Starbucks, an operator of retail coffee shops, rose on continued growth of sales, store traffic and operating income. Shares of Mastercard, an electronic payments and credit card company, rose on better-than-expected earnings and the company’s expansion plans.
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 overweight positions
versus the Benchmark were in the consumer discretionary and financial services sectors. The Fund’s largest underweight positions versus the Benchmark were in the consumer staples and utilities sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Gilead Sciences, Inc. | 5.6 | % | |||||
| 2. | Facebook, Inc., Class A | 5.4 | ||||||
| 3. | Google, Inc., Class C | 4.7 | ||||||
| 4. | MasterCard, Inc., Class A | 4.6 | ||||||
| 5. | Regeneron Pharmaceuticals, Inc. | 4.6 | ||||||
| 6. | American International Group, Inc. | 4.6 | ||||||
| 7. | Wells Fargo & Co. | 4.1 | ||||||
| 8. | Amazon.com, Inc. | 3.7 | ||||||
| 9. | Celgene Corp. | 3.6 | ||||||
| 10. | Priceline Group, Inc. (The) | 3.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 23.2 | % | ||
| Information Technology | 20.9 | |||
| Health Care | 17.0 | |||
| Consumer Discretionary | 15.6 | |||
| Industrials | 6.1 | |||
| Energy | 5.3 | |||
| Materials | 3.9 | |||
| Consumer Staples | 3.3 | |||
| Utilities | 1.3 | |||
| Short-Term Investment | 3.4 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | July 29, 2011 | |||||||||||||
Without Sales Charge | 5.98 | % | 17.32 | % | 14.51 | % | ||||||||
With Sales Charge* | 0.40 | 15.24 | 12.95 | |||||||||||
CLASS C SHARES | July 29, 2011 | |||||||||||||
Without CDSC | 5.44 | 16.72 | 13.94 | |||||||||||
With CDSC** | 4.44 | 16.72 | 13.94 | |||||||||||
SELECT CLASS SHARES | July 29, 2011 | 6.26 | 17.62 | 14.80 | ||||||||||
| * | 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 6/30/15)
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, 2015. 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.
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 4.96% | |||
| Russell 1000 Value Index | 4.13% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 10,253,180 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Income Fund (the “Fund”) seeks capital appreciation and current income1.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection and underweight position in the energy sector and its security selection in the consumer discretionary sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection and underweight position in the health care and consumer staples sectors were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Apple Inc., Home Depot Inc. and CME Group Inc. Shares of Apple, a consumer electronics company not held in the Benchmark, rose on a string of positive earnings announcements. Shares of Home Depot, a home improvement retail chain not held in the Benchmark, rose on earnings and sales growth amid strong consumer spending in the U.S. Shares of CME Group, owner/operator of financial exchanges for futures, options and derivatives, rose on strong trading volumes.
Leading individual detractors from relative performance included the Fund’s overweight position in ConocoPhillips and its underweight positions in UnitedHealth Group Inc. and JPMorgan Chase & Co. Shares of ConocoPhillips, an integrated energy sector company, fell on continued weakness in oil and gas prices and declining demand for coal. Shares of UnitedHealth, a health care benefits provider that was not held by the Fund, rose on expectations that it will benefit from the Affordable Care Act. Shares of JPMorgan, a banking and financial services company that cannot be held by the Fund, rose on earnings and revenue growth.
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.
| 1 | Effective July 23, 2014, following approval from the Fund’s Board of Trustees, shareholders approved a change to the Fund’s investment objective. The current investment objective is stated above. Prior to July 23, 2014, the Fund’s investment objective was to seek current income through regular payment of dividends as well as to achieve capital appreciation by investing primarily in equity securities. |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 4.7 | % | |||||
| 2. | Exxon Mobil Corp. | 2.8 | ||||||
| 3. | Apple, Inc. | 2.4 | ||||||
| 4. | Johnson & Johnson | 2.3 | ||||||
| 5. | PNC Financial Services Group, Inc. (The) | 2.2 | ||||||
| 6. | Pfizer, Inc. | 2.1 | ||||||
| 7. | CME Group, Inc. | 2.0 | ||||||
| 8. | Merck & Co., Inc. | 2.0 | ||||||
| 9. | Altria Group, Inc. | 1.9 | ||||||
| 10. | Home Depot, Inc. (The) | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 26.8 | % | ||
| Consumer Discretionary | 13.0 | |||
| Health Care | 11.8 | |||
| Industrials | 10.4 | |||
| Information Technology | 10.2 | |||
| Consumer Staples | 8.3 | |||
| Energy | 7.8 | |||
| Utilities | 4.4 | |||
| Materials | 2.6 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 3.2 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 4.71 | % | 17.00 | % | 8.08 | % | ||||||||
With Sales Charge* | (0.81 | ) | 15.76 | 7.50 | ||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 4.18 | 16.43 | 7.52 | |||||||||||
With CDSC** | 3.18 | 16.43 | 7.52 | |||||||||||
CLASS R2 SHARES | February 28, 2011 | 4.44 | 16.71 | 7.90 | ||||||||||
CLASS R5 SHARES | February 28, 2011 | 5.16 | 17.48 | 8.48 | ||||||||||
CLASS R6 SHARES | January 31, 2012 | 5.31 | 17.52 | 8.50 | ||||||||||
SELECT CLASS SHARES | July 2, 1987 | 4.96 | 17.29 | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
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JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 5.24% | |||
| Russell 1000 Value Index1 | 4.13% | |||
| S&P 500/Citigroup Value Index | 4.57% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 495,319 | ||
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’s Class A Shares, without a sales charge, outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the energy and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and financial services sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Humana Inc., Apple Inc. and Home Depot Inc. Shares of Humana, a health insurance provider, rose on news of a $33 billion takeover bid from Aetna Inc. Shares of Apple, a consumer electronics company not held in the Benchmark, rose on a string of positive earnings announcements. Shares of Home Depot, a home improvement retail chain that was not held in the Benchmark, rose on earnings and sales growth amid strong consumer spending in the U.S.
Leading individual detractors from relative performance included the Fund’s underweight position in JPMorgan Chase & Co. and its overweight positions in United Continental Holdings Inc. and Occidental Petroleum Corp. Shares of JPMorgan, a banking and financial services company that cannot be held by the Fund, rose on earnings and profit growth. Shares of United Continental, an airline operator not held in the Benchmark, declined along with the shares of other airlines amid investor worries that U.S. carriers were pursuing market share growth at the expense of profit growth. Shares of Occidental Petroleum, an oil and gas exploration and production company, fell on continued weakness in global oil prices.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable franchises, strong management and the ability to grow their intrinsic value per share. The portfolio managers employed a bottom-up approach to security selection and fundamental research. 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.
| 1 | On November 1, 2014, the Fund adopted the Russell 1000 Value Index as its primary Benchmark, replacing the S&P 500/Citigroup Value Index. The Fund’s portfolio managers believe the Russell 1000 Value Index is more representative of benchmarks for growth and income funds. |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.0 | % | |||||
| 2. | Exxon Mobil Corp. | 2.6 | ||||||
| 3. | Apple, Inc. | 2.5 | ||||||
| 4. | Microsoft Corp. | 2.4 | ||||||
| 5. | Bank of America Corp. | 2.2 | ||||||
| 6. | Hartford Financial Services Group, Inc. (The) | 2.1 | ||||||
| 7. | Occidental Petroleum Corp. | 2.0 | ||||||
| 8. | Humana, Inc. | 1.9 | ||||||
| 9. | Verizon Communications, Inc. | 1.8 | ||||||
| 10. | Berkshire Hathaway, Inc., Class B | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 33.1 | % | ||
| Health Care | 12.9 | |||
| Consumer Discretionary | 12.2 | |||
| Information Technology | 10.5 | |||
| Industrials | 8.5 | |||
| Energy | 8.3 | |||
| Consumer Staples | 6.8 | |||
| Utilities | 2.7 | |||
| Telecommunication Services | 1.8 | |||
| Materials | 1.6 | |||
| Short-Term Investment | 1.6 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 23, 1987 | |||||||||||||
Without Sales Charge | 5.24 | % | 17.18 | % | 7.02 | % | ||||||||
With Sales Charge* | (0.29 | ) | 15.92 | 6.44 | ||||||||||
CLASS C SHARES | January 2, 1998 | |||||||||||||
Without CDSC | 4.68 | 16.58 | 6.48 | |||||||||||
With CDSC** | 3.68 | 16.58 | 6.48 | |||||||||||
SELECT CLASS SHARES | January 25, 1996 | 5.48 | 17.49 | 7.33 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Russell 1000 Value Index, 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, 2005 to June 30, 2015. 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 1000 Value Index and 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 benchmarks, 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 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 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.
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.
On November 1, 2014, the Fund adopted the Russell 1000 Value Index as its primary Benchmark, replacing the S&P 500/Citigroup Value Index. The Fund’s portfolio managers believe the Russell 1000 Value Index is more representative of benchmarks for growth and income funds.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.60% | |||
| S&P 500 Index | 7.42% | |||
| Net Assets as of 6/30/2015 (In Thousands | $ | 202,694 | ||
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) underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund captured 75% of the Benchmark’s total return with about 59% of the Benchmark’s volatility during the reporting period, which was within the Fund’s expected performance. The Fund’s security selection in the producer durables and materials & processing sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Fluor Corp and Marathon Oil Co., and its underweight position in Walt Disney Co. Shares of Fluor, an engineering and construction services provider, fell on weak demand from the energy sector. Shares of Marathon Oil, an oil and gas exploration and production company, declined on continued weakness in global oil prices. Shares of Disney, an entertainment and media company, rose on its broad portfolio of content amid weakening fundamentals among its peers in the media sector.
Leading individual contributors to relative performance included the Fund’s overweight positions in Avago Technologies Ltd. and Humana Inc., and its underweight position in ConocoPhillips. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on increased demand for semiconductors and news of its $37 billion acquisition of Broadcom Corp. Shares of Humana, a health insurance provider, rose on news of a $33 billion takeover bid from Aetna Inc. Shares of ConocoPhillips, an integrated energy sector company not held by the Fund, fell on continued weakness in oil and gas prices and declining demand for coal.
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 provided the Fund with a portion of the returns associated with equity market investments, while exposing the Fund to less risk than traditional long-only equity strategies.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.1 | % | |||||
| 2. | Wells Fargo & Co. | 2.3 | ||||||
| 3. | Microsoft Corp. | 2.2 | ||||||
| 4. | Facebook, Inc., Class A | 1.7 | ||||||
| 5. | S&P 500 Index | 1.7 | ||||||
| 6. | Citigroup, Inc. | 1.6 | ||||||
| 7. | Exxon Mobil Corp. | 1.6 | ||||||
| 8. | United Technologies Corp. | 1.4 | ||||||
| 9. | Pfizer, Inc. | 1.3 | ||||||
| 10. | Johnson & Johnson | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 19.8 | % | ||
| Health Care | 15.9 | |||
| Financials | 15.9 | |||
| Consumer Discretionary | 12.8 | |||
| Industrials | 9.7 | |||
| Consumer Staples | 8.0 | |||
| Energy | 6.9 | |||
| Utilities | 3.4 | |||
| Materials | 2.8 | |||
| Put Options | 1.7 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 1.6 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||
CLASS A SHARES | December 13, 2013 | |||||||||
Without Sales Charge | 5.31 | % | 7.50 | % | ||||||
With Sales Charge* | (0.20 | ) | 3.82 | |||||||
CLASS C SHARES | December 13, 2013 | |||||||||
Without CDSC | 4.79 | 6.95 | ||||||||
With CDSC** | 3.79 | 6.95 | ||||||||
CLASS R5 SHARES | December 13, 2013 | 5.79 | 7.98 | |||||||
CLASS R6 SHARES | December 13, 2013 | 5.83 | 8.02 | |||||||
SELECT CLASS SHARES | December 13, 2013 | 5.60 | 7.75 | |||||||
| * | 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 6/30/15)
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, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Long/Short Equity Funds Average from December 13, 2013 to June 30, 2015. 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 benchmarks, if applicable. The performance of the Lipper Alternative Long/Short Equity Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the
Fund. The 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.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
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JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 15.60% | |||
| Russell 1000 Growth Index | 10.56% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 15,643,650 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation.1
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection and overweight position in the health care sector and its underweight position and security selection in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and consumer staples sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., Regeneron Inc. and Avago Technologies Inc. Shares of Valeant, a drug and medical device maker not held in the Benchmark, rose on strong profit and revenue growth. Shares of Regeneron, a biopharmaceutical company, rose on accelerating sales of its eye drug, Eylea, and advances in the company’s pipeline of potential new drugs. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on increased market share and demand for its products in mobile devices and its $37 billion acquisition of Broadcom Corp.
Leading individual detractors from relative performance included the Fund’s overweight positions in Michael Kors Holdings Ltd. and Pioneer Natural Resources Co. and its underweight position in Apple Inc. Shares of Michael Kors, a luxury apparel brand, fell on investor concerns about growing inventory, margin growth and management’s ability to execute strategy. Shares of Pioneer Natural Resources, an oil and gas exploration and production company, fell on continued weakness in global oil prices. Shares of Apple, a maker of mobile devices and personal computers, rose on a string of positive earnings announcements.
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.
| 1 | Effective July 23, 2014, following approval from the Fund’s Board of Trustees, shareholders approved a change to the Fund’s investment objective. The current investment objective is stated above. Prior to July 23, 2014, the Fund’s investment objective was to seek long-term capital appreciation and growth of income by investing primarily in equity securities. |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.4 | % | |||||
| 2. | Facebook, Inc., Class A | 4.6 | ||||||
| 3. | Home Depot, Inc. (The) | 4.0 | ||||||
| 4. | Regeneron Pharmaceuticals, Inc. | 3.7 | ||||||
| 5. | MasterCard, Inc., Class A | 3.7 | ||||||
| 6. | Celgene Corp. | 3.3 | ||||||
| 7. | Valeant Pharmaceuticals International, Inc. | 3.3 | ||||||
| 8. | Visa, Inc., Class A | 3.0 | ||||||
| 9. | Gilead Sciences, Inc. | 2.9 | ||||||
| 10. | Comcast Corp., Class A | 2.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 30.5 | % | ||
| Health Care | 24.0 | |||
| Consumer Discretionary | 21.3 | |||
| Industrials | 6.4 | |||
| Materials | 6.2 | |||
| Consumer Staples | 4.8 | |||
| Financials | 4.1 | |||
| Energy | 0.7 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 16 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 22, 1994 | |||||||||||||
Without Sales Charge | 15.40 | % | 18.86 | % | 9.68 | % | ||||||||
With Sales Charge* | 9.34 | 17.58 | 9.09 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 14.83 | 18.26 | 9.11 | |||||||||||
With CDSC** | 13.83 | 18.26 | 9.11 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 15.13 | 18.56 | 9.41 | ||||||||||
CLASS R5 SHARES | April 14, 2009 | 15.80 | 19.30 | 10.05 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 15.90 | 19.37 | 10.08 | ||||||||||
SELECT CLASS SHARES | February 28, 1992 | 15.60 | 19.06 | 9.92 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.56% | |||
| Russell 1000 Value Index | 4.13% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 751,348 | ||
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 twelve months ended June 30, 2015. The Fund’s security selection in the health care and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and materials & processing sectors was a leading detractor from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Aetna Inc., UnitedHealth Group Inc. and Humana Inc. Shares of Aetna and Humana, both health insurance providers, rose on news of their $33 billion merger. Shares of UnitedHealth, a health care benefits provider, rose on expectations that it will benefit from the Affordable Care Act.
Leading individual detractors from relative performance included the Fund’s overweight positions in Fluor Corp. and General Motors Co. and its underweight position in JPMorgan Chase & Co. Shares of Fluor, an engineering and construction services provider, fell on weak demand from the energy sector. Shares of General Motors, a maker of cars and trucks, declined on weakness in sales. Shares of JPMorgan, a banking and financial services company that cannot be held by the Fund, rose on earnings and revenue growth.
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. | Wells Fargo & Co. | 4.2 | % | |||||
| 2. | General Motors Co. | 4.1 | ||||||
| 3. | MetLife, Inc. | 3.7 | ||||||
| 4. | Bank of America Corp. | 3.5 | ||||||
| 5. | Citigroup, Inc. | 3.4 | ||||||
| 6. | Royal Caribbean Cruises Ltd. | 2.8 | ||||||
| 7. | Johnson & Johnson | 2.5 | ||||||
| 8. | Morgan Stanley | 2.4 | ||||||
| 9. | UnitedHealth Group, Inc. | 2.3 | ||||||
| 10. | Exxon Mobil Corp. | 2.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 35.4 | % | ||
| Consumer Discretionary | 19.1 | |||
| Health Care | 15.2 | |||
| Energy | 8.1 | |||
| Information Technology | 7.4 | |||
| Industrials | 6.2 | |||
| Utilities | 2.4 | |||
| Telecommunication Services | 2.4 | |||
| Materials | 1.7 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 7.44 | % | 16.11 | % | 6.79 | % | ||||||||
With Sales Charge* | 1.80 | 14.86 | 6.21 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 6.88 | 15.53 | 6.23 | |||||||||||
With CDSC** | 5.88 | 15.53 | 6.23 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 7.21 | 15.84 | 6.49 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 7.83 | 16.53 | 7.19 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 7.85 | 16.57 | 7.21 | ||||||||||
SELECT CLASS SHARES | March 1, 1991 | 7.56 | 16.29 | 6.99 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 9.01% | |||
| S&P 500 Index | 7.42% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 12,612,003 | ||
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 twelve months ended June 30, 2015. The Fund’s security selection in the technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector and the producer durables sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Avago Technologies Ltd., UnitedHealth Group Inc. and Humana Inc. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on increased demand for semiconductors and news of its $37 billion acquisition of Broadcom Corp. Shares of UnitedHealth, a health care benefits provider, rose on expectations that it will benefit from the Affordable Care Act. Shares of Humana, a health insurance provider, rose on news of a $33 billion takeover offer from Aetna Inc.
Leading individual detractors from relative performance included the Fund’s overweight positions in Schlumberger Ltd., Fluor Corp. and Occidental Petroleum Corp. Shares of Schlumberger and Fluor, which both provide engineering and other services to the energy sector, fell on weak demand for oil and gas exploration projects. Shares of Occidental Petroleum, an oil and gas exploration and production company, fell amid continued weakness in global oil prices.
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 and the auto & transportation sectors. The Fund was underweight, compared with the Benchmark, in the consumer staples and industrial cyclical sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.1 | % | |||||
| 2. | Wells Fargo & Co. | 2.8 | ||||||
| 3. | Microsoft Corp. | 2.7 | ||||||
| 4. | Occidental Petroleum Corp. | 2.0 | ||||||
| 5. | Lowe’s Cos., Inc. | 2.0 | ||||||
| 6. | Honeywell International, Inc. | 1.9 | ||||||
| 7. | Avago Technologies Ltd., (Singapore) | 1.8 | ||||||
| 8. | UnitedHealth Group, Inc. | 1.7 | ||||||
| 9. | Morgan Stanley | 1.7 | ||||||
| 10. | Facebook, Inc., Class A | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 21.7 | % | ||
| Financials | 16.8 | |||
| Health Care | 16.7 | |||
| Consumer Discretionary | 16.1 | |||
| Industrials | 8.9 | |||
| Energy | 7.0 | |||
| Consumer Staples | 5.0 | |||
| Materials | 3.2 | |||
| Utilities | 2.5 | |||
| Telecommunication Services | 1.2 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 10, 2001 | |||||||||||||
Without Sales Charge | 8.70 | % | 17.38 | % | 9.07 | % | ||||||||
With Sales Charge* | 2.97 | 16.12 | 8.49 | |||||||||||
CLASS C SHARES | September 10, 2001 | |||||||||||||
Without CDSC | 8.15 | 16.78 | 8.52 | |||||||||||
With CDSC** | 7.15 | 16.78 | 8.52 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 8.45 | 17.09 | 8.89 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 9.13 | 17.82 | 9.53 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 9.17 | 17.90 | 9.56 | ||||||||||
INSTITUTIONAL CLASS SHARES | September 17, 1993 | 9.01 | 17.75 | 9.48 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 8.92 | 17.59 | 9.31 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
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JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.3% |
| ||||||
Consumer Discretionary — 18.1% |
| |||||||
Auto Components — 1.2% |
| |||||||
| 435 | Lear Corp. | 48,777 | ||||||
| 761 | Magna International, Inc., (Canada) | 42,656 | ||||||
|
| |||||||
| 91,433 | ||||||||
|
| |||||||
Automobiles — 1.5% |
| |||||||
| 1,398 | Ford Motor Co. | 20,989 | ||||||
| 2,867 | General Motors Co. | 95,561 | ||||||
|
| |||||||
| 116,550 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% |
| |||||||
| 326 | Carnival Corp. | 16,121 | ||||||
| 51 | Chipotle Mexican Grill, Inc. (a) | 30,673 | ||||||
|
| |||||||
| 46,794 | ||||||||
|
| |||||||
Media — 9.5% |
| |||||||
| 1,103 | CBS Corp. (Non-Voting), Class B | 61,189 | ||||||
| 3,643 | Comcast Corp., Class A | 219,100 | ||||||
| 1,539 | DISH Network Corp., Class A (a) | 104,219 | ||||||
| 199 | Scripps Networks Interactive, Inc., Class A | 13,022 | ||||||
| 10,133 | Sirius XM Holdings, Inc. (a) | 37,794 | ||||||
| 1,472 | Time Warner, Inc. | 128,710 | ||||||
| 4,833 | Twenty-First Century Fox, Inc., Class A | 157,283 | ||||||
| 102 | Walt Disney Co. (The) (m) | 11,585 | ||||||
|
| |||||||
| 732,902 | ||||||||
|
| |||||||
Specialty Retail — 4.7% |
| |||||||
| 1,793 | AutoNation, Inc. (a) | 112,911 | ||||||
| 253 | Best Buy Co., Inc. | 8,234 | ||||||
| 531 | Home Depot, Inc. (The) | 58,954 | ||||||
| 2,244 | Lowe’s Cos., Inc. | 150,261 | ||||||
| 724 | Ross Stores, Inc. | 35,169 | ||||||
|
| |||||||
| 365,529 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 659 | V.F. Corp. | 45,945 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,399,153 | |||||||
|
| |||||||
Consumer Staples — 5.0% |
| |||||||
Beverages — 2.6% |
| |||||||
| 279 | Coca-Cola Enterprises, Inc. | 12,098 | ||||||
| 608 | Constellation Brands, Inc., Class A | 70,505 | ||||||
| 384 | Dr. Pepper Snapple Group, Inc. | 28,001 | ||||||
| 945 | PepsiCo, Inc. | 88,225 | ||||||
|
| |||||||
| 198,829 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
| 964 | Pilgrim’s Pride Corp. | 22,132 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 2.0% |
| |||||||
| 172 | Colgate-Palmolive Co. | 11,250 | ||||||
| 1,851 | Procter & Gamble Co. (The) | 144,846 | ||||||
|
| |||||||
| 156,096 | ||||||||
|
| |||||||
Tobacco — 0.1% |
| |||||||
| 137 | Philip Morris International, Inc. | 11,007 | ||||||
|
| |||||||
Total Consumer Staples | 388,064 | |||||||
|
| |||||||
Energy — 6.3% |
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
| 865 | Baker Hughes, Inc. | 53,361 | ||||||
| 4 | Cameron International Corp. (a) | 215 | ||||||
| 514 | Ensco plc, (United Kingdom), Class A | 11,453 | ||||||
| 557 | National Oilwell Varco, Inc. | 26,902 | ||||||
|
| |||||||
| 91,931 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.1% |
| |||||||
| 779 | Chevron Corp. | 75,181 | ||||||
| 186 | EQT Corp. | 15,097 | ||||||
| 665 | Exxon Mobil Corp. (m) | 55,369 | ||||||
| 1,988 | Marathon Oil Corp. | 52,750 | ||||||
| 1,114 | Marathon Petroleum Corp. | 58,252 | ||||||
| 199 | Phillips 66 | 15,991 | ||||||
| 130 | Tesoro Corp. | 10,990 | ||||||
| 1,872 | Valero Energy Corp. | 117,181 | ||||||
|
| |||||||
| 400,811 | ||||||||
|
| |||||||
Total Energy | 492,742 | |||||||
|
| |||||||
Financials — 17.2% |
| |||||||
Banks — 3.6% |
| |||||||
| 3,526 | Bank of America Corp. | 60,005 | ||||||
| 1,695 | Citigroup, Inc. | 93,635 | ||||||
| 116 | Cullen/Frost Bankers, Inc. | 9,092 | ||||||
| 1,340 | Fifth Third Bancorp | 27,891 | ||||||
| 295 | Prosperity Bancshares, Inc. | 17,033 | ||||||
| 1,251 | Wells Fargo & Co. | 70,376 | ||||||
|
| |||||||
| 278,032 | ||||||||
|
| |||||||
Capital Markets — 6.8% |
| |||||||
| 60 | BlackRock, Inc. | 20,655 | ||||||
| 894 | Goldman Sachs Group, Inc. (The) | 186,658 | ||||||
| 2,668 | Invesco Ltd. | 100,037 | ||||||
| 1,344 | Janus Capital Group, Inc. | 23,016 | ||||||
| 135 | Legg Mason, Inc. | 6,946 | ||||||
| 4,474 | Morgan Stanley | 173,539 | ||||||
| 203 | T. Rowe Price Group, Inc. | 15,748 | ||||||
|
| |||||||
| 526,599 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Consumer Finance — 0.6% |
| |||||||
| 93 | Capital One Financial Corp. | 8,216 | ||||||
| 1,271 | Synchrony Financial (a) | 41,851 | ||||||
|
| |||||||
| 50,067 | ||||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
| 689 | Berkshire Hathaway, Inc., Class B (a) | 93,807 | ||||||
|
| |||||||
Insurance — 3.9% |
| |||||||
| 202 | ACE Ltd., (Switzerland) | 20,531 | ||||||
| 67 | American International Group, Inc. (m) | 4,130 | ||||||
| 548 | Everest Re Group Ltd., (Bermuda) | 99,669 | ||||||
| 1,748 | MetLife, Inc. | 97,870 | ||||||
| 302 | Principal Financial Group, Inc. | 15,464 | ||||||
| 352 | Prudential Financial, Inc. | 30,842 | ||||||
| 899 | XL Group plc, (Ireland) | 33,424 | ||||||
|
| |||||||
| 301,930 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
| 111 | AvalonBay Communities, Inc. (m) | 17,682 | ||||||
| 300 | Brixmor Property Group, Inc. (m) | 6,934 | ||||||
| 864 | Host Hotels & Resorts, Inc. (m) | 17,141 | ||||||
| 401 | LaSalle Hotel Properties (m) | 14,202 | ||||||
| 628 | Prologis, Inc. (m) | 23,302 | ||||||
| 56 | Regency Centers Corp. (m) | 3,297 | ||||||
|
| |||||||
| 82,558 | ||||||||
|
| |||||||
Total Financials | 1,332,993 | |||||||
|
| |||||||
Health Care — 16.8% | ||||||||
Biotechnology — 6.5% | ||||||||
| 161 | Alexion Pharmaceuticals, Inc. (a) | 29,014 | ||||||
| 447 | Biogen, Inc. (a) | 180,723 | ||||||
| 1,086 | Celgene Corp. (a) | 125,688 | ||||||
| 1,332 | Gilead Sciences, Inc. | 155,974 | ||||||
| 23 | Regeneron Pharmaceuticals, Inc. (a) | 11,682 | ||||||
|
| |||||||
| 503,081 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.4% |
| |||||||
| 1,623 | Boston Scientific Corp. (a) | 28,731 | ||||||
|
| |||||||
Health Care Providers & Services — 4.3% |
| |||||||
| 414 | Aetna, Inc. | 52,730 | ||||||
| 228 | Cardinal Health, Inc. | 19,039 | ||||||
| 108 | Cigna Corp. (m) | 17,463 | ||||||
| 34 | Humana, Inc. | 6,484 | ||||||
| 605 | McKesson Corp. | 135,943 | ||||||
| 820 | UnitedHealth Group, Inc. | 100,050 | ||||||
|
| |||||||
| 331,709 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 0.3% |
| |||||||
| 330 | Cerner Corp. (a) | 22,755 | ||||||
|
| |||||||
Pharmaceuticals — 5.3% |
| |||||||
| 183 | Allergan plc (a) | 55,412 | ||||||
| 747 | Bristol-Myers Squibb Co. | 49,712 | ||||||
| 439 | Eli Lilly & Co. | 36,669 | ||||||
| 1,324 | Johnson & Johnson | 129,076 | ||||||
| 345 | Merck & Co., Inc. | 19,664 | ||||||
| 3,715 | Pfizer, Inc. | 124,550 | ||||||
|
| |||||||
| 415,083 | ||||||||
|
| |||||||
Total Health Care | 1,301,359 | |||||||
|
| |||||||
Industrials — 12.2% |
| |||||||
Aerospace & Defense — 3.9% |
| |||||||
| 269 | Curtiss-Wright Corp. | 19,472 | ||||||
| 325 | General Dynamics Corp. | 46,049 | ||||||
| 823 | Honeywell International, Inc. (m) | 83,915 | ||||||
| 100 | Northrop Grumman Corp. | 15,815 | ||||||
| 1,229 | United Technologies Corp. | 136,331 | ||||||
|
| |||||||
| 301,582 | ||||||||
|
| |||||||
Airlines — 1.8% |
| |||||||
| 1,128 | Delta Air Lines, Inc. | 46,322 | ||||||
| 1,713 | United Continental Holdings, Inc. (a) | 90,806 | ||||||
|
| |||||||
| 137,128 | ||||||||
|
| |||||||
Construction & Engineering — 0.6% |
| |||||||
| 850 | Fluor Corp. | 45,056 | ||||||
|
| |||||||
Machinery — 4.1% |
| |||||||
| 561 | Cummins, Inc. | 73,611 | ||||||
| 1,806 | PACCAR, Inc. | 115,271 | ||||||
| 935 | Parker-Hannifin Corp. | 108,757 | ||||||
| 103 | Snap-on, Inc. | 16,355 | ||||||
|
| |||||||
| 313,994 | ||||||||
|
| |||||||
Professional Services — 0.1% |
| |||||||
| 80 | Equifax, Inc. | 7,757 | ||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
| 160 | CSX Corp. (m) | 5,237 | ||||||
| 1,272 | Union Pacific Corp. | 121,349 | ||||||
|
| |||||||
| 126,586 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
| 129 | United Rentals, Inc. (a) | 11,277 | ||||||
|
| |||||||
Total Industrials | 943,380 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Information Technology — 18.2% | ||||||||
Communications Equipment — 0.1% | ||||||||
| 63 | F5 Networks, Inc. (a) | 7,558 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 551 | TE Connectivity Ltd., (Switzerland) | 35,397 | ||||||
|
| |||||||
Internet Software & Services — 3.1% | ||||||||
| 2,118 | Facebook, Inc., Class A (a) | 181,684 | ||||||
| 77 | Google, Inc., Class A (a) | 41,416 | ||||||
| 38 | Google, Inc., Class C (a) | 19,556 | ||||||
|
| |||||||
| 242,656 | ||||||||
|
| |||||||
IT Services — 1.8% | ||||||||
| 302 | Accenture plc, (Ireland), Class A | 29,179 | ||||||
| 1,560 | Cognizant Technology Solutions Corp., Class A (a) | 95,325 | ||||||
| 229 | Jack Henry & Associates, Inc. | 14,810 | ||||||
|
| |||||||
| 139,314 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.4% |
| |||||||
| 5,128 | Applied Materials, Inc. | 98,568 | ||||||
| 1,169 | Avago Technologies Ltd., (Singapore) | 155,342 | ||||||
| 1,864 | Lam Research Corp. | 151,619 | ||||||
| 359 | Skyworks Solutions, Inc. | 37,351 | ||||||
| 1,802 | Teradyne, Inc. | 34,768 | ||||||
| 356 | Texas Instruments, Inc. | 18,358 | ||||||
|
| |||||||
| 496,006 | ||||||||
|
| |||||||
Software — 1.7% |
| |||||||
| 56 | Adobe Systems, Inc. (a) | 4,504 | ||||||
| 118 | Intuit, Inc. | 11,851 | ||||||
| 2,181 | Microsoft Corp. | 96,283 | ||||||
| 215 | Oracle Corp. | 8,663 | ||||||
| 94 | VMware, Inc., Class A (a) | 8,043 | ||||||
|
| |||||||
| 129,344 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.6% |
| |||||||
| 2,820 | Apple, Inc. (m) | 353,644 | ||||||
| 189 | Hewlett-Packard Co. | 5,657 | ||||||
|
| |||||||
| 359,301 | ||||||||
|
| |||||||
Total Information Technology | 1,409,576 | |||||||
|
| |||||||
Materials — 2.4% |
| |||||||
Chemicals — 1.4% |
| |||||||
| 2,325 | Mosaic Co. (The) | 108,926 | ||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
| 1,003 | Crown Holdings, Inc. (a) | 53,069 | ||||||
| 445 | Rock-Tenn Co., Class A | 26,789 | ||||||
|
| |||||||
| 79,858 | ||||||||
|
| |||||||
Total Materials | 188,784 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
| 1,801 | AT & T, Inc. | 63,978 | ||||||
| 642 | Verizon Communications, Inc. (m) | 29,929 | ||||||
|
| |||||||
Total Telecommunication Services | 93,907 | |||||||
|
| |||||||
Utilities — 1.9% |
| |||||||
Electric Utilities — 0.9% |
| |||||||
| 123 | Edison International | 6,814 | ||||||
| 490 | Exelon Corp. | 15,408 | ||||||
| 430 | NextEra Energy, Inc. | 42,173 | ||||||
|
| |||||||
| 64,395 | ||||||||
|
| |||||||
Gas Utilities — 0.4% |
| |||||||
| 414 | AGL Resources, Inc. | 19,290 | ||||||
| 639 | Questar Corp. | 13,361 | ||||||
|
| |||||||
| 32,651 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
| 510 | CenterPoint Energy, Inc. | 9,704 | ||||||
| 349 | PG&E Corp. | 17,116 | ||||||
| 522 | Public Service Enterprise Group, Inc. | 20,508 | ||||||
|
| |||||||
| 47,328 | ||||||||
|
| |||||||
Total Utilities | 144,374 | |||||||
|
| |||||||
Total Common Stocks | 7,694,332 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 2.5% | |||||||
U.S. Treasury Obligation — 0.2% | ||||||||
| 8,325 | U.S. Treasury Bill, 0.201%, 04/28/16 (k) (m) (n) | 8,312 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 2.3% | ||||||||
| 181,498 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 181,498 | ||||||
|
| |||||||
Total Short-Term Investments | 189,810 | |||||||
|
| |||||||
Total Investments — 101.8% | 7,884,142 | |||||||
Liabilities in Excess of | (137,727 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 7,746,415 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 450 | E-mini S&P 500 | 09/18/15 | USD | $ | 46,224 | $ | (444 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Dynamic Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.0% | |||||||
Consumer Discretionary — 20.1% | ||||||||
Automobiles — 1.6% | ||||||||
| 20 | Tesla Motors, Inc. (a) | 5,284 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.5% | ||||||||
| 220 | Starbucks Corp. | 11,798 | ||||||
|
| |||||||
Household Durables — 1.7% | ||||||||
| 49 | Harman International Industries, Inc. | 5,810 | ||||||
|
| |||||||
Internet & Catalog Retail — 8.3% | ||||||||
| 33 | Amazon.com, Inc. (a) | 14,267 | ||||||
| 9 | Netflix, Inc. (a) | 5,978 | ||||||
| 7 | Priceline Group, Inc. (The) (a) | 7,760 | ||||||
|
| |||||||
| 28,005 | ||||||||
|
| |||||||
Specialty Retail — 3.6% | ||||||||
| 111 | Home Depot, Inc. (The) | 12,305 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% | ||||||||
| 71 | lululemon athletica, Inc., (Canada) (a) | 4,656 | ||||||
|
| |||||||
Total Consumer Discretionary | 67,858 | |||||||
|
| |||||||
Consumer Staples — 2.5% | ||||||||
Food & Staples Retailing — 2.5% | ||||||||
| 79 | CVS Health Corp. | 8,280 | ||||||
|
| |||||||
Energy — 3.8% | ||||||||
Energy Equipment & Services — 1.4% | ||||||||
| 55 | Schlumberger Ltd. | 4,770 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.4% | ||||||||
| 58 | Pioneer Natural Resources Co. | 8,072 | ||||||
|
| |||||||
Total Energy | 12,842 | |||||||
|
| |||||||
Financials — 4.6% | ||||||||
Capital Markets — 4.6% | ||||||||
| 296 | Charles Schwab Corp. (The) | 9,664 | ||||||
| 163 | TD Ameritrade Holding Corp. | 5,988 | ||||||
|
| |||||||
Total Financials | 15,652 | |||||||
|
| |||||||
Health Care — 22.8% | ||||||||
Biotechnology — 20.8% | ||||||||
| 28 | Alexion Pharmaceuticals, Inc. (a) | 4,980 | ||||||
| 54 | BioMarin Pharmaceutical, Inc. (a) | 7,400 | ||||||
| 106 | Celgene Corp. (a) | 12,259 | ||||||
| 140 | Gilead Sciences, Inc. | 16,374 | ||||||
| 46 | Incyte Corp. (a) | 4,762 | ||||||
| 30 | Regeneron Pharmaceuticals, Inc. (a) | 15,291 | ||||||
| 75 | Vertex Pharmaceuticals, Inc. (a) | 9,249 | ||||||
|
| |||||||
| 70,315 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — 2.0% | ||||||||
| 52 | Aetna, Inc. | 6,679 | ||||||
|
| |||||||
Total Health Care | 76,994 | |||||||
|
| |||||||
Industrials — 5.6% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
| 43 | TransDigm Group, Inc. (a) | 9,714 | ||||||
|
| |||||||
Road & Rail — 2.7% | ||||||||
| 100 | Kansas City Southern | 9,097 | ||||||
|
| |||||||
Total Industrials | 18,811 | |||||||
|
| |||||||
Information Technology — 33.7% | ||||||||
Internet Software & Services — 13.2% | ||||||||
| 36 | Baidu, Inc., (China), ADR (a) | 7,256 | ||||||
| 199 | Facebook, Inc., Class A (a) | 17,042 | ||||||
| 27 | Google, Inc., Class A (a) | 14,451 | ||||||
| 28 | LinkedIn Corp., Class A (a) | 5,698 | ||||||
|
| |||||||
| 44,447 | ||||||||
|
| |||||||
IT Services — 6.7% | ||||||||
| 17 | Alliance Data Systems Corp. (a) | 5,014 | ||||||
| 190 | MasterCard, Inc., Class A | 17,764 | ||||||
|
| |||||||
| 22,778 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.1% |
| |||||||
| 163 | ARM Holdings plc, (United Kingdom), ADR | 8,020 | ||||||
| 64 | Avago Technologies Ltd., (Singapore) | 8,474 | ||||||
| 142 | Broadcom Corp., Class A | 7,318 | ||||||
|
| |||||||
| 23,812 | ||||||||
|
| |||||||
Software — 3.4% | ||||||||
| 163 | salesforce.com, Inc. (a) | 11,327 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.3% |
| |||||||
| 90 | Apple, Inc. (m) | 11,320 | ||||||
|
| |||||||
Total Information Technology | 113,684 | |||||||
|
| |||||||
Materials — 2.9% | ||||||||
Chemicals — 2.9% | ||||||||
| 71 | Air Products & Chemicals, Inc. (m) | 9,705 | ||||||
|
| |||||||
Total Common Stocks | 323,826 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% | ||||||||
| 13,184 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050%, (b) (l) (m) | 13,184 | ||||||
|
| |||||||
Total Investments — 99.9% | 337,010 | |||||||
Other Assets in Excess of | 186 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 337,196 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% | |||||||
Consumer Discretionary — 15.6% | ||||||||
Hotels, Restaurants & Leisure — 3.2% | ||||||||
| 50 | Starbucks Corp. | 2,655 | ||||||
|
| |||||||
Internet & Catalog Retail — 7.2% |
| |||||||
| 7 | Amazon.com, Inc. (a) | 3,069 | ||||||
| 3 | Priceline Group, Inc. (The) (a) | 2,942 | ||||||
|
| |||||||
| 6,011 | ||||||||
|
| |||||||
Multiline Retail — 2.6% |
| |||||||
| 35 | Kohl’s Corp. | 2,176 | ||||||
|
| |||||||
Specialty Retail — 2.6% |
| |||||||
| 68 | Best Buy Co., Inc. | 2,224 | ||||||
|
| |||||||
Total Consumer Discretionary | 13,066 | |||||||
|
| |||||||
Consumer Staples — 3.3% |
| |||||||
Beverages — 1.6% |
| |||||||
| 18 | Dr. Pepper Snapple Group, Inc. | 1,295 | ||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
| 18 | Procter & Gamble Co. (The) | 1,426 | ||||||
|
| |||||||
Total Consumer Staples | 2,721 | |||||||
|
| |||||||
Energy — 5.3% |
| |||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
| 39 | CONSOL Energy, Inc. | 848 | ||||||
| 20 | Exxon Mobil Corp. (m) | 1,692 | ||||||
| 13 | Pioneer Natural Resources Co. | 1,860 | ||||||
|
| |||||||
Total Energy | 4,400 | |||||||
|
| |||||||
Financials — 23.1% |
| |||||||
Banks — 4.1% |
| |||||||
| 61 | Wells Fargo & Co. | 3,454 | ||||||
|
| |||||||
Capital Markets — 3.1% |
| |||||||
| 33 | T. Rowe Price Group, Inc. | 2,591 | ||||||
|
| |||||||
Consumer Finance — 6.5% |
| |||||||
| 114 | Ally Financial, Inc. (a) | 2,546 | ||||||
| 33 | Capital One Financial Corp. | 2,868 | ||||||
|
| |||||||
| 5,414 | ||||||||
|
| |||||||
Insurance — 7.9% |
| |||||||
| 61 | American International Group, Inc. (m) | 3,798 | ||||||
| 74 | Loews Corp. | 2,844 | ||||||
|
| |||||||
| 6,642 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
| 48 | Rayonier, Inc. (m) | 1,237 | ||||||
|
| |||||||
Total Financials | 19,338 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 17.0% |
| |||||||
Biotechnology — 15.3% |
| |||||||
| 26 | Celgene Corp. (a) | 3,037 | ||||||
| 40 | Gilead Sciences, Inc. | 4,696 | ||||||
| 8 | Regeneron Pharmaceuticals, Inc. (a) | 3,836 | ||||||
| 10 | Vertex Pharmaceuticals, Inc. (a) | 1,209 | ||||||
|
| |||||||
| 12,778 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
| 14 | Johnson & Johnson | 1,388 | ||||||
|
| |||||||
Total Health Care | 14,166 | |||||||
|
| |||||||
Industrials — 6.1% |
| |||||||
Airlines — 1.7% |
| |||||||
| 35 | Delta Air Lines, Inc. | 1,448 | ||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
| 18 | Dover Corp. | 1,278 | ||||||
|
| |||||||
Road & Rail — 2.9% |
| |||||||
| 26 | Kansas City Southern | 2,379 | ||||||
|
| |||||||
Total Industrials | 5,105 | |||||||
|
| |||||||
Information Technology — 20.9% |
| |||||||
Electronic Equipment, Instruments & Components — 1.4% |
| |||||||
| 21 | Arrow Electronics, Inc. (a) | 1,166 | ||||||
|
| |||||||
Internet Software & Services — 10.1% |
| |||||||
| 53 | Facebook, Inc., Class A (a) | 4,513 | ||||||
| 8 | Google, Inc., Class C (a) | 3,914 | ||||||
|
| |||||||
| 8,427 | ||||||||
|
| |||||||
IT Services — 4.6% |
| |||||||
| 41 | MasterCard, Inc., Class A | 3,872 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
| 36 | ARM Holdings plc, (United Kingdom), ADR | 1,771 | ||||||
|
| |||||||
Software — 2.7% |
| |||||||
| 32 | salesforce.com, Inc. (a) | 2,251 | ||||||
|
| |||||||
Total Information Technology | 17,487 | |||||||
|
| |||||||
Materials — 3.9% |
| |||||||
Construction Materials — 1.5% |
| |||||||
| 9 | Martin Marietta Materials, Inc. | 1,267 | ||||||
|
| |||||||
Containers & Packaging — 2.4% |
| |||||||
| 33 | Rock-Tenn Co., Class A | 1,969 | ||||||
|
| |||||||
Total Materials | 3,236 | |||||||
|
| |||||||
Utilities — 1.3% |
| |||||||
Electric Utilities — 1.3% |
| |||||||
| 20 | Edison International | 1,087 | ||||||
|
| |||||||
Total Common Stocks | 80,606 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.4% | |||||||
Investment Company — 3.4% | ||||||||
| 2,851 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 2,851 | ||||||
|
| |||||||
Total Investments — 99.9% | 83,457 | |||||||
Other Assets in Excess of | 47 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 83,504 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.7% | |||||||
Consumer Discretionary — 13.0% | ||||||||
Distributors — 0.7% | ||||||||
| 799 | Genuine Parts Co. | 71,523 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% | ||||||||
| 1,319 | Brinker International, Inc. | 76,059 | ||||||
| 1,746 | Dunkin’ Brands Group, Inc. | 96,027 | ||||||
| 1,232 | Wyndham Worldwide Corp. | 100,924 | ||||||
|
| |||||||
| 273,010 | ||||||||
|
| |||||||
Media — 3.9% | ||||||||
| 1,003 | Cinemark Holdings, Inc. | 40,294 | ||||||
| 1,341 | Comcast Corp., Class A | 80,388 | ||||||
| 1,095 | Omnicom Group, Inc. | 76,109 | ||||||
| 232 | Time Warner Cable, Inc. | 41,311 | ||||||
| 1,822 | Time Warner, Inc. | 159,221 | ||||||
|
| |||||||
| 397,323 | ||||||||
|
| |||||||
Multiline Retail — 0.7% | ||||||||
| 882 | Target Corp. | 72,018 | ||||||
|
| |||||||
Specialty Retail — 4.6% | ||||||||
| 1,473 | Best Buy Co., Inc. | 48,050 | ||||||
| 1,769 | Home Depot, Inc. (The) | 196,624 | ||||||
| 1,137 | L Brands, Inc. | 97,489 | ||||||
| 1,083 | Tiffany & Co. | 99,451 | ||||||
| 374 | Williams-Sonoma, Inc. | 30,798 | ||||||
|
| |||||||
| 472,412 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 679 | V.F. Corp. | 47,378 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,333,664 | |||||||
|
| |||||||
Consumer Staples — 8.3% | ||||||||
Beverages — 2.3% | ||||||||
| 2,075 | Coca-Cola Co. (The) | 81,419 | ||||||
| 1,406 | Coca-Cola Enterprises, Inc. | 61,070 | ||||||
| 1,193 | Dr. Pepper Snapple Group, Inc. | 86,995 | ||||||
|
| |||||||
| 229,484 | ||||||||
|
| |||||||
Food Products — 1.8% | ||||||||
| 1,093 | Hershey Co. (The) | 97,123 | ||||||
| 294 | Kraft Foods Group, Inc. | 25,049 | ||||||
| 1,535 | Mondelez International, Inc., Class A | 63,148 | ||||||
|
| |||||||
| 185,320 | ||||||||
|
| |||||||
Household Products — 1.3% | ||||||||
| 1,658 | Procter & Gamble Co. (The) | 129,759 | ||||||
|
| |||||||
Tobacco — 2.9% | ||||||||
| 4,076 | Altria Group, Inc. | 199,377 | ||||||
| 1,108 | Philip Morris International, Inc. | 88,795 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Tobacco — continued | ||||||||
| 175 | Reynolds American, Inc. | 13,056 | ||||||
|
| |||||||
| 301,228 | ||||||||
|
| |||||||
Total Consumer Staples | 845,791 | |||||||
|
| |||||||
Energy — 7.8% | ||||||||
Oil, Gas & Consumable Fuels — 7.8% | ||||||||
| 912 | Chevron Corp. | 87,967 | ||||||
| 2,224 | ConocoPhillips | 136,568 | ||||||
| 3,417 | Exxon Mobil Corp. | 284,317 | ||||||
| 1,263 | Kinder Morgan, Inc. | 48,484 | ||||||
| 1,367 | Marathon Petroleum Corp. | 71,500 | ||||||
| 2,255 | Occidental Petroleum Corp. | 175,393 | ||||||
|
| |||||||
Total Energy | 804,229 | |||||||
|
| |||||||
Financials — 26.8% | ||||||||
Banks — 10.4% | ||||||||
| 3,193 | BB&T Corp. | 128,711 | ||||||
| 820 | Cullen/Frost Bankers, Inc. | 64,473 | ||||||
| 431 | M&T Bank Corp. | 53,881 | ||||||
| 2,363 | PNC Financial Services Group, Inc. (The) | 226,023 | ||||||
| 2,648 | U.S. Bancorp | 114,944 | ||||||
| 8,571 | Wells Fargo & Co. | 482,017 | ||||||
|
| |||||||
| 1,070,049 | ||||||||
|
| |||||||
Capital Markets — 4.6% | ||||||||
| 437 | Ameriprise Financial, Inc. | 54,564 | ||||||
| 550 | BlackRock, Inc. | 190,351 | ||||||
| 1,346 | Northern Trust Corp. | 102,881 | ||||||
| 1,623 | T. Rowe Price Group, Inc. | 126,142 | ||||||
|
| |||||||
| 473,938 | ||||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
| 752 | Capital One Financial Corp. | 66,166 | ||||||
|
| |||||||
Diversified Financial Services — 2.6% | ||||||||
| 2,200 | CME Group, Inc. | 204,766 | ||||||
| 610 | McGraw Hill Financial, Inc. | 61,264 | ||||||
|
| |||||||
| 266,030 | ||||||||
|
| |||||||
Insurance — 6.3% | ||||||||
| 898 | Arthur J. Gallagher & Co. | 42,498 | ||||||
| 683 | Cincinnati Financial Corp. | 34,284 | ||||||
| 2,360 | Hartford Financial Services Group, Inc. (The) | 98,097 | ||||||
| 1,950 | MetLife, Inc. | 109,172 | ||||||
| 1,429 | Progressive Corp. (The) | 39,761 | ||||||
| 1,446 | Prudential Financial, Inc. | 126,531 | ||||||
| 1,791 | Travelers Cos., Inc. (The) | 173,141 | ||||||
| 480 | Validus Holdings Ltd., (Bermuda) | 21,125 | ||||||
|
| |||||||
| 644,609 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
| 395 | Alexandria Real Estate Equities, Inc. (m) | 34,539 | ||||||
| 448 | AvalonBay Communities, Inc. (m) | 71,673 | ||||||
| 707 | Simon Property Group, Inc. (m) | 122,406 | ||||||
|
| |||||||
| 228,618 | ||||||||
|
| |||||||
Total Financials | 2,749,410 | |||||||
|
| |||||||
Health Care — 11.8% |
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 1,771 | Abbott Laboratories (m) | 86,908 | ||||||
| 955 | Becton, Dickinson and Co. (m) | 135,287 | ||||||
|
| |||||||
| 222,195 | ||||||||
|
| |||||||
Pharmaceuticals — 9.6% |
| |||||||
| 1,585 | AbbVie, Inc. | 106,527 | ||||||
| 1,866 | Bristol-Myers Squibb Co. | 124,134 | ||||||
| 1,322 | Eli Lilly & Co. | 110,339 | ||||||
| 2,384 | Johnson & Johnson | 232,357 | ||||||
| 3,539 | Merck & Co., Inc. | 201,462 | ||||||
| 6,280 | Pfizer, Inc. | 210,566 | ||||||
|
| |||||||
| 985,385 | ||||||||
|
| |||||||
Total Health Care | 1,207,580 | |||||||
|
| |||||||
Industrials — 10.4% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 1,389 | Honeywell International, Inc. (m) | 141,674 | ||||||
| 1,560 | United Technologies Corp. | 173,024 | ||||||
|
| |||||||
| 314,698 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 613 | United Parcel Service, Inc., Class B | 59,442 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.5% |
| |||||||
| 1,352 | Republic Services, Inc. | 52,975 | ||||||
|
| |||||||
Electrical Equipment — 0.3% |
| |||||||
| 490 | Emerson Electric Co. | 27,153 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 635 | 3M Co. | 97,983 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
| 297 | Cummins, Inc. | 38,932 | ||||||
| 1,611 | Illinois Tool Works, Inc. | 147,855 | ||||||
| 1,773 | PACCAR, Inc. | 113,111 | ||||||
| 143 | Snap-on, Inc. | 22,821 | ||||||
|
| |||||||
| 322,719 | ||||||||
|
| |||||||
Road & Rail — 1.3% |
| |||||||
| 724 | Norfolk Southern Corp. | 63,284 | ||||||
| 773 | Union Pacific Corp. | 73,753 | ||||||
|
| |||||||
| 137,037 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.5% |
| |||||||
| 1,195 | Fastenal Co. | 50,407 | ||||||
|
| |||||||
Total Industrials | 1,062,414 | |||||||
|
| |||||||
Information Technology — 10.1% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
| 1,207 | QUALCOMM, Inc. | 75,566 | ||||||
|
| |||||||
IT Services — 2.5% |
| |||||||
| 1,084 | Accenture plc, (Ireland), Class A | 104,933 | ||||||
| 739 | Automatic Data Processing, Inc. | 59,320 | ||||||
| 1,551 | Fidelity National Information Services, Inc. | 95,823 | ||||||
|
| |||||||
| 260,076 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
| 1,731 | Analog Devices, Inc. | 111,118 | ||||||
| 1,156 | KLA-Tencor Corp. | 64,976 | ||||||
| 2,362 | Texas Instruments, Inc. | 121,658 | ||||||
| 1,212 | Xilinx, Inc. | 53,514 | ||||||
|
| |||||||
| 351,266 | ||||||||
|
| |||||||
Software — 1.1% |
| |||||||
| 2,545 | Microsoft Corp. | 112,351 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.4% |
| |||||||
| 1,918 | Apple, Inc. (m) | 240,581 | ||||||
|
| |||||||
Total Information Technology | 1,039,840 | |||||||
|
| |||||||
Materials — 2.6% |
| |||||||
Chemicals — 2.6% |
| |||||||
| 794 | Airgas, Inc. | 83,965 | ||||||
| 1,327 | E.I. du Pont de Nemours & Co. | 84,889 | ||||||
| 512 | PPG Industries, Inc. | 58,753 | ||||||
| 344 | Praxair, Inc. | 41,118 | ||||||
|
| |||||||
Total Materials | 268,725 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 3,297 | Verizon Communications, Inc. | 153,685 | ||||||
|
| |||||||
Utilities — 4.4% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
| 1,720 | Edison International | 95,590 | ||||||
| 970 | NextEra Energy, Inc. | 95,042 | ||||||
| 1,950 | Xcel Energy, Inc. | 62,736 | ||||||
|
| |||||||
| 253,368 | ||||||||
|
| |||||||
Multi-Utilities — 1.9% | ||||||||
| 2,340 | CMS Energy Corp. | 74,492 | ||||||
| 235 | DTE Energy Co. | 17,540 | ||||||
| 1,322 | NiSource, Inc. | 60,291 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Multi-Utilities — continued | ||||||||
| 437 | Sempra Energy | 43,191 | ||||||
|
| |||||||
| 195,514 | ||||||||
|
| |||||||
Total Utilities | 448,882 | |||||||
|
| |||||||
Total Common Stocks | 9,914,220 | |||||||
|
| |||||||
| Short-Term Investment — 3.2% |
| ||||||
Investment Company — 3.2% | ||||||||
| 326,417 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 326,417 | ||||||
|
| |||||||
Total Investments — 99.9% | 10,240,637 | |||||||
Other Assets in Excess of | 12,543 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,253,180 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.0% | |||||||
Consumer Discretionary — 12.3% | ||||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||
| 47 | Marriott International, Inc., Class A | 3,459 | ||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
| 30 | Harman International Industries, Inc. | 3,604 | ||||||
|
| |||||||
Media — 4.2% | ||||||||
| 41 | CBS Corp. (Non-Voting), Class B | 2,248 | ||||||
| 43 | Comcast Corp., Class A | 2,556 | ||||||
| 76 | DISH Network Corp., Class A (a) | 5,152 | ||||||
| 69 | Time Warner, Inc. | 6,040 | ||||||
| 41 | Walt Disney Co. (The) | 4,680 | ||||||
|
| |||||||
| 20,676 | ||||||||
|
| |||||||
Specialty Retail — 6.7% | ||||||||
| 8 | AutoZone, Inc. (a) | 5,208 | ||||||
| 204 | Best Buy Co., Inc. | 6,649 | ||||||
| 88 | Gap, Inc. (The) | 3,359 | ||||||
| 65 | Home Depot, Inc. (The) | 7,268 | ||||||
| 64 | Lowe’s Cos., Inc. | 4,253 | ||||||
| 68 | Tiffany & Co. | 6,252 | ||||||
|
| |||||||
| 32,989 | ||||||||
|
| |||||||
Total Consumer Discretionary | 60,728 | |||||||
|
| |||||||
Consumer Staples — 6.9% | ||||||||
Beverages — 2.2% | ||||||||
| 55 | Dr. Pepper Snapple Group, Inc. | 4,017 | ||||||
| 95 | Molson Coors Brewing Co., Class B | 6,611 | ||||||
|
| |||||||
| 10,628 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% | ||||||||
| 75 | CVS Health Corp. | 7,866 | ||||||
|
| |||||||
Food Products — 1.3% | ||||||||
| 28 | Hershey Co. (The) | 2,451 | ||||||
| 45 | Kraft Foods Group, Inc. | 3,840 | ||||||
|
| |||||||
| 6,291 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
| 65 | Procter & Gamble Co. (The) | 5,082 | ||||||
|
| |||||||
Tobacco — 0.8% | ||||||||
| 82 | Altria Group, Inc. | 4,030 | ||||||
|
| |||||||
Total Consumer Staples | 33,897 | |||||||
|
| |||||||
Energy — 8.3% | ||||||||
Oil, Gas & Consumable Fuels — 8.3% | ||||||||
| 70 | ConocoPhillips | 4,303 | ||||||
| 42 | Devon Energy Corp. | 2,475 | ||||||
| 153 | Exxon Mobil Corp. | 12,770 | ||||||
| 49 | Marathon Petroleum Corp. | 2,574 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
| 128 | Occidental Petroleum Corp. | 9,917 | ||||||
| 75 | Phillips 66 | 6,050 | ||||||
| 137 | Southwestern Energy Co. (a) | 3,109 | ||||||
|
| |||||||
Total Energy | 41,198 | |||||||
|
| |||||||
Financials — 33.3% | ||||||||
Banks — 12.6% | ||||||||
| 640 | Bank of America Corp. | 10,886 | ||||||
| 125 | BB&T Corp. | 5,027 | ||||||
| 140 | Citigroup, Inc. | 7,731 | ||||||
| 55 | Cullen/Frost Bankers, Inc. | 4,306 | ||||||
| 34 | M&T Bank Corp. | 4,260 | ||||||
| 54 | PNC Financial Services Group, Inc. (The) | 5,117 | ||||||
| 128 | SunTrust Banks, Inc. | 5,520 | ||||||
| 107 | U.S. Bancorp | 4,661 | ||||||
| 268 | Wells Fargo & Co. | 15,072 | ||||||
|
| |||||||
| 62,580 | ||||||||
|
| |||||||
Capital Markets — 9.0% | ||||||||
| 22 | Affiliated Managers Group, Inc. (a) | 4,853 | ||||||
| 38 | Ameriprise Financial, Inc. | 4,797 | ||||||
| 21 | BlackRock, Inc. | 7,369 | ||||||
| 151 | Charles Schwab Corp. (The) | 4,940 | ||||||
| 20 | Goldman Sachs Group, Inc. (The) | 4,072 | ||||||
| 208 | Invesco Ltd. | 7,809 | ||||||
| 105 | Morgan Stanley | 4,058 | ||||||
| 88 | T. Rowe Price Group, Inc. | 6,801 | ||||||
|
| |||||||
| 44,699 | ||||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
| 41 | Capital One Financial Corp. | 3,563 | ||||||
|
| |||||||
Diversified Financial Services — 2.4% | ||||||||
| 65 | Berkshire Hathaway, Inc., Class B (a) | 8,793 | ||||||
| 14 | Intercontinental Exchange, Inc. | 3,041 | ||||||
|
| |||||||
| 11,834 | ||||||||
|
| |||||||
Insurance — 5.3% | ||||||||
| 38 | Chubb Corp. (The) | 3,644 | ||||||
| 247 | Hartford Financial Services Group, Inc. (The) | 10,255 | ||||||
| 110 | Loews Corp. | 4,248 | ||||||
| 92 | Prudential Financial, Inc. | 8,034 | ||||||
|
| |||||||
| 26,181 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.3% | ||||||||
| 15 | AvalonBay Communities, Inc. (m) | 2,414 | ||||||
| 37 | Macerich Co. (The) (m) | 2,753 | ||||||
| 70 | Prologis, Inc. (m) | 2,586 | ||||||
| 40 | Regency Centers Corp. (m) | 2,330 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 36 | Vornado Realty Trust (m) | 3,417 | ||||||
| 84 | Weyerhaeuser Co. (m) | 2,640 | ||||||
|
| |||||||
| 16,140 | ||||||||
|
| |||||||
Total Financials | 164,997 | |||||||
|
| |||||||
Health Care — 13.0% | ||||||||
Biotechnology — 1.0% | ||||||||
| 43 | Gilead Sciences, Inc. | 4,976 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.7% | ||||||||
| 24 | Becton, Dickinson and Co. (m) | 3,400 | ||||||
|
| |||||||
Health Care Providers & Services — 4.8% | ||||||||
| 26 | Aetna, Inc. | 3,288 | ||||||
| 49 | Humana, Inc. | 9,449 | ||||||
| 13 | McKesson Corp. | 2,878 | ||||||
| 66 | UnitedHealth Group, Inc. | 8,052 | ||||||
|
| |||||||
| 23,667 | ||||||||
|
| |||||||
Pharmaceuticals — 6.5% | ||||||||
| 116 | Bristol-Myers Squibb Co. | 7,705 | ||||||
| 39 | Eli Lilly & Co. | 3,223 | ||||||
| 86 | Johnson & Johnson | 8,382 | ||||||
| 140 | Merck & Co., Inc. | 7,951 | ||||||
| 145 | Pfizer, Inc. | 4,855 | ||||||
|
| |||||||
| 32,116 | ||||||||
|
| |||||||
Total Health Care | 64,159 | |||||||
|
| |||||||
Industrials — 8.5% | ||||||||
Aerospace & Defense — 2.7% | ||||||||
| 75 | Honeywell International, Inc. (m) | 7,617 | ||||||
| 51 | United Technologies Corp. | 5,657 | ||||||
|
| |||||||
| 13,274 | ||||||||
|
| |||||||
Airlines — 0.8% | ||||||||
| 73 | United Continental Holdings, Inc. (a) | 3,854 | ||||||
|
| |||||||
Construction & Engineering — 0.4% | ||||||||
| 42 | Fluor Corp. | 2,232 | ||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
| 44 | Emerson Electric Co. | 2,444 | ||||||
|
| |||||||
Industrial Conglomerates — 2.3% | ||||||||
| 27 | 3M Co. | 4,182 | ||||||
| 282 | General Electric Co. | 7,482 | ||||||
|
| |||||||
| 11,664 | ||||||||
|
| |||||||
Machinery — 0.7% | ||||||||
| 56 | PACCAR, Inc. | 3,586 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 1.1% | ||||||||
| 8 | W.W. Grainger, Inc. | 1,964 | ||||||
| 26 | Watsco, Inc. | 3,267 | ||||||
|
| |||||||
| 5,231 | ||||||||
|
| |||||||
Total Industrials | 42,285 | |||||||
|
| |||||||
Information Technology — 10.6% | ||||||||
Communications Equipment — 1.9% | ||||||||
| 183 | Cisco Systems, Inc. | 5,017 | ||||||
| 74 | QUALCOMM, Inc. | 4,622 | ||||||
|
| |||||||
| 9,639 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 36 | TE Connectivity Ltd., (Switzerland) | 2,334 | ||||||
|
| |||||||
Internet Software & Services — 0.8% |
| |||||||
| 7 | Google, Inc., Class C (a) | 3,706 | ||||||
|
| |||||||
IT Services — 0.5% |
| |||||||
| 28 | MasterCard, Inc., Class A | 2,580 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 223 | Applied Materials, Inc. | 4,278 | ||||||
| 49 | KLA-Tencor Corp. | 2,738 | ||||||
| 54 | Texas Instruments, Inc. | 2,797 | ||||||
|
| |||||||
| 9,813 | ||||||||
|
| |||||||
Software — 2.4% |
| |||||||
| 271 | Microsoft Corp. | 11,973 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.5% |
| |||||||
| 99 | Apple, Inc. (m) | 12,354 | ||||||
|
| |||||||
Total Information Technology | 52,399 | |||||||
|
| |||||||
Materials — 1.6% |
| |||||||
Chemicals — 1.0% |
| |||||||
| 79 | E.I. du Pont de Nemours & Co. | 5,020 | ||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 47 | Packaging Corp. of America | 2,962 | ||||||
|
| |||||||
Total Materials | 7,982 | |||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
| 195 | Verizon Communications, Inc. (m) | 9,099 | ||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
| 74 | Edison International | 4,085 | ||||||
| 35 | NextEra Energy, Inc. | 3,392 | ||||||
|
| |||||||
| 7,477 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Multi-Utilities — 1.2% |
| |||||||
| 84 | CMS Energy Corp. | 2,675 | ||||||
| 35 | Sempra Energy | 3,413 | ||||||
|
| |||||||
| 6,088 | ||||||||
|
| |||||||
Total Utilities | 13,565 | |||||||
|
| |||||||
Total Common Stocks | 490,309 | |||||||
|
| |||||||
| Short-Term Investment — 1.6% | |||||||
Investment Company — 1.6% | ||||||||
| 8,112 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 8,112 | ||||||
|
| |||||||
Total Investments — 100.6% | 498,421 | |||||||
Liabilities in Excess of | (3,102 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 495,319 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.0% (o) | |||||||
Consumer Discretionary — 13.1% | ||||||||
Auto Components — 0.1% | ||||||||
| 4 | Johnson Controls, Inc. (m) | 211 | ||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
| 20 | Ford Motor Co. | 299 | ||||||
| 25 | General Motors Co. | 820 | ||||||
|
| |||||||
| 1,119 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% | ||||||||
| 1 | Carnival Corp. | 45 | ||||||
| 1 | Chipotle Mexican Grill, Inc. (a) | 525 | ||||||
| 10 | Royal Caribbean Cruises Ltd. | 785 | ||||||
| 23 | Starbucks Corp. | 1,212 | ||||||
|
| |||||||
| 2,567 | ||||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
| 4 | D.R. Horton, Inc. | 100 | ||||||
| 7 | Harman International Industries, Inc. | 776 | ||||||
| 23 | PulteGroup, Inc. | 463 | ||||||
| 3 | Toll Brothers, Inc. (a) | 101 | ||||||
|
| |||||||
| 1,440 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.9% | ||||||||
| 4 | Amazon.com, Inc. (a) | 1,884 | ||||||
|
| |||||||
Media — 4.7% | ||||||||
| 11 | CBS Corp. (Non-Voting), Class B (m) | 616 | ||||||
| 4 | Charter Communications, Inc., Class A (a) | 622 | ||||||
| 43 | Comcast Corp., Class A | 2,596 | ||||||
| 8 | DISH Network Corp., Class A (a) | 560 | ||||||
| 25 | Sirius XM Holdings, Inc. (a) | 94 | ||||||
| 3 | Time Warner Cable, Inc. | 488 | ||||||
| 30 | Time Warner, Inc. | 2,635 | ||||||
| 61 | Twenty-First Century Fox, Inc., Class A | 1,987 | ||||||
|
| |||||||
| 9,598 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
| 8 | Dollar General Corp. | 636 | ||||||
| 11 | Target Corp. (m) | 917 | ||||||
|
| |||||||
| 1,553 | ||||||||
|
| |||||||
Specialty Retail — 3.2% | ||||||||
| — | (h) | AutoZone, Inc. (a) | 328 | |||||
| 9 | Best Buy Co., Inc. | 308 | ||||||
| 22 | Home Depot, Inc. (The) | 2,439 | ||||||
| 29 | Lowe’s Cos., Inc. | 1,965 | ||||||
| 2 | Tiffany & Co. | 193 | ||||||
| 19 | TJX Cos., Inc. (The) | 1,290 | ||||||
|
| |||||||
| 6,523 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
| 3 | lululemon athletica, Inc., (Canada) (a) | 208 | ||||||
| 1 | PVH Corp. | 102 | ||||||
| 3 | Ralph Lauren Corp. | 449 | ||||||
| 14 | V.F. Corp. | 991 | ||||||
|
| |||||||
| 1,750 | ||||||||
|
| |||||||
Total Consumer Discretionary | 26,645 | |||||||
|
| |||||||
Consumer Staples — 8.2% |
| |||||||
Beverages — 2.6% |
| |||||||
| 27 | Coca-Cola Co. (The) (m) | 1,058 | ||||||
| 6 | Coca-Cola Enterprises, Inc. | 262 | ||||||
| 7 | Constellation Brands, Inc., Class A | 858 | ||||||
| 4 | Dr. Pepper Snapple Group, Inc. | 314 | ||||||
| 12 | Molson Coors Brewing Co., Class B | 809 | ||||||
| 21 | PepsiCo, Inc. (m) | 1,974 | ||||||
|
| |||||||
| 5,275 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
| 8 | Costco Wholesale Corp. | 1,147 | ||||||
| 2 | CVS Health Corp. (m) | 257 | ||||||
| 4 | Kroger Co. (The) (m) | 284 | ||||||
| 1 | Walgreens Boots Alliance, Inc. | 52 | ||||||
| 4 | Wal-Mart Stores, Inc. | 273 | ||||||
|
| |||||||
| 2,013 | ||||||||
|
| |||||||
Food Products — 1.6% |
| |||||||
| 11 | Archer-Daniels-Midland Co. (m) | 527 | ||||||
| 8 | Hershey Co. (The) (m) | 682 | ||||||
| 1 | Keurig Green Mountain, Inc. | 101 | ||||||
| 48 | Mondelez International, Inc., Class A | 1,960 | ||||||
|
| |||||||
| 3,270 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
| 8 | Kimberly-Clark Corp. | 875 | ||||||
| 33 | Procter & Gamble Co. (The) | 2,618 | ||||||
|
| |||||||
| 3,493 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
| 6 | Estee Lauder Cos., Inc. (The), Class A | 528 | ||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
| 25 | Philip Morris International, Inc. | 1,980 | ||||||
|
| |||||||
Total Consumer Staples | 16,559 | |||||||
|
| |||||||
Energy — 7.1% |
| |||||||
Energy Equipment & Services — 1.1% |
| |||||||
| 10 | Baker Hughes, Inc. | 619 | ||||||
| 2 | Ensco plc, (United Kingdom), Class A | 53 | ||||||
| 18 | Halliburton Co. (m) | 782 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy Equipment & Services — continued |
| |||||||
| 4 | National Oilwell Varco, Inc. | 208 | ||||||
| 7 | Schlumberger Ltd. | 628 | ||||||
|
| |||||||
| 2,290 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.0% |
| |||||||
| 10 | Anadarko Petroleum Corp. | 750 | ||||||
| 9 | Cabot Oil & Gas Corp. | 277 | ||||||
| 3 | Cheniere Energy, Inc. (a) | 192 | ||||||
| 27 | Chevron Corp. | 2,578 | ||||||
| 9 | EOG Resources, Inc. | 801 | ||||||
| 6 | EQT Corp. | 475 | ||||||
| 39 | Exxon Mobil Corp. (m) | 3,255 | ||||||
| 33 | Marathon Oil Corp. | 871 | ||||||
| 8 | Marathon Petroleum Corp. | 419 | ||||||
| 19 | Occidental Petroleum Corp. (m) | 1,459 | ||||||
| 2 | ONEOK, Inc. | 97 | ||||||
| 3 | Phillips 66 | 239 | ||||||
| 10 | Valero Energy Corp. | 614 | ||||||
|
| |||||||
| 12,027 | ||||||||
|
| |||||||
Total Energy | 14,317 | |||||||
|
| |||||||
Financials — 16.2% |
| |||||||
Banks — 5.7% |
| |||||||
| 158 | Bank of America Corp. | 2,696 | ||||||
| 11 | BB&T Corp. | 439 | ||||||
| 61 | Citigroup, Inc. (m) | 3,355 | ||||||
| 4 | Fifth Third Bancorp | 90 | ||||||
| 2 | SVB Financial Group (a) | 226 | ||||||
| 85 | Wells Fargo & Co. (m) | 4,779 | ||||||
|
| |||||||
| 11,585 | ||||||||
|
| |||||||
Capital Markets — 3.4% |
| |||||||
| 2 | BlackRock, Inc. | 772 | ||||||
| 26 | Charles Schwab Corp. (The) | 862 | ||||||
| 6 | Goldman Sachs Group, Inc. (The) | 1,157 | ||||||
| 30 | Invesco Ltd. | 1,132 | ||||||
| 50 | Morgan Stanley | 1,926 | ||||||
| 10 | State Street Corp. | 759 | ||||||
| 8 | TD Ameritrade Holding Corp. | 287 | ||||||
|
| |||||||
| 6,895 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
| 7 | Capital One Financial Corp. | 658 | ||||||
| 3 | Navient Corp. | 47 | ||||||
| 6 | Synchrony Financial (a) | 213 | ||||||
|
| |||||||
| 918 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 1.5% |
| |||||||
| 15 | Berkshire Hathaway, Inc., Class B (a) | 2,014 | ||||||
| 4 | Intercontinental Exchange, Inc. | 974 | ||||||
|
| |||||||
| 2,988 | ||||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
| 16 | ACE Ltd., (Switzerland) | 1,624 | ||||||
| 16 | American International Group, Inc. (m) | 998 | ||||||
| 36 | MetLife, Inc. | 2,001 | ||||||
| 3 | Prudential Financial, Inc. | 251 | ||||||
| 22 | XL Group plc, (Ireland) | 829 | ||||||
|
| |||||||
| 5,703 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
| 6 | American Tower Corp. (m) | 560 | ||||||
| 5 | AvalonBay Communities, Inc. (m) | 724 | ||||||
| 4 | Boston Properties, Inc. (m) | 525 | ||||||
| 15 | Brixmor Property Group, Inc. (m) | 346 | ||||||
| 15 | DiamondRock Hospitality Co. (m) | 187 | ||||||
| 5 | Highwoods Properties, Inc. (m) | 183 | ||||||
| 11 | Host Hotels & Resorts, Inc. (m) | 221 | ||||||
| 8 | LaSalle Hotel Properties (m) | 296 | ||||||
| 8 | Liberty Property Trust (m) | 248 | ||||||
| 3 | Mid-America Apartment Communities, Inc. (m) | 209 | ||||||
| 16 | Prologis, Inc. (m) | 583 | ||||||
| 1 | Public Storage (m) | 107 | ||||||
| 4 | Simon Property Group, Inc. (m) | 614 | ||||||
|
| |||||||
| 4,803 | ||||||||
|
| |||||||
Total Financials | 32,892 | |||||||
|
| |||||||
Health Care — 16.2% |
| |||||||
Biotechnology — 3.5% |
| |||||||
| 5 | Alexion Pharmaceuticals, Inc. (a) | 864 | ||||||
| 6 | Biogen, Inc. (a) | 2,420 | ||||||
| 17 | Celgene Corp. (a) | 1,977 | ||||||
| 10 | Gilead Sciences, Inc. | 1,156 | ||||||
| — | (h) | Regeneron Pharmaceuticals, Inc. (a) | 176 | |||||
| 5 | Vertex Pharmaceuticals, Inc. (a) | 591 | ||||||
|
| |||||||
| 7,184 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
| 47 | Abbott Laboratories (m) | 2,289 | ||||||
| 1 | Becton, Dickinson and Co. (m) | 144 | ||||||
| 100 | Boston Scientific Corp. (a) | 1,776 | ||||||
| 7 | Stryker Corp. | 702 | ||||||
|
| |||||||
| 4,911 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Providers & Services — 3.8% |
| |||||||
| 10 | Aetna, Inc. | 1,280 | ||||||
| 3 | Cigna Corp. (m) | 476 | ||||||
| 5 | Express Scripts Holding Co. (a) | 413 | ||||||
| 1 | HCA Holdings, Inc. (a) | 132 | ||||||
| 6 | Humana, Inc. (m) | 1,222 | ||||||
| 10 | McKesson Corp. | 2,318 | ||||||
| 16 | UnitedHealth Group, Inc. | 1,931 | ||||||
|
| |||||||
| 7,772 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 1 | Cerner Corp. (a) | 96 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 4 | Thermo Fisher Scientific, Inc. | 458 | ||||||
|
| |||||||
Pharmaceuticals — 6.2% |
| |||||||
| 4 | Allergan plc (a) | 1,243 | ||||||
| 38 | Bristol-Myers Squibb Co. | 2,520 | ||||||
| 11 | Eli Lilly & Co. | 897 | ||||||
| 28 | Johnson & Johnson (m) | 2,727 | ||||||
| 30 | Merck & Co., Inc. (m) | 1,709 | ||||||
| 4 | Mylan N.V. (a) | 287 | ||||||
| 2 | Perrigo Co. plc, (Ireland) | 394 | ||||||
| 81 | Pfizer, Inc. | 2,730 | ||||||
|
| |||||||
| 12,507 | ||||||||
|
| |||||||
Total Health Care | 32,928 | |||||||
|
| |||||||
Industrials — 10.0% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 21 | Honeywell International, Inc. (m) | 2,096 | ||||||
| 4 | L-3 Communications Holdings, Inc. | 492 | ||||||
| 27 | United Technologies Corp. | 2,996 | ||||||
|
| |||||||
| 5,584 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 12 | Delta Air Lines, Inc. | 500 | ||||||
| 16 | United Continental Holdings, Inc. (a) | 873 | ||||||
|
| |||||||
| 1,373 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
| 2 | Fortune Brands Home & Security, Inc. | 107 | ||||||
| 17 | Masco Corp. (m) | 441 | ||||||
|
| |||||||
| 548 | ||||||||
|
| |||||||
Construction & Engineering — 0.5% |
| |||||||
| 20 | Fluor Corp. (m) | 1,066 | ||||||
|
| |||||||
Electrical Equipment — 0.8% |
| |||||||
| 25 | Eaton Corp. plc | 1,667 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrial Conglomerates — 0.6% |
| |||||||
| 45 | General Electric Co. (m) | 1,186 | ||||||
|
| |||||||
Machinery — 2.3% |
| |||||||
| 3 | Caterpillar, Inc. (m) | 281 | ||||||
| 11 | Cummins, Inc. | 1,403 | ||||||
| 3 | Ingersoll-Rand plc | 178 | ||||||
| 20 | PACCAR, Inc. | 1,289 | ||||||
| 11 | Parker-Hannifin Corp. (m) | 1,278 | ||||||
| 4 | SPX Corp. | 263 | ||||||
|
| |||||||
| 4,692 | ||||||||
|
| |||||||
Professional Services — 0.1% |
| |||||||
| 1 | Equifax, Inc. | 127 | ||||||
|
| |||||||
Road & Rail — 1.9% |
| |||||||
| 3 | Canadian Pacific Railway Ltd., (Canada) | 522 | ||||||
| 29 | CSX Corp. (m) | 951 | ||||||
| 26 | Union Pacific Corp. | 2,452 | ||||||
|
| |||||||
| 3,925 | ||||||||
|
| |||||||
Total Industrials | 20,168 | |||||||
|
| |||||||
Information Technology — 20.3% |
| |||||||
Communications Equipment — 0.8% |
| |||||||
| 47 | Cisco Systems, Inc. | 1,293 | ||||||
| 7 | QUALCOMM, Inc. | 438 | ||||||
|
| |||||||
| 1,731 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 14 | Corning, Inc. | 273 | ||||||
| 27 | TE Connectivity Ltd., (Switzerland) | 1,710 | ||||||
|
| |||||||
| 1,983 | ||||||||
|
| |||||||
Internet Software & Services — 3.7% |
| |||||||
| 41 | Facebook, Inc., Class A (a) (m) | 3,507 | ||||||
| 4 | Google, Inc., Class A (a) | 2,066 | ||||||
| 4 | Google, Inc., Class C (a) | 1,902 | ||||||
|
| |||||||
| 7,475 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 25 | Accenture plc, (Ireland), Class A | 2,381 | ||||||
| 1 | Alliance Data Systems Corp. (a) | 425 | ||||||
| 1 | Automatic Data Processing, Inc. | 104 | ||||||
| 23 | Cognizant Technology Solutions Corp., | 1,428 | ||||||
| 10 | Fidelity National Information Services, Inc. | 638 | ||||||
| 29 | Visa, Inc., Class A | 1,919 | ||||||
| 6 | Xerox Corp. | 69 | ||||||
|
| |||||||
| 6,964 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
| 25 | Applied Materials, Inc. | 477 | ||||||
| 15 | Avago Technologies Ltd., (Singapore) | 1,954 | ||||||
| 12 | Broadcom Corp., Class A | 626 | ||||||
| 6 | Freescale Semiconductor Ltd. (a) | 222 | ||||||
| 5 | KLA-Tencor Corp. | 295 | ||||||
| 20 | Lam Research Corp. | 1,604 | ||||||
| 1 | NXP Semiconductors N.V., (Netherlands) (a) | 97 | ||||||
| 19 | Texas Instruments, Inc. | 954 | ||||||
|
| |||||||
| 6,229 | ||||||||
|
| |||||||
Software — 3.6% |
| |||||||
| 23 | Adobe Systems, Inc. (a) | 1,829 | ||||||
| 2 | Intuit, Inc. | 178 | ||||||
| 105 | Microsoft Corp. (m) | 4,642 | ||||||
| 17 | Oracle Corp. | 683 | ||||||
|
| |||||||
| 7,332 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.7% |
| |||||||
| 68 | Apple, Inc. (m) | 8,522 | ||||||
| 31 | Hewlett-Packard Co. (m) | 918 | ||||||
|
| |||||||
| 9,440 | ||||||||
|
| |||||||
Total Information Technology | 41,154 | |||||||
|
| |||||||
Materials — 2.9% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 6 | Axiall Corp. | 212 | ||||||
| 17 | Dow Chemical Co. (The) (m) | 848 | ||||||
| 21 | E.I. du Pont de Nemours & Co. (m) | 1,371 | ||||||
| 26 | Mosaic Co. (The) | 1,212 | ||||||
| — | (h) | Sherwin-Williams Co. (The) | 24 | |||||
|
| |||||||
| 3,667 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 2 | Martin Marietta Materials, Inc. (m) | 339 | ||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 14 | Crown Holdings, Inc. (a) | 720 | ||||||
| 7 | Rock-Tenn Co., Class A | 405 | ||||||
| 2 | Sealed Air Corp. | 90 | ||||||
|
| |||||||
| 1,215 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
| 25 | Alcoa, Inc. (m) | 275 | ||||||
| 17 | United States Steel Corp. | 342 | ||||||
|
| |||||||
| 617 | ||||||||
|
| |||||||
Total Materials | 5,838 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 43 | AT&T, Inc. | 1,513 | ||||||
| 31 | Verizon Communications, Inc. (m) | 1,438 | ||||||
|
| |||||||
| 2,951 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 2 | T-Mobile US, Inc. (a) | 89 | ||||||
|
| |||||||
Total Telecommunication Services | 3,040 | |||||||
|
| |||||||
Utilities — 3.5% |
| |||||||
Electric Utilities — 2.0% |
| |||||||
| 18 | Edison International | 1,020 | ||||||
| 28 | Exelon Corp. | 895 | ||||||
| 16 | NextEra Energy, Inc. | 1,574 | ||||||
| 22 | Xcel Energy, Inc. | 702 | ||||||
|
| |||||||
| 4,191 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
| 3 | AGL Resources, Inc. | 137 | ||||||
| 15 | Questar Corp. | 305 | ||||||
|
| |||||||
| 442 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 18 | CenterPoint Energy, Inc. | 343 | ||||||
| 17 | CMS Energy Corp. (m) | 538 | ||||||
| 12 | NiSource, Inc. | 549 | ||||||
| 8 | PG&E Corp. (m) | 405 | ||||||
| 14 | Public Service Enterprise Group, Inc. | 540 | ||||||
|
| |||||||
| 2,375 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 3 | American Water Works Co., Inc. | 141 | ||||||
|
| |||||||
Total Utilities | 7,149 | |||||||
|
| |||||||
Total Common Stocks | 200,690 | |||||||
|
| |||||||
| NUMBER OF CONTRACTS | ||||||||
| Options Purchased — 1.7% |
| ||||||
Put Option Purchased — 1.7% |
| |||||||
| 978 | S&P 500 Index, Expiring 09/30/15 at $1,950.00, European Style | 3,438 | ||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 1.6% |
| ||||||
U.S. Treasury Obligation — 0.1% |
| |||||||
| 270 | U.S. Treasury Bill, | 270 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures and Options contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investments — continued |
| ||||||
Investment Company — 1.5% |
| |||||||
| 2,970 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 2,970 | ||||||
|
| |||||||
Total Short-Term Investments | 3,240 | |||||||
|
| |||||||
Total Investments — 102.3% | 207,368 | |||||||
Liabilities in Excess of | (4,674 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 202,694 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 18 | E-mini S&P 500 | 09/18/15 | USD | $ | 1,849 | $ | (20 | ) | ||||||||||||
|
| |||||||||||||||||||
OPTIONS WRITTEN
| Call Options Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $2,638.) | $ | 2,125.000 | 09/30/2015 | 978 | $ | (2,601 | ) | |||||||||
|
| |||||||||||||||
| Put Options Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $681.) | $ | 1,665.000 | 09/30/15 | 978 | $ | (675 | ) | |||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.4% |
| ||||||
Consumer Discretionary — 21.1% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 2,649 | Delphi Automotive plc, (United Kingdom) | 225,420 | ||||||
|
| |||||||
Automobiles — 1.7% |
| |||||||
| 1,014 | Tesla Motors, Inc. (a) | 271,908 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.8% |
| |||||||
| 245 | Chipotle Mexican Grill, Inc. (a) | 148,041 | ||||||
| 5,397 | Starbucks Corp. | 289,365 | ||||||
|
| |||||||
| 437,406 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 437 | Whirlpool Corp. | 75,536 | ||||||
|
| |||||||
Internet & Catalog Retail — 5.2% |
| |||||||
| 892 | Amazon.com, Inc. (a) | 387,312 | ||||||
| 342 | Netflix, Inc. (a) | 224,674 | ||||||
| 172 | Priceline Group, Inc. (The) (a) | 197,690 | ||||||
|
| |||||||
| 809,676 | ||||||||
|
| |||||||
Media — 5.4% |
| |||||||
| 6,706 | Comcast Corp., Class A | 403,317 | ||||||
| 3,566 | Liberty Global plc, (United Kingdom), Series C (a) | 180,531 | ||||||
| 1,930 | Time Warner, Inc. | 168,675 | ||||||
| 2,712 | Twenty-First Century Fox, Inc., Class A | 88,259 | ||||||
|
| |||||||
| 840,782 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
| 5,641 | Home Depot, Inc. (The) | 626,907 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.1% |
| |||||||
| 395 | Michael Kors Holdings Ltd., (United | |||||||
Kingdom) (a) | 16,606 | |||||||
|
| |||||||
Total Consumer Discretionary | 3,304,241 | |||||||
|
| |||||||
Consumer Staples — 4.8% |
| |||||||
Beverages — 1.1% |
| |||||||
| 542 | Constellation Brands, Inc., Class A | 62,906 | ||||||
| 767 | Monster Beverage Corp. (a) | 102,847 | ||||||
|
| |||||||
| 165,753 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.6% |
| |||||||
| 1,395 | Costco Wholesale Corp. | 188,382 | ||||||
| 2,100 | CVS Health Corp. (m) | 220,248 | ||||||
|
| |||||||
| 408,630 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
| 911 | Keurig Green Mountain, Inc. | 69,840 | ||||||
|
| |||||||
Household Products — 0.7% |
| |||||||
| 1,588 | Colgate-Palmolive Co. | 103,884 | ||||||
|
| |||||||
Total Consumer Staples | 748,107 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 0.7% |
| |||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
| 1,568 | Marathon Petroleum Corp. | 82,012 | ||||||
| 238 | Pioneer Natural Resources Co. | 32,980 | ||||||
|
| |||||||
Total Energy | 114,992 | |||||||
|
| |||||||
Financials — 4.0% |
| |||||||
Capital Markets — 2.5% |
| |||||||
| 373 | Affiliated Managers Group, Inc. (a) | 81,494 | ||||||
| 368 | BlackRock, Inc. | 127,321 | ||||||
| 4,836 | TD Ameritrade Holding Corp. | 178,072 | ||||||
|
| |||||||
| 386,887 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
| 2,253 | Moody’s Corp. | 243,234 | ||||||
|
| |||||||
Total Financials | 630,121 | |||||||
|
| |||||||
Health Care — 23.9% |
| |||||||
Biotechnology — 16.0% |
| |||||||
| 1,290 | Alexion Pharmaceuticals, Inc. (a) | 233,139 | ||||||
| 193 | Biogen, Inc. (a) | 77,879 | ||||||
| 1,311 | BioMarin Pharmaceutical, Inc. (a) | 179,250 | ||||||
| 4,463 | Celgene Corp. (a) | 516,537 | ||||||
| 3,899 | Gilead Sciences, Inc. | 456,460 | ||||||
| 1,128 | Incyte Corp. (a) | 117,549 | ||||||
| 1,144 | Regeneron Pharmaceuticals, Inc. (a) | 583,385 | ||||||
| 2,765 | Vertex Pharmaceuticals, Inc. (a) | 341,434 | ||||||
|
| |||||||
| 2,505,633 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
| 2,610 | AmerisourceBergen Corp. | 277,548 | ||||||
| 1,172 | McKesson Corp. | 263,477 | ||||||
|
| |||||||
| 541,025 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 797 | Illumina, Inc. (a) | 173,967 | ||||||
|
| |||||||
Pharmaceuticals — 3.3% |
| |||||||
| 2,314 | Valeant Pharmaceuticals International, Inc. (a) | 514,011 | ||||||
|
| |||||||
Total Health Care | 3,734,636 | |||||||
|
| |||||||
Industrials — 6.4% |
| |||||||
Aerospace & Defense — 1.8% |
| |||||||
| 2,753 | Honeywell International, Inc. (m) | 280,744 | ||||||
|
| |||||||
Airlines — 1.7% |
| |||||||
| 6,443 | Delta Air Lines, Inc. | 264,666 | ||||||
|
| |||||||
Industrial Conglomerates — 0.6% |
| |||||||
| 522 | Roper Technologies, Inc. | 90,042 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Road & Rail — 2.3% |
| |||||||
| 1,231 | Kansas City Southern | 112,240 | ||||||
| 2,581 | Union Pacific Corp. | 246,159 | ||||||
|
| |||||||
| 358,399 | ||||||||
|
| |||||||
Total Industrials | 993,851 | |||||||
|
| |||||||
Information Technology — 30.4% |
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 2,792 | Amphenol Corp., Class A | 161,852 | ||||||
|
| |||||||
Internet Software & Services — 8.9% |
| |||||||
| 663 | Baidu, Inc., (China), ADR (a) | 131,970 | ||||||
| 8,399 | Facebook, Inc., Class A (a) | 720,297 | ||||||
| 733 | Google, Inc., Class C (a) | 381,514 | ||||||
| 753 | LinkedIn Corp., Class A (a) | 155,593 | ||||||
|
| |||||||
| 1,389,374 | ||||||||
|
| |||||||
IT Services — 7.4% |
| |||||||
| 409 | Alliance Data Systems Corp. (a) | 119,257 | ||||||
| 6,086 | MasterCard, Inc., Class A | 568,901 | ||||||
| 7,048 | Visa, Inc., Class A | 473,273 | ||||||
|
| |||||||
| 1,161,431 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
| 481 | ARM Holdings plc, (United Kingdom), ADR | 23,709 | ||||||
| 1,643 | ASML Holding N.V., (Netherlands) | 171,073 | ||||||
| 2,634 | Avago Technologies Ltd., (Singapore) | 350,177 | ||||||
| 2,408 | Micron Technology, Inc. (a) | 45,374 | ||||||
| 1,032 | NXP Semiconductors N.V., (Netherlands) (a) | 101,382 | ||||||
|
| |||||||
| 691,715 | ||||||||
|
| |||||||
Software — 3.3% |
| |||||||
| 2,915 | Adobe Systems, Inc. (a) | 236,152 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued |
| |||||||
| 3,366 | salesforce.com, Inc. (a) | 234,361 | ||||||
| 570 | Splunk, Inc. (a) | 39,683 | ||||||
|
| |||||||
| 510,196 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.4% |
| |||||||
| 6,664 | Apple, Inc. (m) | 835,819 | ||||||
|
| |||||||
Total Information Technology | 4,750,387 | |||||||
|
| |||||||
Materials — 6.1% |
| |||||||
Chemicals — 6.1% |
| |||||||
| 1,065 | Ecolab, Inc. | 120,363 | ||||||
| 2,428 | LyondellBasell Industries N.V., Class A | 251,388 | ||||||
| 74 | Monsanto Co. | 7,888 | ||||||
| 1,850 | PPG Industries, Inc. | 212,232 | ||||||
| 1,342 | Sherwin-Williams Co. (The) | 368,967 | ||||||
|
| |||||||
Total Materials | 960,838 | |||||||
|
| |||||||
Total Common Stocks | 15,237,173 | |||||||
|
| |||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 315,791 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 315,791 | ||||||
|
| |||||||
Total Investments — 99.4% | 15,552,964 | |||||||
Other Assets in Excess of | 90,686 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 15,643,650 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.2% |
| ||||||
Consumer Discretionary — 19.1% |
| |||||||
Auto Components — 1.8% |
| |||||||
| 117 | Johnson Controls, Inc. | 5,815 | ||||||
| 72 | Magna International, Inc., (Canada) | 4,050 | ||||||
| 59 | Tenneco, Inc. (a) | 3,383 | ||||||
|
| |||||||
| 13,248 | ||||||||
|
| |||||||
Automobiles — 5.0% |
| |||||||
| 450 | Ford Motor Co. (m) | 6,752 | ||||||
| 931 | General Motors Co. | 31,017 | ||||||
|
| |||||||
| 37,769 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.1% |
| |||||||
| 210 | Carnival Corp. | 10,357 | ||||||
| 265 | Royal Caribbean Cruises Ltd. | 20,853 | ||||||
|
| |||||||
| 31,210 | ||||||||
|
| |||||||
Household Durables — 2.7% |
| |||||||
| 580 | PulteGroup, Inc. | 11,683 | ||||||
| 234 | Toll Brothers, Inc. (a) | 8,944 | ||||||
|
| |||||||
| 20,627 | ||||||||
|
| |||||||
Media — 1.0% |
| |||||||
| 5 | Charter Communications, Inc., Class A (a) | 822 | ||||||
| 24 | DISH Network Corp., Class A (a) | 1,598 | ||||||
| 154 | Twenty-First Century Fox, Inc., Class A | 5,005 | ||||||
|
| |||||||
| 7,425 | ||||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
| 46 | AutoNation, Inc. (a) | 2,865 | ||||||
| 32 | Bed Bath & Beyond, Inc. (a) | 2,180 | ||||||
| 459 | Best Buy Co., Inc. | 14,955 | ||||||
| 184 | Pier 1 Imports, Inc. | 2,323 | ||||||
|
| |||||||
| 22,323 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
| 65 | PVH Corp. | 7,476 | ||||||
| 27 | Ralph Lauren Corp. | 3,508 | ||||||
|
| |||||||
| 10,984 | ||||||||
|
| |||||||
Total Consumer Discretionary | 143,586 | |||||||
|
| |||||||
Energy — 8.1% |
| |||||||
Oil, Gas & Consumable Fuels — 8.1% |
| |||||||
| 116 | Cabot Oil & Gas Corp. | 3,652 | ||||||
| 101 | Chevron Corp. | 9,753 | ||||||
| 63 | EQT Corp. | 5,149 | ||||||
| 204 | Exxon Mobil Corp. (m) | 16,988 | ||||||
| 248 | Marathon Oil Corp. | 6,593 | ||||||
| 202 | Occidental Petroleum Corp. | 15,694 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 48 | Valero Energy Corp. | 3,011 | ||||||
|
| |||||||
Total Energy | 60,840 | |||||||
|
| |||||||
Financials — 35.5% |
| |||||||
Banks — 14.9% |
| |||||||
| 1,550 | Bank of America Corp. | 26,383 | ||||||
| 51 | Bank of Montreal, (Canada) | 3,029 | ||||||
| 185 | BB&T Corp. | 7,465 | ||||||
| 458 | Citigroup, Inc. | 25,274 | ||||||
| 48 | Cullen/Frost Bankers, Inc. | 3,748 | ||||||
| 183 | Fifth Third Bancorp | 3,818 | ||||||
| 29 | Prosperity Bancshares, Inc. | 1,657 | ||||||
| 54 | SunTrust Banks, Inc. | 2,332 | ||||||
| 20 | SVB Financial Group (a) | 2,851 | ||||||
| 561 | Wells Fargo & Co. | 31,528 | ||||||
| 117 | Zions Bancorporation | 3,713 | ||||||
|
| |||||||
| 111,798 | ||||||||
|
| |||||||
Capital Markets — 5.4% |
| |||||||
| 159 | Charles Schwab Corp. (The) | 5,178 | ||||||
| 21 | Goldman Sachs Group, Inc. (The) | 4,426 | ||||||
| 43 | Invesco Ltd. | 1,607 | ||||||
| 463 | Morgan Stanley | 17,975 | ||||||
| 78 | Northern Trust Corp. | 5,987 | ||||||
| 76 | State Street Corp. | 5,848 | ||||||
|
| |||||||
| 41,021 | ||||||||
|
| |||||||
Consumer Finance — 2.1% |
| |||||||
| 219 | Ally Financial, Inc. (a) | 4,912 | ||||||
| 124 | Capital One Financial Corp. | 10,926 | ||||||
|
| |||||||
| 15,838 | ||||||||
|
| |||||||
Diversified Financial Services — 2.2% |
| |||||||
| 58 | Berkshire Hathaway, Inc., Class B (a) | 7,881 | ||||||
| 43 | CME Group, Inc. | 4,001 | ||||||
| 21 | Intercontinental Exchange, Inc. | 4,696 | ||||||
|
| |||||||
| 16,578 | ||||||||
|
| |||||||
Insurance — 9.7% |
| |||||||
| 62 | ACE Ltd., (Switzerland) | 6,258 | ||||||
| 235 | American International Group, Inc. (m) | 14,534 | ||||||
| 34 | Assurant, Inc. | 2,265 | ||||||
| 72 | Axis Capital Holdings Ltd., (Bermuda) | 3,864 | ||||||
| 106 | Hartford Financial Services Group, Inc. (The) | 4,411 | ||||||
| 40 | Lincoln National Corp. | 2,381 | ||||||
| 497 | MetLife, Inc. | 27,851 | ||||||
| 87 | Prudential Financial, Inc. | 7,655 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 101 | XL Group plc, (Ireland) | 3,746 | ||||||
|
| |||||||
| 72,965 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
| 27 | DCT Industrial Trust, Inc. (m) | 852 | ||||||
| 302 | Host Hotels & Resorts, Inc. (m) | 5,996 | ||||||
| 76 | Silver Bay Realty Trust Corp. (m) | 1,240 | ||||||
| 33 | Starwood Waypoint Residential Trust (m) | 789 | ||||||
|
| |||||||
| 8,877 | ||||||||
|
| |||||||
Total Financials | 267,077 | |||||||
|
| |||||||
Health Care — 15.3% |
| |||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
| 68 | Abbott Laboratories (m) | 3,347 | ||||||
| 632 | Boston Scientific Corp. (a) | 11,194 | ||||||
|
| |||||||
| 14,541 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.9% |
| |||||||
| 55 | Aetna, Inc. | 7,061 | ||||||
| 35 | Cigna Corp. (m) | 5,686 | ||||||
| 36 | HCA Holdings, Inc. (a) | 3,293 | ||||||
| 74 | Humana, Inc. | 14,142 | ||||||
| 7 | McKesson Corp. | 1,551 | ||||||
| 40 | Tenet Healthcare Corp. (a) | 2,321 | ||||||
| 142 | UnitedHealth Group, Inc. | 17,333 | ||||||
|
| |||||||
| 51,387 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 60 | Thermo Fisher Scientific, Inc. | 7,820 | ||||||
|
| |||||||
Pharmaceuticals — 5.4% |
| |||||||
| 197 | Johnson & Johnson | 19,199 | ||||||
| 134 | Merck & Co., Inc. | 7,613 | ||||||
| 418 | Pfizer, Inc. | 14,022 | ||||||
|
| |||||||
| 40,834 | ||||||||
|
| |||||||
Total Health Care | 114,582 | |||||||
|
| |||||||
Industrials — 6.2% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
| 24 | L-3 Communications Holdings, Inc. | 2,699 | ||||||
| 91 | United Technologies Corp. | 10,050 | ||||||
|
| |||||||
| 12,749 | ||||||||
|
| |||||||
Airlines — 1.7% |
| |||||||
| 36 | Delta Air Lines, Inc. | 1,458 | ||||||
| 190 | Southwest Airlines Co. | 6,294 | ||||||
| 24 | Spirit Airlines, Inc. (a) | 1,497 | ||||||
| 74 | United Continental Holdings, Inc. (a) | 3,928 | ||||||
|
| |||||||
| 13,177 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 0.4% |
| |||||||
| 58 | Fluor Corp. (m) | 3,058 | ||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
| 41 | Eaton Corp. plc | 2,780 | ||||||
| 30 | Sensata Technologies Holding N.V., (Netherlands) (a) | 1,556 | ||||||
|
| |||||||
| 4,336 | ||||||||
|
| |||||||
Machinery — 1.3% |
| |||||||
| 99 | PACCAR, Inc. | 6,285 | ||||||
| 48 | SPX Corp. | 3,475 | ||||||
|
| |||||||
| 9,760 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
| 39 | Union Pacific Corp. | 3,719 | ||||||
|
| |||||||
Total Industrials | 46,799 | |||||||
|
| |||||||
Information Technology — 7.5% |
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 63 | TE Connectivity Ltd., (Switzerland) | 4,044 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.9% |
| |||||||
| 317 | Applied Materials, Inc. | 6,091 | ||||||
| 100 | Avago Technologies Ltd., (Singapore) | 13,306 | ||||||
| 148 | Broadcom Corp., Class A | 7,631 | ||||||
| 27 | KLA-Tencor Corp. | 1,534 | ||||||
| 98 | Lam Research Corp. | 8,005 | ||||||
|
| |||||||
| 36,567 | ||||||||
|
| |||||||
Software — 1.3% |
| |||||||
| 217 | Microsoft Corp. | 9,559 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
| 26 | Apple, Inc. (m) | 3,236 | ||||||
| 86 | Hewlett-Packard Co. | 2,572 | ||||||
|
| |||||||
| 5,808 | ||||||||
|
| |||||||
Total Information Technology | 55,978 | |||||||
|
| |||||||
Materials — 1.7% |
| |||||||
Chemicals — 0.8% |
| |||||||
| 66 | Axiall Corp. | 2,366 | ||||||
| 82 | Mosaic Co. (The) | 3,860 | ||||||
|
| |||||||
| 6,226 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
| 22 | Crown Holdings, Inc. (a) | 1,180 | ||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
| 243 | Alcoa, Inc. (m) | 2,714 | ||||||
| 114 | United States Steel Corp. | 2,353 | ||||||
|
| |||||||
| 5,067 | ||||||||
|
| |||||||
Total Materials | 12,473 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Telecommunication Services — 2.4% |
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
| 380 | AT&T, Inc. | 13,487 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
| 120 | T-Mobile US, Inc. (a) | 4,642 | ||||||
|
| |||||||
Total Telecommunication Services | 18,129 | |||||||
|
| |||||||
Utilities — 2.4% |
| |||||||
Electric Utilities — 1.9% |
| |||||||
| 118 | Edison International | 6,564 | ||||||
| 78 | NextEra Energy, Inc. | 7,626 | ||||||
|
| |||||||
| 14,190 | ||||||||
|
| |||||||
Gas Utilities — 0.5% |
| |||||||
| 89 | AGL Resources, Inc. | 4,144 | ||||||
|
| |||||||
Total Utilities | 18,334 | |||||||
|
| |||||||
Total Common Stocks | 737,798 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 36 | Imperial Holdings, Inc., expiring | — | ||||||
|
| |||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 15,960 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 15,960 | ||||||
|
| |||||||
Total Investments — 100.3% | 753,758 | |||||||
Liabilities in Excess of | (2,410 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 751,348 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.1% |
| ||||||
Consumer Discretionary — 16.1% |
| |||||||
Auto Components — 0.6% |
| |||||||
| 282 | Delphi Automotive plc, (United Kingdom) | 23,986 | ||||||
| 921 | Johnson Controls, Inc. | 45,614 | ||||||
| 102 | Magna International, Inc., (Canada) | 5,732 | ||||||
|
| |||||||
| 75,332 | ||||||||
|
| |||||||
Automobiles — 1.5% |
| |||||||
| 2,064 | Ford Motor Co. | 30,978 | ||||||
| 4,839 | General Motors Co. | 161,299 | ||||||
|
| |||||||
| 192,277 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
| 313 | Carnival Corp. | 15,479 | ||||||
| 47 | Chipotle Mexican Grill, Inc. (a) | 28,446 | ||||||
| 751 | Royal Caribbean Cruises Ltd. | 59,094 | ||||||
| 1,875 | Starbucks Corp. | 100,513 | ||||||
| 22 | Yum! Brands, Inc. | 2,001 | ||||||
|
| |||||||
| 205,533 | ||||||||
|
| |||||||
Household Durables — 1.6% |
| |||||||
| 928 | D.R. Horton, Inc. | 25,401 | ||||||
| 649 | Harman International Industries, Inc. | 77,172 | ||||||
| 37 | Jarden Corp. (a) | 1,906 | ||||||
| 1,446 | PulteGroup, Inc. | 29,132 | ||||||
| 1,385 | Toll Brothers, Inc. (a) | 52,890 | ||||||
| 53 | Whirlpool Corp. | 9,130 | ||||||
|
| |||||||
| 195,631 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.2% |
| |||||||
| 347 | Amazon.com, Inc. (a) | 150,648 | ||||||
| 3 | Priceline Group, Inc. (The) (a) | 3,120 | ||||||
|
| |||||||
| 153,768 | ||||||||
|
| |||||||
Media — 5.4% |
| |||||||
| 1,134 | CBS Corp. (Non-Voting), Class B | 62,920 | ||||||
| 378 | Charter Communications, Inc., Class A (a) | 64,817 | ||||||
| 1,790 | Comcast Corp., Class A | 107,622 | ||||||
| 993 | DISH Network Corp., Class A (a) | 67,223 | ||||||
| 75 | Time Warner Cable, Inc. | 13,421 | ||||||
| 2,098 | Time Warner, Inc. | 183,385 | ||||||
| 3,922 | Twenty-First Century Fox, Inc., Class A | 127,649 | ||||||
| 628 | Twenty-First Century Fox, Inc., Class B | 20,230 | ||||||
| 323 | Walt Disney Co. (The) | 36,906 | ||||||
|
| |||||||
| 684,173 | ||||||||
|
| |||||||
Specialty Retail — 3.5% |
| |||||||
| 44 | Best Buy Co., Inc. | 1,440 | ||||||
| 430 | Home Depot, Inc. (The) | 47,753 | ||||||
| 3,673 | Lowe’s Cos., Inc. | 245,984 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 433 | Tiffany & Co. | 39,751 | ||||||
| 1,528 | TJX Cos., Inc. (The) | 101,097 | ||||||
|
| |||||||
| 436,025 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 301 | lululemon athletica, Inc., (Canada) (a) | 19,640 | ||||||
| 270 | PVH Corp. | 31,146 | ||||||
| 232 | Ralph Lauren Corp. | 30,676 | ||||||
| 146 | V.F. Corp. | 10,171 | ||||||
|
| |||||||
| 91,633 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,034,372 | |||||||
|
| |||||||
Consumer Staples — 5.0% |
| |||||||
Beverages — 1.7% |
| |||||||
| 1,620 | Coca-Cola Co. (The) (m) | 63,534 | ||||||
| 358 | Constellation Brands, Inc., Class A | 41,546 | ||||||
| 100 | Molson Coors Brewing Co., Class B | 6,976 | ||||||
| 1,046 | PepsiCo, Inc. | 97,642 | ||||||
|
| |||||||
| 209,698 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
| 434 | Costco Wholesale Corp. | 58,555 | ||||||
| 45 | CVS Health Corp. | 4,686 | ||||||
|
| |||||||
| 63,241 | ||||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
| 425 | Hershey Co. (The) | 37,787 | ||||||
| 7 | Keurig Green Mountain, Inc. | 566 | ||||||
| 1,960 | Mondelez International, Inc., Class A | 80,627 | ||||||
|
| |||||||
| 118,980 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
| 247 | Colgate-Palmolive Co. | 16,127 | ||||||
| 1,735 | Procter & Gamble Co. (The) | 135,769 | ||||||
|
| |||||||
| 151,896 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 143 | Estee Lauder Cos., Inc. (The), Class A | 12,359 | ||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
| 874 | Philip Morris International, Inc. | 70,044 | ||||||
|
| |||||||
Total Consumer Staples | 626,218 | |||||||
|
| |||||||
Energy — 7.0% |
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
| 499 | Baker Hughes, Inc. | 30,811 | ||||||
| 463 | Halliburton Co. | 19,949 | ||||||
| 613 | Schlumberger Ltd. | 52,808 | ||||||
|
| |||||||
| 103,568 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — 6.2% |
| |||||||
| 1,109 | Anadarko Petroleum Corp. | 86,568 | ||||||
| 1,337 | Cabot Oil & Gas Corp. | 42,185 | ||||||
| 286 | Chevron Corp. | 27,556 | ||||||
| 279 | Concho Resources, Inc. (a) | 31,810 | ||||||
| 192 | Devon Energy Corp. | 11,447 | ||||||
| 615 | EOG Resources, Inc. | 53,843 | ||||||
| 584 | EQT Corp. | 47,540 | ||||||
| 1,094 | Exxon Mobil Corp. | 91,018 | ||||||
| 1,542 | Marathon Oil Corp. | 40,917 | ||||||
| 618 | Marathon Petroleum Corp. | 32,340 | ||||||
| 3,227 | Occidental Petroleum Corp. | 250,942 | ||||||
| 460 | Phillips 66 | 37,019 | ||||||
| 206 | Pioneer Natural Resources Co. | 28,525 | ||||||
|
| |||||||
| 781,710 | ||||||||
|
| |||||||
Total Energy | 885,278 | |||||||
|
| |||||||
Financials — 16.8% |
| |||||||
Banks — 6.7% |
| |||||||
| 11,328 | Bank of America Corp. | 192,806 | ||||||
| 736 | BB&T Corp. | 29,677 | ||||||
| 2,853 | Citigroup, Inc. | 157,617 | ||||||
| 322 | East West Bancorp, Inc. | 14,447 | ||||||
| 1,044 | KeyCorp | 15,686 | ||||||
| 217 | Regions Financial Corp. | 2,243 | ||||||
| 505 | SunTrust Banks, Inc. | 21,729 | ||||||
| 354 | SVB Financial Group (a) | 51,017 | ||||||
| 6,363 | Wells Fargo & Co. | 357,833 | ||||||
| 86 | Zions Bancorporation | 2,715 | ||||||
|
| |||||||
| 845,770 | ||||||||
|
| |||||||
Capital Markets — 4.7% |
| |||||||
| 408 | Ameriprise Financial, Inc. | 51,021 | ||||||
| 186 | BlackRock, Inc. | 64,488 | ||||||
| 2,010 | Charles Schwab Corp. (The) | 65,628 | ||||||
| 516 | Goldman Sachs Group, Inc. (The) | 107,708 | ||||||
| 1,491 | Invesco Ltd. | 55,901 | ||||||
| 5,455 | Morgan Stanley | 211,584 | ||||||
| 398 | State Street Corp. | 30,614 | ||||||
| 142 | TD Ameritrade Holding Corp. | 5,215 | ||||||
|
| |||||||
| 592,159 | ||||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
| 19 | Ally Financial, Inc. (a) | 437 | ||||||
| 287 | Discover Financial Services | 16,524 | ||||||
|
| |||||||
| 16,961 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
| 292 | Intercontinental Exchange, Inc. | 65,259 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 3.9% |
| |||||||
| 1,709 | ACE Ltd., (Switzerland) | 173,813 | ||||||
| 1,213 | American International Group, Inc. (m) | 74,978 | ||||||
| 438 | Hartford Financial Services Group, Inc. (The) | 18,194 | ||||||
| 1,241 | Marsh & McLennan Cos., Inc. | 70,351 | ||||||
| 2,387 | MetLife, Inc. | 133,662 | ||||||
| 531 | XL Group plc, (Ireland) | 19,765 | ||||||
|
| |||||||
| 490,763 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 445 | American Tower Corp. (m) | 41,531 | ||||||
| 131 | AvalonBay Communities, Inc. (m) | 20,927 | ||||||
| 41 | Boston Properties, Inc. (m) | 5,002 | ||||||
| 1,005 | Prologis, Inc. (m) | 37,296 | ||||||
| 48 | Vornado Realty Trust (m) | 4,552 | ||||||
|
| |||||||
| 109,308 | ||||||||
|
| |||||||
Total Financials | 2,120,220 | |||||||
|
| |||||||
Health Care — 16.7% |
| |||||||
Biotechnology — 4.1% |
| |||||||
| 240 | Alexion Pharmaceuticals, Inc. (a) | 43,475 | ||||||
| 451 | Biogen, Inc. (a) | 182,338 | ||||||
| 4 | BioMarin Pharmaceutical, Inc. (a) | 486 | ||||||
| 1,176 | Celgene Corp. (a) | 136,074 | ||||||
| 521 | Gilead Sciences, Inc. | 60,964 | ||||||
| 33 | Receptos, Inc. (a) | 6,186 | ||||||
| 6 | Regeneron Pharmaceuticals, Inc. (a) | 3,270 | ||||||
| 693 | Vertex Pharmaceuticals, Inc. (a) | 85,585 | ||||||
|
| |||||||
| 518,378 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
| 2,391 | Abbott Laboratories (m) | 117,334 | ||||||
| 4,621 | Boston Scientific Corp. (a) | 81,796 | ||||||
| 93 | Stryker Corp. | 8,892 | ||||||
|
| |||||||
| 208,022 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.2% |
| |||||||
| 844 | Aetna, Inc. | 107,622 | ||||||
| 35 | Cigna Corp. (m) | 5,656 | ||||||
| 736 | Humana, Inc. | 140,727 | ||||||
| 846 | McKesson Corp. | 190,226 | ||||||
| 1,747 | UnitedHealth Group, Inc. | 213,135 | ||||||
|
| |||||||
| 657,366 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 67 | Illumina, Inc. (a) | 14,526 | ||||||
|
| |||||||
Pharmaceuticals — 5.7% |
| |||||||
| 191 | Allergan plc (a) | 58,059 | ||||||
| 2,856 | Bristol-Myers Squibb Co. | 190,022 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Pharmaceuticals — continued |
| |||||||
| 830 | Eli Lilly & Co. | 69,333 | ||||||
| 6 | Endo International plc, (Ireland) (a) | 473 | ||||||
| 1,471 | Johnson & Johnson | 143,345 | ||||||
| 1,473 | Merck & Co., Inc. | 83,837 | ||||||
| 71 | Perrigo Co. plc, (Ireland) | 13,125 | ||||||
| 4,641 | Pfizer, Inc. | 155,626 | ||||||
|
| |||||||
| 713,820 | ||||||||
|
| |||||||
Total Health Care | 2,112,112 | |||||||
|
| |||||||
Industrials — 8.9% |
| |||||||
Aerospace & Defense — 3.7% |
| |||||||
| 2,323 | Honeywell International, Inc. (m) | 236,906 | ||||||
| 448 | L-3 Communications Holdings, Inc. | 50,766 | ||||||
| 1,567 | United Technologies Corp. | 173,847 | ||||||
|
| |||||||
| 461,519 | ||||||||
|
| |||||||
Airlines — 1.2% |
| |||||||
| 1,004 | Delta Air Lines, Inc. | 41,260 | ||||||
| 2,100 | United Continental Holdings, Inc. (a) | 111,318 | ||||||
|
| |||||||
| 152,578 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
| 1,111 | Fortune Brands Home & Security, Inc. | 50,900 | ||||||
| 37 | Lennox International, Inc. | 4,010 | ||||||
| 1,527 | Masco Corp. | 40,736 | ||||||
|
| |||||||
| 95,646 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
| 44 | Tyco International plc | 1,686 | ||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 834 | Fluor Corp. | 44,235 | ||||||
| 307 | Jacobs Engineering Group, Inc. (a) | 12,489 | ||||||
|
| |||||||
| 56,724 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 795 | Eaton Corp. plc | 53,682 | ||||||
| 278 | Sensata Technologies Holding N.V., (Netherlands) (a) | 14,685 | ||||||
|
| |||||||
| 68,367 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 721 | General Electric Co. | 19,154 | ||||||
|
| |||||||
Machinery — 1.3% | ||||||||
| 175 | Cummins, Inc. | 22,960 | ||||||
| 33 | Ingersoll-Rand plc | 2,194 | ||||||
| 1,738 | PACCAR, Inc. | 110,879 | ||||||
| 239 | SPX Corp. | 17,305 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — continued | ||||||||
| 37 | WABCO Holdings, Inc. (a) | 4,621 | ||||||
|
| |||||||
| 157,959 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 96 | Canadian Pacific Railway Ltd., (Canada) | 15,449 | ||||||
| 46 | Kansas City Southern | 4,183 | ||||||
| 986 | Union Pacific Corp. | 94,005 | ||||||
|
| |||||||
| 113,637 | ||||||||
|
| |||||||
Total Industrials | 1,127,270 | |||||||
|
| |||||||
Information Technology — 21.7% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
| 27 | QUALCOMM, Inc. | 1,676 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
| 173 | Amphenol Corp., Class A | 10,027 | ||||||
| 32 | Belden, Inc. | 2,569 | ||||||
| 1,346 | TE Connectivity Ltd., (Switzerland) | 86,543 | ||||||
|
| |||||||
| 99,139 | ||||||||
|
| |||||||
Internet Software & Services — 3.8% |
| |||||||
| 2,400 | Facebook, Inc., Class A (a) | 205,851 | ||||||
| 176 | Google, Inc., Class A (a) | 94,983 | ||||||
| 340 | Google, Inc., Class C (a) | 176,861 | ||||||
|
| |||||||
| 477,695 | ||||||||
|
| |||||||
IT Services — 3.8% |
| |||||||
| 1,402 | Accenture plc, (Ireland), Class A | 135,695 | ||||||
| 170 | Alliance Data Systems Corp. (a) | 49,715 | ||||||
| 1,162 | Cognizant Technology Solutions Corp., | |||||||
Class A (a) | 70,960 | |||||||
| 833 | Fidelity National Information Services, Inc. | 51,473 | ||||||
| 341 | MasterCard, Inc., Class A | 31,902 | ||||||
| 2,087 | Visa, Inc., Class A | 140,174 | ||||||
|
| |||||||
| 479,919 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
| 161 | Applied Materials, Inc. | 3,101 | ||||||
| 1,727 | Avago Technologies Ltd., (Singapore) | 229,583 | ||||||
| 1,874 | Broadcom Corp., Class A | 96,514 | ||||||
| 649 | Freescale Semiconductor Ltd. (a) | 25,953 | ||||||
| 1,218 | KLA-Tencor Corp. | 68,475 | ||||||
| 2,203 | Lam Research Corp. | 179,243 | ||||||
| 415 | NXP Semiconductors N.V., | |||||||
(Netherlands) (a) | 40,801 | |||||||
| 449 | Texas Instruments, Inc. | 23,130 | ||||||
|
| |||||||
| 666,800 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — 3.9% |
| |||||||
| 1,429 | Adobe Systems, Inc. (a) | 115,749 | ||||||
| 7,604 | Microsoft Corp. | 335,696 | ||||||
| 1,063 | Oracle Corp. | 42,832 | ||||||
|
| |||||||
| 494,277 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.1% |
| |||||||
| 4,094 | Apple, Inc. (m) | 513,517 | ||||||
|
| |||||||
Total Information Technology | 2,733,023 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 2.1% |
| |||||||
| 386 | Axiall Corp. | 13,901 | ||||||
| 223 | CF Industries Holdings, Inc. | 14,334 | ||||||
| 1,453 | Dow Chemical Co. (The) | 74,330 | ||||||
| 1,186 | E.I. du Pont de Nemours & Co. | 75,816 | ||||||
| 1,880 | Mosaic Co. (The) | 88,067 | ||||||
|
| |||||||
| 266,448 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 114 | Martin Marietta Materials, Inc. | 16,103 | ||||||
| 107 | Vulcan Materials Co. | 8,940 | ||||||
|
| |||||||
| 25,043 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
| 1,604 | Crown Holdings, Inc. (a) | 84,885 | ||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
| 246 | Alcoa, Inc. (m) | 2,743 | ||||||
| 897 | United States Steel Corp. | 18,488 | ||||||
|
| |||||||
| 21,231 | ||||||||
|
| |||||||
Total Materials | 397,607 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 2,773 | AT&T, Inc. | 98,501 | ||||||
| 597 | Verizon Communications, Inc. (m) | 27,848 | ||||||
|
| |||||||
| 126,349 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 201 | SBA Communications Corp., Class A (a) | 23,059 | ||||||
|
| |||||||
Total Telecommunication Services | 149,408 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 2.5% |
| |||||||
Electric Utilities — 1.6% |
| |||||||
| 876 | Edison International | 48,670 | ||||||
| 1,442 | Exelon Corp. | 45,296 | ||||||
| 951 | NextEra Energy, Inc. | 93,253 | ||||||
| 30 | Pinnacle West Capital Corp. (m) | 1,712 | ||||||
| 560 | Xcel Energy, Inc. | 18,008 | ||||||
|
| |||||||
| 206,939 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% |
| |||||||
| 1,014 | CenterPoint Energy, Inc. | 19,306 | ||||||
| 1,158 | CMS Energy Corp. | 36,872 | ||||||
| 1,046 | NiSource, Inc. | 47,680 | ||||||
| 145 | PG&E Corp. | 7,129 | ||||||
|
| |||||||
| 110,987 | ||||||||
|
| |||||||
Total Utilities | 317,926 | |||||||
|
| |||||||
Total Common Stocks | 12,503,434 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% | |||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 24 | Imperial Holdings, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (i) | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 0.9% | |||||||
Investment Company — 0.9% | ||||||||
| 113,376 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 113,376 | ||||||
|
| |||||||
Total Investments — 100.0% | 12,616,810 | |||||||
Liabilities in Excess of | (4,807 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,612,003 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 436 | E-mini S&P 500 | 09/18/15 | USD | $ | 44,786 | $ | (703 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
Table of Contents
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
| ADR | — American Depositary Receipt | |
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
| (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 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, 2015. | |
| (m) | — All or a portion of this security is reserved 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. | |
| (o) | — All or a portion of these securities are segregated for options written. |
The following approximates the aggregate amount of securities segregated for options written (amounts in thousands):
| Fund | Value | |
| Hedged Equity Fund | $56,148 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(Amounts in thousands, except per share amounts)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 7,702,644 | $ | 323,826 | $ | 80,606 | ||||||
Investments in affiliates, at value | 181,498 | 13,184 | 2,851 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 7,884,142 | 337,010 | 83,457 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 71,064 | — | — | |||||||||
Fund shares sold | 4,284 | 443 | 197 | |||||||||
Dividends from non-affiliates | 4,185 | 118 | 41 | |||||||||
Dividends from affiliates | 9 | 1 | — | (a) | ||||||||
Variation margin on futures contracts | 41 | — | — | |||||||||
Other assets | — | — | 18 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 7,963,725 | 337,572 | 83,713 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 205,612 | — | — | |||||||||
Fund shares redeemed | 8,935 | 67 | 96 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,428 | 147 | 44 | |||||||||
Administration fees | 445 | 9 | 5 | |||||||||
Distribution fees | 100 | 13 | 1 | |||||||||
Shareholder servicing fees | 68 | 60 | 17 | |||||||||
Custodian and accounting fees | 70 | 11 | 9 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 10 | — | (a) | — | (a) | |||||||
Audit fees | 41 | 34 | 31 | |||||||||
Transfer agent fees | 268 | 29 | 2 | |||||||||
Other | 333 | 6 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 217,310 | 376 | 209 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 7,746,415 | $ | 337,196 | $ | 83,504 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 6,842,788 | $ | 267,750 | $ | 74,289 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 975 | (603 | ) | 65 | ||||||||
Accumulated net realized gains (losses) | 285,963 | (941 | ) | 1,735 | ||||||||
Net unrealized appreciation (depreciation) | 616,689 | 70,990 | 7,415 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 7,746,415 | $ | 337,196 | $ | 83,504 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 483,296 | $ | 39,153 | $ | 1,452 | ||||||
Class C | — | 8,894 | 873 | |||||||||
Class R5 | — | 49 | — | |||||||||
Class R6 | 6,205,582 | — | — | |||||||||
Institutional Class | 796,919 | — | — | |||||||||
Select Class | 260,618 | 289,100 | 81,179 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,746,415 | $ | 337,196 | $ | 83,504 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 20,142 | 1,545 | 59 | |||||||||
Class C | — | 365 | 36 | |||||||||
Class R5 | — | 2 | — | |||||||||
Class R6 | 256,888 | — | — | |||||||||
Institutional Class | 32,996 | — | — | |||||||||
Select Class | 10,777 | 11,192 | 3,254 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 23.99 | $ | 25.34 | $ | 24.78 | ||||||
Class C — Offering price per share (b) | — | 24.39 | 24.34 | |||||||||
Class R5 — Offering and redemption price per share | — | 26.22 | — | |||||||||
Class R6 — Offering and redemption price per share | 24.16 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 24.15 | — | — | |||||||||
Select Class — Offering and redemption price per share | 24.18 | 25.83 | 24.95 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 25.32 | $ | 26.74 | $ | 26.15 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 7,085,511 | $ | 252,836 | $ | 73,191 | ||||||
Cost of investments in affiliates | 181,498 | 13,184 | 2,851 | |||||||||
| (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, 2015 | J.P. MORGAN LARGE CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except per share amounts)
Equity | �� | Growth and Income Fund | Hedged Equity Fund | |||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 9,914,220 | $ | 490,309 | $ | 204,398 | ||||||
Investments in affiliates, at value | 326,417 | 8,112 | 2,970 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 10,240,637 | 498,421 | 207,368 | |||||||||
Cash | — | — | 11 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 15,351 | — | 3,795 | |||||||||
Fund shares sold | 23,219 | 178 | 1,532 | |||||||||
Dividends from non-affiliates | 16,394 | 575 | 200 | |||||||||
Dividends from affiliates | 22 | 1 | — | (a) | ||||||||
Due from Adviser | — | — | 20 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 10,295,623 | 499,175 | 212,926 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | (a) | — | (a) | — | |||||||
Investment securities purchased | 2,856 | 2,982 | 5,949 | |||||||||
Fund shares redeemed | 31,079 | 290 | 805 | |||||||||
Variation margin on futures contracts | — | — | 3 | |||||||||
Outstanding options written, at fair value | — | — | 3,276 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,361 | 163 | — | |||||||||
Administration fees | 703 | 34 | — | |||||||||
Distribution fees | 1,379 | 107 | 21 | |||||||||
Shareholder servicing fees | 1,629 | 104 | 21 | |||||||||
Custodian and accounting fees | 98 | 10 | 23 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 1 | 1 | |||||||||
Other | 1,323 | 165 | 133 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 42,443 | 3,856 | 10,232 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 10,253,180 | $ | 495,319 | $ | 202,694 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Equity | Growth and Income Fund | Hedged Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 8,510,240 | $ | 325,391 | $ | 197,569 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,513 | (33 | ) | 46 | ||||||||
Accumulated net realized gains (losses) | 48,171 | 18,182 | (2,522 | ) | ||||||||
Net unrealized appreciation (depreciation) | 1,693,256 | 151,779 | 7,601 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 10,253,180 | $ | 495,319 | $ | 202,694 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 3,014,937 | $ | 434,573 | $ | 93,007 | ||||||
Class C | 1,160,002 | 24,647 | 3,405 | |||||||||
Class R2 | 56,522 | — | — | |||||||||
Class R5 | 520,660 | — | 442 | |||||||||
Class R6 | 861,809 | — | 443 | |||||||||
Select Class | 4,639,250 | 36,099 | 105,397 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 10,253,180 | $ | 495,319 | $ | 202,694 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 218,956 | 9,560 | 5,648 | |||||||||
Class C | 85,397 | 589 | 207 | |||||||||
Class R2 | 4,114 | — | — | |||||||||
Class R5 | 37,256 | — | 27 | |||||||||
Class R6 | 61,702 | — | 27 | |||||||||
Select Class | 332,075 | 761 | 6,387 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 13.77 | $ | 45.46 | $ | 16.47 | ||||||
Class C — Offering price per share (b) | 13.58 | 41.83 | 16.43 | |||||||||
Class R2 — Offering and redemption price per share | 13.74 | — | — | |||||||||
Class R5 — Offering and redemption price per share | 13.98 | — | 16.51 | |||||||||
Class R6 — Offering and redemption price per share | 13.97 | — | 16.52 | |||||||||
Select Class — Offering and redemption price per share | 13.97 | 47.45 | 16.50 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 14.53 | $ | 47.98 | $ | 17.38 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 8,220,964 | $ | 338,530 | $ | 196,820 | ||||||
Cost of investments in affiliates | 326,417 | 8,112 | 2,970 | |||||||||
Premiums received from options written | — | — | 3,319 | |||||||||
| (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, 2015 | J.P. MORGAN LARGE CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (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 | $ | 15,237,173 | $ | 737,798 | $ | 12,503,434 | ||||||
Investments in affiliates, at value | 315,791 | 15,960 | 113,376 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 15,552,964 | 753,758 | 12,616,810 | |||||||||
Deposits at broker for futures contracts | — | — | 2,021 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 101,883 | 1,106 | 57,418 | |||||||||
Fund shares sold | 23,707 | 55 | 19,183 | |||||||||
Dividends from non-affiliates | 3,498 | 794 | 11,077 | |||||||||
Dividends from affiliates | 19 | 1 | 7 | |||||||||
Variation margin on futures contracts | — | — | 85 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 15,682,071 | 755,714 | 12,706,601 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 3,303 | 70,148 | |||||||||
Fund shares redeemed | 24,540 | 470 | 16,244 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 6,500 | 251 | 4,185 | |||||||||
Administration fees | 1,070 | 52 | 850 | |||||||||
Distribution fees | 1,451 | 29 | 522 | |||||||||
Shareholder servicing fees | 2,066 | 144 | 949 | |||||||||
Custodian and accounting fees | 195 | 22 | 165 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 19 | 4 | 7 | |||||||||
Transfer agent fees | 2,110 | 19 | 1,024 | |||||||||
Other | 470 | 72 | 504 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 38,421 | 4,366 | 94,598 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 15,643,650 | $ | 751,348 | $ | 12,612,003 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 9,356,900 | $ | 582,316 | $ | 9,113,066 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (366 | ) | (27 | ) | 1,266 | |||||||
Accumulated net realized gains (losses) | 610,053 | 58,406 | 224,998 | |||||||||
Net unrealized appreciation (depreciation) | 5,677,063 | 110,653 | 3,272,673 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 15,643,650 | $ | 751,348 | $ | 12,612,003 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 4,670,460 | $ | 93,078 | $ | 1,399,208 | ||||||
Class C | 600,404 | 14,307 | 253,608 | |||||||||
Class R2 | 242,550 | 1,074 | 178,272 | |||||||||
Class R5 | 1,394,419 | 4,443 | 496,102 | |||||||||
Class R6 | 3,220,191 | 4,145 | 2,976,379 | |||||||||
Institutional Class | — | — | 4,932,896 | |||||||||
Select Class | 5,515,626 | 634,301 | 2,375,538 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,643,650 | $ | 751,348 | $ | 12,612,003 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($ 0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 126,848 | 6,197 | 94,838 | |||||||||
Class C | 18,847 | 980 | 17,608 | |||||||||
Class R2 | 6,692 | 72 | 12,163 | |||||||||
Class R5 | 37,431 | 298 | 33,521 | |||||||||
Class R6 | 86,236 | 279 | 200,896 | |||||||||
Institutional Class | — | — | 333,485 | |||||||||
Select Class | 149,400 | 42,875 | 160,777 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 36.82 | $ | 15.02 | $ | 14.75 | ||||||
Class C — Offering price per share (b) | 31.86 | 14.60 | 14.40 | |||||||||
Class R2 — Offering and redemption price per share | 36.24 | 14.96 | 14.66 | |||||||||
Class R5 — Offering and redemption price per share | 37.25 | 14.93 | 14.80 | |||||||||
Class R6 — Offering and redemption price per share | 37.34 | 14.86 | 14.82 | |||||||||
Institutional Class — Offering and redemption price per share | — | — | 14.79 | |||||||||
Select Class — Offering and redemption price per share | 36.92 | 14.79 | 14.78 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 38.86 | $ | 15.85 | $ | 15.57 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 9,560,110 | $ | 627,145 | $ | 9,230,058 | ||||||
Cost of investments in affiliates | 315,791 | 15,960 | 113,376 | |||||||||
| (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, 2015 | J.P. MORGAN LARGE CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 5 | $ | — | $ | — | ||||||
Dividend income from non-affiliates | 96,171 | 1,974 | 910 | |||||||||
Dividend income from affiliates | 41 | 5 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 96,217 | 1,979 | 911 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 14,369 | 1,906 | 517 | |||||||||
Administration fees | 4,725 | 261 | 65 | |||||||||
Distribution fees: | ||||||||||||
Class A | 841 | 69 | 2 | |||||||||
Class C | — | 53 | 4 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 841 | 69 | 2 | |||||||||
Class C | — | 18 | 2 | |||||||||
Class R5 | — | — | (a) | — | ||||||||
Institutional Class | 532 | — | — | |||||||||
Select Class | 733 | 707 | 195 | |||||||||
Custodian and accounting fees | 199 | 34 | 27 | |||||||||
Professional fees | 109 | 46 | 46 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 57 | 3 | 1 | |||||||||
Printing and mailing costs | 161 | 22 | 4 | |||||||||
Registration and filing fees | 514 | 65 | 18 | |||||||||
Transfer agent fees | 969 | 135 | 9 | |||||||||
Other | 71 | 12 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 24,121 | 3,400 | 898 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,262 | ) | (226 | ) | (103 | ) | ||||||
Less expense reimbursements | (15 | ) | (4 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 22,844 | 3,170 | 795 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 73,373 | (1,191 | ) | 116 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 457,927 | 211 | 2,395 | |||||||||
Futures | 5,101 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 463,028 | 211 | 2,395 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | (65,196 | ) | 25,578 | 2,264 | ||||||||
Futures | (797 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (65,993 | ) | 25,578 | 2,264 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 397,035 | 25,789 | 4,659 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 470,408 | $ | 24,598 | $ | 4,775 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Equity | Growth and Income Fund | Hedged Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | — | (a) | |||||
Dividend income from non-affiliates | 258,148 | 11,579 | 2,357 | |||||||||
Dividend income from affiliates | 107 | 1 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 258,255 | 11,580 | 2,358 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 36,099 | 1,932 | 297 | |||||||||
Administration fees | 7,421 | 397 | 98 | |||||||||
Distribution fees: | ||||||||||||
Class A | 6,861 | 1,071 | 139 | |||||||||
Class B (b) | 24 | 17 | — | |||||||||
Class C | 7,417 | 148 | 8 | |||||||||
Class R2 | 211 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 6,861 | 1,071 | 139 | |||||||||
Class B (b) | 8 | 6 | — | |||||||||
Class C | 2,472 | 49 | 3 | |||||||||
Class R2 | 105 | — | — | |||||||||
Class R5 | 208 | — | — | (a) | ||||||||
Select Class | 10,309 | 82 | 153 | |||||||||
Custodian and accounting fees | 260 | 31 | 62 | |||||||||
Professional fees | 136 | 49 | 80 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 94 | 5 | 2 | |||||||||
Printing and mailing costs | 556 | 47 | 12 | |||||||||
Registration and filing fees | 342 | 51 | 104 | |||||||||
Transfer agent fees | 5,764 | 380 | 108 | |||||||||
Offering costs | — | — | 48 | |||||||||
Other | 108 | 25 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 85,256 | 5,361 | 1,257 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (2,573 | ) | (17 | ) | (324 | ) | ||||||
Less earnings credits | — | (a) | — | — | ||||||||
Less expense reimbursements | (52 | ) | — | (79 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 82,631 | 5,344 | 854 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 175,624 | 6,236 | 1,504 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 136,057 | 32,555 | (8,571 | ) | ||||||||
Futures | — | — | 587 | |||||||||
Options written | — | — | 5,516 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 136,057 | 32,555 | (2,468 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 75,086 | (14,988 | ) | 7,279 | ||||||||
Futures | — | — | (20 | ) | ||||||||
Options Written | — | — | 43 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 75,086 | (14,988 | ) | 7,302 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 211,143 | 17,567 | 4,834 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 386,767 | $ | 23,803 | $ | 6,338 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015 (continued)
(Amounts in thousands)
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 120,192 | $ | 16,077 | $ | 224,501 | ||||||
Dividend income from affiliates | 148 | 7 | 57 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 120,340 | 16,084 | 224,558 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 76,919 | 3,226 | 48,311 | |||||||||
Administration fees | 12,653 | 663 | 9,932 | |||||||||
Distribution fees: | ||||||||||||
Class A | 12,056 | 231 | 3,182 | |||||||||
Class B (a) | 47 | 11 | 29 | |||||||||
Class C | 4,203 | 99 | 1,588 | |||||||||
Class R2 | 1,167 | 3 | 764 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 12,056 | 231 | 3,182 | |||||||||
Class B (a) | 16 | 4 | 10 | |||||||||
Class C | 1,401 | 33 | 529 | |||||||||
Class R2 | 583 | 2 | 382 | |||||||||
Class R5 | 699 | 2 | 239 | |||||||||
Institutional Class | — | — | 4,667 | |||||||||
Select Class | 13,570 | 1,678 | 6,561 | |||||||||
Custodian and accounting fees | 440 | 53 | 418 | |||||||||
Interest expense to affiliates | — | 1 | — | |||||||||
Professional fees | 191 | 54 | 161 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 154 | 1 | 111 | |||||||||
Printing and mailing costs | 1,074 | 30 | 757 | |||||||||
Registration and filing fees | 293 | 80 | 580 | |||||||||
Transfer agent fees | 12,110 | 115 | 5,786 | |||||||||
Other | 208 | 27 | 535 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 149,840 | 6,544 | 87,724 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (9,544 | ) | (156 | ) | (5,436 | ) | ||||||
Less expense reimbursements | (88 | ) | — | (b) | (91 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 140,208 | 6,388 | 82,197 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (19,868 | ) | 9,696 | 142,361 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 827,611 | 102,268 | 932,380 | |||||||||
Futures | — | — | 10,760 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 827,611 | 102,268 | 943,140 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 1,414,740 | (49,217 | ) | (30,556 | ) | |||||||
Futures | — | — | (1,193 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 1,414,740 | (49,217 | ) | (31,749 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 2,242,351 | 53,051 | 911,391 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 2,222,483 | $ | 62,747 | $ | 1,053,752 | ||||||
|
|
|
|
|
| |||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 73,373 | $ | 46,521 | $ | (1,191 | ) | $ | (708 | ) | ||||||
Net realized gain (loss) | 463,028 | 240,349 | 211 | 7,600 | ||||||||||||
Change in net unrealized appreciation/depreciation | (65,993 | ) | 433,169 | 25,578 | 30,946 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 470,408 | 720,039 | 24,598 | 37,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (2,861 | ) | (1,624 | ) | — | — | ||||||||||
From net realized gains | (19,848 | ) | (9,242 | ) | (413 | ) | — | |||||||||
Class C | ||||||||||||||||
From net realized gains | — | — | (111 | ) | — | |||||||||||
Class R5 | ||||||||||||||||
From net realized gains | — | — | (1 | ) | — | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | (59,604 | ) | (39,209 | ) | — | — | ||||||||||
From net realized gains | (266,822 | ) | (139,746 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (6,739 | ) | (4,083 | ) | — | — | ||||||||||
From net realized gains | (32,068 | ) | (16,849 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (2,632 | ) | (775 | ) | — | — | ||||||||||
From net realized gains | (15,846 | ) | (3,550 | ) | (4,260 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (406,420 | ) | (215,078 | ) | (4,785 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 3,404,441 | 1,946,173 | 34,618 | 142,647 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,468,429 | 2,451,134 | 54,431 | 180,485 | ||||||||||||
Beginning of period | 4,277,986 | 1,826,852 | 282,765 | 102,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,746,415 | $ | 4,277,986 | $ | 337,196 | $ | 282,765 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 975 | $ | 831 | $ | (603 | ) | $ | (429 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 61 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 116 | $ | 62 | $ | 175,624 | $ | 108,236 | ||||||||
Net realized gain (loss) | 2,395 | (77 | ) | 136,057 | 125,411 | |||||||||||
Distributions of capital gains received from investment company affiliates | — | — | — | 1 | ||||||||||||
Change in net unrealized appreciation/depreciation | 2,264 | 4,489 | 75,086 | 934,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 4,775 | 4,474 | 386,767 | 1,168,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1 | ) | — | (50,416 | ) | (31,236 | ) | |||||||||
From net realized gains | (5 | ) | (5 | ) | (53,724 | ) | (30,026 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | — | (41 | ) | (50 | ) | ||||||||||
From net realized gains | — | — | (67 | ) | (74 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (14,285 | ) | (7,992 | ) | ||||||||||
From net realized gains | (4 | ) | (2 | ) | (18,697 | ) | (10,640 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (708 | ) | (317 | ) | ||||||||||
From net realized gains | — | — | (817 | ) | (336 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (9,307 | ) | (5,124 | ) | ||||||||||
From net realized gains | — | — | (7,581 | ) | (3,803 | ) | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (16,393 | ) | (9,298 | ) | ||||||||||
From net realized gains | — | — | (13,082 | ) | (7,928 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (112 | ) | — | (b) | (84,500 | ) | (54,801 | ) | ||||||||
From net realized gains | (492 | ) | (259 | ) | (77,081 | ) | (46,326 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (614 | ) | (266 | ) | (346,699 | ) | (207,951 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 6,723 | 64,555 | 2,687,583 | 2,056,118 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 10,884 | 68,763 | 2,727,651 | 3,016,768 | ||||||||||||
Beginning of period | 72,620 | 3,857 | 7,525,529 | 4,508,761 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 83,504 | $ | 72,620 | $ | 10,253,180 | $ | 7,525,529 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 65 | $ | 62 | $ | 1,513 | $ | 1,539 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Period Ended June 30, 2014 (a) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,236 | $ | 4,949 | $ | 1,504 | $ | 24 | ||||||||
Net realized gain (loss) | 32,555 | 51,392 | (2,468 | ) | (122 | ) | ||||||||||
Distributions of capital gains received from investment company affiliates | — | — | (b) | — | — | |||||||||||
Change in net unrealized appreciation/depreciation | (14,988 | ) | 34,471 | 7,302 | 299 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 23,803 | 90,812 | 6,338 | 201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (5,313 | ) | (4,431 | ) | (594 | ) | (4 | ) | ||||||||
From net realized gains | (9,151 | ) | — | — | — | |||||||||||
Return of capital | — | — | — | (1 | ) | |||||||||||
Class B (c) | ||||||||||||||||
From net investment income | (13 | ) | (18 | ) | — | — | ||||||||||
From net realized gains | (53 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (193 | ) | (99 | ) | (11 | ) | — | (b) | ||||||||
From net realized gains | (427 | ) | — | — | — | |||||||||||
Return of capital | — | — | — | — | (b) | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (5 | ) | — | (b) | ||||||||||
Return of capital | — | — | — | — | (b) | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (5 | ) | — | (b) | ||||||||||
Return of capital | — | — | — | (1 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (463 | ) | (332 | ) | (772 | ) | (23 | ) | ||||||||
From net realized gains | (660 | ) | — | — | — | |||||||||||
Return of capital | — | — | — | (20 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (16,273 | ) | (4,880 | ) | (1,387 | ) | (49 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 23,921 | (17,280 | ) | 192,708 | 4,883 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 31,451 | 68,652 | 197,659 | 5,035 | ||||||||||||
Beginning of period | 463,868 | 395,216 | 5,035 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 495,319 | $ | 463,868 | $ | 202,694 | $ | 5,035 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (33 | ) | $ | (17 | ) | $ | 46 | $ | (3 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than $1,000. |
| (c) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 63 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (19,868 | ) | $ | (28,833 | ) | $ | 9,696 | $ | 9,568 | ||||||
Net realized gain (loss) | 827,611 | 572,824 | 102,268 | 123,935 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | 1 | — | 4 | ||||||||||||
Change in net unrealized appreciation/depreciation | 1,414,740 | 2,563,782 | (49,217 | ) | 35,976 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,222,483 | 3,107,774 | 62,747 | 169,483 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (1,005 | ) | (861 | ) | ||||||||||
From net realized gains | (85,875 | ) | — | (13,856 | ) | (1,655 | ) | |||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | — | (6 | ) | (12 | ) | ||||||||||
From net realized gains | (133 | ) | — | (230 | ) | (50 | ) | |||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (88 | ) | (68 | ) | ||||||||||
From net realized gains | (11,256 | ) | — | (2,003 | ) | (233 | ) | |||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (7 | ) | (3 | ) | ||||||||||
From net realized gains | (3,964 | ) | — | (87 | ) | (14 | ) | |||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (61 | ) | (116 | ) | ||||||||||
From net realized gains | (24,104 | ) | — | (646 | ) | (599 | ) | |||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (341 | ) | (724 | ) | ||||||||||
From net realized gains | (50,817 | ) | — | (6,003 | ) | (1,655 | ) | |||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (8,298 | ) | (8,031 | ) | ||||||||||
From net realized gains | (97,149 | ) | — | (102,872 | ) | (21,436 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (273,298 | ) | — | (135,503 | ) | (35,457 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (1,251,267 | ) | 275,053 | (343 | ) | (6,000 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 697,918 | 3,382,827 | (73,099 | ) | 128,026 | |||||||||||
Beginning of period | 14,945,732 | 11,562,905 | 824,447 | 696,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 15,643,650 | $ | 14,945,732 | $ | 751,348 | $ | 824,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (366 | ) | $ | (17,137 | ) | $ | (27 | ) | $ | (56 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 142,361 | $ | 96,944 | ||||
Net realized gain (loss) | 943,140 | 736,827 | ||||||
Distributions of capital gains received from investment company affiliates | — | 2 | ||||||
Change in net unrealized appreciation/depreciation | (31,749 | ) | 1,332,466 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 1,053,752 | 2,166,239 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (11,732 | ) | (8,068 | ) | ||||
From net realized gains | (101,441 | ) | (67,000 | ) | ||||
Class B (a) | ||||||||
From net investment income | (15 | ) | (13 | ) | ||||
From net realized gains | (335 | ) | (307 | ) | ||||
Class C | ||||||||
From net investment income | (1,049 | ) | (512 | ) | ||||
From net realized gains | (16,831 | ) | (9,496 | ) | ||||
Class R2 | ||||||||
From net investment income | (1,082 | ) | (595 | ) | ||||
From net realized gains | (12,128 | ) | (6,636 | ) | ||||
Class R5 | ||||||||
From net investment income | (6,071 | ) | (4,728 | ) | ||||
From net realized gains | (39,025 | ) | (27,833 | ) | ||||
Class R6 | ||||||||
From net investment income | (35,475 | ) | (23,536 | ) | ||||
From net realized gains | (207,916 | ) | (124,852 | ) | ||||
Institutional Class | ||||||||
From net investment income | (57,166 | ) | (34,846 | ) | ||||
From net realized gains | (373,132 | ) | (245,150 | ) | ||||
Select Class | ||||||||
From net investment income | (27,032 | ) | (24,079 | ) | ||||
From net realized gains | (194,871 | ) | (143,301 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,085,301 | ) | (720,952 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 1,863,908 | 1,347,074 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 1,832,359 | 2,792,361 | ||||||
Beginning of period | 10,779,644 | 7,987,283 | ||||||
|
|
|
| |||||
End of period | $ | 12,612,003 | $ | 10,779,644 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,266 | $ | 572 | ||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 65 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 358,585 | $ | 110,205 | $ | 26,887 | $ | 18,137 | ||||||||
Distributions reinvested | 22,668 | 10,845 | 402 | — | ||||||||||||
Cost of shares redeemed | (108,252 | ) | (42,738 | ) | (6,767 | ) | (1,412 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 273,001 | $ | 78,312 | $ | 20,522 | $ | 16,725 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 5,474 | $ | 4,982 | ||||||||
Distributions reinvested | — | — | 84 | — | ||||||||||||
Cost of shares redeemed | — | — | (1,468 | ) | (705 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | — | $ | — | $ | 4,090 | $ | 4,277 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 4 | ||||||||
Distributions reinvested | — | — | 1 | — | ||||||||||||
Cost of shares redeemed | — | — | — | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 1 | $ | 4 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 2,411,314 | $ | 1,799,308 | $ | — | $ | — | ||||||||
Distributions reinvested | 326,426 | 178,948 | — | — | ||||||||||||
Cost of shares redeemed | (180,826 | ) | (264,127 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 2,556,914 | $ | 1,714,129 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 529,705 | $ | 148,282 | $ | — | $ | — | ||||||||
Distributions reinvested | 35,134 | 18,575 | — | — | ||||||||||||
Cost of shares redeemed | (160,633 | ) | (45,570 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | 404,206 | $ | 121,287 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 374,608 | $ | 43,804 | $ | 50,453 | $ | 133,469 | ||||||||
Distributions reinvested | 7,520 | 3,427 | 3,771 | — | ||||||||||||
Cost of shares redeemed | (211,808 | ) | (14,786 | ) | (44,219 | ) | (11,828 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 170,320 | $ | 32,445 | $ | 10,005 | $ | 121,641 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 3,404,441 | $ | 1,946,173 | $ | 34,618 | $ | 142,647 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 14,944 | 5,011 | 1,094 | 763 | ||||||||||||
Reinvested | 985 | 507 | 17 | — | ||||||||||||
Redeemed | (4,497 | ) | (1,927 | ) | (276 | ) | (60 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 11,432 | 3,591 | 835 | 703 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | — | — | 232 | 214 | ||||||||||||
Reinvested | — | — | 4 | — | ||||||||||||
Redeemed | — | — | (61 | ) | (31 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | — | 175 | 183 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | — | — | (a) | |||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | — | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | — | (a) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 99,461 | 82,159 | — | — | ||||||||||||
Reinvested | 14,056 | 8,286 | — | — | ||||||||||||
Redeemed | (7,497 | ) | (11,337 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 106,020 | 79,108 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 21,787 | 6,620 | — | — | ||||||||||||
Reinvested | 1,514 | 862 | — | — | ||||||||||||
Redeemed | (6,635 | ) | (2,038 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 16,666 | 5,444 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 15,608 | 1,997 | 2,071 | 5,952 | ||||||||||||
Reinvested | 323 | 159 | 156 | — | ||||||||||||
Redeemed | (8,625 | ) | (673 | ) | (1,772 | ) | (526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 7,306 | 1,483 | 455 | 5,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 67 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,181 | $ | 490 | $ | 1,420,165 | $ | 1,182,295 | ||||||||
Distributions reinvested | 6 | 5 | 99,766 | 59,065 | ||||||||||||
Cost of shares redeemed | (194 | ) | (167 | ) | (887,735 | ) | (454,907 | ) | ||||||||
Conversion from Class B Shares | — | — | 2,543 | 234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 993 | $ | 328 | $ | 634,739 | $ | 786,687 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 255 | $ | 1,047 | ||||||||
Distributions reinvested | — | — | 101 | 112 | ||||||||||||
Cost of shares redeemed | — | — | (1,842 | ) | (1,727 | ) | ||||||||||
Conversion to Class A Shares | — | — | (2,543 | ) | (234 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (4,029 | ) | $ | (802 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 782 | $ | 62 | $ | 469,144 | $ | 374,473 | ||||||||
Distributions reinvested | 4 | 2 | 27,318 | 15,425 | ||||||||||||
Cost of shares redeemed | (62 | ) | (12 | ) | (142,759 | ) | (89,920 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 724 | $ | 52 | $ | 353,703 | $ | 299,978 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 38,187 | $ | 19,772 | ||||||||
Distributions reinvested | — | — | 1,483 | 652 | ||||||||||||
Cost of shares redeemed | — | — | (11,830 | ) | (8,361 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 27,840 | $ | 12,063 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 289,715 | $ | 133,602 | ||||||||
Distributions reinvested | — | — | 14,261 | 8,807 | ||||||||||||
Cost of shares redeemed | — | — | (90,072 | ) | (103,835 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 213,904 | $ | 38,574 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 427,210 | $ | 392,844 | ||||||||
Distributions reinvested | — | — | 26,378 | 14,091 | ||||||||||||
Cost of shares redeemed | — | — | (143,972 | ) | (150,821 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 309,616 | $ | 256,114 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 19,248 | $ | 74,941 | $ | 1,995,707 | $ | 1,343,746 | ||||||||
Distributions reinvested | 41 | 100 | 97,011 | 51,006 | ||||||||||||
Cost of shares redeemed | (14,283 | ) | (10,866 | ) | (940,908 | ) | (731,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 5,006 | $ | 64,175 | $ | 1,151,810 | $ | 663,504 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 6,723 | $ | 64,555 | $ | 2,687,583 | $ | 2,056,118 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 49 | 22 | 102,541 | 93,430 | ||||||||||||
Reinvested | — | (a) | — | (a) | 7,191 | 4,669 | ||||||||||
Redeemed | (8 | ) | (7 | ) | (63,788 | ) | (35,883 | ) | ||||||||
Conversion from Class B Shares | — | — | 181 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 41 | 15 | 46,125 | 62,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (b) | ||||||||||||||||
Issued | — | — | 19 | 85 | ||||||||||||
Reinvested | — | — | 7 | 9 | ||||||||||||
Redeemed | — | — | (134 | ) | (137 | ) | ||||||||||
Conversion to Class A Shares | — | — | (182 | ) | (19 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (290 | ) | (62 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 33 | 4 | 34,111 | 30,145 | ||||||||||||
Reinvested | — | (a) | — | (a) | 1,997 | 1,238 | ||||||||||
Redeemed | (3 | ) | (1 | ) | (10,411 | ) | (7,181 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 30 | 3 | 25,697 | 24,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 2,750 | 1,554 | ||||||||||||
Reinvested | — | — | 107 | 52 | ||||||||||||
Redeemed | — | — | (850 | ) | (649 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 2,007 | 957 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 20,388 | 10,246 | ||||||||||||
Reinvested | — | — | 1,012 | 687 | ||||||||||||
Redeemed | — | — | (6,358 | ) | (8,034 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 15,042 | 2,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 30,221 | 30,669 | ||||||||||||
Reinvested | — | — | 1,872 | 1,095 | ||||||||||||
Redeemed | — | — | (10,221 | ) | (11,733 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 21,872 | 20,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 792 | 3,320 | 141,421 | 104,808 | ||||||||||||
Reinvested | 2 | 5 | 6,888 | 3,973 | ||||||||||||
Redeemed | (584 | ) | (475 | ) | (66,629 | ) | (56,929 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 210 | 2,850 | 81,680 | 51,852 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 shares. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 69 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Period Ended June 30, 2014 (a) | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 47,842 | $ | 31,504 | $ | 107,013 | $ | 1,573 | ||||||||
Distributions reinvested | 13,884 | 4,239 | 594 | 4 | ||||||||||||
Cost of shares redeemed | (55,510 | ) | (50,548 | ) | (17,993 | ) | (1,009 | ) | ||||||||
Conversion from Class B Shares | 2,102 | 223 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 8,318 | $ | (14,582 | ) | $ | 89,614 | $ | 568 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (b) | ||||||||||||||||
Proceeds from shares issued | $ | 130 | $ | 86 | $ | — | $ | — | ||||||||
Distributions reinvested | 65 | 18 | — | — | ||||||||||||
Cost of shares redeemed | (847 | ) | (773 | ) | — | — | ||||||||||
Conversion to Class A Shares | (2,102 | ) | (223 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (2,754 | ) | $ | (892 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 12,911 | $ | 6,964 | $ | 3,979 | $ | 50 | ||||||||
Distributions reinvested | 554 | 89 | 10 | — | (c) | |||||||||||
Cost of shares redeemed | (3,566 | ) | (2,395 | ) | (621 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 9,899 | $ | 4,658 | $ | 3,368 | $ | 50 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 374 | $ | 50 | ||||||||
Distributions reinvested | — | — | 5 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 379 | $ | 51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 374 | $ | 50 | ||||||||
Distributions reinvested | — | — | 5 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 379 | $ | 51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 11,721 | $ | 19,582 | $ | 125,592 | $ | 4,125 | ||||||||
Distributions reinvested | 962 | 296 | 755 | 38 | ||||||||||||
Cost of shares redeemed | (4,225 | ) | (26,342 | ) | (27,379 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 8,458 | $ | (6,464 | ) | $ | 98,968 | $ | 4,163 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 23,921 | $ | (17,280 | ) | $ | 192,708 | $ | 4,883 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (c) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Period Ended June 30, 2014 (a) | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,044 | 785 | 6,659 | 100 | ||||||||||||
Reinvested | 308 | 102 | 36 | — | (b) | |||||||||||
Redeemed | (1,222 | ) | (1,258 | ) | (1,083 | ) | (64 | ) | ||||||||
Conversion from Class B Shares | 45 | 6 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 175 | (365 | ) | 5,612 | 36 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (c) | ||||||||||||||||
Issued | 3 | 2 | — | — | ||||||||||||
Reinvested | 2 | — | (b) | — | — | |||||||||||
Redeemed | (20 | ) | (19 | ) | — | — | ||||||||||
Conversion to Class A Shares | (46 | ) | (6 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (61 | ) | (23 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 307 | 187 | 241 | 3 | ||||||||||||
Reinvested | 13 | 2 | 1 | — | (b) | |||||||||||
Redeemed | (85 | ) | (65 | ) | (38 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 235 | 124 | 204 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 24 | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 24 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 24 | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 24 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 248 | 473 | 7,719 | 270 | ||||||||||||
Reinvested | 20 | 7 | 46 | 3 | ||||||||||||
Redeemed | (89 | ) | (643 | ) | (1,651 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 179 | (163 | ) | 6,114 | 273 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than 1,000 shares. |
| (c) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 71 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,015,188 | $ | 2,725,289 | $ | 12,794 | $ | 15,456 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 42,595 | ||||||||||||
Distributions reinvested | 80,373 | — | 14,323 | 2,439 | ||||||||||||
Cost of shares redeemed | (2,084,770 | ) | (1,431,629 | ) | (19,005 | ) | (15,944 | ) | ||||||||
Conversion from Class B Shares | 6,138 | 1,207 | 1,111 | 105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (983,071 | ) | $ | 1,294,867 | $ | 9,223 | $ | 44,651 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 125 | $ | 146 | $ | 31 | $ | 33 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 1,079 | ||||||||||||
Distributions reinvested | 131 | — | 226 | 57 | ||||||||||||
Cost of shares redeemed | (2,472 | ) | (2,718 | ) | (923 | ) | (664 | ) | ||||||||
Conversion to Class A Shares | (6,138 | ) | (1,207 | ) | (1,111 | ) | (105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (8,354 | ) | $ | (3,779 | ) | $ | (1,777 | ) | $ | 400 | |||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 110,881 | $ | 118,910 | $ | 4,828 | $ | 3,724 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 3,188 | ||||||||||||
Distributions reinvested | 7,502 | — | 1,882 | 268 | ||||||||||||
Cost of shares redeemed | (107,204 | ) | (90,812 | ) | (2,807 | ) | (1,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 11,179 | $ | 28,098 | $ | 3,903 | $ | 5,234 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 78,590 | $ | 62,282 | $ | 669 | $ | 194 | ||||||||
Distributions reinvested | 3,119 | — | 64 | 10 | ||||||||||||
Cost of shares redeemed | (89,755 | ) | (78,278 | ) | (60 | ) | (196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (8,046 | ) | $ | (15,996 | ) | $ | 673 | $ | 8 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 337,438 | $ | 365,422 | $ | 717 | $ | 514 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | — | 2,180 | ||||||||||||
Distributions reinvested | 22,865 | — | 515 | 690 | ||||||||||||
Cost of shares redeemed | (549,243 | ) | (413,385 | ) | (843 | ) | (19,905 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (188,940 | ) | $ | (47,963 | ) | $ | 389 | $ | (16,521 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 723,964 | $ | 665,288 | $ | 5,285 | $ | 4,941 | ||||||||
Distributions reinvested | 48,411 | — | 6,344 | 2,379 | ||||||||||||
Cost of shares redeemed | (639,517 | ) | (692,012 | ) | (55,097 | ) | (8,427 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 132,858 | $ | (26,724 | ) | $ | (43,468 | ) | $ | (1,107 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,342,590 | $ | 1,132,582 | $ | 35,937 | $ | 29,098 | ||||||||
Distributions reinvested | 69,462 | — | 110,461 | 27,502 | ||||||||||||
Cost of shares redeemed | (1,618,945 | ) | (2,086,032 | ) | (115,684 | ) | (95,265 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (206,893 | ) | $ | (953,450 | ) | $ | 30,714 | $ | (38,665 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (1,251,267 | ) | $ | 275,053 | $ | (343 | ) | $ | (6,000 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 29,011 | 94,319 | 805 | 1,014 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 2,898 | ||||||||||||
Reinvested | 2,374 | — | 989 | 162 | ||||||||||||
Redeemed | (59,974 | ) | (47,665 | ) | (1,211 | ) | (1,042 | ) | ||||||||
Conversion from Class B Shares | 165 | 40 | 72 | 7 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (28,424 | ) | 46,694 | 655 | 3,039 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 4 | 6 | 2 | 3 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 74 | ||||||||||||
Reinvested | 4 | — | 16 | 4 | ||||||||||||
Redeemed | (80 | ) | (103 | ) | (60 | ) | (44 | ) | ||||||||
Conversion to Class A Shares | (189 | ) | (45 | ) | (74 | ) | (7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (261 | ) | (142 | ) | (116 | ) | 30 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,633 | 4,514 | 319 | 251 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 222 | ||||||||||||
Reinvested | 255 | — | 134 | 18 | ||||||||||||
Redeemed | (3,539 | ) | (3,428 | ) | (190 | ) | (131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 349 | 1,086 | 263 | 360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2,288 | 2,078 | 44 | 12 | ||||||||||||
Reinvested | 94 | — | 5 | 1 | ||||||||||||
Redeemed | (2,626 | ) | (2,597 | ) | (4 | ) | (13 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (244 | ) | (519 | ) | 45 | — | (b) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 9,542 | 12,035 | 46 | 34 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | — | 149 | ||||||||||||
Reinvested | 669 | — | 36 | 48 | ||||||||||||
Redeemed | (15,538 | ) | (13,642 | ) | (52 | ) | (1,358 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (5,327 | ) | (1,607 | ) | 30 | (1,127 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 20,459 | 22,243 | 338 | 329 | ||||||||||||
Reinvested | 1,413 | — | 442 | 161 | ||||||||||||
Redeemed | (18,258 | ) | (22,612 | ) | (3,591 | ) | (557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,614 | (369 | ) | (2,811 | ) | (67 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 38,845 | 37,768 | 2,280 | 1,976 | ||||||||||||
Reinvested | 2,047 | — | 7,737 | 1,868 | ||||||||||||
Redeemed | (46,403 | ) | (67,981 | ) | (7,526 | ) | (6,280 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (5,511 | ) | (30,213 | ) | 2,491 | (2,436 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (b) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
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, 2015 | Year Ended June 30, 2014 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 467,436 | $ | 383,363 | ||||
Distributions reinvested | 100,057 | 67,082 | ||||||
Cost of shares redeemed | (335,025 | ) | (308,374 | ) | ||||
Conversion from Class B Shares | 3,680 | 158 | ||||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 236,148 | $ | 142,229 | ||||
|
|
|
| |||||
Class B (a) | ||||||||
Proceeds from shares issued | $ | 94 | $ | 178 | ||||
Distributions reinvested | 331 | 305 | ||||||
Cost of shares redeemed | (1,044 | ) | (1,216 | ) | ||||
Conversion to Class A Shares | (3,680 | ) | (158 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class B capital transactions | $ | (4,299 | ) | $ | (891 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 100,381 | $ | 59,625 | ||||
Distributions reinvested | 16,229 | 9,127 | ||||||
Cost of shares redeemed | (35,992 | ) | (25,641 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 80,618 | $ | 43,111 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 73,014 | $ | 54,604 | ||||
Distributions reinvested | 12,101 | 6,417 | ||||||
Cost of shares redeemed | (31,851 | ) | (22,308 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 53,264 | $ | 38,713 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 154,746 | $ | 141,144 | ||||
Distributions reinvested | 37,556 | 28,688 | ||||||
Cost of shares redeemed | (134,896 | ) | (250,658 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 57,406 | $ | (80,826 | ) | |||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 798,670 | $ | 764,394 | ||||
Distributions reinvested | 239,312 | 140,851 | ||||||
Cost of shares redeemed | (439,022 | ) | (184,568 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 598,960 | $ | 720,677 | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 1,523,300 | $ | 3,312,906 | ||||
Distributions reinvested | 381,848 | 242,236 | ||||||
Cost of shares redeemed | (1,111,795 | ) | (874,872 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Institutional Class capital transactions | $ | 793,353 | $ | 2,680,270 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 1,285,405 | $ | 703,654 | ||||
Distributions reinvested | 209,185 | 155,534 | ||||||
Cost of shares redeemed | (434,850 | ) | (3,055,397 | ) | ||||
Redemptions in-kind | (1,011,282 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | 48,458 | $ | (2,196,209 | ) | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 1,863,908 | $ | 1,347,074 | ||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 31,429 | 27,410 | ||||||
Reinvested | 7,040 | 4,947 | ||||||
Redeemed | (22,457 | ) | (22,134 | ) | ||||
Conversion from Class B Shares | 244 | 11 | ||||||
|
|
|
| |||||
Change in Class A Shares | 16,256 | 10,234 | ||||||
|
|
|
| |||||
Class B (a) | ||||||||
Issued | 6 | 13 | ||||||
Reinvested | 24 | 23 | ||||||
Redeemed | (71 | ) | (89 | ) | ||||
Conversion to Class A Shares | (248 | ) | (12 | ) | ||||
|
|
|
| |||||
Change in Class B Shares | (289 | ) | (65 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 6,915 | 4,349 | ||||||
Reinvested | 1,173 | 690 | ||||||
Redeemed | (2,474 | ) | (1,871 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 5,614 | 3,168 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 4,931 | 3,941 | ||||||
Reinvested | 858 | 476 | ||||||
Redeemed | (2,153 | ) | (1,596 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 3,636 | 2,821 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 10,375 | 9,994 | ||||||
Reinvested | 2,629 | 2,106 | ||||||
Redeemed | (9,000 | ) | (18,145 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 4,004 | (6,045 | ) | |||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 53,558 | 54,986 | ||||||
Reinvested | 16,724 | 10,318 | ||||||
Redeemed | (29,144 | ) | (13,029 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 41,138 | 52,275 | ||||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 101,695 | 229,320 | ||||||
Reinvested | 26,755 | 17,794 | ||||||
Redeemed | (74,335 | ) | (62,503 | ) | ||||
|
|
|
| |||||
Change in Institutional Class Shares | 54,115 | 184,611 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 88,739 | 51,196 | ||||||
Reinvested | 14,687 | 11,454 | ||||||
Redeemed | (29,025 | ) | (212,173 | ) | ||||
Redemptions in-kind | (66,840 | ) | — | |||||
|
|
|
| |||||
Change in Select Class Shares | 7,561 | (149,523 | ) | |||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
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, 2015 | $ | 23.73 | $ | 0.20 | (d) | $ | 1.85 | $ | 2.05 | $ | (0.19 | ) | $ | (1.60 | ) | $ | (1.79 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 23.85 | 0.32 | (d) | 1.89 | 2.21 | (0.30 | ) | (1.60 | ) | (1.90 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 23.85 | 0.29 | (d) | 1.89 | 2.18 | (0.28 | ) | (1.60 | ) | (1.88 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 23.88 | 0.26 | (d) | 1.87 | 2.13 | (0.23 | ) | (1.60 | ) | (1.83 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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.
| 76 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 23.99 | 9.04 | % | $ | 483,296 | 0.85 | % | 0.84 | % | 0.97 | % | 144 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 24.16 | 9.67 | 6,205,582 | 0.35 | 1.33 | 0.36 | 144 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 24.15 | 9.53 | 796,919 | 0.45 | 1.21 | 0.51 | 144 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 24.18 | 9.34 | 260,618 | 0.60 | 1.09 | 0.64 | 144 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 realized gain | ||||||||||||||||
Dynamic Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 23.95 | $ | (0.14 | )(d) | $ | 1.90 | $ | 1.76 | $ | (0.37 | ) | ||||||||
Year Ended June 30, 2014 | 18.94 | (0.07 | )(d)(e)(f) | 5.08 | 5.01 | — | ||||||||||||||
Year Ended June 30, 2013 | 15.89 | (0.05 | )(d)(g) | 3.10 | 3.05 | — | ||||||||||||||
Year Ended June 30, 2012 | 15.47 | (0.12 | ) | 0.54 | 0.42 | — | ||||||||||||||
Year Ended June 30, 2011 | 11.44 | (0.10 | )(d) | 4.13 | 4.03 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 23.19 | (0.26 | )(d) | 1.83 | 1.57 | (0.37 | ) | |||||||||||||
Year Ended June 30, 2014 | 18.43 | (0.20 | )(d)(e)(f) | 4.96 | 4.76 | — | ||||||||||||||
Year Ended June 30, 2013 | 15.54 | (0.14 | )(d)(g) | 3.03 | 2.89 | — | ||||||||||||||
Year Ended June 30, 2012 | 15.21 | (0.19 | ) | 0.52 | 0.33 | — | ||||||||||||||
Year Ended June 30, 2011 | 11.29 | (0.17 | )(d) | 4.09 | 3.92 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2015 | 24.65 | (0.04 | )(d) | 1.98 | 1.94 | (0.37 | ) | |||||||||||||
Year Ended June 30, 2014 | 19.42 | (0.04 | )(d)(e)(f) | 5.27 | 5.23 | — | ||||||||||||||
Year Ended June 30, 2013 | 16.22 | 0.03 | (d)(g) | 3.17 | 3.20 | — | ||||||||||||||
Year Ended June 30, 2012 | 15.72 | (0.06 | ) | 0.56 | 0.50 | — | ||||||||||||||
Year Ended June 30, 2011 | 11.57 | (0.04 | )(d) | 4.19 | 4.15 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 24.34 | (0.08 | )(d) | 1.94 | 1.86 | (0.37 | ) | |||||||||||||
Year Ended June 30, 2014 | 19.20 | (0.08 | )(d)(e)(f) | 5.22 | 5.14 | — | ||||||||||||||
Year Ended June 30, 2013 | 16.07 | (0.03 | )(d)(g) | 3.16 | 3.13 | — | ||||||||||||||
Year Ended June 30, 2012 | 15.61 | (0.09 | ) | 0.55 | 0.46 | — | ||||||||||||||
Year Ended June 30, 2011 | 11.51 | (0.06 | )(d) | 4.16 | 4.10 | — | ||||||||||||||
| (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 $(0.08), $(0.21), $(0.05) and $(0.09) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.35)%, (0.92)%, (0.23)% and (0.40)% for Class A, Class C, Class R5 and Select Class Shares, respectively. These amounts have been revised to correct a calculation error in the previously issued June 30, 2014 financial highlights’ footnote disclosure. These revisions are not considered material to the previously issued financial statements. |
| (f) | Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes. |
| (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.
| 78 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 25.34 | 7.46 | % | $ | 39,153 | 1.20 | % | (0.57 | )% | 1.43 | % | 74 | % | |||||||||||||
| 23.95 | 26.45 | 16,996 | 1.24 | (0.30 | )(e)(f) | 1.25 | 55 | |||||||||||||||||||
| 18.94 | 19.19 | 126 | 1.25 | (0.30 | )(g) | 1.42 | 82 | |||||||||||||||||||
| 15.89 | 2.71 | 106 | 1.24 | (0.81 | ) | 1.44 | 99 | |||||||||||||||||||
| 15.47 | 35.23 | 103 | 1.23 | (0.71 | ) | 3.18 | 97 | |||||||||||||||||||
| 24.39 | 6.88 | 8,894 | 1.71 | (1.08 | ) | 1.88 | 74 | |||||||||||||||||||
| 23.19 | 25.83 | 4,416 | 1.74 | (0.86 | )(e)(f) | 1.75 | 55 | |||||||||||||||||||
| 18.43 | 18.60 | 123 | 1.74 | (0.80 | )(g) | 1.92 | 82 | |||||||||||||||||||
| 15.54 | 2.17 | 104 | 1.74 | (1.31 | ) | 1.94 | 99 | |||||||||||||||||||
| 15.21 | 34.72 | 102 | 1.73 | (1.21 | ) | 3.68 | 97 | |||||||||||||||||||
| 26.22 | 7.99 | 49 | 0.76 | (0.14 | ) | 0.90 | 74 | |||||||||||||||||||
| 24.65 | 26.93 | 45 | 0.80 | (0.17 | )(e)(f) | 0.84 | 55 | |||||||||||||||||||
| 19.42 | 19.73 | 32 | 0.80 | 0.15 | (g) | 0.97 | 82 | |||||||||||||||||||
| 16.22 | 3.18 | 27 | 0.79 | (0.36 | ) | 0.99 | 99 | |||||||||||||||||||
| 15.72 | 35.87 | 26 | 0.78 | (0.26 | ) | 2.73 | 97 | |||||||||||||||||||
| 25.83 | 7.76 | 289,100 | 0.96 | (0.34 | ) | 1.01 | 74 | |||||||||||||||||||
| 24.34 | 26.77 | 261,308 | 1.00 | (0.35 | )(e)(f) | 1.04 | 55 | |||||||||||||||||||
| 19.20 | 19.48 | 101,999 | 1.00 | (0.16 | )(g) | 1.14 | 82 | |||||||||||||||||||
| 16.07 | 2.95 | 38,953 | 0.99 | (0.56 | ) | 1.19 | 99 | |||||||||||||||||||
| 15.61 | 35.62 | 43,617 | 0.97 | (0.41 | ) | 1.59 | 97 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 Focus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 23.56 | $ | (0.02 | )(f) | $ | 1.42 | $ | 1.40 | $ | (0.02 | ) | $ | (0.16 | ) | $ | (0.18 | ) | ||||||||||
Year Ended June 30, 2014 | 19.18 | (0.02 | )(f) | 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, 2015 | 23.24 | (0.13 | )(f) | 1.39 | 1.26 | — | (0.16 | ) | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 19.01 | (0.15 | )(f) | 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 Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 23.67 | 0.04 | (f) | 1.44 | 1.48 | (0.04 | ) | (0.16 | ) | (0.20 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 19.22 | 0.04 | (f) | 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, unless otherwise noted. |
| (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) | 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. |
| (h) | Commencement of operations. |
| (i) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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) (e) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 24.78 | 5.98 | % | $ | 1,452 | 1.24 | % | (0.07 | )% | 1.42 | % | 52 | % | |||||||||||||
| 23.56 | 25.43 | 423 | 1.24 | (0.10 | ) | 2.11 | 76 | |||||||||||||||||||
| 19.18 | 21.47 | 64 | 1.25 | (g) | (0.13 | ) | 3.75 | (g) | 61 | |||||||||||||||||
| 15.79 | 5.37 | 53 | 1.25 | (g) | 0.04 | 5.09 | (g) | 71 | ||||||||||||||||||
| 24.34 | 5.44 | 873 | 1.74 | (0.54 | ) | 1.93 | 52 | |||||||||||||||||||
| 23.24 | 24.86 | 133 | 1.74 | (0.67 | ) | 2.82 | 76 | |||||||||||||||||||
| 19.01 | 20.85 | 63 | 1.75 | (g) | (0.63 | ) | 4.25 | (g) | 61 | |||||||||||||||||
| 15.73 | 4.87 | 52 | 1.75 | (g) | (0.46 | ) | 5.58 | (g) | 71 | |||||||||||||||||
| 24.95 | 6.26 | 81,179 | 0.99 | 0.15 | 1.12 | 52 | ||||||||||||||||||||
| 23.67 | 25.75 | 72,064 | 0.99 | 0.19 | 1.51 | 76 | ||||||||||||||||||||
| 19.22 | 21.77 | 3,730 | 1.00 | (g) | 0.12 | 3.51 | (g) | 61 | ||||||||||||||||||
| 15.81 | 5.61 | 3,063 | 1.00 | (g) | 0.29 | 4.84 | (g) | 71 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | 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, 2015 | $ | 13.66 | $ | 0.25 | $ | 0.39 | $ | 0.64 | $ | (0.25 | ) | $ | (0.28 | ) | $ | (0.53 | ) | |||||||||||
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)(g) | 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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.49 | 0.18 | 0.38 | 0.56 | (0.19 | ) | (0.28 | ) | (0.47 | ) | ||||||||||||||||||
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)(g) | 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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.64 | 0.22 | 0.39 | 0.61 | (0.23 | ) | (0.28 | ) | (0.51 | ) | ||||||||||||||||||
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)(g) | 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 (h) through June 30, 2011 | 9.20 | 0.06 | (f) | 0.17 | 0.23 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.85 | 0.31 | 0.41 | 0.72 | (0.31 | ) | (0.28 | ) | (0.59 | ) | ||||||||||||||||||
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)(g) | 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 (h) through June 30, 2011 | 9.31 | 0.10 | (f) | 0.16 | 0.26 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.84 | 0.33 | 0.40 | 0.73 | (0.32 | ) | (0.28 | ) | (0.60 | ) | ||||||||||||||||||
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)(g) | 1.87 | 2.16 | (0.28 | ) | (0.07 | ) | (0.35 | ) | |||||||||||||||||
January 31, 2012 (h) through June 30, 2012 | 9.64 | 0.13 | (f) | 0.30 | 0.43 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.85 | 0.29 | 0.40 | 0.69 | (0.29 | ) | (0.28 | ) | (0.57 | ) | ||||||||||||||||||
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)(g) | 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 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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 $0.21, $0.16, $0.18, $0.27, $0.26 and $0.24 for Class A, 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%, 1.46%, 1.67%, 2.44%, 2.38% and 2.23% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 13.77 | 4.71 | % | $ | 3,014,937 | 1.04 | % | 1.83 | % | 1.09 | % | 22 | % | |||||||||||||
| 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 | (g) | 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 | ||||||||||||||||||||
| 13.58 | 4.18 | 1,160,002 | 1.54 | 1.32 | 1.56 | 22 | ||||||||||||||||||||
| 13.49 | 20.95 | 805,494 | 1.54 | 1.19 | 1.56 | 20 | ||||||||||||||||||||
| 11.49 | 20.94 | 407,911 | 1.53 | 1.71 | (g) | 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 | ||||||||||||||||||||
| 13.74 | 4.44 | 56,522 | 1.29 | 1.59 | 1.39 | 22 | ||||||||||||||||||||
| 13.64 | 21.27 | 28,733 | 1.29 | 1.44 | 1.31 | 20 | ||||||||||||||||||||
| 11.61 | 21.21 | 13,347 | 1.28 | 1.92 | (g) | 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 | ||||||||||||||||||||
| 13.98 | 5.23 | 520,660 | 0.59 | 2.27 | 0.63 | 22 | ||||||||||||||||||||
| 13.85 | 22.06 | 307,700 | 0.59 | 2.11 | 0.61 | 20 | ||||||||||||||||||||
| 11.78 | 22.17 | 227,442 | 0.58 | 2.69 | (g) | 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 | ||||||||||||||||||||
| 13.97 | 5.31 | 861,809 | 0.51 | 2.35 | 0.51 | 22 | ||||||||||||||||||||
| 13.84 | 22.14 | 551,378 | 0.54 | 2.20 | 0.56 | 20 | ||||||||||||||||||||
| 11.77 | 22.12 | 233,034 | 0.53 | 2.63 | (g) | 0.59 | 34 | |||||||||||||||||||
| 9.96 | 4.47 | 70,589 | 0.53 | 3.28 | 0.58 | 44 | ||||||||||||||||||||
| 13.97 | 4.96 | 4,639,250 | 0.79 | 2.08 | 0.80 | 22 | ||||||||||||||||||||
| 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 | (g) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 44.70 | $ | 0.59 | (d) | $ | 1.72 | $ | 2.31 | $ | (0.56 | ) | $ | (0.99 | ) | $ | (1.55 | ) | ||||||||||
Year Ended June 30, 2014 | 36.53 | 0.47 | (d) | 8.17 | 8.64 | (0.47 | ) | — | (0.47 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 29.43 | 0.40 | (d) | 7.11 | 7.51 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 28.26 | 0.35 | (d) | 1.16 | 1.51 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 22.30 | 0.28 | (d) | 5.96 | 6.24 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 41.31 | 0.32 | (d) | 1.59 | 1.91 | (0.40 | ) | (0.99 | ) | (1.39 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 33.83 | 0.25 | (d) | 7.55 | 7.80 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 27.32 | 0.22 | (d) | 6.59 | 6.81 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 26.27 | 0.20 | (d) | 1.08 | 1.28 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 20.77 | 0.14 | (d) | 5.53 | 5.67 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 46.58 | 0.73 | (d) | 1.79 | 2.52 | (0.66 | ) | (0.99 | ) | (1.65 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 38.03 | 0.58 | (d) | 8.52 | 9.10 | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.63 | 0.51 | (d) | 7.40 | 7.91 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 29.39 | 0.45 | (d) | 1.21 | 1.66 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.18 | 0.37 | (d) | 6.20 | 6.57 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
| (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.
| 84 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 45.46 | 5.24 | % | $ | 434,573 | 1.10 | % | 1.30 | % | 1.10 | % | 39 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 41.83 | 4.68 | 24,647 | 1.62 | 0.77 | 1.63 | 39 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 47.45 | 5.48 | 36,099 | 0.88 | 1.53 | 0.88 | 39 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Return of capital | Total distributions | ||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 15.74 | $ | 0.19 | (g) | $ | 0.67 | $ | 0.86 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | |||||||||||
December 13, 2013 (h) through June 30, 2014 | 15.00 | 0.07 | 0.84 | 0.91 | (0.07 | ) | (0.10 | ) | (0.17 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.10 | (g) | 0.67 | 0.77 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
December 13, 2013 (h) through June 30, 2014 | 15.00 | 0.05 | 0.83 | 0.88 | (0.02 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.26 | (g) | 0.66 | 0.92 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
December 13, 2013 (h) through June 30, 2014 | 15.00 | 0.13 | 0.82 | 0.95 | (0.09 | ) | (0.10 | ) | (0.19 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.27 | (g) | 0.67 | 0.94 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
December 13, 2013 (h) through June 30, 2014 | 15.00 | 0.13 | 0.83 | 0.96 | (0.10 | ) | (0.10 | ) | (0.20 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.23 | (g) | 0.66 | 0.89 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
December 13, 2013 (h) 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, unless otherwise noted. |
| (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, 2015 and 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) | Calculated based upon average shares outstanding. |
| (h) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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 without waivers, reimbursements and earnings credits (e) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||
| $ | 16.47 | 5.45 | % | $ | 93,007 | 0.85 | % | 1.14 | % | 1.21 | % | 42 | % | |||||||||||||
| 15.74 | 6.11 | 569 | 0.85 | 0.96 | 16.65 | 36 | ||||||||||||||||||||
| 16.43 | 4.85 | 3,405 | 1.35 | 0.59 | 1.65 | 42 | ||||||||||||||||||||
| 15.76 | 5.87 | 53 | 1.35 | 0.56 | 10.04 | 36 | ||||||||||||||||||||
| 16.51 | 5.86 | 442 | 0.40 | 1.58 | 0.82 | 42 | ||||||||||||||||||||
| 15.76 | 6.37 | 53 | 0.40 | 1.51 | 9.10 | 36 | ||||||||||||||||||||
| 16.52 | 5.96 | 443 | 0.35 | 1.63 | 0.77 | 42 | ||||||||||||||||||||
| 15.76 | 6.39 | 53 | 0.35 | 1.56 | 9.05 | 36 | ||||||||||||||||||||
| 16.50 | 5.66 | 105,397 | 0.60 | 1.39 | 0.91 | 42 | ||||||||||||||||||||
| 15.76 | 6.28 | 4,307 | 0.60 | 1.30 | 9.91 | 36 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 32.49 | $ | (0.10 | )(f) | $ | 5.05 | $ | 4.95 | $ | — | $ | (0.62 | ) | $ | (0.62 | ) | |||||||||||
Year Ended June 30, 2014 | 26.01 | (0.10 | )(f) | 6.58 | 6.48 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.64 | 0.08 | (f)(g) | 2.37 | 2.45 | (0.08 | ) | — | (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 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 28.33 | (0.24 | )(f) | 4.39 | 4.15 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 22.79 | (0.22 | )(f) | 5.76 | 5.54 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 20.79 | (0.04 | )(f)(g) | 2.07 | 2.03 | (0.03 | ) | — | (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 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 32.07 | (0.18 | )(f) | 4.97 | 4.79 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 25.74 | (0.18 | )(f) | 6.51 | 6.33 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.44 | 0.01 | (f)(g) | 2.36 | 2.37 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.24 | (0.12 | )(f) | 1.32 | 1.20 | — | (h) | — | — | (h) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.81 | (0.11 | )(f) | 6.54 | 6.43 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 32.75 | 0.03 | (f) | 5.09 | 5.12 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 26.12 | 0.01 | (f) | 6.62 | 6.63 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.74 | 0.17 | (f)(g) | 2.38 | 2.55 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.39 | 0.04 | (f) | 1.32 | 1.36 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.81 | 0.04 | (f) | 6.54 | 6.58 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 32.80 | 0.06 | (f) | 5.10 | 5.16 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 26.15 | 0.02 | (f) | 6.63 | 6.65 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.76 | 0.18 | (f)(g) | 2.39 | 2.57 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.40 | 0.05 | (f) | 1.33 | 1.38 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
November 30, 2010 (i) through June 30, 2011 | 19.94 | 0.03 | (f) | 2.43 | 2.46 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 32.52 | (0.04 | )(f) | 5.06 | 5.02 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 25.99 | (0.05 | )(f) | 6.58 | 6.53 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.61 | 0.12 | (f)(g) | 2.37 | 2.49 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.31 | (0.01 | )(f) | 1.31 | 1.30 | — | (h) | — | — | (h) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.79 | — | (f)(h) | 6.52 | 6.52 | — | — | — | ||||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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, $(0.09), $(0.04), $0.12, $0.13 and $0.07 for Class A, 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%, (0.42)%, (0.17)%, 0.47%, 0.50% and 0.28% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset end of | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 36.82 | 15.40 | % | $ | 4,670,460 | 1.06 | % | (0.28 | )% | 1.21 | % | 19 | % | |||||||||||||
| 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 | (g) | 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 | |||||||||||||||||||
| 31.86 | 14.83 | 600,404 | 1.56 | (0.78 | ) | 1.68 | 19 | |||||||||||||||||||
| 28.33 | 24.31 | 523,972 | 1.59 | (0.85 | ) | 1.69 | 39 | |||||||||||||||||||
| 22.79 | 9.80 | 396,862 | 1.59 | (0.20 | )(g) | 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 | |||||||||||||||||||
| 36.24 | 15.10 | 242,550 | 1.31 | (0.53 | ) | 1.49 | 19 | |||||||||||||||||||
| 32.07 | 24.59 | 222,421 | 1.35 | (0.60 | ) | 1.44 | 39 | |||||||||||||||||||
| 25.74 | 10.12 | 191,876 | 1.34 | 0.05 | (g) | 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 | |||||||||||||||||||
| 37.25 | 15.80 | 1,394,419 | 0.70 | 0.08 | 0.74 | 19 | ||||||||||||||||||||
| 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 | (g) | 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 | ||||||||||||||||||||
| 37.34 | 15.90 | 3,220,191 | 0.62 | 0.17 | 0.62 | 19 | ||||||||||||||||||||
| 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 | (g) | 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 | ||||||||||||||||||||
| 36.92 | 15.60 | 5,515,626 | 0.90 | (0.12 | ) | 0.92 | 19 | |||||||||||||||||||
| 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 | (g) | 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 16.63 | $ | 0.17 | (f) | $ | 0.94 | $ | 1.11 | $ | (0.17 | ) | $ | (2.55 | ) | $ | (2.72 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.25 | 0.08 | (f) | 0.92 | 1.00 | (0.10 | ) | (2.55 | ) | (2.65 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.58 | 0.13 | (f) | 0.94 | 1.07 | (0.14 | ) | (2.55 | ) | (2.69 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.54 | 0.22 | (f) | 0.94 | 1.16 | (0.22 | ) | (2.55 | ) | (2.77 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.48 | 0.25 | (f) | 0.91 | 1.16 | (0.23 | ) | (2.55 | ) | (2.78 | ) | |||||||||||||||||
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, 2015 | 16.42 | 0.19 | (f) | 0.92 | 1.11 | (0.19 | ) | (2.55 | ) | (2.74 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 15.02 | 7.44 | % | $ | 93,078 | 0.93 | % | 1.07 | % | 1.05 | % | 143 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 14.60 | 6.88 | 14,307 | 1.45 | 0.55 | 1.55 | 143 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.96 | 7.21 | 1,074 | 1.20 | 0.82 | 1.40 | 143 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.93 | 7.83 | 4,443 | 0.58 | 1.41 | 0.59 | 143 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.86 | 7.85 | 4,145 | 0.53 | 1.54 | 0.53 | 143 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.79 | 7.56 | 634,301 | 0.77 | 1.22 | 0.77 | 143 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | $ | 14.92 | $ | 0.13 | $ | 1.10 | $ | 1.23 | $ | (0.13 | ) | $ | (1.27 | ) | $ | (1.40 | ) | |||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.61 | 0.07 | 1.06 | 1.13 | (0.07 | ) | (1.27 | ) | (1.34 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.84 | 0.10 | 1.09 | 1.19 | (0.10 | ) | (1.27 | ) | (1.37 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.96 | 0.19 | 1.11 | 1.30 | (0.19 | ) | (1.27 | ) | (1.46 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.98 | 0.20 | 1.10 | 1.30 | (0.19 | ) | (1.27 | ) | (1.46 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.96 | 0.19 | 1.09 | 1.28 | (0.18 | ) | (1.27 | ) | (1.45 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 14.94 | 0.16 | 1.11 | 1.27 | (0.16 | ) | (1.27 | ) | (1.43 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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, 2015 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 14.75 | 8.70 | % | $ | 1,399,208 | 0.95 | % | 0.92 | % | 1.10 | % | 79 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 14.40 | 8.15 | 253,608 | 1.45 | 0.41 | 1.57 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.66 | 8.45 | 178,272 | 1.20 | 0.67 | 1.41 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.80 | 9.13 | 496,102 | 0.57 | 1.30 | 0.62 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.82 | 9.17 | 2,976,379 | 0.51 | 1.35 | 0.52 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.79 | 9.01 | 4,932,896 | 0.62 | 1.25 | 0.66 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.78 | 8.92 | 2,375,538 | 0.77 | 1.08 | 0.79 | 79 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 93 | ||||||
Table of Contents
AS OF JUNE 30, 2015
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 C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Growth and Income Fund | Class A, 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 C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Large Cap Value Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| U.S. Equity Fund | Class A, 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 Dynamic Growth Fund were not publicly offered for investment.
Prior to July 31, 2013, 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 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 Dynamic Growth Fund is to seek long-term capital growth.
The investment objective of Equity Focus Fund and Large Cap Growth Fund is to seek long-term capital appreciation. Prior to July 23, 2014 the investment objective of Large Cap Growth Fund was to seek long-term capital appreciation and growth of income by investing primarily in equity securities.
The investment objective of Equity Income Fund is to seek capital appreciation and current income. Prior to July 23, 2014, the Fund’s investment objective was to seek current income through regular payment of dividends with the secondary goal of achieving capital appreciation by investing primarily in equity securities.
The investment objective of 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 Hedged Equity Fund is to seek to provide capital appreciation.
The investment objective of 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 U.S. Equity Fund is to seek to provide high total return from a portfolio of selected equity securities.
Large Cap Value Fund acquired all of the assets and liabilities of JPMorgan Value Opportunities Fund, Inc. in a reorganization on October 18, 2013. Please refer to Note 8 discussing the merger.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
| 94 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures and options are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (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) | $ | 7,875,830 | $ | 8,312 | $ | — | $ | 7,884,142 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (444 | ) | $ | — | $ | — | $ | (444 | ) | ||||||
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| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 95 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| Dynamic Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 337,010 | $ | — | $ | — | $ | 337,010 | ||||||||
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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) | $ | 83,457 | $ | — | $ | — | $ | 83,457 | ||||||||
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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) | $ | 10,240,637 | $ | — | $ | — | $ | 10,240,637 | ||||||||
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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) | $ | 498,421 | $ | — | $ | — | $ | 498,421 | ||||||||
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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 (a) | $ | 207,098 | $ | 270 | $ | — | $ | 207,368 | ||||||||
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Liabilities | ||||||||||||||||
Options Written | ||||||||||||||||
Call Options Written | $ | (2,601 | ) | $ | — | $ | — | $ | (2,601 | ) | ||||||
Put Options Written | (675 | ) | — | — | (675 | ) | ||||||||||
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Total Liabilities | $ | (3,276 | ) | $ | — | $ | — | $ | (3,276 | ) | ||||||
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Depreciation in Other Financial | ||||||||||||||||
Instruments | ||||||||||||||||
Futures Contracts | $ | (20 | ) | $ | — | $ | — | $ | (20 | ) | ||||||
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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) | $ | 15,552,964 | $ | — | $ | — | $ | 15,552,964 | ||||||||
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| 96 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Large Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 143,586 | $ | — | $ | — | $ | 143,586 | ||||||||
Energy | 60,840 | — | — | 60,840 | ||||||||||||
Financials | 267,077 | — | — | 267,077 | ||||||||||||
Health Care | 114,582 | — | — | 114,582 | ||||||||||||
Industrials | 46,799 | — | — | 46,799 | ||||||||||||
Information Technology | 55,978 | — | — | 55,978 | ||||||||||||
Materials | 12,473 | — | — | 12,473 | ||||||||||||
Telecommunication Services | 18,129 | — | — | 18,129 | ||||||||||||
Utilities | 18,334 | — | — | 18,334 | ||||||||||||
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Total Common Stocks | 737,798 | — | — | 737,798 | ||||||||||||
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Warrant | ||||||||||||||||
Financials | — | — | — | (c) | — | (c) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 15,960 | — | — | 15,960 | ||||||||||||
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Total Investments in Securities | $ | 753,758 | $ | — | $ | — | (c) | $ | 753,758 | |||||||
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| |||||||||
| U.S . Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 2,034,372 | $ | — | $ | — | $ | 2,034,372 | ||||||||
Consumer Staples | 626,218 | — | — | 626,218 | ||||||||||||
Energy | 885,278 | — | — | 885,278 | ||||||||||||
Financials | 2,120,220 | — | — | 2,120,220 | ||||||||||||
Health Care | 2,112,112 | — | — | 2,112,112 | ||||||||||||
Industrials | 1,127,270 | — | — | 1,127,270 | ||||||||||||
Information Technology | 2,733,023 | — | — | 2,733,023 | ||||||||||||
Materials | 397,607 | — | — | 397,607 | ||||||||||||
Telecommunication Services | 149,408 | — | — | 149,408 | ||||||||||||
Utilities | 317,926 | — | — | 317,926 | ||||||||||||
|
|
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|
|
|
|
| |||||||||
Total Common Stocks | 12,503,434 | — | — | 12,503,434 | ||||||||||||
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|
| |||||||||
Warrant | ||||||||||||||||
Financials | — | — | — | (c) | — | (c) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 113,376 | — | — | 113,376 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 12,616,810 | $ | — | — | (c) | $ | 12,616,810 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (703 | ) | $ | — | $ | — | $ | (703 | ) | ||||||
|
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|
|
|
|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOIs. Level 2 consists of a U.S. Treasury Bill that is held for futures collateral. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (c) | Value is zero. |
There were no transfers among any levels during the year ended June 30, 2015.
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 97 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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, 2015, the Funds had no investments in restricted securities.
The following are the values and percentages of net assets of securities deemed to be illiquid as of June 30, 2015 (amounts in thousands):
| Value | Percentage | |||||||
Large Cap Value Fund | $ | — | (a) | — | % | |||
U.S. Equity Fund | — | (a) | — | |||||
| (a) | Value is zero. |
C. Futures Contracts — Disciplined Equity Fund, Hedged Equity Fund and U.S. Equity Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds also bought futures contracts to immediately invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on 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 use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the 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, 2015 (amounts in thousands):
| Disciplined Equity Fund | Hedged Equity Fund | U.S. Equity Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 76,543 | $ | 2,707 | $ | 67,942 | ||||||
Ending Notional Balance Long | 46,224 | 1,849 | 44,786 | |||||||||
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. Options — Hedged Equity Fund purchases and sells (“writes”) put and call options on indices and exchange-traded funds to manage and hedge equity risk within its portfolio. 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 on 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 underlying investment.
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Options Written — Premiums received by the Fund for options written are included on 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.
The Fund pledges collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted in the SOI.
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.
Transactions in options written during the year ended June 30, 2015 were as follows (amounts in thousands except for number of contracts):
| Options | ||||||||
| Number of Contracts | Premiums Received | |||||||
Options outstanding at June 30, 2014 | 50 | $ | 37 | |||||
Options written | 7,902 | 11,487 | ||||||
Options expired | (4,581 | ) | (5,124 | ) | ||||
Options closed | (1,415 | ) | (3,081 | ) | ||||
|
|
|
| |||||
Options outstanding at June 30, 2015 | 1,956 | $ | 3,319 | |||||
|
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|
| |||||
The table below discloses the volume of the Fund’s options contracts activity during the year ended June 30, 2015:
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 574 | |||
Average Number of Contracts Written | 1,148 | |||
Ending Number of Contracts Purchased | 978 | |||
Ending Number of Contracts Written | 1,956 |
The Fund’s exchange traded options 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).
E. Offering and Organization Costs — Total offering costs of $105,370 paid in connection with the offering of shares of Hedged Equity Fund were 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.
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 99 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
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 Dynamic Growth Fund and Equity Focus Fund, for which distributions are generally declared and paid annually, and 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 | $ | — | $ | (1,393 | ) | $ | 1,393 | |||||
Dynamic Growth Fund | (1,035 | ) | 1,017 | 18 | ||||||||
Equity Income Fund | — | — | (a) | — | (a) | |||||||
Growth and Income Fund | — | (270 | ) | 270 | ||||||||
Hedged Equity Fund | — | (a) | (68 | ) | 68 | |||||||
Large Cap Growth Fund | (36,605 | ) | 36,639 | (34 | ) | |||||||
Large Cap Value Fund | — | 139 | (139 | ) | ||||||||
U.S. Equity Fund | 47,154 | (2,045 | ) | (45,109 | ) | |||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to net operating losses, investments in real estate investment trusts, non-taxable dividends, redesignation of distributions and redemption in-kind.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), 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.
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, 2015, 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.
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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 has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds, as applicable, 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, 2015, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Disciplined Equity Fund | $ | 37 | $ | 1 | ||||
Dynamic Growth Fund | 83 | 10 | ||||||
Equity Focus Fund | 2 | — | ||||||
Equity Income Fund | 1,130 | 8 | ||||||
Growth and Income Fund | 47 | — | (a) | |||||
Hedged Equity Fund | 4 | — | (a) | |||||
Large Cap Growth Fund | 271 | 2 | ||||||
Large Cap Value Fund | 10 | — | (a) | |||||
U.S. Equity Fund | 229 | 2 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder 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 | |||||||||||||||||||||
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
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 101 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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’s 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 | 1.19 | * | n/a | 1.69 | %* | n/a | 0.74 | %* | n/a | n/a | 0.94 | * | ||||||||||||||||||||
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 | 1.05 | ** | 1.55 | ** | 1.55 | ** | 1.30 | ** | 0.70 | ** | 0.65 | ** | n/a | 0.90 | ** | |||||||||||||||||
Large Cap Value Fund | 0.93 | 1.45 | 1.45 | 1.20 | 0.60 | 0.55 | n/a | 0.80 | ||||||||||||||||||||||||
U.S. Equity Fund | 0.94 | + | 1.44 | + | 1.44 | + | 1.19 | + | 0.56 | + | 0.51 | + | 0.61 | + | 0.76 | + | ||||||||||||||||
| * | Prior to October 31, 2014, the expense limitation for Dynamic Growth Fund Class A, Class C, Class R5 and Select Class Shares was 1.25%, 1.75%, 0.80% and 1.00%, respectively. |
| ** | Prior to October 31, 2014, the expense limitation for Large Cap Growth Fund Class A , Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares was 1.10%, 1.60%, 1.60%, 1.35%, 0.75%, 0.70% and 0.95%, respectively. |
| + | Prior to October 31, 2014, the expense limitation for U.S. Equity Fund Class A, Class B, Class C, Class R2, Class R5, Class R6, Institutional Class and Select Class Shares was 0.97%, 1.47%, 1.47%, 1.22%, 0.59%, 0.54%, 0.64% and 0.79%, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2015. The contractual expense limitation percentages in the table above are in place until at least October 31, 2015 except for Class B Shares which are no longer operating.
For the year ended June 30, 2015, 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 | $ | 174 | $ | 143 | $ | 745 | 1,062 | $ | 15 | |||||||||||
Dynamic Growth Fund | 103 | 70 | 53 | 226 | 4 | |||||||||||||||
Equity Focus Fund | 57 | 39 | 1 | 97 | — | |||||||||||||||
Equity Income Fund | 127 | 59 | 2,053 | 2,239 | 52 | |||||||||||||||
Growth and Income Fund | — | — | —(a | ) | —(a | ) | — | |||||||||||||
Hedged Equity Fund | 189 | 76 | 55 | 320 | 79 | |||||||||||||||
Large Cap Growth Fund | 71 | — | 8,989 | 9,060 | 88 | |||||||||||||||
Large Cap Value Fund | 4 | — | 131 | 135 | — | (a) | ||||||||||||||
U.S. Equity Fund | 428 | 170 | 4,500 | 5,098 | 91 | |||||||||||||||
| (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.
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The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2015 were as follows (amounts in thousands):
Disciplined Equity Fund | $ | 200 | ||
Equity Focus Fund | 6 | |||
Equity Income Fund | 334 | |||
Growth and Income Fund | 17 | |||
Hedged Equity Fund | 4 | |||
Large Cap Growth Fund | 484 | |||
Large Cap Value Fund | 21 | |||
U.S. Equity Fund | 338 |
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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the 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, 2015, 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, 2015, U.S. Equity Fund incurred less than $1,000 in brokerage commissions with broker-dealers affiliated with the Advisor.
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, 2015, 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 | $ | 11,202,670 | $ | 8,147,685 | ||||
Dynamic Growth Fund | 248,263 | 222,197 | ||||||
Equity Focus Fund | 44,860 | 39,633 | ||||||
Equity Income Fund | 4,217,454 | 1,915,464 | ||||||
Growth and Income Fund | 200,928 | 185,980 | ||||||
Hedged Equity Fund | 237,138 | 48,775 | ||||||
Large Cap Growth Fund | 2,808,197 | 4,725,285 | ||||||
Large Cap Value Fund | 1,133,423 | 1,265,158 | ||||||
U.S. Equity Fund | 11,349,495 | 9,395,928 | ||||||
During the year ended June 30, 2015, 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, 2015 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 7,323,937 | $ | 773,833 | $ | 213,628 | $ | 560,205 | ||||||||
Dynamic Growth Fund | 267,381 | 74,513 | 4,884 | 69,629 | ||||||||||||
Equity Focus Fund | 76,259 | 9,846 | 2,648 | 7,198 | ||||||||||||
Equity Income Fund | 8,563,011 | 1,854,889 | 177,263 | 1,677,626 | ||||||||||||
Growth and Income Fund | 348,668 | 157,259 | 7,506 | 149,753 | ||||||||||||
Hedged Equity Fund | 200,436 | 13,517 | 6,585 | 6,932 | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap Growth Fund | $ | 9,889,533 | $ | 5,789,386 | $ | 125,955 | $ | 5,663,431 | ||||||||
Large Cap Value Fund | 650,607 | 120,060 | 16,909 | 103,151 | ||||||||||||
U.S. Equity Fund | 9,578,175 | 3,206,004 | 167,369 | 3,038,635 | ||||||||||||
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, 2015 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Disciplined Equity Fund | $ | 293,140 | $ | 113,280 | $ | 406,420 | ||||||
Dynamic Growth Fund | — | 4,785 | 4,785 | |||||||||
Equity Focus Fund | 350 | 264 | 614 | |||||||||
Equity Income Fund | 191,946 | 154,753 | 346,699 | |||||||||
Growth and Income Fund | 5,982 | 10,291 | 16,273 | |||||||||
Hedged Equity Fund | 1,387 | — | 1,387 | |||||||||
Large Cap Growth Fund | — | 273,298 | 273,298 | |||||||||
Large Cap Value Fund | 68,008 | 67,495 | 135,503 | |||||||||
U.S. Equity Fund | 419,265 | 666,036 | 1,085,301 | |||||||||
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 | ||||||||||||
As of June 30, 2015, 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 | $ | 189,030 | $ | 154,430 | $ | — | $ | 560,205 | ||||||||
Dynamic Growth Fund | — | 5,546 | — | 69,629 | ||||||||||||
Equity Focus Fund | 713 | 1,305 | — | 7,198 | ||||||||||||
Equity Income Fund | 1,568 | 81,212 | — | 1,677,626 | ||||||||||||
Growth and Income Fund | 1,900 | 18,310 | — | 149,753 | ||||||||||||
Hedged Equity Fund | 44 | — | (1,479 | ) | 6,901 | |||||||||||
Large Cap Growth Fund | — | 675,953 | — | 5,663,431 | ||||||||||||
Large Cap Value Fund | 21,216 | 47,966 | (3,275 | ) | 103,151 | |||||||||||
U.S. Equity Fund | 84,286 | 376,149 | — | 3,038,635 | ||||||||||||
For the Funds, the cumulative timing differences primarily consist of investments in partnerships, late year ordinary loss deferrals, 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.
As of June 30, 2015, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | Total | |||||||
Large Cap Value Fund | $ | 3,275 | $ | 3,275 | ||||
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As of June 30, 2015, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):
| Post-enactment net capital loss | ||||||||
| Short-Term | Long-Term | |||||||
Hedged Equity Fund | $ | 216 | $ | 1,263 | ||||
During the year ended June 30, 2015, the following Funds utilized pre-enactment capital loss carryforwards as follows (amounts in thousands):
Growth and Income Fund | $ | 1,890 | ||
Large Cap Value Fund | 1,637 |
Net capital losses and other late year 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, 2015, the following Funds deferred to July 1, 2015 net capital losses and other late year loss of (amounts in thousands):
| Net capital loss | ||||||||||||
| Short-Term | Long-Term | Other late year loss | ||||||||||
Dynamic Growth Fund | $ | 5,126 | $ | — | $ | 603 | ||||||
Equity Income Fund | 17,413 | — | — | |||||||||
Hedged Equity Fund | — | 341 | — | |||||||||
Large Cap Growth Fund | 52,266 | — | 233 | |||||||||
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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015. Average borrowings from the Facility for the year ended June 30, 2015, were as follows (amounts in thousands):
| Average Borrowings | Average Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Large Cap Value Fund | $ | 9,255 | 0.23 | % | 1 | $ | — | (a) | ||||||||
| (a) | Amount rounds to less than $1,000. |
Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on 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 Equity Focus Fund, Equity Income Fund, Growth and Income Fund and U.S. Equity Fund.
As of June 30, 2015, 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:
As of June 30, 2015, the Adviser owns a significant portion of Hedged Equity Fund’s outstanding shares.
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Disciplined Equity Fund | n/a | 71.4 | % | |||||
Dynamic Growth Fund | 69.1 | % | n/a | |||||
Large Cap Value Fund | 82.2 | n/a | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
Additionally, Dynamic Growth Fund, Hedged Equity Fund and Large Cap Growth Fund each have a shareholder or shareholders, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of each 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 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 | |||||||||||||
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.
9. Redemption in-kind
During the year ended June 30, 2015, a Select Class shareholder sold its shares of U.S. Equity Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of close of business on the date and at the market value listed below (amounts in thousands):
| March 23, 2015 | Value | Realized Gains (Losses) | Type | |||||||||
Select Class | $ | 1,011,282 | * | $ | 54,362 | Redemption in-kind | ||||||
| * | This amount includes cash of approximately $15,300,000 associated with the redemption in-kind. |
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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, JPMorgan Hedged Equity Fund and JPMorgan U.S. Equity Fund (each a separate fund of JPMorgan Trust I) and JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund and JPMorgan Large Cap Value Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2015, the results of each of their operations for the year then ended and the changes in each of their net assets and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2015 by correspondence with the custodian, transfer agent and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
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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 (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2015 and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.00 | $ | 4.26 | 0.85 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,025.60 | 1.76 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,025.20 | 2.26 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,024.00 | 3.01 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Dynamic Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,052.30 | 6.06 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,049.50 | 8.59 | 1.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.41 | 8.45 | 1.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,054.70 | 3.77 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,053.90 | 4.79 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 111 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Focus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.30 | $ | 6.22 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,019.70 | 8.71 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,023.80 | 4.97 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 986.10 | 5.12 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.21 | 1.04 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 984.00 | 7.58 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 985.20 | 6.35 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 989.20 | 2.91 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 989.60 | 2.47 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 987.50 | 3.89 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 991.40 | 5.28 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 988.50 | 7.99 | 1.62 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.76 | 8.10 | 1.62 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 992.30 | 4.30 | 0.87 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.48 | 4.36 | 0.87 | ||||||||||||
Hedged Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,005.80 | 4.23 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,003.00 | 6.70 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 6.76 | 1.35 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,007.90 | 1.99 | 0.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.81 | 2.01 | 0.40 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,008.70 | 1.74 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,005.70 | 2.98 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
| 112 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,066.30 | $ | 5.38 | 1.05 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.59 | 5.26 | 1.05 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,063.80 | 7.93 | 1.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.11 | 7.75 | 1.55 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,064.60 | 6.65 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,067.90 | 3.54 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,068.70 | 3.03 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,067.10 | 4.56 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,011.30 | 4.64 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,008.40 | 7.22 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,009.70 | 5.98 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,012.50 | 2.89 | 0.58 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 2.91 | 0.58 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,012.90 | 2.65 | 0.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.17 | 2.66 | 0.53 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,011.60 | 3.79 | 0.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.03 | 3.81 | 0.76 | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,019.80 | 4.71 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,017.20 | 7.20 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,018.70 | 5.96 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,021.70 | 2.81 | 0.56 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.02 | 2.81 | 0.56 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,022.70 | 2.51 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 113 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Equity Fund (continued) | ||||||||||||||||
Institutional Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.50 | $ | 3.06 | 0.61 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.77 | 3.06 | 0.61 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,021.10 | 3.81 | 0.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.03 | 3.81 | 0.76 | ||||||||||||
| * | 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). |
| 114 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2015 | ||||
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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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deduction | ||||
Disciplined Equity Fund | 24.23 | % | ||
Equity Focus Fund | 95.25 | |||
Equity Income Fund | 100.00 | |||
Growth and Income Fund | 100.00 | |||
Hedged Equity Fund | 100.00 | |||
Large Cap Value Fund | 34.13 | |||
U.S. Equity Fund | 64.45 | |||
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Disciplined Equity Fund | $ | 113,280 | ||
Dynamic Growth Fund | 4,785 | |||
Equity Focus Fund | 264 | |||
Equity Income Fund | 154,753 | |||
Growth and Income Fund | 10,291 | |||
Large Cap Growth Fund | 273,298 | |||
Large Cap Value Fund | 67,495 | |||
U.S. Equity Fund | 666,036 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Disciplined Equity Fund | $ | 96,292 | ||
Equity Focus Fund | 350 | |||
Equity Income Fund | 191,946 | |||
Growth and Income Fund | 5,982 | |||
Hedged Equity Fund | 1,387 | |||
Large Cap Value Fund | 16,738 | |||
U.S. Equity Fund | 232,024 | |||
| JUNE 30, 2015 | J.P. MORGAN LARGE CAP FUNDS | 115 | ||||||
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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 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., 2015. All rights reserved. June 2015. | AN-LCE-615 |
Table of Contents
Annual Report
J.P. Morgan Equity Funds
June 30, 2015
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
Dear Shareholder,
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment — though not reflected in wage growth — drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve
months ended June 30, 2015, the Barclays U.S. Aggregate Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09 financial crisis. While the challenges faced by financial markets
JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
Table of Contents
CEO’S LETTER
and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.19% | |||
| S&P 500 Index | 7.42% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 1,892,906 | ||
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 twelve months ended June 30, 2015. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.
U.S. equity markets performed strongly in the second half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at record highs several times but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928. The S&P 500 Index returned 7.42% for the twelve months ended June 30, 2015.
Overall, large cap stocks slightly outperformed small cap stocks, while growth stocks outperformed value stocks during the reporting period. For the twelve month reporting period, the Russell 2000 Index returned 6.49% compared with a 7.37% return for the Russell 1000 Index.
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. | 3.9 | % | |||||
| 2. | Microsoft Corp. | 1.9 | ||||||
| 3. | Exxon Mobil Corp. | 1.9 | ||||||
| 4. | Johnson & Johnson | 1.5 | ||||||
| 5. | General Electric Co. | 1.5 | ||||||
| 6. | Wells Fargo & Co. | 1.4 | ||||||
| 7. | JPMorgan Chase & Co. | 1.4 | ||||||
| 8. | Berkshire Hathaway, Inc., Class B | 1.4 | ||||||
| 9. | Procter & Gamble Co. (The) | 1.2 | ||||||
| 10. | Pfizer, Inc. | 1.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 19.6 | % | ||
| Financials | 16.4 | |||
| Health Care | 15.4 | |||
| Consumer Discretionary | 12.7 | |||
| Industrials | 10.1 | |||
| Consumer Staples | 9.3 | |||
| Energy | 7.8 | |||
| Materials | 3.2 | |||
| Utilities | 2.8 | |||
| Telecommunication Services | 2.2 | |||
| Short-Term Investment | 0.5 | |||
| * | 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. |
| *** | “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, 2015. The Fund’s portfolio composition is subject to change. |
JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
Table of Contents
JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 6.94 | % | 16.81 | % | 7.44 | % | ||||||||
With Sales Charge* | 1.34 | 15.55 | 6.86 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 6.15 | 15.92 | 6.64 | |||||||||||
With CDSC** | 5.15 | 15.92 | 6.64 | |||||||||||
SELECT CLASS SHARES | July 2, 1991 | 7.19 | 17.09 | 7.70 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Funds Index from June 30, 2005 to June 30, 2015. 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 Funds Index includes expenses associated with a mutual fund, such as investment manage-
ment 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 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.
| 4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.26% | |||
| S&P 1000 Index | 6.51% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 1,347,325 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Market Expansion Enhanced Index Fund (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’s Select Class Shares outperformed the Standard & Poor’s 1000 Index (“S&P 1000 Index”)*** (the “Benchmark”) for the twelve months ended June 30, 2015.
U.S. equity markets performed strongly in the second half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at record highs several times but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928. The Standard & Poor’s 500 Index returned 7.42% for the twelve months ended June 30, 2015.
Overall, large cap stocks slightly outperformed small cap stocks, while growth stocks outperformed value stocks during the reporting period. For the twelve month reporting period, the Russell 2000 Index returned 6.49% compared with a 7.37% return for the Russell 1000 Index.
The Fund’s security selection in the pharmaceutical and insurance sectors was a leading contributor to performance relative to the Benchmark, while security selection in the software & services sector and the energy sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Skyworks Solutions
Inc., Momenta Pharmaceuticals Inc. and Centene Corp. Shares of Skyworks, a producer of radio frequency semiconductors, rose on increased demand for its products from smartphone makers, particularly Apple Inc. Shares of Momenta, a maker of generic drugs to treat cancer and auto-immune diseases, rose after the company won regulatory and then legal approval to market a generic version of a top-selling multiple sclerosis drug. Shares of Centene, a provider of managed health care, rose on better-than-expected results and investor speculation that it could become takeover target.
Leading individual detractors from relative performance included the Fund’s underweight position in Dresser-Rand Group Inc. and its overweight positions in Rovi Corp. and U.S. Steel Corp. Shares of Dresser-Rand, a provider of industrial equipment that was not held by the Fund, rose after European regulators approved the company’s $6.6 billion acquisition by Siemens AG. Shares of U.S. Steel, a maker of steel and related products, declined amid falling demand from the energy sector for pipe line.
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 momentum, the Fund’s portfolio managers overweighted what they believed were attractively priced stocks with improving momentum and underweighted what they believed were expensive stocks with deteriorating momentum, 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.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Hologic, Inc. | 0.9 | % | |||||
| 2. | Qorvo, Inc. | 0.9 | ||||||
| 3. | Jarden Corp. | 0.7 | ||||||
| 4. | Jones Lang LaSalle, Inc. | 0.7 | ||||||
| 5. | Synopsys, Inc. | 0.7 | ||||||
| 6. | Centene Corp. | 0.7 | ||||||
| 7. | Rock-Tenn Co., Class A | 0.7 | ||||||
| 8. | Momenta Pharmaceuticals, Inc. | 0.7 | ||||||
| 9. | Everest Re Group Ltd., (Bermuda) | 0.7 | ||||||
| 10. | SEI Investments Co. | 0.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Financials | 22.7 | % | ||
| Information Technology | 16.5 | |||
| Industrials | 15.3 | |||
| Consumer Discretionary | 13.4 | |||
| Health Care | 10.4 | |||
| Materials | 6.6 | |||
| Energy | 4.1 | |||
| Utilities | 3.9 | |||
| Consumer Staples | 3.4 | |||
| Telecommunication Services | 0.5 | |||
| Short-Term Investment | 3.2 | |||
| * | 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. |
| *** | “S&P 1000 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, 2015. The Fund’s portfolio composition is subject to change. |
| 6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | July 31, 1998 | |||||||||||||||
Without Sales Charge | 6.90 | % | 17.73 | % | 9.06 | % | ||||||||||
With Sales Charge* | 1.27 | 16.46 | 8.47 | |||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||
Without CDSC | 6.25 | 16.93 | 8.29 | |||||||||||||
With CDSC** | 5.25 | 16.93 | 8.29 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 6.75 | 17.40 | 8.71 | ||||||||||||
SELECT CLASS SHARES | July 31, 1998 | 7.26 | 18.05 | 9.34 | ||||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index from June 30, 2005 to June 30, 2015. 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 Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index are indices based on total returns of certain mutual funds within the small cap and mid cap categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.4% | |||||||
Consumer Discretionary — 12.7% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 23 | BorgWarner, Inc. | 1,327 | ||||||
| 30 | Delphi Automotive plc, (United Kingdom) | 2,535 | ||||||
| 28 | Goodyear Tire & Rubber Co. (The) | 839 | ||||||
| 68 | Johnson Controls, Inc. | 3,346 | ||||||
|
| |||||||
| 8,047 | ||||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
| 410 | Ford Motor Co. | 6,156 | ||||||
| 139 | General Motors Co. | 4,643 | ||||||
| 22 | Harley-Davidson, Inc. | 1,215 | ||||||
|
| |||||||
| 12,014 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 16 | Genuine Parts Co. | 1,406 | ||||||
|
| |||||||
Diversified Consumer Services — 0.0% (g) |
| |||||||
| 28 | H&R Block, Inc. | 842 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 47 | Carnival Corp. | 2,298 | ||||||
| 3 | Chipotle Mexican Grill, Inc. (a) | 1,938 | ||||||
| 13 | Darden Restaurants, Inc. | 922 | ||||||
| 21 | Marriott International, Inc., Class A | 1,583 | ||||||
| 99 | McDonald’s Corp. | 9,402 | ||||||
| 17 | Royal Caribbean Cruises Ltd. | 1,339 | ||||||
| 155 | Starbucks Corp. | 8,300 | ||||||
| 18 | Starwood Hotels & Resorts Worldwide, Inc. | 1,430 | ||||||
| 12 | Wyndham Worldwide Corp. | 1,014 | ||||||
| 8 | Wynn Resorts Ltd. | 830 | ||||||
| 45 | Yum! Brands, Inc. | 4,019 | ||||||
|
| |||||||
| 33,075 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 34 | D.R. Horton, Inc. | 942 | ||||||
| 12 | Garmin Ltd., (Switzerland) | 546 | ||||||
| 7 | Harman International Industries, Inc. | 873 | ||||||
| 14 | Leggett & Platt, Inc. | 692 | ||||||
| 18 | Lennar Corp., Class A | 940 | ||||||
| 6 | Mohawk Industries, Inc. (a) | 1,224 | ||||||
| 28 | Newell Rubbermaid, Inc. | 1,140 | ||||||
| 34 | PulteGroup, Inc. | 682 | ||||||
| 8 | Whirlpool Corp. | 1,404 | ||||||
|
| |||||||
| 8,443 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 39 | Amazon.com, Inc. (a) | 17,102 | ||||||
| 10 | Expedia, Inc. | 1,125 | ||||||
| 6 | Netflix, Inc. (a) | 4,109 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — continued |
| |||||||
| 5 | Priceline Group, Inc. (The) (a) | 6,159 | ||||||
| 12 | TripAdvisor, Inc. (a) | 1,006 | ||||||
|
| |||||||
| 29,501 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
| 12 | Hasbro, Inc. | 864 | ||||||
| 35 | Mattel, Inc. | 897 | ||||||
|
| |||||||
| 1,761 | ||||||||
|
| |||||||
Media — 3.6% |
| |||||||
| 23 | Cablevision Systems Corp., Class A | 544 | ||||||
| 47 | CBS Corp. (Non-Voting), Class B | 2,593 | ||||||
| 259 | Comcast Corp., Class A | 15,596 | ||||||
| 52 | DIRECTV (a) | 4,814 | ||||||
| 15 | Discovery Communications, Inc., Class A (a) | 512 | ||||||
| 27 | Discovery Communications, Inc., Class C (a) | 837 | ||||||
| — | (h) | Gannett Co., Inc. (a) | — | (h) | ||||
| 43 | Interpublic Group of Cos., Inc. (The) | 821 | ||||||
| 52 | News Corp., Class A (a) | 754 | ||||||
| 25 | Omnicom Group, Inc. | 1,751 | ||||||
| 10 | Scripps Networks Interactive, Inc., Class A | 641 | ||||||
| 23 | TEGNA, Inc. | 751 | ||||||
| 29 | Time Warner Cable, Inc. | 5,196 | ||||||
| 85 | Time Warner, Inc. | 7,437 | ||||||
| 183 | Twenty-First Century Fox, Inc., Class A | 5,941 | ||||||
| 37 | Viacom, Inc., Class B | 2,383 | ||||||
| 161 | Walt Disney Co. (The) | 18,383 | ||||||
|
| |||||||
| 68,954 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 31 | Dollar General Corp. | 2,383 | ||||||
| 21 | Dollar Tree, Inc. (a) | 1,680 | ||||||
| 10 | Family Dollar Stores, Inc. | 782 | ||||||
| 20 | Kohl’s Corp. | 1,278 | ||||||
| 35 | Macy’s, Inc. | 2,342 | ||||||
| 15 | Nordstrom, Inc. | 1,084 | ||||||
| 66 | Target Corp. | 5,377 | ||||||
|
| |||||||
| 14,926 | ||||||||
|
| |||||||
Specialty Retail — 2.3% |
| |||||||
| 8 | AutoNation, Inc. (a) | 489 | ||||||
| 3 | AutoZone, Inc. (a) | 2,183 | ||||||
| 18 | Bed Bath & Beyond, Inc. (a) | 1,219 | ||||||
| 30 | Best Buy Co., Inc. | 985 | ||||||
| 22 | CarMax, Inc. (a) | 1,429 | ||||||
| 11 | GameStop Corp., Class A | 473 | ||||||
| 27 | Gap, Inc. (The) | 1,036 | ||||||
| 134 | Home Depot, Inc. (The) | 14,894 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Specialty Retail — continued |
| |||||||
| 25 | L Brands, Inc. | 2,169 | ||||||
| 96 | Lowe’s Cos., Inc. | 6,444 | ||||||
| 10 | O’Reilly Automotive, Inc. (a) | 2,355 | ||||||
| 43 | Ross Stores, Inc. | 2,075 | ||||||
| 66 | Staples, Inc. | 1,012 | ||||||
| 12 | Tiffany & Co. | 1,064 | ||||||
| 70 | TJX Cos., Inc. (The) | 4,645 | ||||||
| 14 | Tractor Supply Co. | 1,266 | ||||||
| 10 | Urban Outfitters, Inc. (a) | 352 | ||||||
|
| |||||||
| 44,090 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
| 29 | Coach, Inc. | 987 | ||||||
| 4 | Fossil Group, Inc. (a) | 308 | ||||||
| 41 | Hanesbrands, Inc. | 1,381 | ||||||
| 21 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 863 | ||||||
| 72 | NIKE, Inc., Class B | 7,761 | ||||||
| 9 | PVH Corp. | 983 | ||||||
| 6 | Ralph Lauren Corp. | 825 | ||||||
| 17 | Under Armour, Inc., Class A (a) | 1,447 | ||||||
| 35 | V.F. Corp. | 2,446 | ||||||
|
| |||||||
| 17,001 | ||||||||
|
| |||||||
Total Consumer Discretionary | 240,060 | |||||||
|
| |||||||
Consumer Staples — 9.3% |
| |||||||
Beverages — 2.1% |
| |||||||
| 16 | Brown-Forman Corp., Class B | 1,611 | ||||||
| 405 | Coca-Cola Co. (The) | 15,878 | ||||||
| 22 | Coca-Cola Enterprises, Inc. | 961 | ||||||
| 17 | Constellation Brands, Inc., Class A | 2,028 | ||||||
| 20 | Dr. Pepper Snapple Group, Inc. | 1,442 | ||||||
| 16 | Molson Coors Brewing Co., Class B | 1,150 | ||||||
| 15 | Monster Beverage Corp. (a) | 2,023 | ||||||
| 152 | PepsiCo, Inc. | 14,214 | ||||||
|
| |||||||
| 39,307 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.4% |
| |||||||
| 45 | Costco Wholesale Corp. | 6,124 | ||||||
| 116 | CVS Health Corp. | 12,210 | ||||||
| 51 | Kroger Co. (The) | 3,667 | ||||||
| 61 | Sysco Corp. | 2,212 | ||||||
| 90 | Walgreens Boots Alliance, Inc. | 7,602 | ||||||
| 163 | Wal-Mart Stores, Inc. | 11,548 | ||||||
| 37 | Whole Foods Market, Inc. | 1,458 | ||||||
|
| |||||||
| 44,821 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 1.6% |
| |||||||
| 64 | Archer-Daniels-Midland Co. (m) | 3,087 | ||||||
| 18 | Campbell Soup Co. | 874 | ||||||
| 44 | ConAgra Foods, Inc. | 1,926 | ||||||
| 62 | General Mills, Inc. | 3,427 | ||||||
| 15 | Hershey Co. (The) | 1,345 | ||||||
| 14 | Hormel Foods Corp. | 784 | ||||||
| 10 | JM Smucker Co. (The) | 1,084 | ||||||
| 26 | Kellogg Co. | 1,621 | ||||||
| 12 | Keurig Green Mountain, Inc. | 913 | ||||||
| 61 | Kraft Foods Group, Inc. | 5,203 | ||||||
| 13 | McCormick & Co., Inc. (Non-Voting) | 1,067 | ||||||
| 21 | Mead Johnson Nutrition Co. | 1,885 | ||||||
| 168 | Mondelez International, Inc., Class A | 6,904 | ||||||
| 30 | Tyson Foods, Inc., Class A | 1,283 | ||||||
|
| |||||||
| 31,403 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
| 14 | Clorox Co. (The) | 1,408 | ||||||
| 88 | Colgate-Palmolive Co. | 5,738 | ||||||
| 38 | Kimberly-Clark Corp. | 3,981 | ||||||
| 280 | Procter & Gamble Co. (The) | 21,900 | ||||||
|
| |||||||
| 33,027 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 23 | Estee Lauder Cos., Inc. (The), Class A | 1,996 | ||||||
|
| |||||||
Tobacco — 1.4% |
| |||||||
| 203 | Altria Group, Inc. | 9,924 | ||||||
| 160 | Philip Morris International, Inc. | 12,813 | ||||||
| 43 | Reynolds American, Inc. | 3,202 | ||||||
|
| |||||||
| 25,939 | ||||||||
|
| |||||||
Total Consumer Staples | 176,493 | |||||||
|
| |||||||
Energy — 7.8% |
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
| 45 | Baker Hughes, Inc. | 2,767 | ||||||
| 20 | Cameron International Corp. (a) | 1,034 | ||||||
| 7 | Diamond Offshore Drilling, Inc. | 179 | ||||||
| 24 | Ensco plc, (United Kingdom), Class A | 539 | ||||||
| 24 | FMC Technologies, Inc. (a) | 989 | ||||||
| 88 | Halliburton Co. | 3,781 | ||||||
| 11 | Helmerich & Payne, Inc. | 782 | ||||||
| 40 | National Oilwell Varco, Inc. | 1,932 | ||||||
| 25 | Noble Corp. plc, (United Kingdom) | 384 | ||||||
| 131 | Schlumberger Ltd. | 11,291 | ||||||
| 35 | Transocean Ltd., (Switzerland) | 568 | ||||||
|
| |||||||
| 24,246 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — 6.5% |
| |||||||
| 52 | Anadarko Petroleum Corp. | 4,091 | ||||||
| 39 | Apache Corp. | 2,242 | ||||||
| 43 | Cabot Oil & Gas Corp. | 1,346 | ||||||
| 53 | Chesapeake Energy Corp. | 596 | ||||||
| 194 | Chevron Corp. | 18,717 | ||||||
| 10 | Cimarex Energy Co. | 1,066 | ||||||
| 127 | ConocoPhillips | 7,812 | ||||||
| 24 | CONSOL Energy, Inc. | 513 | ||||||
| 40 | Devon Energy Corp. | 2,372 | ||||||
| 57 | EOG Resources, Inc. | 4,958 | ||||||
| 16 | EQT Corp. | 1,278 | ||||||
| 431 | Exxon Mobil Corp. | 35,891 | ||||||
| 25 | Hess Corp. (m) | 1,686 | ||||||
| 179 | Kinder Morgan, Inc. | 6,870 | ||||||
| 70 | Marathon Oil Corp. | 1,848 | ||||||
| 56 | Marathon Petroleum Corp. | 2,932 | ||||||
| 17 | Murphy Oil Corp. | 717 | ||||||
| 17 | Newfield Exploration Co. (a) | 607 | ||||||
| 40 | Noble Energy, Inc. | 1,704 | ||||||
| 79 | Occidental Petroleum Corp. | 6,163 | ||||||
| 22 | ONEOK, Inc. | 850 | ||||||
| 56 | Phillips 66 | 4,508 | ||||||
| 15 | Pioneer Natural Resources Co. | 2,136 | ||||||
| 17 | Range Resources Corp. | 848 | ||||||
| 40 | Southwestern Energy Co. (a) | 908 | ||||||
| 69 | Spectra Energy Corp. | 2,258 | ||||||
| 13 | Tesoro Corp. | 1,097 | ||||||
| 52 | Valero Energy Corp. | 3,285 | ||||||
| 70 | Williams Cos., Inc. (The) | 3,992 | ||||||
|
| |||||||
| 123,291 | ||||||||
|
| |||||||
Total Energy | 147,537 | |||||||
|
| |||||||
Financials — 16.4% |
| |||||||
Banks — 6.2% |
| |||||||
| 1,084 | Bank of America Corp. | 18,442 | ||||||
| 75 | BB&T Corp. | 3,040 | ||||||
| 313 | Citigroup, Inc. | 17,292 | ||||||
| 18 | Comerica, Inc. | 943 | ||||||
| 84 | Fifth Third Bancorp | 1,740 | ||||||
| 83 | Huntington Bancshares, Inc. | 943 | ||||||
| 383 | JPMorgan Chase & Co. (q) | 25,944 | ||||||
| 88 | KeyCorp | 1,315 | ||||||
| 14 | M&T Bank Corp. | 1,714 | ||||||
| 32 | People’s United Financial, Inc. | 517 | ||||||
| 53 | PNC Financial Services Group, Inc. (The) | 5,111 | ||||||
| 138 | Regions Financial Corp. | 1,433 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 53 | SunTrust Banks, Inc. | 2,291 | ||||||
| 183 | U.S. Bancorp | 7,939 | ||||||
| 483 | Wells Fargo & Co. | 27,189 | ||||||
| 21 | Zions Bancorporation | 665 | ||||||
|
| |||||||
| 116,518 | ||||||||
|
| |||||||
Capital Markets — 2.3% |
| |||||||
| 6 | Affiliated Managers Group, Inc. (a) | 1,234 | ||||||
| 19 | Ameriprise Financial, Inc. | 2,338 | ||||||
| 116 | Bank of New York Mellon Corp. (The) | 4,856 | ||||||
| 13 | BlackRock, Inc. | 4,533 | ||||||
| 119 | Charles Schwab Corp. (The) | 3,894 | ||||||
| 30 | E*TRADE Financial Corp. (a) | 896 | ||||||
| 40 | Franklin Resources, Inc. | 1,973 | ||||||
| 41 | Goldman Sachs Group, Inc. (The) | 8,655 | ||||||
| 44 | Invesco Ltd. | 1,666 | ||||||
| 10 | Legg Mason, Inc. | 519 | ||||||
| 159 | Morgan Stanley | 6,150 | ||||||
| 23 | Northern Trust Corp. | 1,730 | ||||||
| 42 | State Street Corp. | 3,270 | ||||||
| 27 | T. Rowe Price Group, Inc. | 2,107 | ||||||
|
| |||||||
| 43,821 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 90 | American Express Co. (m) | 7,005 | ||||||
| 56 | Capital One Financial Corp. | 4,959 | ||||||
| 46 | Discover Financial Services | 2,631 | ||||||
| 40 | Navient Corp. | 731 | ||||||
|
| |||||||
| 15,326 | ||||||||
|
| |||||||
Diversified Financial Services — 2.0% |
| |||||||
| 188 | Berkshire Hathaway, Inc., Class B (a) | 25,611 | ||||||
| 33 | CME Group, Inc. | 3,046 | ||||||
| 12 | Intercontinental Exchange, Inc. | 2,578 | ||||||
| 33 | Leucadia National Corp. | 790 | ||||||
| 28 | McGraw Hill Financial, Inc. | 2,837 | ||||||
| 18 | Moody’s Corp. | 1,982 | ||||||
| 12 | NASDAQ OMX Group, Inc. (The) | 596 | ||||||
|
| |||||||
| 37,440 | ||||||||
|
| |||||||
Insurance — 2.7% |
| |||||||
| 34 | ACE Ltd., (Switzerland) | 3,426 | ||||||
| 45 | Aflac, Inc. (m) | 2,784 | ||||||
| 42 | Allstate Corp. (The) | 2,737 | ||||||
| 138 | American International Group, Inc. (m) | 8,505 | ||||||
| 29 | Aon plc, (United Kingdom) | 2,897 | ||||||
| 7 | Assurant, Inc. | 470 | ||||||
| 24 | Chubb Corp. (The) | 2,255 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 15 | Cincinnati Financial Corp. | 766 | ||||||
| 51 | Genworth Financial, Inc., Class A (a) | 389 | ||||||
| 43 | Hartford Financial Services Group, Inc. (The) | 1,801 | ||||||
| 26 | Lincoln National Corp. | 1,546 | ||||||
| 31 | Loews Corp. | 1,180 | ||||||
| 56 | Marsh & McLennan Cos., Inc. | 3,150 | ||||||
| 115 | MetLife, Inc. | 6,446 | ||||||
| 28 | Principal Financial Group, Inc. | 1,450 | ||||||
| 55 | Progressive Corp. (The) | 1,533 | ||||||
| 47 | Prudential Financial, Inc. | 4,090 | ||||||
| 13 | Torchmark Corp. | 758 | ||||||
| 33 | Travelers Cos., Inc. (The) | 3,178 | ||||||
| 26 | Unum Group | 920 | ||||||
| 32 | XL Group plc, (Ireland) | 1,177 | ||||||
|
| |||||||
| 51,458 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.3% |
| |||||||
| 44 | American Tower Corp. (m) | 4,072 | ||||||
| 16 | Apartment Investment & Management Co., Class A (m) | 595 | ||||||
| 14 | AvalonBay Communities, Inc. (m) | 2,180 | ||||||
| 16 | Boston Properties, Inc. (m) | 1,916 | ||||||
| 35 | Crown Castle International Corp. (m) | 2,796 | ||||||
| 38 | Equity Residential (m) | 2,635 | ||||||
| 7 | Essex Property Trust, Inc. (m) | 1,433 | ||||||
| 65 | General Growth Properties, Inc. (m) | 1,666 | ||||||
| 48 | HCP, Inc. (m) | 1,737 | ||||||
| 36 | Health Care REIT, Inc. (m) | 2,377 | ||||||
| 78 | Host Hotels & Resorts, Inc. (m) | 1,550 | ||||||
| 19 | Iron Mountain, Inc. | 599 | ||||||
| 43 | Kimco Realty Corp. (m) | 960 | ||||||
| 15 | Macerich Co. (The) (m) | 1,084 | ||||||
| 18 | Plum Creek Timber Co., Inc. (m) | 735 | ||||||
| 54 | Prologis, Inc. (m) | 2,006 | ||||||
| 15 | Public Storage (m) | 2,763 | ||||||
| 24 | Realty Income Corp. (m) | 1,065 | ||||||
| 32 | Simon Property Group, Inc. (m) | 5,557 | ||||||
| 10 | SL Green Realty Corp. (m) | 1,129 | ||||||
| 34 | Ventas, Inc. (m) | 2,120 | ||||||
| 18 | Vornado Realty Trust (m) | 1,715 | ||||||
| 53 | Weyerhaeuser Co. (m) | 1,683 | ||||||
|
| |||||||
| 44,373 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 29 | CBRE Group, Inc., Class A (a) | 1,068 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — 0.0% (g) |
| |||||||
| 50 | Hudson City Bancorp, Inc. | 491 | ||||||
|
| |||||||
Total Financials | 310,495 | |||||||
|
| |||||||
Health Care — 15.3% |
| |||||||
Biotechnology — 3.2% |
| |||||||
| 23 | Alexion Pharmaceuticals, Inc. (a) | 4,176 | ||||||
| 78 | Amgen, Inc. | 12,043 | ||||||
| 24 | Biogen, Inc. (a) | 9,803 | ||||||
| 82 | Celgene Corp. (a) | 9,471 | ||||||
| 152 | Gilead Sciences, Inc. | 17,752 | ||||||
| 8 | Regeneron Pharmaceuticals, Inc. (a) | 3,968 | ||||||
| 25 | Vertex Pharmaceuticals, Inc. (a) | 3,105 | ||||||
|
| |||||||
| 60,318 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 154 | Abbott Laboratories (m) | 7,539 | ||||||
| 56 | Baxter International, Inc. | 3,927 | ||||||
| 22 | Becton, Dickinson and Co. (m) | 3,060 | ||||||
| 138 | Boston Scientific Corp. (a) | 2,448 | ||||||
| 8 | C.R. Bard, Inc. | 1,308 | ||||||
| 14 | DENTSPLY International, Inc. | 744 | ||||||
| 11 | Edwards Lifesciences Corp. (a) | 1,580 | ||||||
| 4 | Intuitive Surgical, Inc. (a) | 1,842 | ||||||
| 147 | Medtronic plc, (Ireland) | 10,895 | ||||||
| 29 | St. Jude Medical, Inc. | 2,112 | ||||||
| 31 | Stryker Corp. | 2,948 | ||||||
| 10 | Varian Medical Systems, Inc. (a) | 868 | ||||||
| 18 | Zimmer Biomet Holdings, Inc. | 1,920 | ||||||
|
| |||||||
| 41,191 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.9% |
| |||||||
| 36 | Aetna, Inc. | 4,592 | ||||||
| 22 | AmerisourceBergen Corp. | 2,290 | ||||||
| 27 | Anthem, Inc. | 4,480 | ||||||
| 34 | Cardinal Health, Inc. | 2,855 | ||||||
| 27 | Cigna Corp. | 4,301 | ||||||
| 18 | DaVita HealthCare Partners, Inc. (a) | 1,410 | ||||||
| 75 | Express Scripts Holding Co. (a) | 6,692 | ||||||
| 30 | HCA Holdings, Inc. (a) | 2,715 | ||||||
| 9 | Henry Schein, Inc. (a) | 1,226 | ||||||
| 15 | Humana, Inc. | 2,956 | ||||||
| 10 | Laboratory Corp. of America Holdings (a) | 1,256 | ||||||
| 24 | McKesson Corp. | 5,371 | ||||||
| 9 | Patterson Cos., Inc. | 430 | ||||||
| 15 | Quest Diagnostics, Inc. | 1,075 | ||||||
| 10 | Tenet Healthcare Corp. (a) | 592 | ||||||
| 98 | UnitedHealth Group, Inc. | 11,982 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Providers & Services — continued |
| |||||||
| 9 | Universal Health Services, Inc., Class B | 1,336 | ||||||
|
| |||||||
| 55,559 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 32 | Cerner Corp. (a) | 2,182 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
| 34 | Agilent Technologies, Inc. | 1,326 | ||||||
| 12 | PerkinElmer, Inc. | 615 | ||||||
| 41 | Thermo Fisher Scientific, Inc. | 5,329 | ||||||
| 9 | Waters Corp. (a) | 1,095 | ||||||
|
| |||||||
| 8,365 | ||||||||
|
| |||||||
Pharmaceuticals — 6.5% |
| |||||||
| 177 | AbbVie, Inc. | 11,921 | ||||||
| 40 | Allergan plc, (Ireland) (a) | 12,287 | ||||||
| 172 | Bristol-Myers Squibb Co. | 11,444 | ||||||
| 101 | Eli Lilly & Co. | 8,412 | ||||||
| 21 | Endo International plc, (Ireland) (a) | 1,666 | ||||||
| 18 | Hospira, Inc. (a) | 1,581 | ||||||
| 286 | Johnson & Johnson | 27,884 | ||||||
| 12 | Mallinckrodt plc (a) | 1,421 | ||||||
| 291 | Merck & Co., Inc. | 16,594 | ||||||
| 42 | Mylan N.V. (a) | 2,882 | ||||||
| 15 | Perrigo Co. plc, (Ireland) | 2,789 | ||||||
| 635 | Pfizer, Inc. | 21,302 | ||||||
| 52 | Zoetis, Inc. | 2,487 | ||||||
|
| |||||||
| 122,670 | ||||||||
|
| |||||||
Total Health Care | 290,285 | |||||||
|
| |||||||
Industrials — 10.1% |
| |||||||
Aerospace & Defense — 2.6% |
| |||||||
| 66 | Boeing Co. (The) | 9,204 | ||||||
| 32 | General Dynamics Corp. | 4,565 | ||||||
| 81 | Honeywell International, Inc. (m) | 8,224 | ||||||
| 8 | L-3 Communications Holdings, Inc. | 963 | ||||||
| 28 | Lockheed Martin Corp. | 5,132 | ||||||
| 20 | Northrop Grumman Corp. | 3,172 | ||||||
| 14 | Precision Castparts Corp. | 2,851 | ||||||
| 31 | Raytheon Co. | 3,012 | ||||||
| 14 | Rockwell Collins, Inc. | 1,260 | ||||||
| 29 | Textron, Inc. | 1,279 | ||||||
| 85 | United Technologies Corp. | 9,475 | ||||||
|
| |||||||
| 49,137 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
| 15 | C.H. Robinson Worldwide, Inc. | 939 | ||||||
| 20 | Expeditors International of Washington, Inc. | 910 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — continued |
| |||||||
| 27 | FedEx Corp. | 4,634 | ||||||
| 72 | United Parcel Service, Inc., Class B | 6,939 | ||||||
|
| |||||||
| 13,422 | ||||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
| 71 | American Airlines Group, Inc. (m) | 2,854 | ||||||
| 85 | Delta Air Lines, Inc. | 3,481 | ||||||
| 69 | Southwest Airlines Co. | 2,282 | ||||||
|
| |||||||
| 8,617 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
| 10 | Allegion plc, (Ireland) | 594 | ||||||
| 36 | Masco Corp. | 956 | ||||||
|
| |||||||
| 1,550 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 18 | ADT Corp. (The) | 593 | ||||||
| 10 | Cintas Corp. | 829 | ||||||
| 21 | Pitney Bowes, Inc. | 433 | ||||||
| 26 | Republic Services, Inc. | 1,008 | ||||||
| 9 | Stericycle, Inc. (a) | 1,175 | ||||||
| 43 | Tyco International plc | 1,672 | ||||||
| 44 | Waste Management, Inc. | 2,036 | ||||||
|
| |||||||
| 7,746 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
| 15 | Fluor Corp. | 807 | ||||||
| 13 | Jacobs Engineering Group, Inc. (a) | 526 | ||||||
| 22 | Quanta Services, Inc. (a) | 630 | ||||||
|
| |||||||
| 1,963 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 25 | AMETEK, Inc. | 1,365 | ||||||
| 48 | Eaton Corp. plc | 3,252 | ||||||
| 69 | Emerson Electric Co. | 3,822 | ||||||
| 14 | Rockwell Automation, Inc. | 1,731 | ||||||
|
| |||||||
| 10,170 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.4% |
| |||||||
| 65 | 3M Co. | 10,098 | ||||||
| 64 | Danaher Corp. | 5,438 | ||||||
| 1,040 | General Electric Co. (k) | 27,621 | ||||||
| 10 | Roper Technologies, Inc. | 1,789 | ||||||
|
| |||||||
| 44,946 | ||||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
| 62 | Caterpillar, Inc. | 5,283 | ||||||
| 17 | Cummins, Inc. | 2,270 | ||||||
| 34 | Deere & Co. | 3,343 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Machinery — continued |
| |||||||
| 17 | Dover Corp. | 1,161 | ||||||
| 14 | Flowserve Corp. | 732 | ||||||
| 35 | Illinois Tool Works, Inc. | 3,203 | ||||||
| 27 | Ingersoll-Rand plc | 1,841 | ||||||
| 10 | Joy Global, Inc. | 364 | ||||||
| 37 | PACCAR, Inc. | 2,336 | ||||||
| 11 | Pall Corp. | 1,372 | ||||||
| 14 | Parker-Hannifin Corp. | 1,664 | ||||||
| 19 | Pentair plc, (United Kingdom) | 1,274 | ||||||
| 6 | Snap-on, Inc. | 958 | ||||||
| 16 | Stanley Black & Decker, Inc. | 1,669 | ||||||
| 19 | Xylem, Inc. | 694 | ||||||
|
| |||||||
| 28,164 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
| 4 | Dun & Bradstreet Corp. (The) | 454 | ||||||
| 12 | Equifax, Inc. | 1,192 | ||||||
| 38 | Nielsen N.V. | 1,705 | ||||||
| 14 | Robert Half International, Inc. | 773 | ||||||
|
| |||||||
| 4,124 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 102 | CSX Corp. | 3,328 | ||||||
| 10 | J.B. Hunt Transport Services, Inc. | 780 | ||||||
| 11 | Kansas City Southern | 1,040 | ||||||
| 31 | Norfolk Southern Corp. | 2,748 | ||||||
| 6 | Ryder System, Inc. | 480 | ||||||
| 90 | Union Pacific Corp. | 8,616 | ||||||
|
| |||||||
| 16,992 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
| 28 | Fastenal Co. | 1,183 | ||||||
| 10 | United Rentals, Inc. (a) | 877 | ||||||
| 6 | W.W. Grainger, Inc. | 1,454 | ||||||
|
| |||||||
| 3,514 | ||||||||
|
| |||||||
Total Industrials | 190,345 | |||||||
|
| |||||||
Information Technology — 19.6% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
| 525 | Cisco Systems, Inc. | 14,409 | ||||||
| 7 | F5 Networks, Inc. (a) | 893 | ||||||
| 13 | Harris Corp. | 978 | ||||||
| 36 | Juniper Networks, Inc. | 942 | ||||||
| 19 | Motorola Solutions, Inc. | 1,098 | ||||||
| 168 | QUALCOMM, Inc. | 10,530 | ||||||
|
| |||||||
| 28,850 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 32 | Amphenol Corp., Class A | 1,848 | ||||||
| 130 | Corning, Inc. | 2,562 | ||||||
| 14 | FLIR Systems, Inc. | 445 | ||||||
| 42 | TE Connectivity Ltd., (Switzerland) | 2,697 | ||||||
|
| |||||||
| 7,552 | ||||||||
|
| |||||||
Internet Software & Services — 3.4% |
| |||||||
| 18 | Akamai Technologies, Inc. (a) | 1,286 | ||||||
| 114 | eBay, Inc. (a) | 6,871 | ||||||
| 6 | Equinix, Inc. (m) | 1,491 | ||||||
| 217 | Facebook, Inc., Class A (a) | 18,637 | ||||||
| 30 | Google, Inc., Class A (a) | 15,947 | ||||||
| 30 | Google, Inc., Class C (a) | 15,414 | ||||||
| 11 | VeriSign, Inc. (a) | 667 | ||||||
| 90 | Yahoo!, Inc. (a) | 3,538 | ||||||
|
| |||||||
| 63,851 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 65 | Accenture plc, (Ireland), Class A | 6,253 | ||||||
| 6 | Alliance Data Systems Corp. (a) | 1,869 | ||||||
| 48 | Automatic Data Processing, Inc. | 3,887 | ||||||
| 63 | Cognizant Technology Solutions Corp., Class A (a) | 3,848 | ||||||
| 14 | Computer Sciences Corp. | 932 | ||||||
| 29 | Fidelity National Information Services, Inc. | 1,807 | ||||||
| 24 | Fiserv, Inc. (a) | 2,024 | ||||||
| 94 | International Business Machines Corp. | 15,369 | ||||||
| 100 | MasterCard, Inc., Class A | 9,348 | ||||||
| 34 | Paychex, Inc. | 1,581 | ||||||
| 15 | Teradata Corp. (a) | 542 | ||||||
| 17 | Total System Services, Inc. | 707 | ||||||
| 199 | Visa, Inc., Class A | 13,392 | ||||||
| 53 | Western Union Co. (The) | 1,083 | ||||||
| 107 | Xerox Corp. | 1,139 | ||||||
|
| |||||||
| 63,781 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
| 31 | Altera Corp. | 1,591 | ||||||
| 32 | Analog Devices, Inc. | 2,076 | ||||||
| 127 | Applied Materials, Inc. | 2,442 | ||||||
| 26 | Avago Technologies Ltd., (Singapore) | 3,519 | ||||||
| 56 | Broadcom Corp., Class A | 2,889 | ||||||
| 8 | First Solar, Inc. (a) | 367 | ||||||
| 489 | Intel Corp. | 14,887 | ||||||
| 16 | KLA-Tencor Corp. | 927 | ||||||
| 16 | Lam Research Corp. | 1,329 | ||||||
| 25 | Linear Technology Corp. | 1,093 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 21 | Microchip Technology, Inc. | 990 | ||||||
| 111 | Micron Technology, Inc. (a) | 2,094 | ||||||
| 53 | NVIDIA Corp. | 1,060 | ||||||
| 15 | Qorvo, Inc. (a) | 1,238 | ||||||
| 20 | Skyworks Solutions, Inc. | 2,052 | ||||||
| 107 | Texas Instruments, Inc. | 5,529 | ||||||
| 27 | Xilinx, Inc. | 1,178 | ||||||
|
| |||||||
| 45,261 | ||||||||
|
| |||||||
Software — 3.7% |
| |||||||
| 49 | Adobe Systems, Inc. (a) | 3,972 | ||||||
| 23 | Autodesk, Inc. (a) | 1,176 | ||||||
| 33 | CA, Inc. | 957 | ||||||
| 17 | Citrix Systems, Inc. (a) | 1,160 | ||||||
| 32 | Electronic Arts, Inc. (a) | 2,134 | ||||||
| 28 | Intuit, Inc. | 2,866 | ||||||
| 835 | Microsoft Corp. | 36,849 | ||||||
| 329 | Oracle Corp. | 13,255 | ||||||
| 19 | Red Hat, Inc. (a) | 1,436 | ||||||
| 63 | Salesforce.com, Inc. (a) | 4,380 | ||||||
| 70 | Symantec Corp. | 1,633 | ||||||
|
| |||||||
| 69,818 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.8% |
| |||||||
| 594 | Apple, Inc. (m) | 74,551 | ||||||
| 200 | EMC Corp. | 5,288 | ||||||
| 186 | Hewlett-Packard Co. | 5,593 | ||||||
| 32 | NetApp, Inc. | 1,015 | ||||||
| 21 | SanDisk Corp. | 1,249 | ||||||
| 33 | Seagate Technology plc | 1,555 | ||||||
| 22 | Western Digital Corp. | 1,756 | ||||||
|
| |||||||
| 91,007 | ||||||||
|
| |||||||
Total Information Technology | 370,120 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 2.4% |
| |||||||
| 20 | Air Products & Chemicals, Inc. (m) | 2,729 | ||||||
| 7 | Airgas, Inc. | 742 | ||||||
| 24 | CF Industries Holdings, Inc. | 1,561 | ||||||
| 112 | Dow Chemical Co. (The) | 5,721 | ||||||
| 93 | E.I. du Pont de Nemours & Co. | 5,973 | ||||||
| 15 | Eastman Chemical Co. | 1,257 | ||||||
| 28 | Ecolab, Inc. | 3,126 | ||||||
| 14 | FMC Corp. | 724 | ||||||
| 8 | International Flavors & Fragrances, Inc. | 912 | ||||||
| 41 | LyondellBasell Industries N.V., Class A | 4,196 | ||||||
| 49 | Monsanto Co. | 5,236 | ||||||
| 32 | Mosaic Co. (The) | 1,500 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — continued |
| |||||||
| 28 | PPG Industries, Inc. | 3,218 | ||||||
| 30 | Praxair, Inc. | 3,556 | ||||||
| 8 | Sherwin-Williams Co. (The) | 2,247 | ||||||
| 12 | Sigma-Aldrich Corp. | 1,717 | ||||||
|
| |||||||
| 44,415 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
| 6 | Martin Marietta Materials, Inc. | 906 | ||||||
| 14 | Vulcan Materials Co. | 1,149 | ||||||
|
| |||||||
| 2,055 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
| 9 | Avery Dennison Corp. | 572 | ||||||
| 14 | Ball Corp. | 998 | ||||||
| 34 | MeadWestvaco Corp. | 1,627 | ||||||
| 17 | Owens-Illinois, Inc. (a) | 382 | ||||||
| 22 | Sealed Air Corp. | 1,114 | ||||||
|
| |||||||
| 4,693 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
| 126 | Alcoa, Inc. (m) | 1,406 | ||||||
| 11 | Allegheny Technologies, Inc. | 340 | ||||||
| 107 | Freeport-McMoRan, Inc. | 1,998 | ||||||
| 55 | Newmont Mining Corp. (m) | 1,275 | ||||||
| 33 | Nucor Corp. | 1,451 | ||||||
|
| |||||||
| 6,470 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| 44 | International Paper Co. | 2,076 | ||||||
|
| |||||||
Total Materials | 59,709 | |||||||
|
| |||||||
Telecommunication Services — 2.2% |
| |||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
| 536 | AT&T, Inc. | 19,031 | ||||||
| 58 | CenturyLink, Inc. | 1,709 | ||||||
| 119 | Frontier Communications Corp. | 589 | ||||||
| 30 | Level 3 Communications, Inc. (a) | 1,599 | ||||||
| 421 | Verizon Communications, Inc. (m) | 19,613 | ||||||
|
| |||||||
Total Telecommunication Services | 42,541 | |||||||
|
| |||||||
Utilities — 2.8% |
| |||||||
Electric Utilities — 1.6% |
| |||||||
| 51 | American Electric Power Co., Inc. | 2,678 | ||||||
| 71 | Duke Energy Corp. | 5,039 | ||||||
| 34 | Edison International | 1,868 | ||||||
| 19 | Entergy Corp. | 1,306 | ||||||
| 33 | Eversource Energy | 1,488 | ||||||
| 89 | Exelon Corp. | 2,792 | ||||||
| 44 | FirstEnergy Corp. | 1,417 | ||||||
| 46 | NextEra Energy, Inc. | 4,492 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electric Utilities — continued |
| |||||||
| 26 | Pepco Holdings, Inc. | 703 | ||||||
| 11 | Pinnacle West Capital Corp. (m) | 650 | ||||||
| 69 | PPL Corp. | 2,031 | ||||||
| 94 | Southern Co. (The) | 3,926 | ||||||
| 52 | Xcel Energy, Inc. | 1,683 | ||||||
|
| |||||||
| 30,073 | ||||||||
|
| |||||||
Gas Utilities — 0.0% (g) |
| |||||||
| 12 | AGL Resources, Inc. | 576 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
| 70 | AES Corp. | 934 | ||||||
| 34 | NRG Energy, Inc. | 787 | ||||||
|
| |||||||
| 1,721 | ||||||||
|
| |||||||
Multi-Utilities — 1.1% |
| |||||||
| 25 | Ameren Corp. | 943 | ||||||
| 44 | CenterPoint Energy, Inc. | 845 | ||||||
| 28 | CMS Energy Corp. | 907 | ||||||
| 30 | Consolidated Edison, Inc. | 1,749 | ||||||
| 61 | Dominion Resources, Inc. | 4,095 | ||||||
| 19 | DTE Energy Co. | 1,381 | ||||||
| 33 | NiSource, Inc. | 1,493 | ||||||
| 50 | PG&E Corp. | 2,432 | ||||||
| 52 | Public Service Enterprise Group, Inc. | 2,050 | ||||||
| 15 | SCANA Corp. | 747 | ||||||
| 24 | Sempra Energy | 2,376 | ||||||
| 24 | TECO Energy, Inc. | 428 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — continued |
| |||||||
| 33 | WEC Energy Group, Inc. | 1,465 | ||||||
|
| |||||||
| 20,911 | ||||||||
|
| |||||||
Total Utilities | 53,281 | |||||||
|
| |||||||
Total Common Stocks | 1,880,866 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) |
| ||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food & Staples Retailing — 0.0% (g) |
| |||||||
| 25 | Safeway, Inc., PDC CVR, | 1 | ||||||
| 25 | Safeway, Inc., Casa Ley CVR, | 2 | ||||||
|
| |||||||
Total Rights | 3 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 0.5% |
| ||||||
Investment Company — 0.5% |
| |||||||
| 9,361 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 9,361 | ||||||
|
| |||||||
Total Investments — 99.9% | 1,890,230 | |||||||
Other Assets in Excess of | 2,676 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,892,906 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 90 | E-mini S&P 500 | 09/18/15 | USD | $ | 9,245 | $ | (139 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.6% |
| ||||||
Consumer Discretionary — 13.4% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 242 | Dana Holding Corp. | 4,982 | ||||||
| 248 | Gentex Corp. | 4,075 | ||||||
| 5 | Gentherm, Inc. (a) | 275 | ||||||
|
| |||||||
| 9,332 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
| 25 | Thor Industries, Inc. | 1,432 | ||||||
|
| |||||||
Distributors — 0.2% |
| |||||||
| 74 | LKQ Corp. (a) | 2,232 | ||||||
| 89 | VOXX International Corp. (a) | 735 | ||||||
|
| |||||||
| 2,967 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.3% |
| |||||||
| 12 | American Public Education, Inc. (a) | 296 | ||||||
| 63 | Apollo Education Group, Inc. (a) | 810 | ||||||
| 9 | Capella Education Co. | 476 | ||||||
| 2 | Graham Holdings Co., Class B | 2,365 | ||||||
|
| |||||||
| 3,947 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 50 | Boyd Gaming Corp. (a) | 747 | ||||||
| 41 | Brinker International, Inc. | 2,356 | ||||||
| 4 | Buffalo Wild Wings, Inc. (a) | 674 | ||||||
| 50 | Cheesecake Factory, Inc. (The) | 2,722 | ||||||
| 17 | Cracker Barrel Old Country Store, Inc. | 2,569 | ||||||
| 9 | DineEquity, Inc. | 844 | ||||||
| 8 | Domino’s Pizza, Inc. | 907 | ||||||
| 63 | Jack in the Box, Inc. | 5,572 | ||||||
| 16 | Marriott Vacations Worldwide Corp. | 1,489 | ||||||
| 8 | Red Robin Gourmet Burgers, Inc. (a) | 644 | ||||||
| 221 | Ruth’s Hospitality Group, Inc. | 3,555 | ||||||
| 41 | Scientific Games Corp., Class A (a) | 630 | ||||||
| 35 | Texas Roadhouse, Inc. | 1,308 | ||||||
|
| |||||||
| 24,017 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 18 | Helen of Troy Ltd., (Bermuda) (a) | 1,792 | ||||||
| 15 | iRobot Corp. (a) | 486 | ||||||
| 179 | Jarden Corp. (a) | 9,251 | ||||||
| 50 | KB Home | 822 | ||||||
| 30 | La-Z-Boy, Inc. | 782 | ||||||
| 3 | NVR, Inc. (a) | 3,469 | ||||||
| 26 | Ryland Group, Inc. (The) | 1,193 | ||||||
| 34 | Tempur Sealy International, Inc. (a) | 2,247 | ||||||
| 88 | Toll Brothers, Inc. (a) | 3,369 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — continued |
| |||||||
| 26 | Tupperware Brands Corp. | 1,662 | ||||||
| 63 | Universal Electronics, Inc. (a) | 3,121 | ||||||
|
| |||||||
| 28,194 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 8 | Blue Nile, Inc. (a) | 235 | ||||||
| 18 | HSN, Inc. | 1,271 | ||||||
| 14 | Nutrisystem, Inc. | 341 | ||||||
|
| |||||||
| 1,847 | ||||||||
|
| |||||||
Leisure Products — 0.5% |
| |||||||
| 7 | Arctic Cat, Inc. | 242 | ||||||
| 54 | Brunswick Corp. | 2,731 | ||||||
| 41 | Callaway Golf Co. | 368 | ||||||
| 12 | Polaris Industries, Inc. | 1,804 | ||||||
| 10 | Sturm Ruger & Co., Inc. | 552 | ||||||
| 36 | Vista Outdoor, Inc. (a) | 1,599 | ||||||
|
| |||||||
| 7,296 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
| 66 | AMC Networks, Inc., Class A (a) | 5,369 | ||||||
| 59 | Cinemark Holdings, Inc. | 2,350 | ||||||
| 46 | E.W. Scripps Co. (The), Class A | 1,061 | ||||||
| 124 | Harte-Hanks, Inc. | 740 | ||||||
| 27 | John Wiley & Sons, Inc., Class A | 1,444 | ||||||
| 187 | Live Nation Entertainment, Inc. (a) | 5,151 | ||||||
| 44 | Meredith Corp. | 2,287 | ||||||
|
| |||||||
| 18,402 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
| 33 | Big Lots, Inc. | 1,504 | ||||||
| 158 | J.C. Penney Co., Inc. (a) | 1,341 | ||||||
|
| |||||||
| 2,845 | ||||||||
|
| |||||||
Specialty Retail — 5.0% |
| |||||||
| 34 | Aaron’s, Inc. | 1,240 | ||||||
| 38 | Abercrombie & Fitch Co., Class A | 817 | ||||||
| 41 | Advance Auto Parts, Inc. | 6,512 | ||||||
| 97 | American Eagle Outfitters, Inc. | 1,676 | ||||||
| 23 | ANN, Inc. (a) | 1,131 | ||||||
| 60 | Ascena Retail Group, Inc. (a) | 994 | ||||||
| 23 | Barnes & Noble, Inc. (a) | 609 | ||||||
| 76 | Big 5 Sporting Goods Corp. | 1,079 | ||||||
| 25 | Caleres, Inc. | 785 | ||||||
| 99 | Cato Corp. (The), Class A | 3,832 | ||||||
| 154 | Chico’s FAS, Inc. | 2,568 | ||||||
| 71 | Children’s Place, Inc. (The) | 4,640 | ||||||
| 43 | CST Brands, Inc. | 1,680 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Specialty Retail — continued |
| |||||||
| 118 | Dick’s Sporting Goods, Inc. | 6,099 | ||||||
| 30 | Finish Line, Inc. (The), Class A | 826 | ||||||
| 79 | Foot Locker, Inc. | 5,272 | ||||||
| 14 | Genesco, Inc. (a) | 955 | ||||||
| 13 | Group 1 Automotive, Inc. | 1,221 | ||||||
| 37 | Guess?, Inc. | 712 | ||||||
| 10 | Haverty Furniture Cos., Inc. | 219 | ||||||
| 8 | Kirkland’s, Inc. | 221 | ||||||
| 33 | Lithia Motors, Inc., Class A | 3,771 | ||||||
| 12 | MarineMax, Inc. (a) | 288 | ||||||
| 40 | Murphy USA, Inc. (a) | 2,233 | ||||||
| 477 | Office Depot, Inc. (a) | 4,133 | ||||||
| 40 | Outerwall, Inc. | 3,043 | ||||||
| 30 | Select Comfort Corp. (a) | 893 | ||||||
| 38 | Signet Jewelers Ltd., (Bermuda) | 4,937 | ||||||
| 10 | Vitamin Shoppe, Inc. (a) | 355 | ||||||
| 47 | Williams-Sonoma, Inc. | 3,866 | ||||||
| 12 | Zumiez, Inc. (a) | 330 | ||||||
|
| |||||||
| 66,937 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 38 | Carter’s, Inc. | 3,997 | ||||||
| 21 | Deckers Outdoor Corp. (a) | 1,511 | ||||||
| 10 | Movado Group, Inc. | 274 | ||||||
| 59 | Perry Ellis International, Inc. (a) | 1,393 | ||||||
| 23 | Skechers U.S.A., Inc., Class A (a) | 2,483 | ||||||
| 46 | Steven Madden Ltd. (a) | 1,957 | ||||||
| 51 | Wolverine World Wide, Inc. | 1,464 | ||||||
|
| |||||||
| 13,079 | ||||||||
|
| |||||||
Total Consumer Discretionary | 180,295 | |||||||
|
| |||||||
Consumer Staples — 3.4% |
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
| 50 | Andersons, Inc. (The) | 1,947 | ||||||
| 23 | Casey’s General Stores, Inc. | 2,188 | ||||||
| 83 | SpartanNash Co. | 2,716 | ||||||
| 296 | SUPERVALU, Inc. (a) | 2,398 | ||||||
|
| |||||||
| 9,249 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
| 7 | B&G Foods, Inc. | 187 | ||||||
| 7 | Calavo Growers, Inc. | 344 | ||||||
| 16 | Cal-Maine Foods, Inc. | 855 | ||||||
| 57 | Dean Foods Co. | 914 | ||||||
| 73 | Flowers Foods, Inc. | 1,536 | ||||||
| 41 | Hain Celestial Group, Inc. (The) (a) | 2,679 | ||||||
| 82 | Ingredion, Inc. | 6,573 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — continued |
| |||||||
| 8 | J&J Snack Foods Corp. | 885 | ||||||
| 6 | Post Holdings, Inc. (a) | 297 | ||||||
| 52 | Sanderson Farms, Inc. | 3,895 | ||||||
| 18 | Seneca Foods Corp., Class A (a) | 504 | ||||||
| 97 | WhiteWave Foods Co. (The) (a) | 4,722 | ||||||
|
| |||||||
| 23,391 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 120 | Central Garden & Pet Co., Class A (a) | 1,372 | ||||||
| 70 | Church & Dwight Co., Inc. | 5,686 | ||||||
| 37 | Energizer Holdings, Inc. | 4,806 | ||||||
|
| |||||||
| 11,864 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 232 | Avon Products, Inc. | 1,450 | ||||||
| 8 | Medifast, Inc. (a) | 250 | ||||||
|
| |||||||
| 1,700 | ||||||||
|
| |||||||
Total Consumer Staples | 46,204 | |||||||
|
| |||||||
Energy — 4.1% |
| |||||||
Energy Equipment & Services — 1.9% |
| |||||||
| 32 | Atwood Oceanics, Inc. | 835 | ||||||
| 18 | Basic Energy Services, Inc. (a) | 134 | ||||||
| 21 | Bristow Group, Inc. | 1,104 | ||||||
| 12 | Dril-Quip, Inc. (a) | 934 | ||||||
| 37 | Exterran Holdings, Inc. | 1,194 | ||||||
| 65 | Gulf Island Fabrication, Inc. | 730 | ||||||
| 230 | Helix Energy Solutions Group, Inc. (a) | 2,911 | ||||||
| 18 | Hornbeck Offshore Services, Inc. (a) | 365 | ||||||
| 630 | ION Geophysical Corp. (a) | 674 | ||||||
| 74 | Matrix Service Co. (a) | 1,359 | ||||||
| 160 | Nabors Industries Ltd., (Bermuda) | 2,306 | ||||||
| 54 | Oceaneering International, Inc. | 2,505 | ||||||
| 67 | Oil States International, Inc. (a) | 2,508 | ||||||
| 73 | Patterson-UTI Energy, Inc. | 1,371 | ||||||
| 34 | Pioneer Energy Services Corp. (a) | 215 | ||||||
| 71 | Rowan Cos. plc, Class A | 1,505 | ||||||
| 179 | Superior Energy Services, Inc. | 3,774 | ||||||
| 17 | Tesco Corp. | 190 | ||||||
| 30 | Tidewater, Inc. | 671 | ||||||
| 24 | Unit Corp. (a) | 654 | ||||||
|
| |||||||
| 25,939 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
| 26 | Bill Barrett Corp. (a) | 222 | ||||||
| 166 | California Resources Corp. | 1,001 | ||||||
| 26 | Carrizo Oil & Gas, Inc. (a) | 1,276 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 28 | Comstock Resources, Inc. | 92 | ||||||
| 8 | Contango Oil & Gas Co. (a) | 94 | ||||||
| 105 | Denbury Resources, Inc. | 670 | ||||||
| 31 | Energen Corp. | 2,124 | ||||||
| 64 | Green Plains, Inc. | 1,758 | ||||||
| 48 | Gulfport Energy Corp. (a) | 1,920 | ||||||
| 186 | HollyFrontier Corp. | 7,939 | ||||||
| 7 | PDC Energy, Inc. (a) | 381 | ||||||
| 51 | Penn Virginia Corp. (a) | 225 | ||||||
| 32 | PetroQuest Energy, Inc. (a) | 64 | ||||||
| 42 | Rosetta Resources, Inc. (a) | 977 | ||||||
| 39 | SM Energy Co. | 1,813 | ||||||
| 72 | Stone Energy Corp. (a) | 911 | ||||||
| 38 | Western Refining, Inc. | 1,662 | ||||||
| 43 | World Fuel Services Corp. | 2,084 | ||||||
| 311 | WPX Energy, Inc. (a) | 3,823 | ||||||
|
| |||||||
| 29,036 | ||||||||
|
| |||||||
Total Energy | 54,975 | |||||||
|
| |||||||
Financials — 22.6% |
| |||||||
Banks — 6.2% |
| |||||||
| 189 | Associated Banc-Corp. | 3,829 | ||||||
| 64 | BancorpSouth, Inc. | 1,637 | ||||||
| 38 | Bank of Hawaii Corp. | 2,556 | ||||||
| 32 | Bank of the Ozarks, Inc. | 1,479 | ||||||
| 10 | Banner Corp. | 476 | ||||||
| 45 | BBCN Bancorp, Inc. | 665 | ||||||
| 45 | Boston Private Financial Holdings, Inc. | 607 | ||||||
| 47 | Cathay General Bancorp | 1,523 | ||||||
| 20 | City National Corp. | 1,849 | ||||||
| 37 | Columbia Banking System, Inc. | 1,202 | ||||||
| 2 | Commerce Bancshares, Inc. | 116 | ||||||
| 24 | Community Bank System, Inc. | 920 | ||||||
| 50 | CVB Financial Corp. | 882 | ||||||
| 188 | East West Bancorp, Inc. | 8,419 | ||||||
| 215 | First BanCorp, (Puerto Rico) (a) | 1,037 | ||||||
| 31 | First Financial Bancorp | 556 | ||||||
| 42 | First Midwest Bancorp, Inc. | 803 | ||||||
| 276 | First Niagara Financial Group, Inc. | 2,606 | ||||||
| 246 | FirstMerit Corp. | 5,121 | ||||||
| 34 | FNB Corp. | 494 | ||||||
| 367 | Fulton Financial Corp. | 4,792 | ||||||
| 47 | Hancock Holding Co. | 1,484 | ||||||
| 18 | Hanmi Financial Corp. | 442 | ||||||
| 25 | Home BancShares, Inc. | 901 | ||||||
| 12 | Independent Bank Corp. | 567 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 32 | MB Financial, Inc. | 1,097 | ||||||
| 21 | NBT Bancorp, Inc. | 537 | ||||||
| 12 | Old National Bancorp | 171 | ||||||
| 137 | PacWest Bancorp | 6,388 | ||||||
| 20 | Pinnacle Financial Partners, Inc. | 1,079 | ||||||
| 37 | PrivateBancorp, Inc. | 1,489 | ||||||
| 26 | Prosperity Bancshares, Inc. | 1,477 | ||||||
| 27 | Signature Bank (a) | 3,923 | ||||||
| 21 | Simmons First National Corp., Class A | 994 | ||||||
| 52 | SVB Financial Group (a) | 7,487 | ||||||
| 75 | Synovus Financial Corp. | 2,303 | ||||||
| 95 | TCF Financial Corp. | 1,581 | ||||||
| 7 | Tompkins Financial Corp. | 351 | ||||||
| 46 | Trustmark Corp. | 1,154 | ||||||
| 22 | UMB Financial Corp. | 1,243 | ||||||
| 176 | Umpqua Holdings Corp. | 3,168 | ||||||
| 24 | United Community Banks, Inc. | 509 | ||||||
| 50 | Webster Financial Corp. | 1,976 | ||||||
| 33 | Wilshire Bancorp, Inc. | 417 | ||||||
| 27 | Wintrust Financial Corp. | 1,432 | ||||||
|
| |||||||
| 83,739 | ||||||||
|
| |||||||
Capital Markets — 2.2% |
| |||||||
| 30 | Eaton Vance Corp. | 1,162 | ||||||
| 81 | Evercore Partners, Inc., Class A | 4,381 | ||||||
| 17 | HFF, Inc., Class A | 725 | ||||||
| 23 | Investment Technology Group, Inc. | 579 | ||||||
| 77 | Janus Capital Group, Inc. | 1,318 | ||||||
| 9 | Piper Jaffray Cos. (a) | 376 | ||||||
| 135 | Raymond James Financial, Inc. | 8,042 | ||||||
| 176 | SEI Investments Co. | 8,631 | ||||||
| 34 | Stifel Financial Corp. (a) | 1,959 | ||||||
| 4 | Virtus Investment Partners, Inc. | 569 | ||||||
| 48 | Waddell & Reed Financial, Inc., Class A | 2,248 | ||||||
|
| |||||||
| 29,990 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
| 32 | Cash America International, Inc. | 832 | ||||||
| 12 | Encore Capital Group, Inc. (a) | 521 | ||||||
| 29 | Enova International, Inc. (a) | 535 | ||||||
| 32 | Ezcorp, Inc., Class A (a) | 237 | ||||||
| 5 | First Cash Financial Services, Inc. (a) | 211 | ||||||
| 11 | Green Dot Corp., Class A (a) | 210 | ||||||
| 231 | SLM Corp. (a) | 2,278 | ||||||
| 8 | World Acceptance Corp. (a) | 508 | ||||||
|
| |||||||
| 5,332 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Diversified Financial Services — 0.7% |
| |||||||
| 19 | CBOE Holdings, Inc. | 1,084 | ||||||
| 21 | MarketAxess Holdings, Inc. | 1,930 | ||||||
| 112 | MSCI, Inc. | 6,918 | ||||||
|
| |||||||
| 9,932 | ||||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
| 6 | Alleghany Corp. (a) | 2,889 | ||||||
| 41 | American Equity Investment Life Holding Co. | 1,117 | ||||||
| 66 | American Financial Group, Inc. | 4,317 | ||||||
| 10 | AMERISAFE, Inc. | 485 | ||||||
| 93 | Aspen Insurance Holdings Ltd., (Bermuda) | 4,476 | ||||||
| 52 | Brown & Brown, Inc. | 1,700 | ||||||
| 48 | Everest Re Group Ltd., (Bermuda) | 8,730 | ||||||
| 151 | First American Financial Corp. | 5,619 | ||||||
| 78 | Hanover Insurance Group, Inc. (The) | 5,776 | ||||||
| 100 | HCC Insurance Holdings, Inc. | 7,662 | ||||||
| 7 | Navigators Group, Inc. (The) (a) | 554 | ||||||
| 167 | Old Republic International Corp. | 2,610 | ||||||
| 35 | Reinsurance Group of America, Inc. | 3,301 | ||||||
| 32 | Selective Insurance Group, Inc. | 889 | ||||||
| 6 | StanCorp Financial Group, Inc. | 424 | ||||||
| 11 | Stewart Information Services Corp. | 436 | ||||||
| 22 | United Fire Group, Inc. | 721 | ||||||
| 52 | W.R. Berkley Corp. | 2,704 | ||||||
|
| |||||||
| 54,410 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.0% |
| |||||||
| 25 | Acadia Realty Trust (m) | 738 | ||||||
| 36 | Alexandria Real Estate Equities, Inc. (m) | 3,135 | ||||||
| 21 | American Assets Trust, Inc. | 812 | ||||||
| 59 | American Campus Communities, Inc. (m) | 2,226 | ||||||
| 31 | Associated Estates Realty Corp. (m) | 879 | ||||||
| 254 | BioMed Realty Trust, Inc. (m) | 4,919 | ||||||
| 46 | Camden Property Trust (m) | 3,413 | ||||||
| 12 | CareTrust REIT, Inc. | 158 | ||||||
| 41 | Cedar Realty Trust, Inc. (m) | 259 | ||||||
| 31 | Chesapeake Lodging Trust | 929 | ||||||
| 21 | CoreSite Realty Corp. | 945 | ||||||
| 42 | Corporate Office Properties Trust (m) | 985 | ||||||
| 74 | Corrections Corp. of America (m) | 2,452 | ||||||
| 142 | Cousins Properties, Inc. (m) | 1,469 | ||||||
| 397 | DiamondRock Hospitality Co. | 5,082 | ||||||
| 180 | Duke Realty Corp. (m) | 3,350 | ||||||
| 5 | EastGroup Properties, Inc. (m) | 306 | ||||||
| 27 | EPR Properties (m) | 1,474 | ||||||
| 35 | Equity One, Inc. (m) | 812 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 60 | Extra Space Storage, Inc. (m) | 3,892 | ||||||
| 11 | Federal Realty Investment Trust (m) | 1,464 | ||||||
| 41 | Franklin Street Properties Corp. | 467 | ||||||
| 124 | GEO Group, Inc. (The) | 4,233 | ||||||
| 15 | Getty Realty Corp. (m) | 247 | ||||||
| 22 | Government Properties Income Trust | 411 | ||||||
| 44 | Healthcare Realty Trust, Inc. (m) | 1,028 | ||||||
| 75 | Highwoods Properties, Inc. (m) | 2,997 | ||||||
| 28 | Home Properties, Inc. (m) | 2,057 | ||||||
| 83 | Hospitality Properties Trust (m) | 2,382 | ||||||
| 44 | Inland Real Estate Corp. (m) | 419 | ||||||
| 89 | Kilroy Realty Corp. (m) | 5,980 | ||||||
| 172 | Kite Realty Group Trust (m) | 4,207 | ||||||
| 166 | LaSalle Hotel Properties (m) | 5,894 | ||||||
| 65 | Liberty Property Trust (m) | 2,107 | ||||||
| 50 | Mack-Cali Realty Corp. (m) | 927 | ||||||
| 78 | Medical Properties Trust, Inc. | 1,021 | ||||||
| 46 | Mid-America Apartment Communities, Inc. (m) | 3,322 | ||||||
| 12 | Parkway Properties, Inc. (m) | 214 | ||||||
| 31 | Post Properties, Inc. (m) | 1,680 | ||||||
| 81 | Potlatch Corp. (m) | 2,858 | ||||||
| 11 | PS Business Parks, Inc. (m) | 769 | ||||||
| 51 | Regency Centers Corp. (m) | 3,034 | ||||||
| 50 | Retail Opportunity Investments Corp. | 773 | ||||||
| 7 | Saul Centers, Inc. (m) | 334 | ||||||
| 107 | Senior Housing Properties Trust (m) | 1,876 | ||||||
| 17 | Sovran Self Storage, Inc. (m) | 1,519 | ||||||
| 105 | Summit Hotel Properties, Inc. | 1,366 | ||||||
| 53 | Tanger Factory Outlet Centers, Inc. (m) | 1,693 | ||||||
| 77 | Taubman Centers, Inc. (m) | 5,323 | ||||||
| 144 | UDR, Inc. (m) | 4,611 | ||||||
| 7 | Universal Health Realty Income Trust (m) | 327 | ||||||
| 13 | Urstadt Biddle Properties, Inc., Class A (m) | 250 | ||||||
| 70 | Weingarten Realty Investors (m) | 2,281 | ||||||
| 92 | WP GLIMCHER, Inc. | 1,242 | ||||||
|
| |||||||
| 107,548 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 53 | Alexander & Baldwin, Inc. | 2,101 | ||||||
| 53 | Jones Lang LaSalle, Inc. | 9,087 | ||||||
|
| |||||||
| 11,188 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
| 25 | Bank Mutual Corp. | 189 | ||||||
| 49 | New York Community Bancorp, Inc. | 900 | ||||||
| 31 | Provident Financial Services, Inc. | 584 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Thrifts & Mortgage Finance — continued |
| |||||||
| 52 | TrustCo Bank Corp. | 364 | ||||||
| 17 | Walker & Dunlop, Inc. (a) | 460 | ||||||
|
| |||||||
| 2,497 | ||||||||
|
| |||||||
Total Financials | 304,636 | |||||||
|
| |||||||
Health Care — 10.4% |
| |||||||
Biotechnology — 1.5% |
| |||||||
| 96 | Acorda Therapeutics, Inc. (a) | 3,213 | ||||||
| 16 | Emergent BioSolutions, Inc. (a) | 511 | ||||||
| 384 | Momenta Pharmaceuticals, Inc. (a) | 8,761 | ||||||
| 44 | United Therapeutics Corp. (a) | 7,701 | ||||||
|
| |||||||
| 20,186 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% |
| |||||||
| 83 | Align Technology, Inc. (a) | 5,186 | ||||||
| 16 | CONMED Corp. | 914 | ||||||
| 15 | Cyberonics, Inc. (a) | 904 | ||||||
| 91 | Cynosure, Inc., Class A (a) | 3,526 | ||||||
| 13 | Greatbatch, Inc. (a) | 698 | ||||||
| 75 | Halyard Health, Inc. (a) | 3,029 | ||||||
| 92 | Hill-Rom Holdings, Inc. | 5,010 | ||||||
| 307 | Hologic, Inc. (a) | 11,700 | ||||||
| 43 | ICU Medical, Inc. (a) | 4,111 | ||||||
| 14 | Invacare Corp. | 292 | ||||||
| 25 | Masimo Corp. (a) | 986 | ||||||
| 18 | Natus Medical, Inc. (a) | 781 | ||||||
| 28 | NuVasive, Inc. (a) | 1,323 | ||||||
| 67 | Sirona Dental Systems, Inc. (a) | 6,718 | ||||||
| 35 | Thoratec Corp. (a) | 1,559 | ||||||
| 5 | West Pharmaceutical Services, Inc. | 285 | ||||||
|
| |||||||
| 47,022 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 22 | AMN Healthcare Services, Inc. (a) | 710 | ||||||
| 26 | Amsurg Corp. (a) | 1,849 | ||||||
| 110 | Centene Corp. (a) | 8,834 | ||||||
| 115 | Community Health Systems, Inc. (a) | 7,235 | ||||||
| 9 | Ensign Group, Inc. (The) | 468 | ||||||
| 82 | Health Net, Inc. (a) | 5,243 | ||||||
| 8 | IPC Healthcare, Inc. (a) | 460 | ||||||
| 81 | Kindred Healthcare, Inc. | 1,646 | ||||||
| 67 | LifePoint Health, Inc. (a) | 5,861 | ||||||
| 33 | Magellan Health, Inc. (a) | 2,282 | ||||||
| 15 | MEDNAX, Inc. (a) | 1,103 | ||||||
| 23 | Molina Healthcare, Inc. (a) | 1,631 | ||||||
| 61 | Omnicare, Inc. | 5,728 | ||||||
| 17 | PharMerica Corp. (a) | 569 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — continued |
| |||||||
| 112 | VCA, Inc. (a) | 6,119 | ||||||
| 34 | WellCare Health Plans, Inc. (a) | 2,901 | ||||||
|
| |||||||
| 52,639 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 19 | Omnicell, Inc. (a) | 704 | ||||||
| 25 | Quality Systems, Inc. | 409 | ||||||
|
| |||||||
| 1,113 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 40 | Affymetrix, Inc. (a) | 440 | ||||||
| 12 | Bio-Rad Laboratories, Inc., Class A (a) | 1,762 | ||||||
| 73 | Cambrex Corp. (a) | 3,186 | ||||||
| 33 | Charles River Laboratories International, Inc. (a) | 2,293 | ||||||
| 15 | Mettler-Toledo International, Inc. (a) | 5,258 | ||||||
| 33 | PAREXEL International Corp. (a) | 2,118 | ||||||
|
| |||||||
| 15,057 | ||||||||
|
| |||||||
Pharmaceuticals — 0.3% |
| |||||||
| 39 | Impax Laboratories, Inc. (a) | 1,777 | ||||||
| 45 | Medicines Co. (The) (a) | 1,296 | ||||||
| 29 | Prestige Brands Holdings, Inc. (a) | 1,326 | ||||||
|
| |||||||
| 4,399 | ||||||||
|
| |||||||
Total Health Care | 140,416 | |||||||
|
| |||||||
Industrials — 15.3% |
| |||||||
Aerospace & Defense — 1.9% |
| |||||||
| 23 | AAR Corp. | 720 | ||||||
| 4 | B/E Aerospace, Inc. | 233 | ||||||
| 79 | Cubic Corp. | 3,773 | ||||||
| 34 | Curtiss-Wright Corp. | 2,448 | ||||||
| 70 | Engility Holdings, Inc. | 1,750 | ||||||
| 67 | Huntington Ingalls Industries, Inc. | 7,527 | ||||||
| 8 | KLX, Inc. (a) | 334 | ||||||
| 18 | Moog, Inc., Class A (a) | 1,299 | ||||||
| 53 | Orbital ATK, Inc. | 3,852 | ||||||
| 21 | Teledyne Technologies, Inc. (a) | 2,205 | ||||||
| 21 | Triumph Group, Inc. | 1,379 | ||||||
|
| |||||||
| 25,520 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
| 41 | Atlas Air Worldwide Holdings, Inc. (a) | 2,259 | ||||||
| 20 | Hub Group, Inc., Class A (a) | 801 | ||||||
|
| |||||||
| 3,060 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
| 87 | Alaska Air Group, Inc. | 5,627 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Airlines — continued |
| |||||||
| 251 | JetBlue Airways Corp. (a) | 5,213 | ||||||
|
| |||||||
| 10,840 | ||||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
| 112 | A.O. Smith Corp. | 8,091 | ||||||
| 63 | American Woodmark Corp. (a) | 3,478 | ||||||
| 61 | Fortune Brands Home & Security, Inc. | 2,786 | ||||||
| 31 | Lennox International, Inc. | 3,312 | ||||||
| 11 | Universal Forest Products, Inc. | 566 | ||||||
|
| |||||||
| 18,233 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.7% |
| |||||||
| 144 | ABM Industries, Inc. | 4,746 | ||||||
| 31 | Deluxe Corp. | 1,924 | ||||||
| 19 | Essendant, Inc. | 764 | ||||||
| 10 | Herman Miller, Inc. | 288 | ||||||
| 24 | HNI Corp. | 1,242 | ||||||
| 36 | Interface, Inc. | 889 | ||||||
| 64 | Matthews International Corp., Class A | 3,421 | ||||||
| 341 | R.R. Donnelley & Sons Co. | 5,946 | ||||||
| 153 | Tetra Tech, Inc. | 3,935 | ||||||
| 11 | Viad Corp. | 299 | ||||||
|
| |||||||
| 23,454 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
| 181 | AECOM (a) | 5,997 | ||||||
| 131 | Aegion Corp. (a) | 2,478 | ||||||
| 21 | Comfort Systems USA, Inc. | 478 | ||||||
| 19 | Dycom Industries, Inc. (a) | 1,112 | ||||||
| 81 | EMCOR Group, Inc. | 3,858 | ||||||
| 84 | KBR, Inc. | 1,635 | ||||||
|
| |||||||
| 15,558 | ||||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
| 14 | AZZ, Inc. | 735 | ||||||
| 56 | EnerSys | 3,917 | ||||||
| 119 | General Cable Corp. | 2,348 | ||||||
| 25 | Hubbell, Inc., Class B | 2,727 | ||||||
| 68 | Regal Beloit Corp. | 4,968 | ||||||
|
| |||||||
| 14,695 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.3% |
| |||||||
| 35 | Carlisle Cos., Inc. | 3,457 | ||||||
|
| |||||||
Machinery — 3.2% |
| |||||||
| 48 | AGCO Corp. | 2,698 | ||||||
| 16 | Albany International Corp., Class A | 621 | ||||||
| 107 | Barnes Group, Inc. | 4,157 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — continued |
| |||||||
| 64 | Crane Co. | 3,766 | ||||||
| 35 | Federal Signal Corp. | 521 | ||||||
| 36 | IDEX Corp. | 2,868 | ||||||
| 120 | ITT Corp. | 5,017 | ||||||
| 16 | John Bean Technologies Corp. | 593 | ||||||
| 45 | Kennametal, Inc. | 1,522 | ||||||
| 16 | Lincoln Electric Holdings, Inc. | 986 | ||||||
| 9 | Lydall, Inc. (a) | 269 | ||||||
| 33 | Mueller Industries, Inc. | 1,146 | ||||||
| 23 | Nordson Corp. | 1,825 | ||||||
| 43 | Oshkosh Corp. | 1,812 | ||||||
| 22 | SPX Corp. | 1,607 | ||||||
| 7 | Standex International Corp. | 583 | ||||||
| 11 | Tennant Co. | 709 | ||||||
| 108 | Terex Corp. | 2,506 | ||||||
| 46 | Timken Co. (The) | 1,666 | ||||||
| 95 | Trinity Industries, Inc. | 2,524 | ||||||
| 58 | Wabtec Corp. | 5,440 | ||||||
| 6 | Watts Water Technologies, Inc., Class A | 327 | ||||||
|
| |||||||
| 43,163 | ||||||||
|
| |||||||
Marine — 0.5% |
| |||||||
| 146 | Matson, Inc. | 6,121 | ||||||
|
| |||||||
Professional Services — 1.9% |
| |||||||
| 18 | CEB, Inc. | 1,564 | ||||||
| 21 | FTI Consulting, Inc. (a) | 861 | ||||||
| 106 | Heidrick & Struggles International, Inc. | 2,769 | ||||||
| 68 | Insperity, Inc. | 3,466 | ||||||
| 28 | Korn/Ferry International | 957 | ||||||
| 96 | ManpowerGroup, Inc. | 8,606 | ||||||
| 24 | On Assignment, Inc. (a) | 939 | ||||||
| 109 | Resources Connection, Inc. | 1,756 | ||||||
| 37 | Towers Watson & Co., Class A | 4,632 | ||||||
| 9 | TrueBlue, Inc. (a) | 262 | ||||||
|
| |||||||
| 25,812 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 74 | ArcBest Corp. | 2,344 | ||||||
| 113 | Con-way, Inc. | 4,355 | ||||||
| 11 | J.B. Hunt Transport Services, Inc. | 900 | ||||||
| 25 | Landstar System, Inc. | 1,689 | ||||||
| 8 | Old Dominion Freight Line, Inc. (a) | 521 | ||||||
|
| |||||||
| 9,809 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.5% |
| |||||||
| 24 | Applied Industrial Technologies, Inc. | 948 | ||||||
| 10 | GATX Corp. | 526 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Trading Companies & Distributors — continued |
| |||||||
| 3 | MSC Industrial Direct Co., Inc., Class A | 224 | ||||||
| 63 | NOW, Inc. (a) | 1,254 | ||||||
| 41 | Veritiv Corp. (a) | 1,499 | ||||||
| 15 | Watsco, Inc. | 1,831 | ||||||
|
| |||||||
| 6,282 | ||||||||
|
| |||||||
Total Industrials | 206,004 | |||||||
|
| |||||||
Information Technology — 16.5% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 116 | ARRIS Group, Inc. (a) | 3,546 | ||||||
| 31 | Bel Fuse, Inc., Class B | 626 | ||||||
| 68 | Ciena Corp. (a) | 1,610 | ||||||
| 8 | Comtech Telecommunications Corp. | 224 | ||||||
| 81 | Digi International, Inc. (a) | 777 | ||||||
| 51 | Harmonic, Inc. (a) | 347 | ||||||
| 14 | Harris Corp. | 1,062 | ||||||
| 19 | InterDigital, Inc. | 1,104 | ||||||
| 20 | NETGEAR, Inc. (a) | 602 | ||||||
| 304 | Polycom, Inc. (a) | 3,480 | ||||||
|
| |||||||
| 13,378 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.2% |
| |||||||
| 137 | Arrow Electronics, Inc. (a) | 7,636 | ||||||
| 170 | Avnet, Inc. | 6,999 | ||||||
| 23 | Belden, Inc. | 1,894 | ||||||
| 177 | Benchmark Electronics, Inc. (a) | 3,860 | ||||||
| 99 | Checkpoint Systems, Inc. | 1,007 | ||||||
| 61 | Coherent, Inc. (a) | 3,859 | ||||||
| 8 | DTS, Inc. (a) | 235 | ||||||
| 14 | Electro Scientific Industries, Inc. | 76 | ||||||
| 177 | Fabrinet, (Thailand) (a) | 3,321 | ||||||
| 18 | Gerber Scientific, Inc. (a) (i) | – | (h) | |||||
| 8 | II-VI, Inc. (a) | 160 | ||||||
| 88 | Ingram Micro, Inc., Class A (a) | 2,207 | ||||||
| 134 | Insight Enterprises, Inc. (a) | 4,020 | ||||||
| 23 | Itron, Inc. (a) | 795 | ||||||
| 213 | Jabil Circuit, Inc. | 4,526 | ||||||
| 94 | Keysight Technologies, Inc. (a) | 2,919 | ||||||
| 13 | Littelfuse, Inc. | 1,187 | ||||||
| 21 | Methode Electronics, Inc. | 564 | ||||||
| 23 | Newport Corp. (a) | 441 | ||||||
| 11 | OSI Systems, Inc. (a) | 779 | ||||||
| 12 | Park Electrochemical Corp. | 230 | ||||||
| 16 | Rofin-Sinar Technologies, Inc. (a) | 448 | ||||||
| 9 | Rogers Corp. (a) | 596 | ||||||
| 90 | Sanmina Corp. (a) | 1,804 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
| 120 | Trimble Navigation Ltd. (a) | 2,814 | ||||||
| 81 | Vishay Intertechnology, Inc. | 941 | ||||||
| 28 | Zebra Technologies Corp., Class A (a) | 3,143 | ||||||
|
| |||||||
| 56,461 | ||||||||
|
| |||||||
Internet Software & Services — 0.3% |
| |||||||
| 18 | Blucora, Inc. (a) | 287 | ||||||
| 136 | Liquidity Services, Inc. (a) | 1,311 | ||||||
| 65 | Rackspace Hosting, Inc. (a) | 2,428 | ||||||
| 8 | Stamps.com, Inc. (a) | 589 | ||||||
|
| |||||||
| 4,615 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 153 | Broadridge Financial Solutions, Inc. | 7,637 | ||||||
| 52 | CACI International, Inc., Class A (a) | 4,191 | ||||||
| 8 | Cardtronics, Inc. (a) | 288 | ||||||
| 55 | Convergys Corp. | 1,414 | ||||||
| 47 | CoreLogic, Inc. (a) | 1,877 | ||||||
| 16 | DST Systems, Inc. | 2,051 | ||||||
| 56 | ExlService Holdings, Inc. (a) | 1,935 | ||||||
| 76 | Global Payments, Inc. | 7,813 | ||||||
| 32 | Heartland Payment Systems, Inc. | 1,749 | ||||||
| 109 | Leidos Holdings, Inc. | 4,408 | ||||||
| 105 | ManTech International Corp., Class A | 3,048 | ||||||
| 37 | MAXIMUS, Inc. | 2,407 | ||||||
| 88 | Science Applications International Corp. | 4,646 | ||||||
| 121 | Sykes Enterprises, Inc. (a) | 2,926 | ||||||
|
| |||||||
| 46,390 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 25 | Advanced Energy Industries, Inc. (a) | 690 | ||||||
| 262 | Atmel Corp. | 2,581 | ||||||
| 13 | Cabot Microelectronics Corp. (a) | 629 | ||||||
| 37 | Cirrus Logic, Inc. (a) | 1,243 | ||||||
| 99 | Cohu, Inc. | 1,310 | ||||||
| 61 | Cree, Inc. (a) | 1,583 | ||||||
| 19 | Diodes, Inc. (a) | 468 | ||||||
| 61 | DSP Group, Inc. (a) | 628 | ||||||
| 70 | Fairchild Semiconductor International, Inc. (a) | 1,215 | ||||||
| 308 | Kulicke & Soffa Industries, Inc., (Singapore) (a) | 3,606 | ||||||
| 78 | Microsemi Corp. (a) | 2,719 | ||||||
| 36 | MKS Instruments, Inc. | 1,357 | ||||||
| 10 | Nanometrics, Inc. (a) | 157 | ||||||
| 115 | Pericom Semiconductor Corp. | 1,509 | ||||||
| 144 | Qorvo, Inc. (a) | 11,563 | ||||||
| 54 | SunEdison, Inc. (a) | 1,624 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 21 | Synaptics, Inc. (a) | 1,813 | ||||||
| 122 | Teradyne, Inc. | 2,344 | ||||||
| 15 | Ultratech, Inc. (a) | 280 | ||||||
|
| |||||||
| 37,319 | ||||||||
|
| |||||||
Software — 4.3% |
| |||||||
| 65 | ACI Worldwide, Inc. (a) | 1,590 | ||||||
| 19 | Bottomline Technologies de, Inc. (a) | 517 | ||||||
| 162 | Cadence Design Systems, Inc. (a) | 3,190 | ||||||
| 116 | CDK Global, Inc. | 6,267 | ||||||
| 24 | CommVault Systems, Inc. (a) | 1,014 | ||||||
| 20 | Fair Isaac Corp. | 1,811 | ||||||
| 76 | Fortinet, Inc. (a) | 3,145 | ||||||
| 17 | Informatica Corp. (a) | 828 | ||||||
| 28 | Mentor Graphics Corp. | 740 | ||||||
| 18 | MicroStrategy, Inc., Class A (a) | 3,105 | ||||||
| 150 | Progress Software Corp. (a) | 4,116 | ||||||
| 157 | PTC, Inc. (a) | 6,449 | ||||||
| 407 | Rovi Corp. (a) | 6,493 | ||||||
| 101 | SolarWinds, Inc. (a) | 4,649 | ||||||
| 178 | Synopsys, Inc. (a) | 9,032 | ||||||
| 163 | Take-Two Interactive Software, Inc. (a) | 4,493 | ||||||
|
| |||||||
| 57,439 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
| 31 | 3D Systems Corp. (a) | 597 | ||||||
| 30 | Diebold, Inc. | 1,066 | ||||||
| 35 | Lexmark International, Inc., Class A | 1,567 | ||||||
| 94 | NCR Corp. (a) | 2,817 | ||||||
| 49 | QLogic Corp. (a) | 694 | ||||||
|
| |||||||
| 6,741 | ||||||||
|
| |||||||
Total Information Technology | 222,343 | |||||||
|
| |||||||
Materials — 6.6% |
| |||||||
Chemicals — 3.1% |
| |||||||
| 18 | A Schulman, Inc. | 790 | ||||||
| 63 | Albemarle Corp. | 3,466 | ||||||
| 67 | Ashland, Inc. | 8,201 | ||||||
| 33 | Cabot Corp. | 1,247 | ||||||
| 33 | Calgon Carbon Corp. | 648 | ||||||
| 42 | Cytec Industries, Inc. | 2,547 | ||||||
| 140 | FutureFuel Corp. | 1,806 | ||||||
| 11 | Innophos Holdings, Inc. | 589 | ||||||
| 20 | Kraton Performance Polymers, Inc. (a) | 466 | ||||||
| 22 | Minerals Technologies, Inc. | 1,529 | ||||||
| 46 | Olin Corp. | 1,249 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — continued |
| |||||||
| 16 | OM Group, Inc. | 537 | ||||||
| 7 | Quaker Chemical Corp. | 641 | ||||||
| 129 | RPM International, Inc. | 6,312 | ||||||
| 78 | Scotts Miracle-Gro Co. (The), Class A | 4,589 | ||||||
| 63 | Stepan Co. | 3,413 | ||||||
| 42 | Valspar Corp. (The) | 3,441 | ||||||
|
| |||||||
| 41,471 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
| 41 | Headwaters, Inc. (a) | 746 | ||||||
|
| |||||||
Containers & Packaging — 1.5% |
| |||||||
| 58 | Bemis Co., Inc. | 2,588 | ||||||
| 78 | Packaging Corp. of America | 4,871 | ||||||
| 146 | Rock-Tenn Co., Class A | 8,800 | ||||||
| 37 | Silgan Holdings, Inc. | 1,949 | ||||||
| 36 | Sonoco Products Co. | 1,534 | ||||||
|
| |||||||
| 19,742 | ||||||||
|
| |||||||
Metals & Mining — 1.3% |
| |||||||
| 28 | Century Aluminum Co. (a) | 293 | ||||||
| 183 | Commercial Metals Co. | 2,945 | ||||||
| 37 | Compass Minerals International, Inc. | 3,031 | ||||||
| 39 | Globe Specialty Metals, Inc. | 683 | ||||||
| 15 | Kaiser Aluminum Corp. | 1,268 | ||||||
| 44 | Reliance Steel & Aluminum Co. | 2,654 | ||||||
| 13 | Royal Gold, Inc. | 812 | ||||||
| 165 | Steel Dynamics, Inc. | 3,426 | ||||||
| 82 | United States Steel Corp. | 1,699 | ||||||
| 31 | Worthington Industries, Inc. | 918 | ||||||
|
| |||||||
| 17,729 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
| 72 | Boise Cascade Co. (a) | 2,633 | ||||||
| 36 | Domtar Corp., (Canada) | 1,506 | ||||||
| 45 | KapStone Paper & Packaging Corp. | 1,036 | ||||||
| 11 | Neenah Paper, Inc. | 625 | ||||||
| 25 | PH Glatfelter Co. | 539 | ||||||
| 61 | Schweitzer-Mauduit International, Inc. | 2,446 | ||||||
|
| |||||||
| 8,785 | ||||||||
|
| |||||||
Total Materials | 88,473 | |||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
Diversified Telecommunication Services — 0.1% |
| |||||||
| 49 | 8x8, Inc. (a) | 436 | ||||||
| 103 | General Communication, Inc., Class A (a) | 1,745 | ||||||
|
| |||||||
| 2,181 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
| 52 | Spok Holdings, Inc. | 881 | ||||||
| 143 | Telephone & Data Systems, Inc. | 4,195 | ||||||
|
| |||||||
| 5,076 | ||||||||
|
| |||||||
Total Telecommunication Services | 7,257 | |||||||
|
| |||||||
Utilities — 3.8% |
| |||||||
Electric Utilities — 1.2% |
| |||||||
| 48 | El Paso Electric Co. | 1,681 | ||||||
| 173 | Great Plains Energy, Inc. | 4,169 | ||||||
| 113 | Hawaiian Electric Industries, Inc. | 3,369 | ||||||
| 51 | IDACORP, Inc. | 2,867 | ||||||
| 79 | OGE Energy Corp. | 2,249 | ||||||
| 32 | UIL Holdings Corp. | 1,480 | ||||||
|
| |||||||
| 15,815 | ||||||||
|
| |||||||
Gas Utilities — 1.7% |
| |||||||
| 119 | Atmos Energy Corp. | 6,095 | ||||||
| 18 | National Fuel Gas Co. | 1,085 | ||||||
| 151 | New Jersey Resources Corp. | 4,172 | ||||||
| 98 | Questar Corp. | 2,045 | ||||||
| 30 | Southwest Gas Corp. | 1,578 | ||||||
| 217 | UGI Corp. | 7,464 | ||||||
| 5 | WGL Holdings, Inc. | 288 | ||||||
|
| |||||||
| 22,727 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 0.9% |
| |||||||
| 63 | Alliant Energy Corp. | 3,640 | ||||||
| 52 | Avista Corp. | 1,588 | ||||||
| 6 | Black Hills Corp. | 264 | ||||||
| 77 | MDU Resources Group, Inc. | 1,506 | ||||||
| 22 | NorthWestern Corp. | 1,084 | ||||||
| 109 | Vectren Corp. | 4,205 | ||||||
|
| |||||||
| 12,287 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) |
| |||||||
| 22 | American States Water Co. | 832 | ||||||
|
| |||||||
Total Utilities | 51,661 | |||||||
|
| |||||||
Total Common Stocks | 1,302,264 | |||||||
|
| |||||||
| Short-Term Investment — 3.2% |
| ||||||
Investment Company — 3.2% | ||||||||
| 42,800 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 42,800 | ||||||
|
| |||||||
Total Investments — 99.8% | 1,345,064 | |||||||
Other Assets in Excess of | 2,261 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,347,325 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 94 | E-mini Russell 2000 | 09/18/15 | USD | $ | 11,754 | $ | (204 | ) | ||||||||||||
| 236 | S&P Mid Cap 400 | 09/18/15 | USD | 35,355 | (756 | ) | ||||||||||||||
|
| |||||||||||||||||||
| $ | (960 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
| CVR | — Contingent Value Rights | |
| PDC | — Property Development Center | |
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
| (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 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, 2015. | |
| (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. | |
| (q) | — Investment in affiliate which is a security in the Fund’s index. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(Amounts in thousands, except per share amounts)
Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
ASSETS: |
| |||||||
Investments in non-affiliates, at value | $ | 1,854,925 | $ | 1,302,264 | ||||
Investments in affiliates, at value | 35,305 | 42,800 | ||||||
|
|
|
| |||||
Total investment securities, at value | 1,890,230 | 1,345,064 | ||||||
Cash | 155 | — | ||||||
Deposits at broker for futures contracts | — | 2,131 | ||||||
Receivables: | ||||||||
Investment securities sold | 18,548 | — | ||||||
Fund shares sold | 4,974 | 280 | ||||||
Dividends from non-affiliates | 2,191 | 1,174 | ||||||
Dividends from affiliates | 1 | 2 | ||||||
Variation margin on futures contracts | 18 | 89 | ||||||
|
|
|
| |||||
Total Assets | 1,916,117 | 1,348,740 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Due to custodian | — | 15 | ||||||
Investment securities purchased | 1,582 | — | ||||||
Fund shares redeemed | 20,866 | 795 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 198 | 276 | ||||||
Administration fees | 25 | 92 | ||||||
Distribution fees | 202 | 42 | ||||||
Shareholder servicing fees | 19 | 78 | ||||||
Custodian and accounting fees | 30 | 30 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 1 | ||||||
Other | 287 | 86 | ||||||
|
|
|
| |||||
Total Liabilities | 23,211 | 1,415 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,892,906 | $ | 1,347,325 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 573,610 | $ | 809,699 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 704 | 145 | ||||||
Accumulated net realized gains (losses) | 51,502 | 171,241 | ||||||
Net unrealized appreciation (depreciation) | 1,267,090 | 366,240 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,892,906 | $ | 1,347,325 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 689,107 | $ | 110,138 | ||||
Class C | 88,842 | 23,705 | ||||||
Class R2 | — | 9,946 | ||||||
Select Class | 1,114,957 | 1,203,536 | ||||||
|
|
|
| |||||
Total | $ | 1,892,906 | $ | 1,347,325 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 16,760 | 8,483 | ||||||
Class C | 2,174 | 2,040 | ||||||
Class R2 | — | 773 | ||||||
Select Class | 27,098 | 91,976 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 41.12 | $ | 12.98 | ||||
Class C — Offering price per share (b) | 40.86 | 11.62 | ||||||
Class R2 — Offering and redemption price per share | — | 12.87 | ||||||
Select Class — Offering and redemption price per share | 41.14 | 13.09 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 43.40 | $ | 13.70 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 604,984 | $ | 935,064 | ||||
Cost of investments in affiliates | 18,017 | 42,800 | ||||||
| (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, 2015 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
INVESTMENT INCOME: |
| |||||||
Interest income from non-affiliates | $ | — | (a) | $ | 2 | |||
Dividend income from non-affiliates | 39,916 | 21,015 | ||||||
Dividend income from affiliates | 655 | 19 | ||||||
|
|
|
| |||||
Total investment income | 40,571 | 21,036 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 4,884 | 3,657 | ||||||
Administration fees | 1,607 | 1,203 | ||||||
Distribution fees: | ||||||||
Class A | 1,787 | 276 | ||||||
Class B (b) | 58 | 7 | ||||||
Class C | 644 | 175 | ||||||
Class R2 | — | 45 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 1,787 | 276 | ||||||
Class B (b) | 19 | 2 | ||||||
Class C | 215 | 58 | ||||||
Class R2 | — | 23 | ||||||
Select Class | 2,863 | 3,298 | ||||||
Custodian and accounting fees | 81 | 84 | ||||||
Interest expense to affiliates | — | (a) | — | |||||
Professional fees | 67 | 59 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 19 | 15 | ||||||
Printing and mailing costs | 134 | 73 | ||||||
Registration and filing fees | 89 | 72 | ||||||
Transfer agent fees | 1,200 | 276 | ||||||
Other | 30 | 25 | ||||||
|
|
|
| |||||
Total expenses | 15,484 | 9,624 | ||||||
|
|
|
| |||||
Less fees waived | (8,777 | ) | (2,710 | ) | ||||
Less expense reimbursements | (100 | ) | (5 | ) | ||||
|
|
|
| |||||
Net expenses | 6,607 | 6,909 | ||||||
|
|
|
| |||||
Net investment income (loss) | 33,964 | 14,127 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 108,419 | 238,809 | ||||||
Investments in affiliates | 995 | — | ||||||
Futures | 978 | 3,975 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 110,392 | 242,784 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation of: | ||||||||
Investments in non-affiliates | (12,389 | ) | (153,226 | ) | ||||
Investments in affiliates | 3,041 | — | ||||||
Futures | (176 | ) | (1,901 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (9,524 | ) | (155,127 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 100,868 | 87,657 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 134,832 | $ | 101,784 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amount in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 33,964 | $ | 33,192 | $ | 14,127 | $ | 13,502 | ||||||||
Net realized gain (loss) | 110,392 | 154,245 | 242,784 | 156,424 | ||||||||||||
Change in net unrealized appreciation/depreciation | (9,524 | ) | 218,557 | (155,127 | ) | 168,319 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 134,832 | 405,994 | 101,784 | 338,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (11,348 | ) | (10,480 | ) | (844 | ) | (655 | ) | ||||||||
From net realized gains | (50,028 | ) | (36,634 | ) | (12,480 | ) | (8,467 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | (49 | ) | (93 | ) | (2 | ) | (1 | ) | ||||||||
From net realized gains | (558 | ) | (660 | ) | (117 | ) | (157 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (769 | ) | (632 | ) | (56 | ) | (36 | ) | ||||||||
From net realized gains | (5,873 | ) | (3,829 | ) | (2,944 | ) | (2,140 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (52 | ) | (34 | ) | ||||||||||
From net realized gains | — | — | (1,023 | ) | (695 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (20,780 | ) | (20,849 | ) | (12,714 | ) | (11,470 | ) | ||||||||
From net realized gains | (78,050 | ) | (67,445 | ) | (154,236 | ) | (116,316 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (167,455 | ) | (140,622 | ) | (184,468 | ) | (139,971 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 22,791 | (107,430 | ) | (134,019 | ) | (40,847 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (9,832 | ) | 157,942 | (216,703 | ) | 157,427 | ||||||||||
Beginning of period | 1,902,738 | 1,744,796 | 1,564,028 | 1,406,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,892,906 | $ | 1,902,738 | $ | 1,347,325 | $ | 1,564,028 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 704 | $ | 532 | $ | 145 | $ | (159 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amount in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 158,207 | $ | 156,336 | $ | 25,488 | $ | 38,180 | ||||||||
Distributions reinvested | 60,975 | 46,773 | 11,511 | 7,941 | ||||||||||||
Cost of shares redeemed | (219,378 | ) | (186,244 | ) | (38,207 | ) | (26,950 | ) | ||||||||
Conversion from Class B Shares | 6,841 | 940 | 777 | 139 | ||||||||||||
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Change in net assets resulting from Class A capital transactions | $ | 6,645 | $ | 17,805 | $ | (431 | ) | $ | 19,310 | |||||||
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Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 17 | $ | 167 | $ | 7 | $ | 49 | ||||||||
Distributions reinvested | 596 | 727 | 112 | 147 | ||||||||||||
Cost of shares redeemed | (3,758 | ) | (3,753 | ) | (588 | ) | (1,069 | ) | ||||||||
Conversion to Class A Shares | (6,841 | ) | (940 | ) | (777 | ) | (139 | ) | ||||||||
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Change in net assets resulting from Class B capital transactions | $ | (9,986 | ) | $ | (3,799 | ) | $ | (1,246 | ) | $ | (1,012 | ) | ||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 24,847 | $ | 17,522 | $ | 4,923 | $ | 9,602 | ||||||||
Distributions reinvested | 4,994 | 3,292 | 2,477 | 1,832 | ||||||||||||
Cost of shares redeemed | (17,097 | ) | (11,596 | ) | (5,356 | ) | (7,080 | ) | ||||||||
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Change in net assets resulting from Class C capital transactions | $ | 12,744 | $ | 9,218 | $ | 2,044 | $ | 4,354 | ||||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,758 | $ | 3,276 | ||||||||
Distributions reinvested | — | — | 811 | 432 | ||||||||||||
Cost of shares redeemed | — | — | (2,943 | ) | (2,914 | ) | ||||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 1,626 | $ | 794 | ||||||||
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Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 251,960 | $ | 265,208 | $ | 132,492 | $ | 138,770 | ||||||||
Distributions reinvested | 81,977 | 75,199 | 85,971 | 57,709 | ||||||||||||
Cost of shares redeemed | (320,549 | ) | (471,061 | ) | (354,475 | ) | (260,772 | ) | ||||||||
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Change in net assets resulting from Select Class capital transactions | $ | 13,388 | $ | (130,654 | ) | $ | (136,012 | ) | $ | (64,293 | ) | |||||
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Total change in net assets resulting from capital transactions | $ | 22,791 | $ | (107,430 | ) | $ | (134,019 | ) | $ | (40,847 | ) | |||||
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| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,776 | 3,959 | 1,951 | 2,910 | ||||||||||||
Reinvested | 1,513 | 1,215 | 951 | 633 | ||||||||||||
Redeemed | (5,261 | ) | (4,712 | ) | (2,908 | ) | (2,049 | ) | ||||||||
Conversion from Class B Shares | 162 | 24 | 58 | 11 | ||||||||||||
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Change in Class A Shares | 190 | 486 | 52 | 1,505 | ||||||||||||
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Class B (a) | ||||||||||||||||
Issued | — | (b) | 5 | 1 | 4 | |||||||||||
Reinvested | 15 | 19 | 9 | 12 | ||||||||||||
Redeemed | (90 | ) | (96 | ) | (46 | ) | (85 | ) | ||||||||
Conversion to Class A Shares | (163 | ) | (24 | ) | (62 | ) | (11 | ) | ||||||||
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Change in Class B Shares | (238 | ) | (96 | ) | (98 | ) | (80 | ) | ||||||||
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Class C | ||||||||||||||||
Issued | 599 | 448 | 419 | 793 | ||||||||||||
Reinvested | 125 | 86 | 229 | 161 | ||||||||||||
Redeemed | (411 | ) | (295 | ) | (456 | ) | (594 | ) | ||||||||
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Change in Class C Shares | 313 | 239 | 192 | 360 | ||||||||||||
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Class R2 | ||||||||||||||||
Issued | — | — | 289 | 252 | ||||||||||||
Reinvested | — | — | 68 | 35 | ||||||||||||
Redeemed | — | — | (226 | ) | (223 | ) | ||||||||||
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Change in Class R2 Shares | — | — | 131 | 64 | ||||||||||||
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Select Class | ||||||||||||||||
Issued | 6,036 | 6,769 | 10,188 | 10,623 | ||||||||||||
Reinvested | 2,029 | 1,953 | 7,034 | 4,568 | ||||||||||||
Redeemed | (7,663 | ) | (11,881 | ) | (26,696 | ) | (19,655 | ) | ||||||||
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Change in Select Class Shares | 402 | (3,159 | ) | (9,474 | ) | (4,464 | ) | |||||||||
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| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (b) | Amount rounds to less than 1,000 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | $ | 41.94 | $ | 0.68 | (d) | $ | 2.11 | $ | 2.79 | $ | (0.66 | ) | $ | (2.95 | ) | $ | (3.61 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 41.72 | 0.37 | (d) | 2.09 | 2.46 | (0.37 | ) | (2.95 | ) | (3.32 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 41.96 | 0.79 | (d) | 2.10 | 2.89 | (0.76 | ) | (2.95 | ) | (3.71 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 41.12 | 6.94 | % | $ | 689,107 | 0.45 | % | 1.63 | % | 0.92 | % | 5 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 40.86 | 6.15 | 88,842 | 1.20 | 0.88 | 1.41 | 5 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 41.14 | 7.19 | 1,114,957 | 0.20 | 1.88 | 0.66 | 5 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 |
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Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 13.85 | $ | 0.10 | (d) | $ | 0.72 | $ | 0.82 | $ | (0.10 | ) | $ | (1.59 | ) | $ | (1.69 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 12.58 | 0.01 | (d) | 0.65 | 0.66 | (0.03 | ) | (1.59 | ) | (1.62 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.74 | 0.07 | (d) | 0.72 | 0.79 | (0.07 | ) | (1.59 | ) | (1.66 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.94 | 0.13 | (d) | 0.74 | 0.87 | (0.13 | ) | (1.59 | ) | (1.72 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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 C, Class R2 and Select Class Shares and the net investment income (loss) ratio would have been 0.65%, (0.03)%, 0.42% and 0.90% for Class A, 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, $0.01, $0.06 and $0.12 for Class A, Class C, Class R2 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.82%, 0.13%, 0.58% and 1.07% for Class A, 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, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 12.98 | 6.90 | % | $ | 110,138 | 0.68 | % | 0.75 | % | 0.92 | % | 39 | % | |||||||||||||
| 13.85 | 24.96 | 116,727 | 0.69 | 0.68 | (e) | 0.87 | 25 | |||||||||||||||||||
| 12.17 | 25.91 | 84,296 | 0.69 | 0.95 | (f) | 0.88 | 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 | ||||||||||||||||||||
| 11.62 | 6.25 | 23,705 | 1.38 | 0.06 | 1.44 | 39 | ||||||||||||||||||||
| 12.58 | 24.03 | 23,248 | 1.37 | — | (e)(h) | 1.37 | 25 | |||||||||||||||||||
| 11.18 | 25.07 | 16,636 | 1.37 | 0.27 | (f) | 1.38 | 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 | |||||||||||||||||||
| 12.87 | 6.75 | 9,946 | 0.91 | 0.53 | 1.26 | 39 | ||||||||||||||||||||
| 13.74 | 24.60 | 8,821 | 0.92 | 0.45 | (e) | 1.12 | 25 | |||||||||||||||||||
| 12.09 | 25.72 | 6,985 | 0.93 | 0.72 | (f) | 1.13 | 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 | ||||||||||||||||||||
| 13.09 | 7.26 | 1,203,536 | 0.43 | 1.00 | 0.62 | 39 | ||||||||||||||||||||
| 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 | (f) | 0.63 | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
Table of Contents
AS OF JUNE 30, 2015
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 C and Select Class | Diversified | ||
| Market Expansion Enhanced Index Fund | Class A, 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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in
| 36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Futures are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Equity Index Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 240,060 | $ | — | $ | — | $ | 240,060 | ||||||||
Consumer Staples | 176,493 | — | — | 176,493 | ||||||||||||
Energy | 147,537 | — | — | 147,537 | ||||||||||||
Financials | 310,495 | — | — | 310,495 | ||||||||||||
Health Care | 290,285 | — | — | 290,285 | ||||||||||||
Industrials | 190,345 | — | — | 190,345 | ||||||||||||
Information Technology | 370,120 | — | — | 370,120 | ||||||||||||
Materials | 59,709 | — | — | 59,709 | ||||||||||||
Telecommunication Services | 42,541 | — | — | 42,541 | ||||||||||||
Utilities | 53,281 | — | — | 53,281 | ||||||||||||
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| |||||||||
Total Common Stocks | 1,880,866 | — | — | 1,880,866 | ||||||||||||
�� |
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Rights | ||||||||||||||||
Consumer Staples | — | — | 3 | 3 | ||||||||||||
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Total Rights | — | — | 3 | 3 | ||||||||||||
|
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Short-Term Investment | ||||||||||||||||
Investment Company | 9,361 | — | — | 9,361 | ||||||||||||
|
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|
| |||||||||
Total Investments in Securities | $ | 1,890,227 | $ | — | $ | 3 | $ | 1,890,230 | ||||||||
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|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (139 | ) | $ | — | $ | — | $ | (139 | ) | ||||||
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| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
Market Expansion Enhanced Index Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 180,295 | $ | — | $ | — | $ | 180,295 | ||||||||
Consumer Staples | 46,204 | — | — | 46,204 | ||||||||||||
Energy | 54,975 | — | — | 54,975 | ||||||||||||
Financials | 304,636 | — | — | 304,636 | ||||||||||||
Health Care | 140,416 | — | — | 140,416 | ||||||||||||
Industrials | 206,004 | — | — | 206,004 | ||||||||||||
Information Technology | 222,343 | — | — | (a) | 222,343 | |||||||||||
Materials | 88,473 | — | — | 88,473 | ||||||||||||
Telecommunication Services | 7,257 | — | — | 7,257 | ||||||||||||
Utilities | 51,661 | — | — | 51,661 | ||||||||||||
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| |||||||||
Total Common Stocks | 1,302,264 | — | — | (a) | 1,302,264 | |||||||||||
|
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|
|
|
|
|
| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 42,800 | — | — | 42,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,345,064 | $ | — | $ | — | (a) | $ | 1,345,064 | |||||||
|
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|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (960 | ) | $ | — | $ | — | $ | (960 | ) | ||||||
|
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|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
There were no transfers among any levels during the year ended June 30, 2015.
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, 2015, the Funds had no investments in restricted securities.
The following are the values and percentages of net assets of securities deemed to be illiquid as of June 30, 2015 (amounts in thousands):
| Value | Percentage | |||||||
Equity Index Fund | $ | 3 | 0.0 | %(a) | ||||
Market Expansion Enhanced Index Fund | — | (b) | 0.0 | (a) | ||||
| (a) | Amount rounds to less than 0.1%. |
| (b) | Amount rounds to less than $1,000. |
C. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to their respective indices, maintain liquidity and minimize transaction costs. The Funds also bought futures contracts to immediately invest incoming cash in the market or sold 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 on 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 on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on 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.
| 38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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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, 2015 (amounts in thousands):
Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 11,674 | $ | 42,870 | ||||
Ending Notional Balance Long | 9,245 | 47,109 | ||||||
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, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. (common stock)* | $ | 23,682 | $ | — | $ | 1,775 | $ | 995 | $ | 649 | 383 | $ | 25,944 | |||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 17,665 | 194,989 | 203,293 | — | 6 | 9,361 | 9,361 | |||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||
Total | $ | 41,347 | $ | 995 | $ | 655 | $ | 35,305 | ||||||||||||||||||||
|
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|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30,2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | $ | 46,170 | $ | 418,820 | $ | 422,190 | $ | — | $ | 19 | 42,800 | $ | 42,800 | |||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 46,170 | $ | — | $ | 19 | $ | 42,800 | ||||||||||||||||||||
|
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| |||||||||||||||||||||
| * | 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.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains 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 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 | $ | — | $ | (846 | ) | $ | 846 | |||||
Market Expansion Enhanced Index Fund | (3 | ) | (155 | ) | 158 | |||||||
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, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), 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, 2015, 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 has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds, as applicable, 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, 2015, the Distributor retained the following amounts (amounts in thousands):
| 40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 38 | $ | — | (a) | |||
Market Expansion Enhanced Index Fund | 12 | — | (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.
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 on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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’s 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, 2015. The contractual expense limitation percentages in the table above are in place until at least October 31, 2015 except for Class B Shares which are no longer operating.
For the year ended June 30, 2015, 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 | ||||||||||||||||
Equity Index Fund | $ | 2,614 | $ | 1,570 | $ | 4,569 | $ | 8,753 | $ | 100 | ||||||||||
Market Expansion Enhanced Index Fund | 467 | 306 | 1,862 | 2,635 | 5 | |||||||||||||||
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.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2015 was as follows (amounts in thousands):
Equity Index Fund | $ | 24 | ||
Market Expansion Enhanced Index Fund | 75 |
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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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, 2015, 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, 2015, 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, 2015, 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. | Sales of U.S. Government | |||||||||||||
Equity Index Fund | $ | 87,672 | $ | 197,628 | $ | — | $ | — | ||||||||
Market Expansion Enhanced Index Fund | 555,651 | 856,953 | — | 1,740 | ||||||||||||
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, 2015 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 670,344 | $ | 1,238,855 | $ | 18,969 | $ | 1,219,886 | ||||||||
Market Expansion Enhanced Index Fund | 982,700 | 397,777 | 35,413 | 362,364 | ||||||||||||
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 fiscal year ended June 30, 2015 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 35,570 | $ | 131,885 | $ | 167,455 | ||||||
Market Expansion Enhanced Index Fund | 24,253 | 160,215 | 184,468 | |||||||||
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 | ||||||||||
Equity Index Fund | $ | 33,569 | $ | 107,053 | $ | 140,622 | ||||||
Market Expansion Enhanced Index Fund | 21,480 | 118,491 | 139,971 | |||||||||
As of June 30, 2015, 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 | $ | 1,064 | $ | 98,407 | $ | 1,219,886 | ||||||
Market Expansion Enhanced Index Fund | 657 | 174,633 | 362,364 | |||||||||
For the Funds, the cumulative timing differences primarily consist of mark to market of futures contracts, non-taxable dividends and wash sale loss deferrals.
As of June 30, 2015, the Funds did not have any net capital loss carryforwards.
| 42 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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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 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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015, or at any time during the year then ended.
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 each Fund’s assets.
In addition, as of June 30, 2015, the J.P. Morgan Investor Funds, which are affiliated funds of funds, own in the aggregate approximately 39.3% of the net assets of Market Expansion Enhanced Index Fund.
Significant shareholder transactions by these shareholders may impact the Fund’s performance.
Because the Funds may invest a significant portion of their assets in REITs, the Funds may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
| JUNE 30, 2015 | 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, 2015, 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, 2015 by correspondence with the custodian, transfer agent and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
| 44 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
| JUNE 30, 2015 | 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 Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 46 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 47 | ||||||
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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 (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, 2015, and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.10 | $ | 2.24 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,006.50 | 5.97 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,011.20 | 1.00 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,042.60 | 3.49 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,038.70 | 7.03 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,041.80 | 4.66 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.23 | 4.61 | 0.92 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,044.30 | 2.23 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 48 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2015 | ||||
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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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deduction | ||||
Equity Index Fund | 100.00 | % | ||
Market Expansion Enhanced Fund | 100.00 | % | ||
Long Term Capital Gain Notice
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Equity Index Fund | $ | 131,885 | ||
Market Expansion Enhanced Index Fund | 160,215 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Equity Index Fund | $ | 35,570 | ||
Market Expansion Enhanced Index Fund | 23,197 | |||
| JUNE 30, 2015 | J.P. MORGAN EQUITY FUNDS | 49 | ||||||
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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 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., 2015. All rights reserved. June 2015. | AN-INDEX-615 |
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Annual Report
J.P. Morgan Investor Funds
June 30, 2015
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income 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 27, 2015 (Unaudited)
Dear Shareholder,
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment — though not reflected in wage growth — drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve
months ended June 30, 2015, the Barclays U.S. Aggregate Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09 financial crisis. While the challenges faced by financial markets
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CEO’S LETTER
July 27, 2015 (Unaudited) (continued)
and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any
questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (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 June 30, 2015 (in thousands) | |||||||||||||||
| JPMorgan Investor Balanced Fund, Class A (No sales charge) | 2.89% | 1.89% | 7.29% | 4.67% | ** | $ | 5,567,476 | |||||||||||||
| JPMorgan Investor Conservative Growth Fund, Class A (No sales charge) | 1.89% | 1.89% | 7.29% | 3.57% | *** | $ | 4,516,298 | |||||||||||||
| JPMorgan Investor Growth Fund, Class A (No sales charge) | 5.51% | 1.89% | 7.29% | 6.78% | **** | $ | 2,523,159 | |||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A (No sales charge) | 3.78% | 1.89% | 7.29% | 5.74% | ***** | $ | 3,333,632 | |||||||||||||
Portfolio Composition by Asset Class******
Investor Balanced Fund | ||||
| Fixed Income | 39.6 | % | ||
| U.S. Equity | 38.1 | |||
| International Equity | 13.5 | |||
| Alternative Assets | 6.2 | |||
| Money Market | 2.6 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 59.9 | % | ||
| U.S. Equity | 24.3 | |||
| International Equity | 7.7 | |||
| Alternative Assets | 6.8 | |||
| Money Market | 1.3 | |||
Investor Growth Fund | ||||
| U.S. Equity | 68.0 | % | ||
| International Equity | 21.5 | |||
| Fixed Income | 7.7 | |||
| Alternative Assets | 2.1 | |||
| Money Market | 0.7 | |||
Investor Growth & Income Fund | ||||
| U.S. Equity | 51.2 | % | ||
| Fixed Income | 25.4 | |||
| International Equity | 17.7 | |||
| Alternative Assets | 5.0 | |||
| Money Market | 0.7 | |||
| * | 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 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, 2015. The Funds’ portfolio composition is subject to change. |
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J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (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?
U.S equity markets performed strongly in the second half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at record highs in February, March and April but moved very little overall, remaining closer to flat than any other six month period since reliable recordkeeping began in 1928. Equities in the European Union and Japan came under pressure in late 2014 but benefitted from both central bank stimulus and attractive relative valuations in 2015.
In the latter half of 2014, demand for U.S. Treasury securities increased as economic uncertainty elsewhere drove investors to so-called safe havens. Treasury yields, which move in the opposite direction of prices, fell sharply for both the 10-year and 30-year bonds. Overall, U.S. corporate debt provided positive returns, though high-yield debt, also known as junk bonds, underperformed other fixed-income asset classes.
In the first six months of 2015, U.S. Treasury bonds continued to prove attractive to investors and high-yield debt rebounded to outperform investment grade debt securities for the reporting period. Meanwhile, the municipal bond market experiences increased volatility due to extra supply and concerns about Puerto Rico’s debt crisis and a pension crisis in Illinois. Long-maturity debt securities, including U.S. Treasury bonds, were among the worst performers during the reporting period as investors sought to avoid risk of holding long-term debt ahead
of an anticipated increase in interest rates by the U.S. Federal Reserve.
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 twelve months ended June 30, 2015, the JPMorgan Investor Balanced Fund, the JPMorgan Investor Growth & Income Fund and the JPMorgan Investor Growth Fund outperformed the Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ 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 Funds’ target allocation.
All four Investor Funds underperformed their respective composite benchmarks, mainly due to the Funds’ exposure to both developed market and emerging market equities that were not held in the 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. The portfolio managers determined the strategic weight for each asset class in the Investor Funds by making investments that they believed would perform well over the long term, and maintained a level of volatility similar to that of each Investor Funds’ composite benchmark.
During the reporting period, the Investor Funds — through their investments in underlying funds — benefited from an overweight position relative to their composite benchmarks in equities and relative underweight position in fixed income securities. While the Funds remained overweight to equities
| 4 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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relative to their composite benchmarks, the Funds’ managers began to gradually increase the investments in fixed income. Throughout the twelve month reporting period, the Funds’ managers added to core fixed income, accumulated a higher than normal cash balance invested in a J.P. Morgan money market fund, and introduced a new position in the J.P. Morgan Systematic Alpha Fund, which invests in a diversified mix of alternative strategies. The Funds’ gradual repositioning reflected the managers’ assessment that various segments of the financial markets are more fairly valued compared with other segments. During the twelve month reporting period, the Funds’ managers increased their position in international developed market equities. The Funds’ managers view their decision to gradually increase fixed income investments in the Investor Funds portfolios as a normal rebalancing of the asset mix following several years of strong equity market performance.
| * | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
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JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||
Without Sales Charge | 2.89 | % | 8.94 | % | 6.06 | % | ||||||||||
With Sales Charge* | (1.75 | ) | 7.94 | 5.57 | ||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||
Without CDSC | 2.45 | 8.39 | 5.49 | |||||||||||||
With CDSC** | 1.45 | 8.39 | 5.49 | |||||||||||||
SELECT CLASS SHARES | December 10, 1996 | 3.15 | 9.21 | 6.33 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 Investor Balanced Composite Benchmark and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2005 to June 30, 2015. 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 Investor Balanced 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 Investor Balanced 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.
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.
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JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 1.89 | % | 6.47 | % | 5.10 | % | ||||||||
With Sales Charge* | (2.67 | ) | 5.50 | 4.62 | ||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 1.44 | 5.92 | 4.54 | |||||||||||
With CDSC** | 0.44 | 5.92 | 4.54 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 2.13 | 6.72 | 5.37 | ||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 Investor Conservative Growth Composite Benchmark, and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2005 to June 30, 2015. 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 Investor Conservative Growth 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 Investor Conservative Growth 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.
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, 2015 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
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JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 5.51 | % | 13.83 | % | 7.24 | % | ||||||||
With Sales Charge* | 0.77 | 12.78 | 6.75 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 4.97 | 13.22 | 6.64 | |||||||||||
With CDSC** | 3.97 | 13.22 | 6.64 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 5.80 | 14.12 | 7.51 | ||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 Investor Growth Composite Benchmark and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from June 30, 2005 to June 30, 2015. 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 Investor Growth 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 Aggressive 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 Investor Growth 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 Mixed-Asset Target Allocation Aggressive Growth 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.
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.
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JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 3.78 | % | 11.22 | % | 6.59 | % | ||||||||
With Sales Charge* | (0.91 | ) | 10.21 | 6.10 | ||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 3.37 | 10.65 | 6.01 | |||||||||||
With CDSC** | 2.37 | 10.65 | 6.01 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 4.11 | 11.50 | 6.87 | ||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 Investor Growth & Income Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2005 to June 30, 2015. 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 Investor Growth & Income 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 Investor Growth & Income 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 $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
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JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) |
| ||||||
Alternative Assets — 6.2% | ||||||||
| 1,910 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 20,437 | ||||||
| 1,340 | JPMorgan Global Natural Resources Fund, Select Class Shares | 9,449 | ||||||
| 11,269 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 113,477 | ||||||
| 7,109 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 106,855 | ||||||
| 6,393 | JPMorgan Systematic Alpha Fund, Select Class Shares | 95,123 | ||||||
|
| |||||||
Total Alternative Assets | 345,341 | |||||||
|
| |||||||
Fixed Income — 39.5% | ||||||||
| 72,864 | JPMorgan Core Bond Fund, Select Class Shares | 848,868 | ||||||
| 62,152 | JPMorgan Core Plus Bond Fund, Select Class Shares | 510,890 | ||||||
| 5,913 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 47,064 | ||||||
| 4,153 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 33,969 | ||||||
| 18,064 | JPMorgan Floating Rate Income Fund, Select Class Shares | 176,664 | ||||||
| 1,104 | JPMorgan Government Bond Fund, Select Class Shares | 11,991 | ||||||
| 16,147 | JPMorgan High Yield Fund, Select Class Shares | 122,230 | ||||||
| 11,843 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 121,509 | ||||||
| 19,659 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 196,792 | ||||||
| 9,364 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 109,188 | ||||||
| 2,356 | JPMorgan Unconstrained Debt Fund, Select Class Shares | 23,233 | ||||||
|
| |||||||
Total Fixed Income | 2,202,398 | |||||||
|
| |||||||
International Equity — 13.5% | ||||||||
| 4,901 | JPMorgan Emerging Economies Fund, Select Class Shares | 61,699 | ||||||
| 2,606 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 57,728 | ||||||
| 9,686 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 182,476 | ||||||
| 6,682 | JPMorgan International Equity Fund, Select Class Shares | 106,311 | ||||||
| 13,405 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 232,315 | ||||||
| 3,593 | JPMorgan Intrepid European Fund, Select Class Shares | 90,836 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — continued |
| |||||||
| 1,348 | JPMorgan Latin America Fund, Select Class Shares | 18,875 | ||||||
|
| |||||||
Total International Equity | 750,240 | |||||||
|
| |||||||
Money Market — 2.6% | ||||||||
| 143,943 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (l) | 143,943 | ||||||
|
| |||||||
U.S. Equity — 38.1% | ||||||||
| 4,567 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 117,968 | ||||||
| 5,978 | JPMorgan Equity Income Fund, Select Class Shares | 83,514 | ||||||
| 8,923 | JPMorgan Intrepid America Fund, Select Class Shares | 343,433 | ||||||
| 4,512 | JPMorgan Intrepid Growth Fund, Select Class Shares | 186,225 | ||||||
| 3,968 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 90,360 | ||||||
| 1,581 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 58,384 | ||||||
| 10,798 | JPMorgan Large Cap Value Fund, Select Class Shares | 159,695 | ||||||
| 15,752 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 206,199 | ||||||
| 1,394 | JPMorgan Small Cap Value Fund, Select Class Shares | 39,042 | ||||||
| 3,032 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 55,760 | ||||||
| 31,366 | JPMorgan U.S. Equity Fund, Select Class Shares | 463,592 | ||||||
| 7,600 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 228,534 | ||||||
| 2,990 | JPMorgan Value Advantage Fund, Select Class Shares | 89,672 | ||||||
|
| |||||||
Total U.S. Equity | 2,122,378 | |||||||
|
| |||||||
Total Investments — 99.9% | 5,564,300 | |||||||
Other Assets in Excess of | 3,176 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,567,476 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 6.8% | ||||||||
| 1,687 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 18,048 | ||||||
| 1,139 | JPMorgan Global Natural Resources Fund, Select Class Shares | 8,027 | ||||||
| 8,561 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 86,207 | ||||||
| 7,131 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 107,173 | ||||||
| 5,872 | JPMorgan Systematic Alpha Fund, Select Class Shares | 87,376 | ||||||
|
| |||||||
Total Alternative Assets | 306,831 | |||||||
|
| |||||||
Fixed Income — 59.9% | ||||||||
| 97,441 | JPMorgan Core Bond Fund, Select Class Shares | 1,135,187 | ||||||
| 66,484 | JPMorgan Core Plus Bond Fund, Select Class Shares | 546,496 | ||||||
| 3,896 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 31,012 | ||||||
| 5,934 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 48,540 | ||||||
| 17,250 | JPMorgan Floating Rate Income Fund, Select Class Shares | 168,704 | ||||||
| 3,058 | JPMorgan Government Bond Fund, Select Class Shares | 33,206 | ||||||
| 12,132 | JPMorgan High Yield Fund, Select Class Shares | 91,838 | ||||||
| 14,961 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 153,503 | ||||||
| 36,000 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 360,360 | ||||||
| 10,025 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 116,893 | ||||||
| 1,946 | JPMorgan Unconstrained Debt Fund, Select Class Shares | 19,186 | ||||||
|
| |||||||
Total Fixed Income | 2,704,925 | |||||||
|
| |||||||
International Equity — 7.7% | ||||||||
| 2,283 | JPMorgan Emerging Economies Fund, Select Class Shares | 28,744 | ||||||
| 1,221 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 27,055 | ||||||
| 2,747 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 51,745 | ||||||
| 2,791 | JPMorgan International Equity Fund, Select Class Shares | 44,402 | ||||||
| 7,876 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 136,484 | ||||||
| 1,873 | JPMorgan Intrepid European Fund, Select Class Shares | 47,345 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — continued | ||||||||
| 868 | JPMorgan Latin America Fund, Select Class Shares | 12,146 | ||||||
|
| |||||||
Total International Equity | 347,921 | |||||||
|
| |||||||
Money Market — 1.3% | ||||||||
| 58,323 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (l) | 58,323 | ||||||
|
| |||||||
U.S. Equity — 24.3% | ||||||||
| 1,576 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 40,717 | ||||||
| 5,594 | JPMorgan Equity Income Fund, Select Class Shares | 78,142 | ||||||
| 5,980 | JPMorgan Intrepid America Fund, Select Class Shares | 230,157 | ||||||
| 2,866 | JPMorgan Intrepid Growth Fund, Select Class Shares | 118,273 | ||||||
| 1,312 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 29,871 | ||||||
| 1,932 | JPMorgan Large Cap Value Fund, Select Class Shares | 28,567 | ||||||
| 4,273 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 55,930 | ||||||
| 912 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 28,340 | ||||||
| 981 | JPMorgan Small Cap Value Fund, Select Class Shares | 27,478 | ||||||
| 2,076 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 38,183 | ||||||
| 15,560 | JPMorgan U.S. Equity Fund, Select Class Shares | 229,981 | ||||||
| 4,337 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 130,423 | ||||||
| 2,067 | JPMorgan Value Advantage Fund, Select Class Shares | 62,004 | ||||||
|
| |||||||
Total U.S. Equity | 1,098,066 | |||||||
|
| |||||||
Total Investments — 100.0% | 4,516,066 | |||||||
Other Assets in Excess of | 232 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,516,298 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 2.1% | ||||||||
| 907 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 9,702 | ||||||
| 674 | JPMorgan Global Natural Resources Fund, Select Class Shares | 4,753 | ||||||
| 1,132 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 11,402 | ||||||
| 823 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 12,368 | ||||||
| 950 | JPMorgan Systematic Alpha Fund, Select Class Shares | 14,135 | ||||||
|
| |||||||
Total Alternative Assets | 52,360 | |||||||
|
| |||||||
Fixed Income — 7.7% | ||||||||
| 7,907 | JPMorgan Core Bond Fund, Select Class Shares | 92,120 | ||||||
| 2,800 | JPMorgan Core Plus Bond Fund, Select Class Shares | 23,016 | ||||||
| 990 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 7,883 | ||||||
| 948 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 7,757 | ||||||
| 1,498 | JPMorgan Floating Rate Income Fund, Select Class Shares | 14,650 | ||||||
| 1,594 | JPMorgan High Yield Fund, Select Class Shares | 12,066 | ||||||
| 2,453 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 25,168 | ||||||
| 505 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 5,891 | ||||||
| 512 | JPMorgan Unconstrained Debt Fund, Select Class Shares | 5,046 | ||||||
|
| |||||||
Total Fixed Income | 193,597 | |||||||
|
| |||||||
International Equity — 21.5% | ||||||||
| 4,018 | JPMorgan Emerging Economies Fund, Select Class Shares | 50,587 | ||||||
| 2,128 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 47,124 | ||||||
| 3,524 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 66,386 | ||||||
| 7,009 | JPMorgan International Equity Fund, Select Class Shares | 111,510 | ||||||
| 7,992 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 138,496 | ||||||
| 2,377 | JPMorgan International Unconstrained Equity Fund, Select Class Shares | 44,071 | ||||||
| 2,922 | JPMorgan Intrepid European Fund, Select Class Shares | 73,857 | ||||||
| 809 | JPMorgan Latin America Fund, Select Class Shares | 11,324 | ||||||
|
| |||||||
Total International Equity | 543,355 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Money Market — 0.7% | ||||||||
| 16,895 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (l) | 16,895 | ||||||
|
| |||||||
U.S. Equity — 68.0% | ||||||||
| 991 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 25,610 | ||||||
| 2,527 | JPMorgan Equity Income Fund, Select Class Shares | 35,304 | ||||||
| 7,349 | JPMorgan Intrepid America Fund, Select Class Shares | 282,867 | ||||||
| 3,508 | JPMorgan Intrepid Growth Fund, Select Class Shares | 144,786 | ||||||
| 3,376 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 76,863 | ||||||
| 5,268 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 194,481 | ||||||
| 16,153 | JPMorgan Large Cap Value Fund, Select Class Shares | 238,900 | ||||||
| 10,738 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 140,566 | ||||||
| 576 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 17,886 | ||||||
| 2,376 | JPMorgan Small Cap Value Fund, Select Class Shares | 66,522 | ||||||
| 1,426 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 26,225 | ||||||
| 21,854 | JPMorgan U.S. Equity Fund, Select Class Shares | 323,001 | ||||||
| 3,452 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 103,797 | ||||||
| 1,324 | JPMorgan Value Advantage Fund, Select Class Shares | 39,717 | ||||||
|
| |||||||
Total U.S. Equity | 1,716,525 | |||||||
|
| |||||||
Total Investments — 100.0% | 2,522,732 | |||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 427 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,523,159 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 5.0% | ||||||||
| 1,308 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 13,994 | ||||||
| 985 | JPMorgan Global Natural Resources Fund, Select Class Shares | 6,944 | ||||||
| 4,979 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 50,135 | ||||||
| 3,298 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 49,573 | ||||||
| 3,137 | JPMorgan Systematic Alpha Fund, Select Class Shares | 46,681 | ||||||
|
| |||||||
Total Alternative Assets | 167,327 | |||||||
|
| |||||||
Fixed Income — 25.4% | ||||||||
| 25,655 | JPMorgan Core Bond Fund, Select Class Shares | 298,881 | ||||||
| 22,276 | JPMorgan Core Plus Bond Fund, Select Class Shares | 183,111 | ||||||
| 2,129 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 16,950 | ||||||
| 2,011 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 16,453 | ||||||
| 11,841 | JPMorgan Floating Rate Income Fund, Select Class Shares | 115,806 | ||||||
| 1,018 | JPMorgan Government Bond Fund, Select Class Shares | 11,055 | ||||||
| 9,516 | JPMorgan High Yield Fund, Select Class Shares | 72,038 | ||||||
| 5,758 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 59,072 | ||||||
| 2,041 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 20,432 | ||||||
| 3,222 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 37,564 | ||||||
| 1,436 | JPMorgan Unconstrained Debt Fund, Select Class Shares | 14,160 | ||||||
|
| |||||||
Total Fixed Income | 845,522 | |||||||
|
| |||||||
International Equity — 17.7% | ||||||||
| 4,170 | JPMorgan Emerging Economies Fund, Select Class Shares | 52,496 | ||||||
| 2,294 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 50,815 | ||||||
| 6,267 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 118,075 | ||||||
| 7,867 | JPMorgan International Equity Fund, Select Class Shares | 125,157 | ||||||
| 8,505 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 147,399 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — continued | ||||||||
| 3,389 | JPMorgan Intrepid European Fund, Select Class Shares | 85,684 | ||||||
| 663 | JPMorgan Latin America Fund, Select Class Shares | 9,287 | ||||||
|
| |||||||
Total International Equity | 588,913 | |||||||
|
| |||||||
Money Market — 0.7% | ||||||||
| 22,603 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (l) | 22,603 | ||||||
|
| |||||||
U.S. Equity — 51.2% | ||||||||
| 1,874 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 48,399 | ||||||
| 3,900 | JPMorgan Equity Income Fund, Select Class Shares | 54,488 | ||||||
| 8,651 | JPMorgan Intrepid America Fund, Select Class Shares | 332,983 | ||||||
| 2,769 | JPMorgan Intrepid Growth Fund, Select Class Shares | 114,267 | ||||||
| 1,238 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 28,192 | ||||||
| 4,659 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 171,992 | ||||||
| 12,865 | JPMorgan Large Cap Value Fund, Select Class Shares | 190,271 | ||||||
| 9,654 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 126,369 | ||||||
| 684 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 21,257 | ||||||
| 2,109 | JPMorgan Small Cap Value Fund, Select Class Shares | 59,054 | ||||||
| 2,497 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 45,923 | ||||||
| 22,098 | JPMorgan U.S. Equity Fund, Select Class Shares | 326,604 | ||||||
| 4,581 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 137,761 | ||||||
| 1,686 | JPMorgan Value Advantage Fund, Select Class Shares | 50,575 | ||||||
|
| |||||||
Total U.S. Equity | 1,708,135 | |||||||
|
| |||||||
Total Investments — 100.0% | 3,332,500 | |||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 1,132 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,333,632 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
J.P. Morgan Investor Funds
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
| (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, 2015. |
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 underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(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 | $ | 5,564,300 | $ | 4,516,066 | $ | 2,522,732 | $ | 3,332,500 | ||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 12,711 | 7,863 | 3,896 | 5,443 | ||||||||||||
Dividends from affiliates | 11 | 6 | 2 | 2 | ||||||||||||
Due from Adviser | 21 | 17 | 10 | 86 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 5,577,043 | 4,523,952 | 2,526,640 | 3,338,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Distributions | 872 | 125 | 333 | �� | 468 | |||||||||||
Fund shares redeemed | 6,312 | 5,275 | 2,024 | 2,534 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Administration fees | — | — | 11 | 3 | ||||||||||||
Distribution fees | 1,590 | 1,672 | 601 | 837 | ||||||||||||
Shareholder servicing fees | 207 | 187 | 63 | 98 | ||||||||||||
Custodian and accounting fees | 21 | 8 | 7 | 1 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 7 | 5 | 4 | 4 | ||||||||||||
Transfer agent fees | 348 | 212 | 297 | 296 | ||||||||||||
Other | 210 | 170 | 141 | 158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 9,567 | 7,654 | 3,481 | 4,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 5,567,476 | $ | 4,516,298 | $ | 2,523,159 | $ | 3,333,632 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except per share amounts)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 4,651,236 | $ | 4,003,397 | $ | 1,782,736 | $ | 2,623,147 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (404 | ) | (87 | ) | (175 | ) | (245 | ) | ||||||||
Accumulated net realized gains (losses) | 86,978 | 74,989 | 56,414 | 17,780 | ||||||||||||
Net unrealized appreciation (depreciation) | 829,666 | 437,999 | 684,184 | 692,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 5,567,476 | $ | 4,516,298 | $ | 2,523,159 | $ | 3,333,632 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 4,018,244 | $ | 2,554,155 | $ | 1,994,792 | $ | 2,659,305 | ||||||||
Class C | 1,195,830 | 1,831,636 | 268,270 | 430,037 | ||||||||||||
Select Class | 353,402 | 130,507 | 260,097 | 244,290 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,567,476 | $ | 4,516,298 | $ | 2,523,159 | $ | 3,333,632 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 265,743 | 199,873 | 100,004 | 156,211 | ||||||||||||
Class C | 80,152 | 143,930 | 14,111 | 25,875 | ||||||||||||
Select Class | 23,336 | 10,163 | 12,821 | 14,543 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 15.12 | $ | 12.78 | $ | 19.95 | $ | 17.02 | ||||||||
Class C — Offering price per share (b) | 14.92 | 12.73 | 19.01 | 16.62 | ||||||||||||
Select Class — Offering and redemption price per share | 15.14 | 12.84 | 20.29 | 16.80 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | ||||||||||||||||
[net asset value per share/(100% — maximum sales charge)] | $ | 15.83 | $ | 13.38 | $ | 20.89 | $ | 17.82 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | $ | 4,734,634 | $ | 4,078,067 | $ | 1,838,548 | $ | 2,639,550 | ||||||||
| (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.
| 16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from affiliates | $ | 86,158 | $ | 79,846 | $ | 26,788 | $ | 47,293 | ||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,692 | 2,216 | 1,203 | 1,615 | ||||||||||||
Administration fees | 3,069 | 2,604 | 1,596 | 1,997 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 9,701 | 6,381 | 4,677 | 6,330 | ||||||||||||
Class B (a) | 553 | 288 | 537 | 571 | ||||||||||||
Class C | 8,206 | 12,873 | 1,844 | 2,937 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 9,701 | �� | 6,381 | 4,677 | 6,330 | |||||||||||
Class B (a) | 184 | 96 | 179 | 190 | ||||||||||||
Class C | 2,736 | 4,291 | 615 | 979 | ||||||||||||
Select Class | 839 | 313 | 545 | 575 | ||||||||||||
Custodian and accounting fees | 41 | 29 | 24 | 19 | ||||||||||||
Professional fees | 83 | 72 | 53 | 65 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 56 | 44 | 24 | 33 | ||||||||||||
Printing and mailing costs | 494 | 376 | 311 | 348 | ||||||||||||
Registration and filing fees | 315 | 274 | 160 | 294 | ||||||||||||
Transfer agent fees | 1,981 | 1,414 | 1,627 | 1,631 | ||||||||||||
Other | 72 | 60 | 32 | 43 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 40,723 | 37,712 | 18,104 | 23,957 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (16,353 | ) | (13,257 | ) | (7,962 | ) | (10,217 | ) | ||||||||
Less expense reimbursements | (1,436 | ) | (1,685 | ) | (117 | ) | (604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 22,934 | 22,770 | 10,025 | 13,136 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 63,224 | 57,076 | 16,763 | 34,157 | ||||||||||||
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|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | 23,374 | 24,012 | 15,831 | 12,333 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 184,349 | 97,101 | 139,253 | 136,056 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (123,577 | ) | (104,466 | ) | (45,878 | ) | (63,849 | ) | ||||||||
|
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|
|
|
|
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| |||||||||
Net realized/unrealized gains (losses) | 84,146 | 16,647 | 109,206 | 84,540 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 147,370 | $ | 73,723 | $ | 125,969 | $ | 118,697 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 17 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 63,224 | $ | 48,464 | $ | 57,076 | $ | 47,923 | ||||||||
Net realized gain (loss) on investments in affiliates | 23,374 | 34,632 | 24,012 | 45,322 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 184,349 | 85,847 | 97,101 | 50,096 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (123,577 | ) | 418,642 | (104,466 | ) | 223,346 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 147,370 | 587,585 | 73,723 | 366,687 | ||||||||||||
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| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (72,271 | ) | (51,978 | ) | (44,383 | ) | (39,648 | ) | ||||||||
From net realized gains | (69,634 | ) | (10,000 | ) | (46,254 | ) | — | |||||||||
Class B (a) | ||||||||||||||||
From net investment income | (982 | ) | (993 | ) | (478 | ) | (581 | ) | ||||||||
From net realized gains | (1,403 | ) | (318 | ) | (733 | ) | — | |||||||||
Class C | ||||||||||||||||
From net investment income | (15,495 | ) | (8,742 | ) | (22,098 | ) | (15,776 | ) | ||||||||
From net realized gains | (19,719 | ) | (2,481 | ) | (31,039 | ) | — | |||||||||
Select Class | ||||||||||||||||
From net investment income | (6,916 | ) | (5,665 | ) | (2,449 | ) | (2,173 | ) | ||||||||
From net realized gains | (5,776 | ) | (937 | ) | (2,228 | ) | — | |||||||||
|
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|
|
|
|
|
| |||||||||
Total distributions to shareholders | (192,196 | ) | (81,114 | ) | (149,662 | ) | (58,178 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 447,233 | 890,046 | 329,699 | 418,368 | ||||||||||||
|
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|
|
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|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 402,407 | 1,396,517 | 253,760 | 726,877 | ||||||||||||
Beginning of period | 5,165,069 | 3,768,552 | 4,262,538 | 3,535,661 | ||||||||||||
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| |||||||||
End of period | $ | 5,567,476 | $ | 5,165,069 | $ | 4,516,298 | $ | 4,262,538 | ||||||||
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|
|
|
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| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (404 | ) | $ | (408 | ) | $ | (87 | ) | $ | (163 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 16,763 | $ | 10,805 | $ | 34,157 | $ | 24,590 | ||||||||
Net realized gain (loss) on investments in affiliates | 15,831 | 17,333 | 12,333 | 32,103 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 139,253 | 54,238 | 136,056 | 60,812 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (45,878 | ) | 312,477 | (63,849 | ) | 311,079 | ||||||||||
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|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 125,969 | 394,853 | 118,697 | 428,584 | ||||||||||||
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|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (36,765 | ) | (18,801 | ) | (48,758 | ) | (30,868 | ) | ||||||||
From net realized gains | (28,153 | ) | — | (56,378 | ) | — | ||||||||||
Class B (a) | ||||||||||||||||
From net investment income | (1,355 | ) | (972 | ) | (1,146 | ) | (989 | ) | ||||||||
From net realized gains | (1,177 | ) | — | (1,807 | ) | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (4,447 | ) | (1,772 | ) | (6,023 | ) | (2,857 | ) | ||||||||
From net realized gains | (3,829 | ) | — | (8,812 | ) | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (4,648 | ) | (2,198 | ) | (5,072 | ) | (3,225 | ) | ||||||||
From net realized gains | (3,065 | ) | — | (5,055 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (83,439 | ) | (23,743 | ) | (133,051 | ) | (37,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 192,247 | 179,299 | 253,188 | 385,158 | ||||||||||||
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|
|
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|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 234,777 | 550,409 | 238,834 | 775,803 | ||||||||||||
Beginning of period | 2,288,382 | 1,737,973 | 3,094,798 | 2,318,995 | ||||||||||||
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| |||||||||
End of period | $ | 2,523,159 | $ | 2,288,382 | $ | 3,333,632 | $ | 3,094,798 | ||||||||
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|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (175 | ) | $ | (175 | ) | $ | (245 | ) | $ | (247 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 19 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 761,516 | $ | 1,169,265 | $ | 477,274 | $ | 662,395 | ||||||||
Distributions reinvested | 141,568 | 61,815 | 90,426 | 39,567 | ||||||||||||
Cost of shares redeemed | (663,757 | ) | (653,336 | ) | (517,879 | ) | (595,012 | ) | ||||||||
Conversion from Class B Shares | 61,738 | 3,537 | 31,590 | 1,080 | ||||||||||||
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 301,065 | $ | 581,281 | $ | 81,411 | $ | 108,030 | ||||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 1,320 | $ | 4,133 | $ | 547 | $ | 2,287 | ||||||||
Distributions reinvested | 2,376 | 1,307 | 1,206 | 579 | ||||||||||||
Cost of shares redeemed | (32,334 | ) | (36,242 | ) | (16,017 | ) | (18,987 | ) | ||||||||
Conversion to Class A Shares | (61,738 | ) | (3,537 | ) | (31,590 | ) | (1,080 | ) | ||||||||
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|
|
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| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (90,376 | ) | $ | (34,339 | ) | $ | (45,854 | ) | $ | (17,201 | ) | ||||
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 377,453 | $ | 483,355 | $ | 557,723 | $ | 648,610 | ||||||||
Distributions reinvested | 34,950 | 11,113 | 52,950 | 15,718 | ||||||||||||
Cost of shares redeemed | (202,286 | ) | (151,120 | ) | (329,481 | ) | (334,441 | ) | ||||||||
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|
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| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 210,117 | $ | 343,348 | $ | 281,192 | $ | 329,887 | ||||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 105,111 | $ | 81,681 | $ | 36,634 | $ | 21,226 | ||||||||
Distributions reinvested | 3,676 | 2,581 | 2,086 | 990 | ||||||||||||
Cost of shares redeemed | (82,360 | ) | (84,506 | ) | (25,770 | ) | (24,564 | ) | ||||||||
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| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 26,427 | $ | (244 | ) | $ | 12,950 | $ | (2,348 | ) | ||||||
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|
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|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 447,233 | $ | 890,046 | $ | 329,699 | $ | 418,368 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 49,957 | 80,829 | 36,878 | 53,037 | ||||||||||||
Reinvested | 9,426 | 4,211 | 7,072 | 3,145 | ||||||||||||
Redeemed | (43,567 | ) | (45,013 | ) | (40,057 | ) | (47,622 | ) | ||||||||
Conversion from Class B Shares | 4,026 | 245 | 2,449 | 86 | ||||||||||||
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|
| |||||||||
Change in Class A Shares | 19,842 | 40,272 | 6,342 | 8,646 | ||||||||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Issued | 86 | 287 | 43 | 183 | ||||||||||||
Reinvested | 159 | 90 | 94 | 46 | ||||||||||||
Redeemed | (2,125 | ) | (2,507 | ) | (1,239 | ) | (1,519 | ) | ||||||||
Conversion to Class A Shares | (4,029 | ) | (245 | ) | (2,447 | ) | (86 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (5,909 | ) | (2,375 | ) | (3,549 | ) | (1,376 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 25,100 | 33,955 | 43,317 | 52,180 | ||||||||||||
Reinvested | 2,362 | 768 | 4,164 | 1,253 | ||||||||||||
Redeemed | (13,486 | ) | (10,540 | ) | (25,614 | ) | (26,885 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in Class C Shares | 13,976 | 24,183 | 21,867 | 26,548 | ||||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 6,901 | 5,619 | 2,824 | 1,687 | ||||||||||||
Reinvested | 244 | 176 | 162 | 78 | ||||||||||||
Redeemed | (5,390 | ) | (5,778 | ) | (1,986 | ) | (1,958 | ) | ||||||||
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| |||||||||
Change in Select Class Shares | 1,755 | 17 | 1,000 | (193 | ) | |||||||||||
|
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|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 21 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 288,677 | $ | 357,534 | $ | 441,133 | $ | 605,538 | ||||||||
Distributions reinvested | 64,605 | 18,699 | 104,781 | 30,757 | ||||||||||||
Cost of shares redeemed | (243,613 | ) | (226,201 | ) | (369,117 | ) | (328,489 | ) | ||||||||
Conversion from Class B Shares | 61,221 | 6,717 | 62,193 | 6,091 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 170,890 | $ | 156,749 | $ | 238,990 | $ | 313,897 | ||||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | 289 | $ | 1,237 | $ | 664 | $ | 1,832 | ||||||||
Distributions reinvested | 2,519 | 967 | 2,945 | 986 | ||||||||||||
Cost of shares redeemed | (32,144 | ) | (37,867 | ) | (37,395 | ) | (42,449 | ) | ||||||||
Conversion to Class A Shares | (61,221 | ) | (6,717 | ) | (62,193 | ) | (6,091 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (90,557 | ) | $ | (42,380 | ) | $ | (95,979 | ) | $ | (45,722 | ) | ||||
|
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 71,520 | $ | 67,519 | $ | 128,515 | $ | 140,280 | ||||||||
Distributions reinvested | 7,842 | 1,683 | 14,248 | 2,713 | ||||||||||||
Cost of shares redeemed | (40,872 | ) | (34,707 | ) | (68,902 | ) | (51,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 38,490 | $ | 34,495 | $ | 73,861 | $ | 91,763 | ||||||||
|
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|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 101,289 | $ | 52,249 | $ | 74,597 | $ | 57,090 | ||||||||
Distributions reinvested | 2,044 | 595 | 4,325 | 1,699 | ||||||||||||
Cost of shares redeemed | (29,909 | ) | (22,409 | ) | (42,606 | ) | (33,569 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 73,424 | $ | 30,435 | $ | 36,316 | $ | 25,220 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 192,247 | $ | 179,299 | $ | 253,188 | $ | 385,158 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 14,546 | 19,728 | 25,797 | 37,686 | ||||||||||||
Reinvested | 3,310 | 1,002 | 6,245 | 1,874 | ||||||||||||
Redeemed | (12,286 | ) | (12,465 | ) | (21,582 | ) | (20,413 | ) | ||||||||
Conversion from Class B Shares | 3,017 | 373 | 3,594 | 381 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 8,587 | 8,638 | 14,054 | 19,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | 15 | 71 | 40 | 116 | ||||||||||||
Reinvested | 133 | 53 | 176 | 61 | ||||||||||||
Redeemed | (1,666 | ) | (2,144 | ) | (2,198 | ) | (2,658 | ) | ||||||||
Conversion to Class A Shares | (3,109 | ) | (382 | ) | (3,617 | ) | (382 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (4,627 | ) | (2,402 | ) | (5,599 | ) | (2,863 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,770 | 3,884 | 7,695 | 8,949 | ||||||||||||
Reinvested | 421 | 95 | 870 | 169 | ||||||||||||
Redeemed | (2,156 | ) | (2,004 | ) | (4,129 | ) | (3,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 2,035 | 1,975 | 4,436 | 5,870 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,035 | 2,823 | 4,439 | 3,613 | ||||||||||||
Reinvested | 103 | 31 | 261 | 105 | ||||||||||||
Redeemed | (1,477 | ) | (1,200 | ) | (2,521 | ) | (2,092 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,661 | 1,654 | 2,179 | 1,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 23 | ||||||
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, 2015 | $ | 15.25 | $ | 0.19 | $ | 0.24 | $ | 0.43 | $ | (0.28 | ) | $ | (0.28 | ) | $ | (0.56 | ) | |||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.05 | 0.13 | 0.23 | 0.36 | (0.21 | ) | (0.28 | ) | (0.49 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 15.27 | 0.24 | 0.23 | 0.47 | (0.32 | ) | (0.28 | ) | (0.60 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
| (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, 2015 | ||||
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 investment income (loss) (a) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 15.12 | 2.89 | % | $ | 4,018,244 | 0.34 | % | 1.26 | % | 0.66 | % | 10 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 14.92 | 2.45 | 1,195,830 | 0.80 | 0.81 | 1.16 | 10 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.14 | 3.15 | 353,402 | 0.08 | 1.51 | 0.40 | 10 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 13.00 | $ | 0.19 | $ | 0.05 | $ | 0.24 | $ | (0.22 | ) | $ | (0.24 | ) | $ | (0.46 | ) | |||||||||||
Year Ended June 30, 2014 | 12.01 | 0.18 | (f) | 1.02 | 1.20 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 11.46 | 0.19 | (f) | 0.58 | 0.77 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.40 | 0.23 | (f) | 0.06 | 0.29 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 10.47 | 0.25 | 0.93 | 1.18 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 12.95 | 0.13 | 0.06 | 0.19 | (0.17 | ) | (0.24 | ) | (0.41 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 11.97 | 0.11 | (f) | 1.01 | 1.12 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 11.42 | 0.13 | (f) | 0.58 | 0.71 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.36 | 0.17 | (f) | 0.06 | 0.23 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 10.44 | 0.19 | 0.92 | 1.11 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 13.06 | 0.22 | 0.06 | 0.28 | (0.26 | ) | (0.24 | ) | (0.50 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 12.06 | 0.21 | (f) | 1.03 | 1.24 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 11.51 | 0.22 | (f) | 0.58 | 0.80 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.44 | 0.26 | (f) | 0.07 | 0.33 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 10.51 | 0.27 | 0.94 | 1.21 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
| (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.
| 26 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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 investment income (loss) (a) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 12.78 | 1.89 | % | $ | 2,554,155 | 0.34 | % | 1.46 | % | 0.66 | % | 11 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 12.73 | 1.44 | 1,831,636 | 0.79 | 1.02 | 1.16 | 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 | ||||||||||||||||||||
| 12.84 | 2.13 | 130,507 | 0.09 | 1.71 | 0.40 | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 19.59 | $ | 0.15 | (f) | $ | 0.91 | $ | 1.06 | $ | (0.39 | ) | $ | (0.31 | ) | $ | (0.70 | ) | ||||||||||
Year Ended June 30, 2014 | 16.25 | 0.11 | (f) | 3.45 | 3.56 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.88 | 0.14 | (f) | 2.38 | 2.52 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 14.14 | 0.10 | (f) | (0.25 | ) | (0.15 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 11.22 | 0.09 | (f) | 2.92 | 3.01 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 18.75 | 0.05 | (f) | 0.87 | 0.92 | (0.35 | ) | (0.31 | ) | (0.66 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 15.60 | 0.01 | (f) | 3.30 | 3.31 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.34 | 0.05 | (f) | 2.30 | 2.35 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 13.61 | 0.02 | (f) | (0.24 | ) | (0.22 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 10.82 | 0.02 | (f) | 2.80 | 2.82 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 19.91 | 0.20 | (f) | 0.93 | 1.13 | (0.44 | ) | (0.31 | ) | (0.75 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 16.51 | 0.16 | (f) | 3.50 | 3.66 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 14.09 | 0.17 | (f) | 2.44 | 2.61 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 14.35 | 0.14 | (f) | (0.26 | ) | (0.12 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 11.39 | 0.13 | (f) | 2.95 | 3.08 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
| (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.
| 28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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 investment income (loss) (a) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 19.95 | 5.51 | % | $ | 1,994,792 | 0.38 | % | 0.74 | % | 0.71 | % | 10 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 19.01 | 4.97 | 268,270 | 0.85 | 0.26 | 1.21 | 10 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 20.29 | 5.80 | 260,097 | 0.10 | 1.01 | 0.42 | 10 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 17.11 | $ | 0.19 | (f) | $ | 0.44 | $ | 0.63 | $ | (0.33 | ) | $ | (0.39 | ) | $ | (0.72 | ) | ||||||||||
Year Ended June 30, 2014 | 14.78 | 0.16 | (f) | 2.40 | 2.56 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.17 | 0.18 | (f) | 1.64 | 1.82 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 13.28 | 0.17 | (f) | (0.10 | ) | 0.07 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 11.05 | 0.18 | (f) | 2.23 | 2.41 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.72 | 0.11 | (f) | 0.44 | 0.55 | (0.26 | ) | (0.39 | ) | (0.65 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 14.46 | 0.07 | (f) | 2.34 | 2.41 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 12.89 | 0.10 | (f) | 1.61 | 1.71 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 13.01 | 0.10 | (f) | (0.11 | ) | (0.01 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 10.83 | 0.11 | (f) | 2.19 | 2.30 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 16.89 | 0.23 | (f) | 0.44 | 0.67 | (0.37 | ) | (0.39 | ) | (0.76 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 14.59 | 0.19 | (f) | 2.38 | 2.57 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.00 | 0.21 | (f) | 1.63 | 1.84 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 13.12 | 0.20 | (f) | (0.11 | ) | 0.09 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 10.92 | 0.21 | (f) | 2.20 | 2.41 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
| (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.
| 30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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 investment income (loss) (a) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 17.02 | 3.78 | % | $ | 2,659,305 | 0.36 | % | 1.11 | % | 0.69 | % | 9 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 16.62 | 3.37 | 430,037 | 0.82 | 0.65 | 1.19 | 9 | ||||||||||||||||||||
| 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 | (g) | 179,336 | 1.03 | 0.80 | 1.21 | 11 | |||||||||||||||||||
| 13.01 | 21.28 | 186,625 | 1.04 | 0.91 | 1.21 | 9 | ||||||||||||||||||||
| 16.80 | 4.11 | 244,290 | 0.09 | 1.38 | 0.41 | 9 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
Table of Contents
AS OF JUNE 30, 2015
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 C and Select Class | Diversified | ||
| Investor Conservative Growth Fund | Class A, Class C and Select Class | Diversified | ||
| Investor Growth Fund | Class A, Class C and Select Class | Diversified | ||
| Investor Growth & Income Fund | Class A, 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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| 32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 5,564,300 | $ | — | $ | — | $ | 5,564,300 | ||||||||
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Investor Conservative Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 4,516,066 | $ | — | $ | — | $ | 4,516,066 | ||||||||
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Investor Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 2,522,732 | $ | — | $ | — | $ | 2,522,732 | ||||||||
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Investor Growth & Income Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 3,332,500 | $ | — | $ | — | $ | 3,332,500 | ||||||||
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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, 2015.
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):
| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | $ | 25,995 | $ | 1,000 | $ | — | $ | — | $ | — | 1,910 | $ | 20,437 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 613,016 | 246,560 | 6,300 | 882 | 17,519 | 72,864 | 848,868 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 467,919 | 58,957 | 6,300 | 3,303 | 14,931 | 62,152 | 510,890 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 102,706 | 13,427 | 5,400 | 2,052 | — | 4,567 | 117,968 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 78,848 | 3,914 | 15,000 | (1,383 | ) | 1,315 | 4,901 | 61,699 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 25,141 | 24,455 | — | — | 1,655 | 5,913 | 47,064 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 80,273 | 2,837 | 18,800 | 159 | 737 | 2,606 | 57,728 | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 42,669 | 27 | 1,800 | (529 | ) | 26 | 4,153 | 33,969 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 78,879 | 6,852 | 3,000 | 1,679 | 1,699 | 5,978 | 83,514 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 142,844 | 53,106 | 14,500 | (323 | ) | 6,101 | 18,064 | 176,664 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 13,077 | 1,049 | — | — | 49 | 1,340 | 9,449 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 185,507 | 4,960 | 7,000 | 2,685 | 2,602 | 9,686 | 182,476 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 5,692 | 6,490 | — | 220 | 271 | 1,104 | 11,991 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 109,005 | 23,950 | 2,400 | 2,191 | 6,213 | 16,147 | 122,230 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 143,032 | 13,640 | 30,400 | (1,348 | ) | 1,640 | 11,843 | 121,509 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 60,425 | 51,845 | 4,000 | (293 | ) | 1,545 | 6,682 | 106,311 | ||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 151,569 | 114,542 | — | 24,182 | 3,960 | 13,405 | 232,315 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 354,247 | 35,723 | 57,100 | 24,235 | 4,195 | 8,923 | 343,433 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 45,925 | 49,977 | 2,000 | (252 | ) | 1,577 | 3,593 | 90,836 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 167,830 | 16,960 | 17,800 | 1,697 | 960 | 4,512 | 186,225 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 111,796 | 15,182 | 28,700 | 20,155 | 565 | 3,968 | 90,360 | |||||||||||||||||||||
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Balanced Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | $ | 47,170 | $ | 10,850 | $ | 7,200 | $ | 1,582 | $ | — | 1,581 | $ | 58,384 | |||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 183,236 | 40,750 | 48,300 | 30,980 | 2,189 | 10,798 | 159,695 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 27,512 | 1,224 | 3,000 | (695 | ) | 124 | 1,348 | 18,875 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 135,456 | 65,355 | 4,200 | 4 | 1,455 | 19,659 | 196,792 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 299,628 | 407,257 | 562,942 | — | 121 | 143,943 | 143,943 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 176,596 | 49,903 | 11,900 | 22,609 | 1,978 | 15,752 | 206,199 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 162,367 | — | 49,200 | 510 | — | 11,269 | 113,477 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 107,386 | 2,700 | — | 2,700 | — | 7,109 | 106,855 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | — | 39,230 | — | — | 131 | 1,394 | 39,042 | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 136,817 | 2,549 | 27,700 | (392 | ) | 2,549 | 9,364 | 109,188 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | — | 96,614 | — | 90 | 824 | 6,393 | 95,123 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 61,730 | 3,396 | 11,500 | 4,121 | 372 | 3,032 | 55,760 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 480,791 | 57,034 | 73,000 | 46,111 | 5,100 | 31,366 | 463,592 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 233,848 | 22,637 | 31,800 | 18,760 | 1,598 | 7,600 | 228,534 | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 23,213 | 1,229 | — | — | 1,229 | 2,356 | 23,233 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 80,759 | 6,660 | — | 2,031 | 928 | 2,990 | 89,672 | |||||||||||||||||||||
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| $ | 5,162,904 | $ | 207,723 | $ | 86,158 | $ | 5,564,300 | |||||||||||||||||||||
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| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | $ | 22,833 | $ | 1,000 | $ | — | $ | — | $ | — | 1,687 | $ | 18,048 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 806,107 | 340,424 | 5,300 | 1,161 | 22,549 | 97,441 | 1,135,187 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 546,237 | 29,940 | 19,100 | 3,745 | 17,043 | 66,484 | 546,496 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 37,180 | 4,098 | 3,100 | 821 | — | 1,576 | 40,717 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 43,093 | 2,711 | 13,600 | (1,628 | ) | 710 | 2,283 | 28,744 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 17,533 | 15,196 | — | — | 1,095 | 3,896 | 31,012 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 43,460 | 2,403 | 15,300 | (92 | ) | 404 | 1,221 | 27,055 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 59,351 | 37 | 1,200 | (341 | ) | 36 | 5,934 | 48,540 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 74,826 | 6,134 | 3,600 | 1,578 | 1,592 | 5,594 | 78,142 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 165,942 | 18,109 | 9,900 | (234 | ) | 6,804 | 17,250 | 168,704 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 10,960 | 1,042 | — | — | 42 | 1,139 | 8,027 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 52,639 | 1,406 | 2,000 | 741 | 738 | 2,747 | 51,745 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 19,861 | 13,887 | — | 609 | 778 | 3,058 | 33,206 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 75,923 | 23,700 | 2,000 | 1,520 | 4,564 | 12,132 | 91,838 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 182,755 | 10,080 | 33,200 | (1,548 | ) | 2,079 | 14,961 | 153,503 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 31,271 | 17,273 | 3,000 | (200 | ) | 672 | 2,791 | 44,402 | ||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 100,956 | 59,177 | 1,000 | 16,504 | 2,712 | 7,876 | 136,484 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 254,954 | 21,505 | 53,800 | 24,831 | 2,867 | 5,980 | 230,157 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 26,864 | 25,491 | 3,000 | (378 | ) | 891 | 1,873 | 47,345 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 105,706 | 14,484 | 13,900 | 2,393 | 582 | 2,866 | 118,273 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 42,122 | 7,858 | 17,300 | 8,087 | 210 | 1,312 | 29,871 | |||||||||||||||||||||
| 34 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Conservative Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | $ | 44,364 | $ | 12,844 | $ | 25,400 | $ | 11,347 | $ | 467 | 1,932 | $ | 28,567 | |||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 18,652 | 1,084 | 3,000 | (859 | ) | 84 | 868 | 12,146 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 298,940 | 70,824 | 9,900 | 10 | 3,024 | 36,000 | 360,360 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 202,784 | 318,905 | 463,366 | — | 88 | 58,323 | 58,323 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 57,479 | 24,210 | 23,200 | 8,771 | 627 | 4,273 | 55,930 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 24,224 | 5,767 | 2,700 | 2,455 | — | 912 | 28,340 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 142,186 | — | 56,501 | 959 | — | 8,561 | 86,207 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 111,954 | 2,816 | 4,300 | 2,766 | — | 7,131 | 107,173 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | — | 27,595 | — | — | 94 | 981 | 27,478 | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 160,270 | 2,874 | 43,500 | (555 | ) | 2,874 | 10,025 | 116,893 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | — | 88,915 | — | 88 | 827 | 5,872 | 87,376 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 42,702 | 3,886 | 9,900 | 3,488 | 273 | 2,076 | 38,183 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 232,162 | 49,756 | 52,100 | 23,059 | 2,553 | 15,560 | 229,981 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 133,376 | 11,532 | 16,500 | 10,649 | 928 | 4,337 | 130,423 | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 19,170 | 1,014 | — | — | 1,015 | 1,946 | 19,186 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 53,284 | 7,090 | — | 1,366 | 624 | 2,067 | 62,004 | |||||||||||||||||||||
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| $ | 4,262,120 | $ | 121,113 | $ | 79,846 | $ | 4,516,066 | |||||||||||||||||||||
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| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | $ | 12,839 | $ | — | $ | — | $ | — | $ | — | 907 | $ | 9,702 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 24,905 | 71,115 | 3,600 | 140 | 1,345 | 7,907 | 92,120 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 16,122 | 10,515 | 3,200 | 96 | 522 | 2,800 | 23,016 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 22,753 | 1,363 | — | 363 | — | 991 | 25,610 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 43,035 | 14,409 | 3,400 | (212 | ) | 709 | 4,018 | 50,587 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 7,684 | 851 | — | — | 351 | 990 | 7,883 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 44,305 | 10,113 | 2,900 | (43 | ) | 413 | 2,128 | 47,124 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 10,084 | 7 | 700 | (206 | ) | 6 | 948 | 7,757 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 32,130 | 3,873 | 1,000 | 674 | 705 | 2,527 | 35,304 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 20,942 | 4,463 | 10,200 | (183 | ) | 663 | 1,498 | 14,650 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 7,078 | 25 | — | — | 25 | 674 | 4,753 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 66,944 | 1,804 | 2,000 | 952 | 946 | 3,524 | 66,386 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 13,614 | 3,031 | 3,600 | 311 | 746 | 1,594 | 12,066 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 39,475 | 384 | 13,500 | (516 | ) | 384 | 2,453 | 25,168 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 77,578 | 36,034 | — | — | 1,734 | 7,009 | 111,510 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 81,772 | 73,770 | — | 13,207 | 2,163 | 7,992 | 138,496 | |||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund, Select Class Shares | — | 44,300 | — | — | — | 2,377 | 44,071 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 274,816 | 21,253 | 20,200 | 13,912 | 3,311 | 7,349 | 282,867 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 27,037 | 47,047 | — | — | 947 | 2,922 | 73,857 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 135,562 | 3,275 | 8,900 | 1,615 | 775 | 3,508 | 144,786 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 82,091 | 15,748 | 14,500 | 12,386 | 452 | 3,376 | 76,863 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 185,166 | 4,461 | 19,900 | 12,812 | — | 5,268 | 194,481 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 238,463 | 44,035 | 21,300 | 37,576 | 3,049 | 16,153 | 238,900 | |||||||||||||||||||||
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | $ | 10,321 | $ | 4,245 | $ | 500 | $ | (54 | ) | $ | 45 | 809 | $ | 11,324 | ||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 4,259 | 22 | 4,294 | 262 | 23 | — | — | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 43,096 | 142,366 | 168,567 | — | 18 | 16,895 | 16,895 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 131,552 | 26,414 | 10,700 | 15,972 | 1,395 | 10,738 | 140,566 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 14,958 | 2,310 | — | 1,410 | — | 576 | 17,886 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 22,396 | — | 11,000 | 183 | — | 1,132 | 11,402 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 13,436 | 338 | 1,000 | 310 | — | 823 | 12,368 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 57,414 | 11,159 | — | 2,961 | 598 | 2,376 | 66,522 | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 23,621 | 1,424 | 18,900 | (206 | ) | 224 | 505 | 5,891 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | — | 14,367 | — | 20 | 148 | 950 | 14,135 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 32,760 | 1,951 | 9,500 | 2,344 | 214 | 1,426 | 26,225 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 324,189 | 30,715 | 29,700 | 29,353 | 3,493 | 21,854 | 323,001 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 106,632 | 8,869 | 13,300 | 8,775 | 720 | 3,452 | 103,797 | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 5,042 | 266 | — | — | 267 | 512 | 5,046 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 34,980 | 3,767 | — | 870 | 397 | 1,324 | 39,717 | |||||||||||||||||||||
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| |||||||||||||||||||||
| $ | 2,289,051 | $ | 155,084 | $ | 26,788 | $ | 2,522,732 | |||||||||||||||||||||
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| |||||||||||||||||||||
| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | $ | 16,443 | $ | 1,999 | $ | — | $ | — | $ | — | 1,308 | $ | 13,994 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 190,510 | 113,549 | 3,900 | 276 | 5,925 | 25,655 | 298,881 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 170,777 | 19,710 | 3,900 | 1,185 | 5,409 | 22,276 | 183,111 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 44,713 | 885 | — | 685 | — | 1,874 | 48,399 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 55,129 | 3,798 | 2,100 | (132 | ) | 898 | 4,170 | 52,496 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 9,205 | 8,649 | — | — | 550 | 2,129 | 16,950 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 57,802 | 3,420 | 5,300 | 50 | 520 | 2,294 | 50,815 | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 19,637 | 12 | — | — | 12 | 2,011 | 16,453 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 51,217 | 4,120 | 1,300 | 1,038 | 1,088 | 3,900 | 54,488 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 86,767 | 43,005 | 11,000 | (250 | ) | 3,802 | 11,841 | 115,806 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 8,373 | 2,036 | — | — | 36 | 985 | 6,944 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 120,521 | 3,211 | 5,000 | 1,753 | 1,683 | 6,267 | 118,075 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | — | 11,217 | — | 203 | 215 | 1,018 | 11,055 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 63,744 | 15,889 | 2,700 | 1,218 | 3,628 | 9,516 | 72,038 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 71,085 | 10,806 | 20,500 | (976 | ) | 807 | 5,758 | 59,072 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 96,715 | 31,314 | — | — | 1,914 | 7,867 | 125,157 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 100,540 | 69,127 | — | 15,921 | 2,607 | 8,505 | 147,399 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 319,333 | 27,950 | 23,100 | 17,962 | 3,785 | 8,651 | 332,983 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 54,454 | 36,030 | 1,000 | (126 | ) | 1,831 | 3,389 | 85,684 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 103,175 | 7,791 | 8,400 | 1,195 | 591 | 2,769 | 114,267 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 40,222 | 11,375 | 20,500 | 10,267 | 218 | 1,238 | 28,192 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 144,132 | 13,488 | 6,600 | 3,291 | — | 4,659 | 171,992 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 185,292 | 38,991 | 17,200 | 29,533 | 2,398 | 12,865 | 190,271 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 13,825 | 655 | 2,000 | (139 | ) | 55 | 663 | 9,287 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | — | 25,466 | 5,000 | (13 | ) | 65 | 2,041 | 20,432 | ||||||||||||||||||||
| 36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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| For the year ended June 30, 2015 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2014 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2015 | Value at June 30, 2015 | |||||||||||||||||||||
Investor Growth & Income Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | $ | 117,899 | $ | 204,801 | $ | 300,097 | $ | — | $ | 34 | 22,603 | $ | 22,603 | |||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 130,172 | 24,125 | 21,300 | 16,512 | 1,312 | 9,654 | 126,369 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 18,793 | 2,725 | 1,000 | 1,795 | — | 684 | 21,257 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 87,152 | — | 37,100 | 413 | — | 4,979 | 50,135 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 57,676 | 1,451 | 7,900 | 1,308 | — | 3,298 | 49,573 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 37,465 | 22,336 | — | 2,339 | 496 | 2,109 | 59,054 | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 59,639 | 1,033 | 22,100 | (367 | ) | 1,033 | 3,222 | 37,564 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | — | 47,473 | — | 53 | 420 | 3,137 | 46,681 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 47,583 | 2,751 | 6,000 | 2,851 | 302 | 2,497 | 45,923 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 316,936 | 33,259 | 22,200 | 28,762 | 3,430 | 22,098 | 326,604 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 137,072 | 11,266 | 12,800 | 10,733 | 922 | 4,581 | 137,761 | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 15,147 | 803 | 1,000 | (56 | ) | 802 | 1,436 | 14,160 | ||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 45,741 | 3,611 | — | 1,105 | 505 | 1,686 | 50,575 | |||||||||||||||||||||
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| $ | 3,094,886 | $ | 148,389 | $ | 47,293 | $ | 3,332,500 | |||||||||||||||||||||
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C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. 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 on the Statements of Operations and are not included in the ratios to average net assets shown on the Financial Highlights. Certain expenses of Underlying Funds are waived as described in Note 3.F.
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains 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.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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) | ||||||||||
Investor Balanced Fund | $ | — | $ | 32,444 | $ | (32,444 | ) | |||||
Investor Conservative Growth Fund | — | 12,408 | (12,408 | ) | ||||||||
Investor Growth Fund | — | 30,452 | (30,452 | ) | ||||||||
Investor Growth & Income Fund | — | 26,844 | (26,844 | ) | ||||||||
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.
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 0.10% 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, 2015, 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 | 0.06 | |||
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 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, 2015, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 2,457 | $ | 3 | ||||
Investor Conservative Growth Fund | 1,410 | 4 | ||||||
Investor Growth Fund | 841 | 3 | ||||||
Investor Growth & Income Fund | 1,401 | 2 | ||||||
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.
| 38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
Table of Contents
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 on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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’s 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 contractual expense limitation percentages were in effect for the year ended June 30, 2015 and are in place until at least October 31, 2015 except for Class B Shares which are no longer operating.
The Underlying Funds may impose separate advisory and shareholder servicing fees. To avoid charging a shareholder servicing fee at an effective rate above 0.25% of the Funds’ net assets, the Funds’ Distributor may waive shareholder servicing fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of shareholder servicing fees charged by the Underlying Funds. This waiver may be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ shareholder servicing fees.
For the year ended June 30, 2015, 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 | ||||||||||||||||
Investor Balanced Fund | $ | 2,140 | $ | 1,910 | $ | 7,952 | $ | 12,002 | $ | 1,436 | ||||||||||
Investor Conservative Growth Fund | 1,703 | 1,610 | 5,246 | 8,559 | 1,685 | |||||||||||||||
Investor Growth Fund | 1,203 | 1,080 | 4,667 | 6,950 | 117 | |||||||||||||||
Investor Growth & Income Fund | 1,529 | 1,209 | 5,595 | 8,333 | 604 | |||||||||||||||
In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2015 as follows (amounts in thousands). However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
| Voluntary Waivers | ||||
Shareholder Servicing | ||||
Investor Balanced Fund | $ | 4,351 | ||
Investor Conservative Growth Fund | 4,698 | |||
Investor Growth Fund | 1,012 | |||
Investor Growth & Income Fund | 1,884 | |||
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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the 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, 2015 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
4. Investment Transactions
During the year ended June 30, 2015, 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 | $ | 1,145,584 | $ | 488,300 | ||||
Investor Conservative Growth Fund | 926,162 | 447,301 | ||||||
Investor Growth Fund | 517,723 | 227,794 | ||||||
Investor Growth & Income Fund | 655,326 | 270,900 | ||||||
During the year ended June 30, 2015, 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, 2015 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 4,820,651 | $ | 819,770 | $ | 76,121 | $ | 743,649 | ||||||||
Investor Conservative Growth Fund | 4,107,731 | 472,492 | 64,157 | 408,335 | ||||||||||||
Investor Growth Fund | 1,904,934 | 649,581 | 31,783 | 617,798 | ||||||||||||
Investor Growth & Income Fund | 2,742,007 | 641,898 | 51,405 | 590,493 | ||||||||||||
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, 2015 was as follows (amounts in thousands):
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Investor Balanced Fund | $ | 101,470 | $ | 90,726 | $ | 192,196 | ||||||
Investor Conservative Growth Fund | 70,845 | 78,817 | 149,662 | |||||||||
Investor Growth Fund | 47,324 | 36,115 | 83,439 | |||||||||
Investor Growth & Income Fund | 61,387 | 71,664 | 133,051 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
As of June 30, 2015, 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 | $ | 8,797 | $ | 164,745 | $ | 743,649 | ||||||
Investor Conservative Growth Fund | 4,341 | 100,405 | 408,335 | |||||||||
Investor Growth Fund | 2,168 | 120,836 | 617,798 | |||||||||
Investor Growth & Income Fund | 4,376 | 116,149 | 590,493 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals.
As of June 30, 2015, the Funds did not have any net capital loss carryforwards.
| 40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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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 JPMorgan Trust 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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015, or at any time during the year then ended.
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 | 90 | % | ||
JPMorgan Large Cap Value Fund | 82 | |||
JPMorgan International Unconstrained Equity Fund | 82 | |||
JPMorgan International Research Enhanced Equity Fund | 76 | |||
JPMorgan Systematic Alpha Fund | 76 | |||
JPMorgan Commodities Strategy Fund | 72 | |||
JPMorgan Global Natural Resources Fund | 71 | |||
JPMorgan Dynamic Growth Fund | 69 | |||
JPMorgan Latin America Fund | 64 | |||
JPMorgan U.S. Dynamic Plus Fund | 54 | |||
JPMorgan Intrepid Growth Fund | 53 | |||
JPMorgan Limited Duration Bond Fund | 47 | |||
JPMorgan Market Expansion Enhanced Index Fund | 39 | |||
JPMorgan Research Market Neutral Fund | 38 | |||
JPMorgan Emerging Markets Local Currency Debt Fund | 37 | |||
JPMorgan Intrepid America Fund | 32 | |||
JPMorgan Intrepid European Fund | 31 | |||
JPMorgan Core Plus Bond Fund | 30 | |||
JPMorgan Emerging Economies Fund | 24 | |||
JPMorgan Intrepid Mid Cap Fund | 23 | |||
JPMorgan Inflation Managed Bond Fund | 21 | |||
JPMorgan Floating Rate Income Fund | 18 | |||
JPMorgan International Equity Fund | 14 | |||
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 41 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| % of Net Assets | ||||
JPMorgan U.S. Equity Fund | 11 | % | ||
JPMorgan Small Cap Value Fund | 10 | |||
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’ net assets.
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
| 42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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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, 2015, 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, 2015 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 43 | ||||||
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
| 44 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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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 (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 45 | ||||||
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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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| 46 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2015 | ||||
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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 (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, 2015 and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.20 | $ | 1.75 | 0.35 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,009.60 | 4.24 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,013.50 | 0.40 | 0.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.40 | 0.40 | 0.08 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,007.90 | 1.74 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,005.20 | 4.23 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,008.50 | 0.45 | 0.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.35 | 0.45 | 0.09 | ||||||||||||
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 47 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.70 | $ | 1.86 | 0.37 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,019.90 | 4.41 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,024.20 | 0.35 | 0.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.45 | 0.35 | 0.07 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,018.10 | 1.85 | 0.37 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,015.60 | 4.30 | 0.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,019.70 | 0.40 | 0.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.40 | 0.40 | 0.08 | ||||||||||||
| * | 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 INVESTOR FUNDS | JUNE 30, 2015 | ||||
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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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deductions | ||||
Investor Balanced Fund | 18.92 | % | ||
Investor Conservative Growth Fund | 15.29 | |||
Investor Growth Fund | 26.24 | |||
Investor Growth & Income Fund | 22.30 | |||
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Investor Balanced Fund | $ | 90,726 | ||
Investor Conservative Growth Fund | 78,817 | |||
Investor Growth Fund | 36,115 | |||
Investor Growth & Income Fund | 71,664 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Investor Balanced Fund | $ | 35,206 | ||
Investor Conservative Growth Fund | 27,098 | |||
Investor Growth Fund | 14,625 | |||
Investor Growth & Income Fund | 23,679 | |||
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2015, the Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses cannot be quantified until Underlying Funds complete reporting for the calendar year in progress. Amounts for the fiscal year ended June 30, 2015 will be disclosed in the semi-annual report for the period ended December 31, 2015.
| JUNE 30, 2015 | J.P. MORGAN INVESTOR FUNDS | 49 | ||||||
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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., 2015. All rights reserved. June 2015. | AN-INV-615 |
Table of Contents
Annual Report
J.P. Morgan Intrepid Funds
June 30, 2015
JPMorgan Intrepid Advantage Fund
JPMorgan Intrepid America Fund
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Value Fund
 |
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 3 | |||
| 4 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| Schedules of Portfolio Investments | 14 | |||
| Financial Statements | 32 | |||
| Financial Highlights | 46 | |||
| Notes to Financial Statements | 56 | |||
| Report of Independent Registered Public Accounting Firm | 64 | |||
| Trustees | 65 | |||
| Officers | 67 | |||
| Schedule of Shareholder Expenses | 68 | |||
| Tax Letter | 70 | |||
Privacy Policy — Located at 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.
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July 27, 2015 (Unaudited)
While central banks continued to provide stimulus and support for financial markets and the global economy, a sharp and sustained decline in energy prices and a handful of distinct geopolitical crises marked the twelve months ended June 30, 2015. By late 2014, the U.S. economy was surging, even as growth stagnated in the European Union (EU) and Japan sank into recession.
 |
“While the challenges faced by financial markets and the global economy changed somewhat over the past twelve months, interest rates remained low and central banks continued to provide significant support for growth.” |
However, the U.S. economy cooled in early 2015 and extraordinary stimulus by central banks in the EU, Japan and China propped up domestic growth, as well as global financial markets. By the end of June, the consensus outlook for slow but continued global growth became clouded by investor worries about China and to a lesser degree, Greece.
After showing healthy growth for several quarters, U.S. gross domestic product (GDP) notched only 0.6% growth in the first quarter of 2015, partly due to severe winter weather and a labor dispute that slowed operations at vital West Coast ports. The manufacturing sector of the U.S. economy showed particular weakness in the first half of 2015 as a strong U.S. dollar hurt exports and weak oil prices curtailed energy sector projects. On the positive side, unemployment fell to 5.3% in June 2015 from 6.1% one year earlier.
Robust economic growth and steady gains in employment — though not reflected in wage growth — drove the U.S. Federal Reserve (“Fed”) to end its multibillion-dollar asset purchasing program in October 2014 and signal that it would begin to raise interest rates sometime in 2015.
U.S. equity markets produced increasing returns in 2014 before hitting a plateau around record highs in 2015. While the Standard & Poor’s 500 Index closed in record territory several times in the first half of 2015, the trading range was the narrowest since 1994, and the index produced a total return of just 1.2% for the six month period. However, gains from the latter half of 2014 put the total return at 7.4% for the twelve months ended June 30, 2015.
Amid the prospect of rising U.S. interest rates, bonds with longer maturities, including U.S. Treasuries, slumped in 2015. Though high yield debt (or “junk bonds”) rebounded in 2015, for the entire twelve month reporting period investment grade debt securities outperformed high yield bonds. For the twelve months ended June 30, 2015, the Barclays U.S. Aggregate
Index returned 1.9%, while the Barclays High Yield Index returned -0.4%.
In response to weak growth and a threat of price deflation in late 2014, the European Central Bank undertook a massive asset buying program and sought to reassure investors that it would take whatever actions necessary to sustain economic growth. These actions helped propel equity markets higher. For the first three months of 2015, GDP rose by 0.4% in the EU and unemployment dropped to its lowest level since March 2012, though it stubbornly remained above 11%. Indeed, mild improvement in economic data across Europe coupled with signs of slowing U.S. growth in 2015 increased the relative attractiveness of European equities to investors.
While negotiations to resolve the Greek debt crisis were the focus of daily news reports throughout the first half of the year, the drawn-out nature of the crisis meant that investors were braced for either a deal or default and financial markets had “priced in” those outcomes. Thus the crisis appeared to have little impact on financial markets and domestic economies outside of Greece itself.
Japanese equity markets also benefitted from a strong U.S. dollar (which made Japanese goods relatively cheaper), improved corporate governance and government equity purchases. Japanese stocks outperformed both U.S. and European equities in the latter half of the twelve month reporting period. The Nikkei 250 Index closed out June 2015 at an 18-year high.
Chinese equities produced strong returns for the twelve month reporting period, though volatility grew sharply in Shanghai, Shenzhen and Hong Kong markets in 2015. After reaching a peak on June 12th, Chinese equity prices fell nearly 30% in the subsequent weeks and ended the month 17.4% down from that peak. On June 27th, China’s central bank sought to bolster sagging equity prices by cutting interest rates and reducing the amount of required cash reserves at certain banks. When those efforts failed to halt the freefall, the Chinese government on June 29th granted local government pension funds permission to invest in the stock market, potentially funneling more than $160 billion into the equity market. Interestingly, by the end of June, about one-fourth of all companies listed on the Shanghai and Shenzhen stock exchanges had sought a suspension in trading of their shares rather than endure a further sell-off. It is notable that even after the June decline, the Shanghai Composite Index returned 32.2% for the first half of 2015.
While the global economy remained on a positive growth trajectory, the International Monetary Fund in July lowered its forecast for 2015 growth by 0.2% to 3.3%, citing slower growth in the U.S. Nevertheless, the U.S. economy continued to improve sufficiently to lead the Fed to signal it may raise interest rates in September for the first time since the 2008-09 financial crisis. While the challenges faced by financial markets and the global economy changed somewhat over the past
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
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CEO’S LETTER
July 27, 2015 (Unaudited)
twelve months, interest rates remained low and central banks continued to provide significant support for growth. The changing investment climate and uncertainties about the pace of global economic expansion underscore the practicality of holding a properly diversified portfolio with long-range objectives.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 2 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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JPMorgan Intrepid Funds
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
U.S equity markets performed strongly in the latter half of 2014 amid accommodative central bank policies, falling energy prices and steady overall improvement in the U.S. economy. In the first half of 2015, U.S. equity markets closed at several record highs but moved very little overall, remaining closer to flat than during any other six month period since reliable recordkeeping began in 1928.
Overall, U.S. large cap stocks only slightly outperformed mid cap and small cap stocks for the twelve months ended June 30, 2015. However, small cap growth stocks outperformed all other equity categories and growth stocks outperformed value stocks across all market cap categories. For the twelve month period, the S&P 500 Index returned 7.42%, while the Russell 1000 Value Index returned 4.13%, the Russell 1000 Growth Index returned 10.56% and the Russell Midcap Growth Index returned 9.45%.
Intrepid Investment Philosophy and Process
The JPMorgan Behavioral Finance 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 of companies that it believes have strong management teams, high earnings quality and positive 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, the Funds were managed and positioned in accordance with this investment philosophy and process.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
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JPMorgan Intrepid Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.51% | |||
| Russell 3000 Index | 7.29% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 22,640 | ||
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’s Select Class Shares outperformed the Russell 3000 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection and overweight position in the health care sector and its security selection in the industrials sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and information technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Cigna Corp., Northrop Grumman Corp. and Apple Inc. Shares of Cigna, a health insurance company, rose on a takeover offer from Anthem Inc. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Apple, a provider of smartphones and related devices and services, rose on continued execution in product development and strong sales growth.
Leading individual detractors from relative performance included the Fund’s overweight positions in TripAdvisor Inc., SanDisk Corp. and Rovi Corp. Shares of TripAdvisor, an online travel company, weakened amid disappointing earnings. Shares of SanDisk, a maker of data storage systems, fell on weakness in demand for its solid state drive products. Shares of Rovi, a provider of television guide programs to cable TV companies, declined on investor worries about the company’s prospects for contract renewals and litigation over key technology patents.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.6 | % | |||||
| 2. | Microsoft Corp. | 3.7 | ||||||
| 3. | Wells Fargo & Co. | 2.7 | ||||||
| 4. | Cigna Corp. | 2.5 | ||||||
| 5. | Citigroup, Inc. | 2.5 | ||||||
| 6. | Gilead Sciences, Inc. | 2.4 | ||||||
| 7. | Time Warner, Inc. | 2.2 | ||||||
| 8. | Northrop Grumman Corp. | 2.1 | ||||||
| 9. | Home Depot, Inc. (The) | 1.9 | ||||||
| 10. | Pfizer, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 22.5 | % | ||
| Health Care | 18.0 | |||
| Financials | 16.4 | |||
| Consumer Discretionary | 14.2 | |||
| Consumer Staples | 9.4 | |||
| Energy | 8.0 | |||
| Industrials | 6.5 | |||
| Materials | 1.4 | |||
| Utilities | 1.4 | |||
| Telecommunication Services | 1.0 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 4 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 7.22 | % | 17.99 | % | 7.08 | % | ||||||||
With Sales Charge* | 1.59 | 16.72 | 6.50 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 6.71 | 17.43 | 6.54 | |||||||||||
With CDSC** | 5.71 | 17.43 | 6.54 | |||||||||||
SELECT CLASS SHARES | February 28, 2003 | 7.51 | 18.29 | 7.34 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 Advantage Fund, the Russell 3000 Index and the Lipper Multi-Cap Core Funds Index from June 30, 2005 to June 30, 2015. 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.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
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JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 8.56% | |||
| S&P 500 Index(1) | 7.42% | |||
| Russell 1000 Index | 7.37% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 3,709,637 | ||
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’s Select Class Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the health care and industrials sectors was a leading contributor to performance relative to the Benchmark, while security selection in the consumer discretionary and financials sectors was a leading detractor from relative performance.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Northrop Grumman Corp., Kroger Co. and Anthem Inc. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Kroger, a supermarket chain, rose on increased consumer spending in the U.S., an increase in its dividend and a share repurchase program. Shares of Anthem, a health insurer, rose on news of its takeover offer for Cigna Corp.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Apollo Education Group Inc., National Oilwell Varco Inc. and Patterson-UTI Energy Inc. Shares of Apollo Group, a for-profit higher education company, fell on declining revenue and increased regulatory scrutiny. Shares of National Oilwell, a provider of equipment for the oil and gas industry, fell on decreased demand as energy sector companies cut back on new projects. Patterson-UTI, an owner/operator of oil drilling rigs, fell amid a decline in global oil prices.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.8 | % | |||||
| 2. | Wells Fargo & Co. | 3.3 | ||||||
| 3. | Microsoft Corp. | 2.9 | ||||||
| 4. | Pfizer, Inc. | 2.7 | ||||||
| 5. | Time Warner, Inc. | 2.3 | ||||||
| 6. | Anthem, Inc. | 2.3 | ||||||
| 7. | Target Corp. | 2.2 | ||||||
| 8. | Medtronic plc, (Ireland) | 2.2 | ||||||
| 9. | Northrop Grumman Corp. | 2.1 | ||||||
| 10. | Kroger Co. (The) | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 21.8 | % | ||
| Health Care | 15.6 | |||
| Financials | 14.5 | |||
| Consumer Discretionary | 11.2 | |||
| Industrials | 10.0 | |||
| Consumer Staples | 8.2 | |||
| Energy | 8.0 | |||
| Materials | 3.2 | |||
| Telecommunication Services | 3.0 | |||
| Utilities | 2.3 | |||
| Short-Term Investment | 2.2 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| (1) | On November 1, 2014, the JPMorgan Intrepid America Fund adopted the S&P 500 Index as its primary Benchmark, replacing the Russell 1000 Index, because the portfolio managers believe the S&P 500 Index is a more representative benchmark for large cap funds. |
| 6 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 8.27 | % | 17.74 | % | 7.62 | % | ||||||||
With Sales Charge* | 2.58 | 16.48 | 7.04 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 7.72 | 17.15 | 7.09 | |||||||||||
With CDSC** | 6.72 | 17.15 | 7.09 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 8.01 | 17.44 | 7.45 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 8.76 | 18.28 | 8.10 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 8.56 | 18.03 | 7.90 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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 R5 Shares prior to their inception dates are based on the performance of 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. During this period, the actual returns for 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 $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid America Fund, the S&P 500 Index, the Russell 1000 Index and the Lipper Large-Cap Core Funds Index from June 30, 2005 to June 30, 2015. 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 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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.
On November 1, 2014, the JPMorgan Intrepid America Fund adopted the Standard & Poor’s 500 Index as its primary Benchmark, replacing the Russell 1000 Index, because the portfolio managers believe the S&P 500 Index is a more representative benchmark for large cap funds.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 11.43% | |||
| Russell 1000 Growth Index | 10.56% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 1,054,829 | ||
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’s Select Class Shares outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the industrials and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and utilities sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kroger Co., United Therapeutics Corp. and Electronic Arts Inc. Shares of Kroger, a supermarket chain, rose on increased consumer spending in the U.S., an increase in its dividend and a share repurchase program. Shares of United Therapeutics, a drug maker, rose on U.S. Food and Drug Administration approval of the company’s treatment for cancer in children. Shares of Electronic Arts, a maker of video games, rose on better-than-expected earnings and revenue.
Leading individual detractors from relative performance included the Fund’s overweight positions in Apollo Education Group Inc., National Oilwell Varco Corp. and Viacom Inc. Shares of Apollo Group, a for-profit higher education company, fell on declining revenue and increased regulatory scrutiny. Shares of National Oilwell, a provider of equipment for the oil and gas industry, fell on decreased demand as energy sector companies cut back on new projects. Shares of Viacom, a provider of entertainment content, declined after the company reported lower-than-expected revenue.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 7.9 | % | |||||
| 2. | Microsoft Corp. | 3.7 | ||||||
| 3. | Gilead Sciences, Inc. | 3.6 | ||||||
| 4. | Amgen, Inc. | 2.9 | ||||||
| 5. | Oracle Corp. | 2.7 | ||||||
| 6. | Home Depot, Inc. (The) | 2.7 | ||||||
| 7. | Visa, Inc., Class A | 2.6 | ||||||
| 8. | Anthem, Inc. | 2.0 | ||||||
| 9. | Time Warner, Inc. | 2.0 | ||||||
| 10. | Target Corp. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 29.3 | % | ||
| Consumer Discretionary | 19.1 | |||
| Health Care | 17.8 | |||
| Industrials | 10.7 | |||
| Consumer Staples | 9.4 | |||
| Financials | 3.8 | |||
| Materials | 3.5 | |||
| Telecommunication Services | 1.7 | |||
| Energy | 1.3 | |||
| Utilities | 0.4 | |||
| Short-Term Investment | 3.0 | |||
| * | 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, 2015. The Fund’s portfolio composition is subject to change. |
| 8 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 11.16 | % | 18.56 | % | 8.52 | % | ||||||||
With Sales Charge* | 5.33 | 17.29 | 7.94 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 10.60 | 17.97 | 7.97 | |||||||||||
With CDSC** | 9.60 | 17.97 | 7.97 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 10.87 | 18.27 | 8.34 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 11.66 | 19.10 | 8.98 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 11.43 | 18.86 | 8.79 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 R5 Shares prior to their inception dates are based on the performance of 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. The actual returns for 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 $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, 2005 to June 30, 2015. 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.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.97% | |||
| Russell Midcap Index | 6.63% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 975,549 | ||
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’s Select Class Shares underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection in the semiconductors and internet software and service sectors was a leading detractor from performance relative to the Benchmark, while security selection in the energy and industrial cyclical sectors was a leading positive contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Rovi Corp., Micron Technology, Inc. and ManpowerGroup Inc. Shares of Rovi, a provider of television guide programs to cable TV companies, declined on investor worries about the company’s prospects for contract renewals and litigation over key technology patents. Shares of Micron Technology, a semiconductor maker not held in the Benchmark, fell after reporting a sharp drop in revenue amid declining demand and falling prices for semiconductors. Shares of ManpowerGroup, a provider of employment and personnel services, fell after the company said the relative strength of the U.S. dollar would hurt revenue.
Leading individual contributors to relative performance included the Fund’s overweight positions in Huntington Ingalls Industries Inc., Booz Allen Hamilton Holding Corp. and Lear Corp. Shares of Huntington Ingalls, a shipbuilder, climbed higher on expectations of increased military contracts. Shares of Booz Allen, a management and technology consulting company, rose after the company raised its earnings forecast. Shares of Lear, a maker of automobile seating, rose on healthy earnings growth and a potential split of the company into two entities, which could benefit shareholders.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | ManpowerGroup, Inc. | 2.1 | % | |||||
| 2. | Bunge Ltd. | 2.1 | ||||||
| 3. | Jones Lang LaSalle, Inc. | 2.0 | ||||||
| 4. | Huntington Ingalls Industries, Inc. | 1.9 | ||||||
| 5. | AmerisourceBergen Corp. | 1.9 | ||||||
| 6. | AECOM | 1.7 | ||||||
| 7. | Lear Corp. | 1.7 | ||||||
| 8. | Southwest Airlines Co. | 1.6 | ||||||
| 9. | Hologic, Inc. | 1.5 | ||||||
| 10. | Ross Stores, Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 20.3 | % | ||
| Information Technology | 15.7 | |||
| Industrials | 13.8 | |||
| Consumer Discretionary | 13.7 | |||
| Health Care | 11.4 | |||
| Energy | 6.0 | |||
| Consumer Staples | 5.8 | |||
| Materials | 5.2 | |||
| Utilities | 5.1 | |||
| Telecommunication Services | 1.0 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 10 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 1, 1992 | |||||||||||||
Without Sales Charge | 5.69 | % | 17.78 | % | 8.59 | % | ||||||||
With Sales Charge* | 0.13 | 16.51 | 8.01 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 5.02 | 17.02 | 7.92 | |||||||||||
With CDSC** | 4.02 | 17.02 | 7.92 | |||||||||||
SELECT CLASS SHARES | June 1, 1991 | 5.97 | 18.08 | 8.87 | ||||||||||
| * | 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.
TEN YEAR PERFORMANCE (6/30/05 TO 6/30/15)
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, 2005 to June 30, 2015. 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.
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, 2015 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2015 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.41% | |||
| Russell 1000 Value Index | 4.13% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $ | 1,787,783 | ||
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’s Select Class Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2015. The Fund’s security selection and overweight position in the health care sector and its security selection in the energy sector were leading positive contributors to performance relative to the Benchmark, while security selection in the information technology and consumer discretionary sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kroger Co. and Valero Energy Corp. and its underweight position in Johnson & Johnson. Shares of Kroger, a supermarket chain not held in the Benchmark, rose on increased consumer spending in the U.S., an increase in its dividend and a share repurchase program. Shares of Valero Energy, a refinery operator specializing in gasoline and diesel fuel, rose on the company’s plans to expand its refining and transport systems to reduce operating costs. Shares of Johnson & Johnson, a maker of consumer health care products that was not held in the Fund, fell on weakness in sales of medical devices and the relative strength of the U.S. dollar, which makes U.S. products more expensive overseas.
Leading individual detractors from relative performance included the Fund’s overweight positions in SanDisk Corp., National Oilwell Varco Inc. and Micron Technology, Inc. Shares of SanDisk, a maker of data storage systems, fell on weakness in demand for its solid state drive products. Shares of National Oilwell, a provider of equipment for the oil and gas industry, fell on decreased demand as energy sector companies cut back on new projects. Shares of Micron Technology, a semiconductor maker, fell after reporting a sharp drop in revenue amid declining demand and falling prices for semiconductors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 4.1 | % | |||||
| 2. | Pfizer, Inc. | 3.8 | ||||||
| 3. | Citigroup, Inc. | 3.2 | ||||||
| 4. | Bank of America Corp. | 2.6 | ||||||
| 5. | Anthem, Inc. | 2.3 | ||||||
| 6. | Valero Energy Corp. | 2.3 | ||||||
| 7. | General Dynamics Corp. | 2.0 | ||||||
| 8. | Archer-Daniels-Midland Co. | 2.0 | ||||||
| 9. | Apple, Inc. | 1.9 | ||||||
| 10. | LyondellBasell Industries N.V., Class A | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 28.0 | % | ||
| Energy | 14.0 | |||
| Health Care | 12.1 | |||
| Information Technology | 10.8 | |||
| Industrials | 10.4 | |||
| Consumer Staples | 6.8 | |||
| Consumer Discretionary | 5.4 | |||
| Utilities | 5.3 | |||
| Materials | 3.5 | |||
| Telecommunication Services | 1.4 | |||
| 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, 2015. The Fund’s portfolio composition is subject to change. |
| 12 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2015 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 5.24 | % | 17.22 | % | 7.58 | % | ||||||||
With Sales Charge* | (0.29 | ) | 15.96 | 7.00 | ||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 4.72 | 16.62 | 7.05 | |||||||||||
With CDSC** | 3.72 | 16.62 | 7.05 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 4.96 | 16.92 | 7.40 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 5.60 | 17.62 | 7.99 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 5.67 | 17.68 | 8.02 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 5.41 | 17.39 | 7.80 | ||||||||||
| * | 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 (6/30/05 TO 6/30/15)
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 R5 Shares prior to their inception dates are based on the performance of 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. 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, 2005 to
June 30, 2015. 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 $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.8% |
| ||||||
Consumer Discretionary — 14.2% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 4 | Delphi Automotive plc, (United Kingdom) | 325 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
| 6 | Hilton Worldwide Holdings, Inc. (a) | 178 | ||||||
| 10 | Wendy’s Co. (The) | 110 | ||||||
|
| |||||||
| 288 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
| 1 | Harman International Industries, Inc. | 164 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 2 | Expedia, Inc. | 235 | ||||||
|
| |||||||
Media — 3.5% |
| |||||||
| 5 | Comcast Corp., Class A | 288 | ||||||
| 6 | Time Warner, Inc. | 492 | ||||||
|
| |||||||
| 780 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 2 | Target Corp. | 182 | ||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
| 6 | Best Buy Co., Inc. | 193 | ||||||
| 4 | Home Depot, Inc. (The) | 433 | ||||||
| 2 | Lowe’s Cos., Inc. | 166 | ||||||
| 7 | Staples, Inc. | 107 | ||||||
|
| |||||||
| 899 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
| 3 | Coach, Inc. | 111 | ||||||
| 7 | Hanesbrands, Inc. | 226 | ||||||
|
| |||||||
| 337 | ||||||||
|
| |||||||
Total Consumer Discretionary | 3,210 | |||||||
|
| |||||||
Consumer Staples — 9.4% |
| |||||||
Beverages — 2.2% |
| |||||||
| 5 | Coca-Cola Co. (The) | 198 | ||||||
| 2 | Molson Coors Brewing Co., Class B | 105 | ||||||
| 2 | PepsiCo, Inc. | 200 | ||||||
|
| |||||||
| 503 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.2% |
| |||||||
| 3 | Walgreens Boots Alliance, Inc. | 256 | ||||||
| 3 | Wal-Mart Stores, Inc. | 241 | ||||||
|
| |||||||
| 497 | ||||||||
|
| |||||||
Food Products — 2.9% |
| |||||||
| 2 | Archer-Daniels-Midland Co. (m) | 98 | ||||||
| 1 | Ingredion, Inc. | 103 | ||||||
| 5 | Mondelez International, Inc., Class A | 193 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — continued |
| |||||||
| 6 | Tyson Foods, Inc., Class A | 270 | ||||||
|
| |||||||
| 664 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
| 1 | Edgewell Personal Care Co. | 178 | ||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
| 3 | Philip Morris International, Inc. | 206 | ||||||
| 1 | Reynolds American, Inc. | 76 | ||||||
|
| |||||||
| 282 | ||||||||
|
| |||||||
Total Consumer Staples | 2,124 | |||||||
|
| |||||||
Energy — 8.0% |
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
| 2 | Baker Hughes, Inc. | 146 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.4% |
| |||||||
| 1 | Anadarko Petroleum Corp. | 78 | ||||||
| 1 | Chevron Corp. | 123 | ||||||
| 2 | ConocoPhillips | 143 | ||||||
| 3 | Devon Energy Corp. | 183 | ||||||
| 4 | Exxon Mobil Corp. | 298 | ||||||
| 2 | Hess Corp. (m) | 109 | ||||||
| 6 | Marathon Petroleum Corp. | 290 | ||||||
| 3 | Occidental Petroleum Corp. | 206 | ||||||
| 4 | Valero Energy Corp. | 247 | ||||||
|
| |||||||
| 1,677 | ||||||||
|
| |||||||
Total Energy | 1,823 | |||||||
|
| |||||||
Financials — 16.4% |
| |||||||
Banks — 7.3% |
| |||||||
| 11 | Bank of America Corp. | 188 | ||||||
| 10 | Citigroup, Inc. | 558 | ||||||
| 5 | Fifth Third Bancorp | 101 | ||||||
| 4 | SunTrust Banks, Inc. | 188 | ||||||
| 11 | Wells Fargo & Co. | 607 | ||||||
|
| |||||||
| 1,642 | ||||||||
|
| |||||||
Capital Markets — 1.5% |
| |||||||
| 1 | Ameriprise Financial, Inc. | 69 | ||||||
| 2 | Bank of New York Mellon Corp. (The) | 89 | ||||||
| 5 | Morgan Stanley | 192 | ||||||
|
| |||||||
| 350 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 3 | Capital One Financial Corp. | 268 | ||||||
| 3 | Discover Financial Services | 177 | ||||||
|
| |||||||
| 445 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Diversified Financial Services — 1.3% |
| |||||||
| 6 | Voya Financial, Inc. | 301 | ||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
| 2 | Allstate Corp. (The) | 133 | ||||||
| 4 | American International Group, Inc. (m) | 269 | ||||||
| 6 | Hartford Financial Services Group, Inc. (The) | 231 | ||||||
|
| |||||||
| 633 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
| 1 | AvalonBay Communities, Inc. (m) | 112 | ||||||
| 7 | NorthStar Realty Finance Corp. (m) | 113 | ||||||
|
| |||||||
| 225 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 3 | CBRE Group, Inc., Class A (a) | 114 | ||||||
|
| |||||||
Total Financials | 3,710 | |||||||
|
| |||||||
Health Care — 18.0% |
| |||||||
Biotechnology — 4.8% |
| |||||||
| 2 | Amgen, Inc. | 249 | ||||||
| 2 | Celgene Corp. (a) | 179 | ||||||
| 5 | Gilead Sciences, Inc. | 542 | ||||||
| 1 | Vertex Pharmaceuticals, Inc. (a) | 124 | ||||||
|
| |||||||
| 1,094 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% |
| |||||||
| 1 | Becton, Dickinson and Co. (m) | 153 | ||||||
| 12 | Boston Scientific Corp. (a) | 209 | ||||||
| 3 | Medtronic plc, (Ireland) | 198 | ||||||
| 2 | Stryker Corp. | 234 | ||||||
|
| |||||||
| 794 | ||||||||
|
| |||||||
Health Care Providers & Services — 7.2% |
| |||||||
| 1 | Aetna, Inc. | 70 | ||||||
| 2 | Anthem, Inc. | 345 | ||||||
| 3 | Cardinal Health, Inc. | 244 | ||||||
| 4 | Cigna Corp. | 575 | ||||||
| 1 | Humana, Inc. | 196 | ||||||
| 1 | McKesson Corp. | 189 | ||||||
|
| |||||||
| 1,619 | ||||||||
|
| |||||||
Pharmaceuticals — 2.5% |
| |||||||
| 3 | Bristol-Myers Squibb Co. | 170 | ||||||
| 12 | Pfizer, Inc. | 400 | ||||||
|
| |||||||
| 570 | ||||||||
|
| |||||||
Total Health Care | 4,077 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 6.5% |
| |||||||
Aerospace & Defense — 4.0% |
| |||||||
| 2 | General Dynamics Corp. | 223 | ||||||
| 1 | Lockheed Martin Corp. | 209 | ||||||
| 3 | Northrop Grumman Corp. | 472 | ||||||
|
| |||||||
| 904 | ||||||||
|
| |||||||
Airlines — 1.3% |
| |||||||
| 2 | Delta Air Lines, Inc. | 94 | ||||||
| 4 | Southwest Airlines Co. | 131 | ||||||
| 1 | United Continental Holdings, Inc. (a) | 65 | ||||||
|
| |||||||
| 290 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 6 | AECOM (a) | 202 | ||||||
|
| |||||||
Machinery — 0.3% |
| |||||||
| 3 | Allison Transmission Holdings, Inc. | 84 | ||||||
|
| |||||||
Total Industrials | 1,480 | |||||||
|
| |||||||
Information Technology — 22.5% |
| |||||||
Communications Equipment — 2.6% |
| |||||||
| 14 | Cisco Systems, Inc. | 395 | ||||||
| 3 | QUALCOMM, Inc. | 199 | ||||||
|
| |||||||
| 594 | ||||||||
|
| |||||||
Internet Software & Services — 3.4% |
| |||||||
| — | (h) | Google, Inc., Class A (a) | 185 | |||||
| — | (h) | Google, Inc., Class C (a) | 205 | |||||
| 2 | VeriSign, Inc. (a) | 111 | ||||||
| 7 | Yahoo!, Inc. (a) | 266 | ||||||
|
| |||||||
| 767 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 2 | MasterCard, Inc., Class A | 170 | ||||||
| 2 | Visa, Inc., Class A | 111 | ||||||
|
| |||||||
| 281 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
| 4 | Broadcom Corp., Class A | 180 | ||||||
| 3 | KLA-Tencor Corp. | 162 | ||||||
| 2 | Lam Research Corp. | 140 | ||||||
|
| |||||||
| 482 | ||||||||
|
| |||||||
Software — 5.7% |
| |||||||
| 19 | Microsoft Corp. | 832 | ||||||
| 6 | Oracle Corp. | 223 | ||||||
| 8 | Rovi Corp. (a) | 134 | ||||||
| 4 | Symantec Corp. | 97 | ||||||
|
| |||||||
| 1,286 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Technology Hardware, Storage & Peripherals — 7.5% |
| |||||||
| 10 | Apple, Inc. (m) | 1,276 | ||||||
| 11 | Hewlett-Packard Co. | 325 | ||||||
| 2 | SanDisk Corp. | 90 | ||||||
|
| |||||||
| 1,691 | ||||||||
|
| |||||||
Total Information Technology | 5,101 | |||||||
|
| |||||||
Materials — 1.4% |
| |||||||
Chemicals — 0.5% |
| |||||||
| 2 | Dow Chemical Co. (The) | 120 | ||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 3 | Crown Holdings, Inc. (a) | 143 | ||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
| 3 | United States Steel Corp. | 53 | ||||||
|
| |||||||
Total Materials | 316 | |||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 8 | CenturyLink, Inc. | 230 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 1.4% |
| |||||||
Gas Utilities — 0.8% |
| |||||||
| 5 | UGI Corp. | 182 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 10 | AES Corp. | 132 | ||||||
|
| |||||||
Total Utilities | 314 | |||||||
|
| |||||||
Total Common Stocks | 22,385 | |||||||
|
| |||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% |
| |||||||
| 264 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 264 | ||||||
|
| |||||||
Total Investments — 100.0% | 22,649 | |||||||
Liabilities in Excess of | (9 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 22,640 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.9% |
| ||||||
Consumer Discretionary — 11.2% |
| |||||||
Auto Components — 0.8% |
| |||||||
| 360 | Delphi Automotive plc, (United Kingdom) | 30,624 | ||||||
|
| |||||||
Diversified Consumer Services — 1.1% |
| |||||||
| 809 | Apollo Education Group, Inc. (a) | 10,424 | ||||||
| 22 | Graham Holdings Co., Class B | 23,974 | ||||||
| 208 | H&R Block, Inc. | 6,167 | ||||||
|
| |||||||
| 40,565 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
| 285 | Darden Restaurants, Inc. | 20,279 | ||||||
| 449 | Restaurant Brands International, Inc., (Canada) | 17,152 | ||||||
|
| |||||||
| 37,431 | ||||||||
|
| |||||||
Household Durables — 1.1% |
| |||||||
| 360 | Jarden Corp. (a) | 18,608 | ||||||
| 609 | Toll Brothers, Inc. (a) | 23,239 | ||||||
|
| |||||||
| 41,847 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 991 | Time Warner, Inc. | 86,614 | ||||||
|
| |||||||
Multiline Retail — 2.4% |
| |||||||
| 85 | Kohl’s Corp. | 5,297 | ||||||
| 1,012 | Target Corp. | 82,577 | ||||||
|
| |||||||
| 87,874 | ||||||||
|
| |||||||
Specialty Retail — 2.5% |
| |||||||
| 526 | Best Buy Co., Inc. | 17,159 | ||||||
| 1,095 | Lowe’s Cos., Inc. | 73,346 | ||||||
|
| |||||||
| 90,505 | ||||||||
|
| |||||||
Total Consumer Discretionary | 415,460 | |||||||
|
| |||||||
Consumer Staples — 8.2% |
| |||||||
Beverages — 0.2% |
| |||||||
| 122 | Molson Coors Brewing Co., Class B | 8,489 | ||||||
|
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
| 168 | CVS Health Corp. | 17,578 | ||||||
| 1,050 | Kroger Co. (The) | 76,106 | ||||||
|
| |||||||
| 93,684 | ||||||||
|
| |||||||
Food Products — 3.9% |
| |||||||
| 1,490 | Archer-Daniels-Midland Co. (m) | 71,858 | ||||||
| 295 | Bunge Ltd. | 25,892 | ||||||
| 298 | Ingredion, Inc. | 23,783 | ||||||
| 927 | Pilgrim’s Pride Corp. | 21,286 | ||||||
|
| |||||||
| 142,819 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 0.9% |
| |||||||
| 213 | Energizer Holdings, Inc. | 27,954 | ||||||
| 58 | Spectrum Brands Holdings, Inc. | 5,865 | ||||||
|
| |||||||
| 33,819 | ||||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
| 260 | Herbalife Ltd. (a) | 14,312 | ||||||
|
| |||||||
Tobacco — 0.3% |
| |||||||
| 125 | Reynolds American, Inc. | 9,346 | ||||||
|
| |||||||
Total Consumer Staples | 302,469 | |||||||
|
| |||||||
Energy — 8.0% |
| |||||||
Energy Equipment & Services — 3.0% |
| |||||||
| 369 | Baker Hughes, Inc. | 22,755 | ||||||
| 621 | Cameron International Corp. (a) | 32,501 | ||||||
| 272 | Ensco plc, (United Kingdom), Class A | 6,064 | ||||||
| 140 | Halliburton Co. | 6,021 | ||||||
| 736 | National Oilwell Varco, Inc. | 35,539 | ||||||
| 113 | Schlumberger Ltd. | 9,705 | ||||||
|
| |||||||
| 112,585 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
| 117 | ConocoPhillips | 7,167 | ||||||
| 644 | Denbury Resources, Inc. | 4,096 | ||||||
| 226 | HollyFrontier Corp. | 9,631 | ||||||
| 338 | Marathon Oil Corp. | 8,973 | ||||||
| 461 | Marathon Petroleum Corp. | 24,104 | ||||||
| 1,046 | Oasis Petroleum, Inc. (a) | 16,574 | ||||||
| 423 | Occidental Petroleum Corp. | 32,873 | ||||||
| 191 | Tesoro Corp. | 16,114 | ||||||
| 965 | Valero Energy Corp. | 60,422 | ||||||
| 472 | WPX Energy, Inc. (a) | 5,799 | ||||||
|
| |||||||
| 185,753 | ||||||||
|
| |||||||
Total Energy | 298,338 | |||||||
|
| |||||||
Financials — 14.5% |
| |||||||
Banks — 6.3% |
| |||||||
| 1,175 | Bank of America Corp. | 19,993 | ||||||
| 759 | Citigroup, Inc. | 41,911 | ||||||
| 494 | Fifth Third Bancorp | 10,291 | ||||||
| 162 | KeyCorp | 2,429 | ||||||
| 338 | PNC Financial Services Group, Inc. (The) | 32,349 | ||||||
| 2,209 | Wells Fargo & Co. | 124,231 | ||||||
|
| |||||||
| 231,204 | ||||||||
|
| |||||||
Capital Markets — 0.8% |
| |||||||
| 234 | Ameriprise Financial, Inc. | 29,259 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Consumer Finance — 1.4% |
| |||||||
| 914 | Discover Financial Services | 52,670 | ||||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
| 164 | Voya Financial, Inc. | 7,598 | ||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
| 189 | Allstate Corp. (The) | 12,241 | ||||||
| 199 | Aspen Insurance Holdings Ltd., (Bermuda) | 9,532 | ||||||
| 161 | Everest Re Group Ltd., (Bermuda) | 29,322 | ||||||
| 274 | Lincoln National Corp. | 16,226 | ||||||
| 206 | PartnerRe Ltd., (Bermuda) | 26,510 | ||||||
| 197 | Prudential Financial, Inc. | 17,198 | ||||||
| 243 | Travelers Cos., Inc. (The) | 23,459 | ||||||
|
| |||||||
| 134,488 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
| 509 | American Capital Agency Corp. (m) | 9,352 | ||||||
| 429 | Annaly Capital Management, Inc. (m) | 3,946 | ||||||
| 455 | RLJ Lodging Trust (m) | 13,535 | ||||||
| 150 | Vornado Realty Trust (m) | 14,268 | ||||||
|
| |||||||
| 41,101 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.1% |
| |||||||
| 338 | CBRE Group, Inc., Class A (a) | 12,514 | ||||||
| 171 | Jones Lang LaSalle, Inc. | 29,275 | ||||||
|
| |||||||
| 41,789 | ||||||||
|
| |||||||
Total Financials | 538,109 | |||||||
|
| |||||||
Health Care — 15.6% |
| |||||||
Biotechnology — 3.8% |
| |||||||
| 472 | Amgen, Inc. | 72,431 | ||||||
| 379 | Gilead Sciences, Inc. | 44,385 | ||||||
| 184 | Vertex Pharmaceuticals, Inc. (a) | 22,757 | ||||||
|
| |||||||
| 139,573 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
| 1,044 | Medtronic plc, (Ireland) | 77,338 | ||||||
| 120 | Stryker Corp. | 11,440 | ||||||
|
| |||||||
| 88,778 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.5% |
| |||||||
| 319 | Aetna, Inc. | 40,672 | ||||||
| 511 | Anthem, Inc. | 83,941 | ||||||
| 492 | Health Net, Inc. (a) | 31,528 | ||||||
| 219 | LifePoint Health, Inc. (a) | 19,025 | ||||||
| 253 | McKesson Corp. | 56,967 | ||||||
| 133 | Molina Healthcare, Inc. (a) | 9,343 | ||||||
|
| |||||||
| 241,476 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — 2.9% |
| |||||||
| 107 | Merck & Co., Inc. | 6,103 | ||||||
| 3,026 | Pfizer, Inc. | 101,456 | ||||||
|
| |||||||
| 107,559 | ||||||||
|
| |||||||
Total Health Care | 577,386 | |||||||
|
| |||||||
Industrials — 10.0% |
| |||||||
Aerospace & Defense — 4.3% |
| |||||||
| 135 | Curtiss-Wright Corp. | 9,765 | ||||||
| 203 | General Dynamics Corp. | 28,692 | ||||||
| 104 | Huntington Ingalls Industries, Inc. | 11,732 | ||||||
| 487 | Northrop Grumman Corp. | 77,253 | ||||||
| 553 | Spirit AeroSystems Holdings, Inc., Class A (a) | 30,498 | ||||||
|
| |||||||
| 157,940 | ||||||||
|
| |||||||
Airlines — 2.2% |
| |||||||
| 171 | Alaska Air Group, Inc. | 10,985 | ||||||
| 1,211 | Delta Air Lines, Inc. | 49,744 | ||||||
| 673 | Southwest Airlines Co. | 22,273 | ||||||
|
| |||||||
| 83,002 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% |
| |||||||
| 1,145 | Pitney Bowes, Inc. | 23,825 | ||||||
| 286 | R.R. Donnelley & Sons Co. | 4,985 | ||||||
|
| |||||||
| 28,810 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 480 | AECOM (a) | 15,878 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 25 | Danaher Corp. | 2,140 | ||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
| 486 | Allison Transmission Holdings, Inc. | 14,226 | ||||||
| 80 | IDEX Corp. | 6,279 | ||||||
| 686 | Illinois Tool Works, Inc. | 62,959 | ||||||
|
| |||||||
| 83,464 | ||||||||
|
| |||||||
Total Industrials | 371,234 | |||||||
|
| |||||||
Information Technology — 21.8% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 1,648 | Brocade Communications Systems, Inc. | 19,577 | ||||||
|
| |||||||
Internet Software & Services — 2.0% |
| |||||||
| 761 | eBay, Inc. (a) | 45,837 | ||||||
| 442 | VeriSign, Inc. (a) | 27,280 | ||||||
|
| |||||||
| 73,117 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 270 | Amdocs Ltd. | 14,745 | ||||||
| 549 | Leidos Holdings, Inc. | 22,155 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
IT Services — continued |
| |||||||
| 115 | MasterCard, Inc., Class A | 10,759 | ||||||
| 1,005 | Visa, Inc., Class A | 67,466 | ||||||
| 509 | Western Union Co. (The) | 10,344 | ||||||
|
| |||||||
| 125,469 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.9% |
| |||||||
| 570 | Broadcom Corp., Class A | 29,354 | ||||||
| 413 | KLA-Tencor Corp. | 23,187 | ||||||
| 287 | Lam Research Corp. | 23,364 | ||||||
| 628 | NVIDIA Corp. | 12,635 | ||||||
| 1,055 | Teradyne, Inc. | 20,341 | ||||||
|
| |||||||
| 108,881 | ||||||||
|
| |||||||
Software — 6.3% |
| |||||||
| 932 | Activision Blizzard, Inc. | 22,573 | ||||||
| 34 | Citrix Systems, Inc. (a) | 2,372 | ||||||
| 461 | Electronic Arts, Inc. (a) | 30,623 | ||||||
| 2,429 | Microsoft Corp. | 107,236 | ||||||
| 1,777 | Oracle Corp. | 71,613 | ||||||
|
| |||||||
| 234,417 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.7% |
| |||||||
| 1,718 | Apple, Inc. (m) | 215,456 | ||||||
| 596 | Hewlett-Packard Co. | 17,880 | ||||||
| 248 | SanDisk Corp. | 14,456 | ||||||
|
| |||||||
| 247,792 | ||||||||
|
| |||||||
Total Information Technology | 809,253 | |||||||
|
| |||||||
Materials — 3.3% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 632 | LyondellBasell Industries N.V., Class A | 65,456 | ||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 582 | Sealed Air Corp. | 29,918 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Paper & Forest Products — 0.7% |
| |||||||
| 529 | International Paper Co. | 25,151 | ||||||
|
| |||||||
Total Materials | 120,525 | |||||||
|
| |||||||
Telecommunication Services — 3.0% |
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
| 863 | AT&T, Inc. | 30,640 | ||||||
| 709 | CenturyLink, Inc. | 20,831 | ||||||
| 1,689 | Frontier Communications Corp. | 8,360 | ||||||
| 1,082 | Verizon Communications, Inc. | 50,432 | ||||||
|
| |||||||
Total Telecommunication Services | 110,263 | |||||||
|
| |||||||
Utilities — 2.3% |
| |||||||
Electric Utilities — 0.8% |
| |||||||
| 418 | Entergy Corp. | 29,455 | ||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
| 831 | UGI Corp. | 28,638 | ||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
| 733 | Public Service Enterprise Group, Inc. | 28,800 | ||||||
|
| |||||||
Total Utilities | 86,893 | |||||||
|
| |||||||
Total Common Stocks | 3,629,930 | |||||||
|
| |||||||
| Short-Term Investment — 2.2% | |||||||
Investment Company — 2.2% |
| |||||||
| 82,114 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 82,114 | ||||||
|
| |||||||
Total Investments — 100.1% | 3,712,044 | |||||||
Liabilities in Excess of | (2,407 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,709,637 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 751 | E-mini S&P 500 | 09/18/15 | USD | $ | 77,143 | $ | (1,134 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.1% |
| ||||||
Consumer Discretionary — 19.1% |
| |||||||
Auto Components — 0.5% |
| |||||||
| 56 | Delphi Automotive plc, (United Kingdom) | 4,739 | ||||||
|
| |||||||
Diversified Consumer Services — 1.7% |
| |||||||
| 170 | Apollo Education Group, Inc. (a) | 2,187 | ||||||
| 8 | Graham Holdings Co., Class B | 8,600 | ||||||
| 112 | H&R Block, Inc. | 3,330 | ||||||
| 113 | ServiceMaster Global Holdings, Inc. (a) | 4,080 | ||||||
|
| |||||||
| 18,197 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
| 129 | Darden Restaurants, Inc. | 9,134 | ||||||
| 214 | Restaurant Brands International, Inc., (Canada) | 8,176 | ||||||
|
| |||||||
| 17,310 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
| 11 | Harman International Industries, Inc. | 1,249 | ||||||
| 199 | Toll Brothers, Inc. (a) | 7,596 | ||||||
|
| |||||||
| 8,845 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 33 | Expedia, Inc. | 3,609 | ||||||
|
| |||||||
Media — 5.4% |
| |||||||
| 10 | CBS Corp. (Non-Voting), Class B | 566 | ||||||
| 129 | DIRECTV (a) | 11,998 | ||||||
| 109 | DISH Network Corp., Class A (a) | 7,394 | ||||||
| 60 | Interpublic Group of Cos., Inc. (The) | 1,152 | ||||||
| 1,554 | Sirius XM Holdings, Inc. (a) | 5,796 | ||||||
| 237 | Time Warner, Inc. | 20,708 | ||||||
| 190 | Twenty-First Century Fox, Inc., Class A | 6,184 | ||||||
| 50 | Viacom, Inc., Class B | 3,251 | ||||||
|
| |||||||
| 57,049 | ||||||||
|
| |||||||
Multiline Retail — 2.1% |
| |||||||
| 31 | Kohl’s Corp. | 1,941 | ||||||
| 248 | Target Corp. | 20,228 | ||||||
|
| |||||||
| 22,169 | ||||||||
|
| |||||||
Specialty Retail — 5.6% |
| |||||||
| 136 | Foot Locker, Inc. | 9,087 | ||||||
| 257 | Home Depot, Inc. (The) | 28,516 | ||||||
| 294 | Lowe’s Cos., Inc. | 19,696 | ||||||
| 126 | Staples, Inc. | 1,927 | ||||||
|
| |||||||
| 59,226 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 74 | Carter’s, Inc. | 7,909 | ||||||
| 77 | Hanesbrands, Inc. | 2,572 | ||||||
|
| |||||||
| 10,481 | ||||||||
|
| |||||||
Total Consumer Discretionary | 201,625 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 9.4% |
| |||||||
Beverages — 2.0% |
| |||||||
| 52 | Monster Beverage Corp. (a) | 6,969 | ||||||
| 154 | PepsiCo, Inc. | 14,374 | ||||||
|
| |||||||
| 21,343 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
| 262 | Kroger Co. (The) | 19,012 | ||||||
|
| |||||||
Food Products — 3.6% |
| |||||||
| 405 | Archer-Daniels-Midland Co. | 19,524 | ||||||
| 44 | Bunge Ltd. | 3,837 | ||||||
| 97 | Ingredion, Inc. | 7,734 | ||||||
| 323 | Pilgrim’s Pride Corp. | 7,417 | ||||||
|
| |||||||
| 38,512 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
| 39 | Energizer Holdings, Inc. | 5,144 | ||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 91 | Herbalife Ltd. (a) | 5,030 | ||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
| 191 | Altria Group, Inc. | 9,352 | ||||||
| 11 | Reynolds American, Inc. | 840 | ||||||
|
| |||||||
| 10,192 | ||||||||
|
| |||||||
Total Consumer Staples | 99,233 | |||||||
|
| |||||||
Energy — 1.3% |
| |||||||
Energy Equipment & Services — 0.9% |
| |||||||
| 155 | Cameron International Corp. (a) | 8,133 | ||||||
| 42 | Ensco plc, (United Kingdom), Class A | 940 | ||||||
|
| |||||||
| 9,073 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.4% |
| |||||||
| 38 | Marathon Oil Corp. | 1,003 | ||||||
| 223 | Oasis Petroleum, Inc. (a) | 3,530 | ||||||
|
| |||||||
| 4,533 | ||||||||
|
| |||||||
Total Energy | 13,606 | |||||||
|
| |||||||
Financials — 3.8% |
| |||||||
Consumer Finance — 0.6% |
| |||||||
| 109 | Discover Financial Services | 6,275 | ||||||
|
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
| 82 | Moody’s Corp. | 8,885 | ||||||
| 43 | Voya Financial, Inc. | 2,008 | ||||||
|
| |||||||
| 10,893 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — 0.4% |
| |||||||
| 14 | Assurant, Inc. | 938 | ||||||
| 23 | Prudential Financial, Inc. | 1,995 | ||||||
| 32 | Validus Holdings Ltd., (Bermuda) | 1,399 | ||||||
|
| |||||||
| 4,332 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
| 145 | American Tower Corp. (m) | 13,564 | ||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 146 | CBRE Group, Inc., Class A (a) | 5,413 | ||||||
|
| |||||||
Total Financials | 40,477 | |||||||
|
| |||||||
Health Care — 17.9% |
| |||||||
Biotechnology — 8.4% |
| |||||||
| 201 | Amgen, Inc. | 30,873 | ||||||
| 33 | Celgene Corp. (a) | 3,866 | ||||||
| 328 | Gilead Sciences, Inc. | 38,437 | ||||||
| 29 | United Therapeutics Corp. (a) | 4,992 | ||||||
| 86 | Vertex Pharmaceuticals, Inc. (a) | 10,632 | ||||||
|
| |||||||
| 88,800 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% |
| |||||||
| 59 | Edwards Lifesciences Corp. (a) | 8,403 | ||||||
|
| |||||||
Health Care Providers & Services — 7.7% |
| |||||||
| 19 | Aetna, Inc. | 2,473 | ||||||
| 56 | AmerisourceBergen Corp. | 5,955 | ||||||
| 127 | Anthem, Inc. | 20,846 | ||||||
| 217 | Cardinal Health, Inc. | 18,152 | ||||||
| 103 | Centene Corp. (a) | 8,265 | ||||||
| 140 | Health Net, Inc. (a) | 8,989 | ||||||
| 37 | McKesson Corp. | 8,273 | ||||||
| 118 | Molina Healthcare, Inc. (a) | 8,267 | ||||||
|
| |||||||
| 81,220 | ||||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
| 27 | Bristol-Myers Squibb Co. | 1,803 | ||||||
| 238 | Pfizer, Inc. | 7,984 | ||||||
|
| |||||||
| 9,787 | ||||||||
|
| |||||||
Total Health Care | 188,210 | |||||||
|
| |||||||
Industrials — 10.7% |
| |||||||
Aerospace & Defense — 5.4% |
| |||||||
| 113 | Curtiss-Wright Corp. | 8,171 | ||||||
| 132 | General Dynamics Corp. | 18,760 | ||||||
| 64 | Huntington Ingalls Industries, Inc. | 7,172 | ||||||
| 42 | Northrop Grumman Corp. | 6,662 | ||||||
| 155 | Spirit AeroSystems Holdings, Inc., Class A (a) | 8,559 | ||||||
| 36 | TransDigm Group, Inc. (a) | 8,155 | ||||||
|
| |||||||
| 57,479 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — 3.2% |
| |||||||
| 82 | Alaska Air Group, Inc. | 5,270 | ||||||
| 454 | Delta Air Lines, Inc. | 18,634 | ||||||
| 307 | Southwest Airlines Co. | 10,146 | ||||||
|
| |||||||
| 34,050 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
| 52 | Cintas Corp. | 4,356 | ||||||
| 233 | Pitney Bowes, Inc. | 4,847 | ||||||
| 64 | R.R. Donnelley & Sons Co. | 1,114 | ||||||
|
| |||||||
| 10,317 | ||||||||
|
| |||||||
Machinery — 1.1% |
| |||||||
| 249 | Allison Transmission Holdings, Inc. | 7,280 | ||||||
| 42 | Illinois Tool Works, Inc. | 3,883 | ||||||
|
| |||||||
| 11,163 | ||||||||
|
| |||||||
Total Industrials | 113,009 | |||||||
|
| |||||||
Information Technology — 29.3% |
| |||||||
Internet Software & Services — 3.3% |
| |||||||
| 224 | eBay, Inc. (a) | 13,494 | ||||||
| 87 | IAC/InterActiveCorp | 6,907 | ||||||
| 130 | VeriSign, Inc. (a) | 8,048 | ||||||
| 156 | Yahoo!, Inc. (a) | 6,133 | ||||||
|
| |||||||
| 34,582 | ||||||||
|
| |||||||
IT Services — 3.6% |
| |||||||
| 84 | Amdocs Ltd. | 4,558 | ||||||
| 29 | Computer Sciences Corp. | 1,890 | ||||||
| 89 | Leidos Holdings, Inc. | 3,593 | ||||||
| 413 | Visa, Inc., Class A | 27,713 | ||||||
|
| |||||||
| 37,754 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
| 288 | Broadcom Corp., Class A | 14,819 | ||||||
| 98 | Lam Research Corp. | 7,980 | ||||||
| 387 | NVIDIA Corp. | 7,785 | ||||||
| 394 | Teradyne, Inc. | 7,604 | ||||||
|
| |||||||
| 38,188 | ||||||||
|
| |||||||
Software — 10.5% |
| |||||||
| 325 | Activision Blizzard, Inc. | 7,876 | ||||||
| 185 | Aspen Technology, Inc. (a) | 8,431 | ||||||
| 81 | Citrix Systems, Inc. (a) | 5,655 | ||||||
| 132 | Electronic Arts, Inc. (a) | 8,771 | ||||||
| 53 | Fortinet, Inc. (a) | 2,207 | ||||||
| 879 | Microsoft Corp. | 38,788 | ||||||
| 716 | Oracle Corp. | 28,835 | ||||||
| 7 | Red Hat, Inc. (a) | 509 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 30 | Tableau Software, Inc., Class A (a) | 3,482 | ||||||
| 78 | VMware, Inc., Class A (a) | 6,713 | ||||||
|
| |||||||
| 111,267 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 8.3% |
| |||||||
| 663 | Apple, Inc. (m) | 83,112 | ||||||
| 73 | SanDisk Corp. | 4,256 | ||||||
|
| |||||||
| 87,368 | ||||||||
|
| |||||||
Total Information Technology | 309,159 | |||||||
|
| |||||||
Materials — 3.5% |
| |||||||
Chemicals — 1.6% |
| |||||||
| 161 | LyondellBasell Industries N.V., Class A | 16,688 | ||||||
|
| |||||||
Containers & Packaging — 1.6% |
| |||||||
| 146 | Crown Holdings, Inc. (a) | 7,719 | ||||||
| 176 | Sealed Air Corp. | 9,038 | ||||||
|
| |||||||
| 16,757 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
| 57 | United States Steel Corp. | 1,171 | ||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
| 50 | International Paper Co. | 2,384 | ||||||
|
| |||||||
Total Materials | 37,000 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.7% |
| |||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
| 303 | AT&T, Inc. | 10,755 | ||||||
| 229 | CenturyLink, Inc. | 6,741 | ||||||
|
| |||||||
Total Telecommunication Services | 17,496 | |||||||
|
| |||||||
Utilities — 0.4% |
| |||||||
Electric Utilities — 0.4% |
| |||||||
| 57 | Entergy Corp. | 4,047 | ||||||
|
| |||||||
Total Common Stocks | 1,023,862 | |||||||
|
| |||||||
| Short-Term Investment — 3.0% |
| ||||||
Investment Company — 3.0% |
| |||||||
| 31,742 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 31,742 | ||||||
|
| |||||||
Total Investments — 100.1% | 1,055,604 | |||||||
Liabilities in Excess of | (775 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,054,829 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 272 | E-mini S&P 500 | 09/18/15 | USD | $ | 27,940 | $ | (490 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.7% |
| ||||||
Consumer Discretionary — 13.7% |
| |||||||
Auto Components — 2.1% |
| |||||||
| 132 | Goodyear Tire & Rubber Co. (The) | 3,968 | ||||||
| 145 | Lear Corp. | 16,244 | ||||||
|
| |||||||
| 20,212 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
| 28 | ServiceMaster Global Holdings, Inc. (a) | 995 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% |
| |||||||
| 1 | Chipotle Mexican Grill, Inc. (a) | 302 | ||||||
| 79 | Darden Restaurants, Inc. | 5,644 | ||||||
|
| |||||||
| 5,946 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 89 | Jarden Corp. (a) | 4,616 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.3% |
| |||||||
| 325 | Groupon, Inc. (a) | 1,635 | ||||||
| 157 | Liberty Interactive Corp. QVC Group, Class A (a) | 4,359 | ||||||
| 181 | Liberty Ventures, Series A (a) | 7,092 | ||||||
|
| |||||||
| 13,086 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
| 114 | Cablevision Systems Corp., Class A | 2,732 | ||||||
| 23 | Charter Communications, Inc., Class A (a) | 3,939 | ||||||
| 203 | Interpublic Group of Cos., Inc. (The) | 3,904 | ||||||
| 128 | John Wiley & Sons, Inc., Class A | 6,970 | ||||||
|
| |||||||
| 17,545 | ||||||||
|
| |||||||
Multiline Retail — 1.9% |
| |||||||
| 90 | Dillard’s, Inc., Class A | 9,499 | ||||||
| 135 | Macy’s, Inc. | 9,108 | ||||||
|
| |||||||
| 18,607 | ||||||||
|
| |||||||
Specialty Retail — 4.2% |
| |||||||
| 410 | Best Buy Co., Inc. | 13,377 | ||||||
| 19 | Murphy USA, Inc. (a) | 1,038 | ||||||
| 287 | Ross Stores, Inc. | 13,932 | ||||||
| 549 | Staples, Inc. | 8,410 | ||||||
| 24 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 3,691 | ||||||
|
| |||||||
| 40,448 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
| 18 | Carter’s, Inc. | 1,945 | ||||||
| 92 | Skechers U.S.A., Inc., Class A (a) | 10,046 | ||||||
|
| |||||||
| 11,991 | ||||||||
|
| |||||||
Total Consumer Discretionary | 133,446 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 5.7% |
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
| 131 | Kroger Co. (The) | 9,499 | ||||||
|
| |||||||
Food Products — 3.8% |
| |||||||
| 233 | Bunge Ltd. | 20,422 | ||||||
| 111 | Ingredion, Inc. | 8,883 | ||||||
| 178 | Tyson Foods, Inc., Class A | 7,571 | ||||||
|
| |||||||
| 36,876 | ||||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 98 | Herbalife Ltd. (a) | 5,421 | ||||||
|
| |||||||
Tobacco — 0.4% |
| |||||||
| 57 | Reynolds American, Inc. | 4,226 | ||||||
|
| |||||||
Total Consumer Staples | 56,022 | |||||||
|
| |||||||
Energy — 6.0% |
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
| 9 | Baker Hughes, Inc. | 586 | ||||||
| 52 | Cameron International Corp. (a) | 2,734 | ||||||
| 322 | Nabors Industries Ltd., (Bermuda) | 4,652 | ||||||
| 118 | Rowan Cos. plc, Class A | 2,500 | ||||||
| 213 | Seadrill Ltd., (Bermuda) | 2,200 | ||||||
|
| |||||||
| 12,672 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
| 40 | Cimarex Energy Co. | 4,440 | ||||||
| 147 | EQT Corp. | 11,981 | ||||||
| 301 | Marathon Oil Corp. | 7,994 | ||||||
| 42 | Marathon Petroleum Corp. | 2,176 | ||||||
| 62 | Murphy Oil Corp. | 2,573 | ||||||
| 44 | Newfield Exploration Co. (a) | 1,571 | ||||||
| 9 | Noble Energy, Inc. | 388 | ||||||
| 79 | PBF Energy, Inc., Class A | 2,234 | ||||||
| 26 | QEP Resources, Inc. | 485 | ||||||
| 39 | Valero Energy Corp. | 2,429 | ||||||
| 142 | World Fuel Services Corp. | 6,804 | ||||||
| 216 | WPX Energy, Inc. (a) | 2,653 | ||||||
|
| |||||||
| 45,728 | ||||||||
|
| |||||||
Total Energy | 58,400 | |||||||
|
| |||||||
Financials — 20.3% |
| |||||||
Banks — 3.1% |
| |||||||
| 70 | East West Bancorp, Inc. | 3,155 | ||||||
| 32 | Fifth Third Bancorp | 662 | ||||||
| 110 | Huntington Bancshares, Inc. | 1,244 | ||||||
| 363 | KeyCorp | 5,445 | ||||||
| 83 | PacWest Bancorp | 3,872 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Banks — continued |
| |||||||
| 382 | Regions Financial Corp. | 3,962 | ||||||
| 15 | Signature Bank (a) | 2,225 | ||||||
| 66 | SVB Financial Group (a) | 9,531 | ||||||
|
| |||||||
| 30,096 | ||||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
| 22 | Affiliated Managers Group, Inc. (a) | 4,700 | ||||||
| 23 | E*TRADE Financial Corp. (a) | 677 | ||||||
| 77 | Lazard Ltd., (Bermuda), Class A | 4,330 | ||||||
| 12 | Northern Trust Corp. | 895 | ||||||
| 12 | Raymond James Financial, Inc. | 691 | ||||||
| 21 | TD Ameritrade Holding Corp. | 755 | ||||||
|
| |||||||
| 12,048 | ||||||||
|
| |||||||
Consumer Finance — 1.8% |
| |||||||
| 216 | Discover Financial Services | 12,446 | ||||||
| 142 | Synchrony Financial (a) | 4,666 | ||||||
|
| |||||||
| 17,112 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
| 8 | Intercontinental Exchange, Inc. | 1,878 | ||||||
| 78 | MSCI, Inc. | 4,783 | ||||||
|
| |||||||
| 6,661 | ||||||||
|
| |||||||
Insurance — 4.4% |
| |||||||
| 79 | Allied World Assurance Co. Holdings AG, (Switzerland) | 3,419 | ||||||
| 81 | American Financial Group, Inc. | 5,262 | ||||||
| 6 | American National Insurance Co. | 583 | ||||||
| 25 | Aon plc, (United Kingdom) | 2,482 | ||||||
| 30 | Arch Capital Group Ltd., (Bermuda) (a) | 2,012 | ||||||
| 9 | Aspen Insurance Holdings Ltd., (Bermuda) | 426 | ||||||
| 39 | Assurant, Inc. | 2,623 | ||||||
| 133 | Assured Guaranty Ltd., (Bermuda) | 3,184 | ||||||
| 19 | Axis Capital Holdings Ltd., (Bermuda) | 1,035 | ||||||
| 23 | Endurance Specialty Holdings Ltd., (Bermuda) | 1,524 | ||||||
| 9 | Everest Re Group Ltd., (Bermuda) | 1,620 | ||||||
| 16 | FNF Group | 586 | ||||||
| 60 | Hanover Insurance Group, Inc. (The) | 4,412 | ||||||
| 53 | Hartford Financial Services Group, Inc. (The) | 2,187 | ||||||
| 36 | Lincoln National Corp. | 2,132 | ||||||
| 48 | Principal Financial Group, Inc. | 2,467 | ||||||
| 24 | Torchmark Corp. | 1,422 | ||||||
| 111 | Unum Group | 3,965 | ||||||
| 37 | Validus Holdings Ltd., (Bermuda) | 1,636 | ||||||
|
| |||||||
| 42,977 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 7.1% |
| |||||||
| 92 | Annaly Capital Management, Inc. (m) | 842 | ||||||
| 89 | Apartment Investment & Management Co., Class A (m) | 3,276 | ||||||
| 4 | AvalonBay Communities, Inc. (m) | 576 | ||||||
| 10 | Boston Properties, Inc. (m) | 1,198 | ||||||
| 85 | Brandywine Realty Trust (m) | 1,134 | ||||||
| 146 | Brixmor Property Group, Inc. (m) | 3,372 | ||||||
| 16 | Camden Property Trust (m) | 1,203 | ||||||
| 20 | Corrections Corp. of America (m) | 652 | ||||||
| 22 | Crown Castle International Corp. (m) | 1,775 | ||||||
| 36 | Douglas Emmett, Inc. (m) | 973 | ||||||
| 322 | Duke Realty Corp. (m) | 5,970 | ||||||
| 52 | Equity Commonwealth (a) (m) | 1,334 | ||||||
| 54 | Equity LifeStyle Properties, Inc. (m) | 2,845 | ||||||
| 23 | Equity Residential (m) | 1,607 | ||||||
| 22 | Extra Space Storage, Inc. (m) | 1,428 | ||||||
| 16 | Health Care REIT, Inc. (m) | 1,050 | ||||||
| 168 | Hospitality Properties Trust (m) | 4,852 | ||||||
| 112 | Host Hotels & Resorts, Inc. (m) | 2,221 | ||||||
| 17 | Mid-America Apartment Communities, Inc. (m) | 1,223 | ||||||
| 73 | NorthStar Realty Finance Corp. (m) | 1,154 | ||||||
| 44 | Post Properties, Inc. (m) | 2,392 | ||||||
| 20 | Regency Centers Corp. (m) | 1,197 | ||||||
| 126 | Retail Properties of America, Inc., Class A (m) | 1,754 | ||||||
| 9 | SL Green Realty Corp. (m) | 989 | ||||||
| 39 | Taubman Centers, Inc. (m) | 2,710 | ||||||
| 42 | Ventas, Inc. (m) | 2,625 | ||||||
| 53 | Vornado Realty Trust (m) | 5,069 | ||||||
| 357 | Weyerhaeuser Co. (m) | 11,258 | ||||||
| 40 | WP Carey, Inc. (m) | 2,369 | ||||||
|
| |||||||
| 69,048 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.0% |
| |||||||
| 14 | CBRE Group, Inc., Class A (a) | 507 | ||||||
| 114 | Jones Lang LaSalle, Inc. | 19,477 | ||||||
|
| |||||||
| 19,984 | ||||||||
|
| |||||||
Total Financials | 197,926 | |||||||
|
| |||||||
Health Care — 11.4% |
| |||||||
Biotechnology — 2.5% |
| |||||||
| 38 | Alnylam Pharmaceuticals, Inc. (a) | 4,579 | ||||||
| 44 | BioMarin Pharmaceutical, Inc. (a) | 6,004 | ||||||
| 10 | Intercept Pharmaceuticals, Inc. (a) | 2,390 | ||||||
| 30 | Juno Therapeutics, Inc. (a) | 1,621 | ||||||
| 36 | Medivation, Inc. (a) | 4,157 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 27 | Puma Biotechnology, Inc. (a) | 3,094 | ||||||
| 15 | Receptos, Inc. (a) | 2,813 | ||||||
|
| |||||||
| 24,658 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
| 5 | Cooper Cos., Inc. (The) | 908 | ||||||
| 52 | Edwards Lifesciences Corp. (a) | 7,435 | ||||||
| 374 | Hologic, Inc. (a) | 14,238 | ||||||
| 69 | Zimmer Biomet Holdings, Inc. | 7,537 | ||||||
|
| |||||||
| 30,118 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
| 171 | AmerisourceBergen Corp. | 18,227 | ||||||
| 17 | Cigna Corp. | 2,689 | ||||||
| 135 | Community Health Systems, Inc. (a) | 8,476 | ||||||
| 37 | Health Net, Inc. (a) | 2,366 | ||||||
| 31 | Humana, Inc. | 5,853 | ||||||
| 53 | Premier, Inc., Class A (a) | 2,042 | ||||||
|
| |||||||
| 39,653 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
| 55 | Akorn, Inc. (a) | 2,397 | ||||||
| 73 | Endo International plc, (Ireland) (a) | 5,782 | ||||||
| 7 | Jazz Pharmaceuticals plc, (Ireland) (a) | 1,268 | ||||||
| 37 | Perrigo Co. plc, (Ireland) | 6,820 | ||||||
|
| |||||||
| 16,267 | ||||||||
|
| |||||||
Total Health Care | 110,696 | |||||||
|
| |||||||
Industrials — 13.7% |
| |||||||
Aerospace & Defense — 3.4% |
| |||||||
| 164 | Huntington Ingalls Industries, Inc. | 18,478 | ||||||
| 66 | L-3 Communications Holdings, Inc. | 7,506 | ||||||
| 4 | Northrop Grumman Corp. | 634 | ||||||
| 20 | Orbital ATK, Inc. | 1,467 | ||||||
| 87 | Spirit AeroSystems Holdings, Inc., Class A (a) | 4,811 | ||||||
|
| |||||||
| 32,896 | ||||||||
|
| |||||||
Airlines — 2.1% |
| |||||||
| 125 | Delta Air Lines, Inc. | 5,115 | ||||||
| 465 | Southwest Airlines Co. | 15,380 | ||||||
|
| |||||||
| 20,495 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.4% |
| |||||||
| 363 | KAR Auction Services, Inc. | 13,588 | ||||||
|
| |||||||
Construction & Engineering — 2.3% |
| |||||||
| 510 | AECOM (a) | 16,858 | ||||||
| 37 | Fluor Corp. | 1,945 | ||||||
| 94 | Jacobs Engineering Group, Inc. (a) | 3,810 | ||||||
|
| |||||||
| 22,613 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 0.1% |
| |||||||
| 35 | Babcock & Wilcox Co. (The) (a) | 1,145 | ||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
| 97 | Crane Co. | 5,714 | ||||||
| 93 | Ingersoll-Rand plc | 6,250 | ||||||
| 78 | Parker-Hannifin Corp. | 9,068 | ||||||
|
| |||||||
| 21,032 | ||||||||
|
| |||||||
Professional Services — 2.1% |
| |||||||
| 232 | ManpowerGroup, Inc. | 20,727 | ||||||
|
| |||||||
Road & Rail — 0.1% |
| |||||||
| 21 | Landstar System, Inc. | 1,391 | ||||||
|
| |||||||
Total Industrials | 133,887 | |||||||
|
| |||||||
Information Technology — 15.6% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 29 | Harris Corp. | 2,265 | ||||||
| 116 | Juniper Networks, Inc. | 3,023 | ||||||
|
| |||||||
| 5,288 | ||||||||
|
| |||||||
Internet Software & Services — 2.5% |
| |||||||
| 37 | Equinix, Inc. (m) | 9,322 | ||||||
| 72 | IAC/InterActiveCorp | 5,720 | ||||||
| 247 | Twitter, Inc. (a) | 8,954 | ||||||
|
| |||||||
| 23,996 | ||||||||
|
| |||||||
IT Services — 4.8% |
| |||||||
| 2 | Alliance Data Systems Corp. (a) | 715 | ||||||
| 165 | Booz Allen Hamilton Holding Corp. | 4,172 | ||||||
| 82 | Computer Sciences Corp. | 5,363 | ||||||
| 293 | Leidos Holdings, Inc. | 11,811 | ||||||
| 312 | Vantiv, Inc., Class A (a) | 11,911 | ||||||
| 1,204 | Xerox Corp. | 12,810 | ||||||
|
| |||||||
| 46,782 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
| 423 | Applied Materials, Inc. | 8,122 | ||||||
| 74 | First Solar, Inc. (a) | 3,453 | ||||||
| 50 | Lam Research Corp. | 4,027 | ||||||
| 411 | Marvell Technology Group Ltd., (Bermuda) | 5,424 | ||||||
| 237 | Micron Technology, Inc. (a) | 4,467 | ||||||
| 330 | ON Semiconductor Corp. (a) | 3,852 | ||||||
| 48 | Skyworks Solutions, Inc. | 4,945 | ||||||
|
| |||||||
| 34,290 | ||||||||
|
| |||||||
Software — 1.4% |
| |||||||
| 112 | CA, Inc. | 3,286 | ||||||
| 142 | Cadence Design Systems, Inc. (a) | 2,782 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 72 | Citrix Systems, Inc. (a) | 5,052 | ||||||
| 44 | Electronic Arts, Inc. (a) | 2,926 | ||||||
|
| |||||||
| 14,046 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.9% |
| |||||||
| 275 | Lexmark International, Inc., Class A | 12,173 | ||||||
| 170 | NCR Corp. (a) | 5,105 | ||||||
| 105 | SanDisk Corp. | 6,107 | ||||||
| 57 | Western Digital Corp. | 4,446 | ||||||
|
| |||||||
| 27,831 | ||||||||
|
| |||||||
Total Information Technology | 152,233 | |||||||
|
| |||||||
Materials — 5.2% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 38 | Ashland, Inc. | 4,572 | ||||||
| 58 | Cabot Corp. | 2,148 | ||||||
| 15 | Huntsman Corp. | 320 | ||||||
| 95 | PPG Industries, Inc. | 10,910 | ||||||
|
| |||||||
| 17,950 | ||||||||
|
| |||||||
Containers & Packaging — 1.3% |
| |||||||
| 22 | Avery Dennison Corp. | 1,316 | ||||||
| 83 | Crown Holdings, Inc. (a) | 4,407 | ||||||
| 69 | Rock-Tenn Co., Class A | 4,160 | ||||||
| 56 | Sealed Air Corp. | 2,888 | ||||||
|
| |||||||
| 12,771 | ||||||||
|
| |||||||
Metals & Mining — 1.3% |
| |||||||
| 79 | Alcoa, Inc. (m) | 882 | ||||||
| 11 | Compass Minerals International, Inc. | 904 | ||||||
| 10 | Nucor Corp. | 423 | ||||||
| 375 | Steel Dynamics, Inc. | 7,776 | ||||||
| 138 | United States Steel Corp. | 2,835 | ||||||
|
| |||||||
| 12,820 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 54 | Domtar Corp., (Canada) | 2,236 | ||||||
| 105 | International Paper Co. | 4,987 | ||||||
|
| |||||||
| 7,223 | ||||||||
|
| |||||||
Total Materials | 50,764 | |||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 1,371 | Frontier Communications Corp. | 6,787 | ||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
| 25 | SBA Communications Corp., Class A (a) | 2,897 | ||||||
|
| |||||||
Total Telecommunication Services | 9,684 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 5.1% |
| |||||||
Electric Utilities — 0.5% |
| |||||||
| 66 | Entergy Corp. | 4,674 | ||||||
| 9 | Pinnacle West Capital Corp. (m) | 495 | ||||||
|
| |||||||
| 5,169 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 264 | UGI Corp. | 9,086 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 420 | AES Corp. | 5,575 | ||||||
|
| |||||||
Multi-Utilities — 3.1% |
| |||||||
| 42 | Alliant Energy Corp. | 2,410 | ||||||
| 51 | Ameren Corp. | 1,933 | ||||||
| 135 | CenterPoint Energy, Inc. | 2,563 | ||||||
| 125 | CMS Energy Corp. | 3,993 | ||||||
| 39 | Consolidated Edison, Inc. | 2,234 | ||||||
| 67 | DTE Energy Co. | 5,001 | ||||||
| 101 | Public Service Enterprise Group, Inc. | 3,959 | ||||||
| 62 | Sempra Energy | 6,114 | ||||||
| 111 | TECO Energy, Inc. | 1,958 | ||||||
|
| |||||||
| 30,165 | ||||||||
|
| |||||||
Total Utilities | 49,995 | |||||||
|
| |||||||
Total Common Stocks | 953,053 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) |
| ||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food & Staples Retailing — 0.0% (g) |
| |||||||
| 121 | Safeway, Inc., expiring 01/30/18 (i) | 8 | ||||||
| 121 | Safeway, Inc., expiring 01/30/17 (i) | 6 | ||||||
|
| |||||||
Total Rights | 14 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 19,863 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (m) | 19,863 | ||||||
|
| |||||||
Total Investments — 99.7% | 972,930 | |||||||
Other Assets in Excess of | 2,619 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 975,549 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 130 | S&P Mid Cap 400 | 09/18/15 | USD | $ | 19,475 | $ | (294 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.2% |
| ||||||
Consumer Discretionary — 5.5% | ||||||||
Automobiles — 1.0% |
| |||||||
| 1,214 | Ford Motor Co. | 18,218 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||
| 210 | Darden Restaurants, Inc. | 14,948 | ||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 435 | PulteGroup, Inc. | 8,763 | ||||||
|
| |||||||
Media — 1.6% |
| |||||||
| 3,861 | Sirius XM Holdings, Inc. (a) | 14,403 | ||||||
| 158 | Time Warner, Inc. | 13,828 | ||||||
|
| |||||||
| 28,231 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 105 | Dillard’s, Inc., Class A | 10,992 | ||||||
| 99 | Macy’s, Inc. | 6,653 | ||||||
|
| |||||||
| 17,645 | ||||||||
|
| |||||||
Specialty Retail — 0.6% |
| |||||||
| 644 | Staples, Inc. | 9,854 | ||||||
|
| |||||||
Total Consumer Discretionary | 97,659 | |||||||
|
| |||||||
Consumer Staples — 6.8% |
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
| 108 | CVS Health Corp. | 11,275 | ||||||
| 452 | Kroger Co. (The) | 32,782 | ||||||
|
| |||||||
| 44,057 | ||||||||
|
| |||||||
Food Products — 2.3% |
| |||||||
| 738 | Archer-Daniels-Midland Co. (m) | 35,572 | ||||||
| 283 | Pilgrim’s Pride Corp. | 6,505 | ||||||
|
| |||||||
| 42,077 | ||||||||
|
| |||||||
Household Products — 1.4% |
| |||||||
| 102 | Energizer Holdings, Inc. | 13,431 | ||||||
| 46 | Kimberly-Clark Corp. | 4,832 | ||||||
| 73 | Spectrum Brands Holdings, Inc. | 7,456 | ||||||
|
| |||||||
| 25,719 | ||||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
| 187 | Herbalife Ltd. (a) | 10,296 | ||||||
|
| |||||||
Total Consumer Staples | 122,149 | |||||||
|
| |||||||
Energy — 14.1% |
| |||||||
Energy Equipment & Services — 4.6% |
| |||||||
| 72 | Baker Hughes, Inc. | 4,455 | ||||||
| 285 | Cameron International Corp. (a) | 14,920 | ||||||
| 661 | Ensco plc, (United Kingdom), Class A | 14,716 | ||||||
| 169 | FMC Technologies, Inc. (a) | 6,999 | ||||||
| 140 | Frank’s International N.V., (Netherlands) | 2,640 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
| 323 | National Oilwell Varco, Inc. | 15,609 | ||||||
| 935 | Noble Corp. plc, (United Kingdom) | 14,396 | ||||||
| 102 | Schlumberger Ltd. | 8,791 | ||||||
|
| |||||||
| 82,526 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.5% |
| |||||||
| 157 | Chevron Corp. | 15,132 | ||||||
| 334 | ConocoPhillips | 20,517 | ||||||
| 143 | Devon Energy Corp. | 8,519 | ||||||
| 201 | Exxon Mobil Corp. (m) | 16,698 | ||||||
| 393 | Marathon Oil Corp. | 10,425 | ||||||
| 382 | Marathon Petroleum Corp. | 19,993 | ||||||
| 495 | Oasis Petroleum, Inc. (a) | 7,850 | ||||||
| 337 | Occidental Petroleum Corp. | 26,201 | ||||||
| 650 | Valero Energy Corp. | 40,671 | ||||||
| 224 | WPX Energy, Inc. (a) | 2,745 | ||||||
|
| |||||||
| 168,751 | ||||||||
|
| |||||||
Total Energy | 251,277 | |||||||
|
| |||||||
Financials — 28.1% |
| |||||||
Banks — 11.3% |
| |||||||
| 2,728 | Bank of America Corp. | 46,438 | ||||||
| 1,032 | Citigroup, Inc. | 57,001 | ||||||
| 826 | KeyCorp | 12,405 | ||||||
| 83 | PNC Financial Services Group, Inc. (The) | 7,956 | ||||||
| 112 | Popular, Inc., (Puerto Rico) (a) | 3,241 | ||||||
| 1,319 | Wells Fargo & Co. | 74,156 | ||||||
|
| |||||||
| 201,197 | ||||||||
|
| |||||||
Capital Markets — 2.5% |
| |||||||
| 111 | Ameriprise Financial, Inc. | 13,867 | ||||||
| 93 | Goldman Sachs Group, Inc. (The) | 19,344 | ||||||
| 112 | Legg Mason, Inc. | 5,771 | ||||||
| 132 | Morgan Stanley | 5,117 | ||||||
|
| |||||||
| 44,099 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
| 469 | Discover Financial Services | 27,024 | ||||||
|
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
| 402 | Voya Financial, Inc. | 18,699 | ||||||
|
| |||||||
Insurance — 7.6% |
| |||||||
| 440 | Allstate Corp. (The) | 28,530 | ||||||
| 57 | Aspen Insurance Holdings Ltd., (Bermuda) | 2,725 | ||||||
| 256 | Axis Capital Holdings Ltd., (Bermuda) | 13,684 | ||||||
| 82 | Everest Re Group Ltd., (Bermuda) | 14,979 | ||||||
| 353 | Hartford Financial Services Group, Inc. (The) | 14,678 | ||||||
| 138 | Lincoln National Corp. | 8,155 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 60 | PartnerRe Ltd., (Bermuda) | 7,646 | ||||||
| 304 | Prudential Financial, Inc. | 26,562 | ||||||
| 31 | Travelers Cos., Inc. (The) | 3,016 | ||||||
| 341 | Validus Holdings Ltd., (Bermuda) | 14,992 | ||||||
|
| |||||||
| 134,967 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.9% |
| |||||||
| 510 | American Capital Agency Corp. (m) | 9,369 | ||||||
| 308 | Annaly Capital Management, Inc. (m) | 2,828 | ||||||
| 204 | Hospitality Properties Trust (m) | 5,888 | ||||||
| 690 | NorthStar Realty Finance Corp. (m) | 10,964 | ||||||
| 392 | Piedmont Office Realty Trust, Inc., Class A (m) | 6,900 | ||||||
| 448 | RLJ Lodging Trust (m) | 13,332 | ||||||
| 36 | Vornado Realty Trust (m) | 3,446 | ||||||
|
| |||||||
| 52,727 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.3% |
| |||||||
| 262 | CBRE Group, Inc., Class A (a) | 9,683 | ||||||
| 83 | Jones Lang LaSalle, Inc. | 14,142 | ||||||
|
| |||||||
| 23,825 | ||||||||
|
| |||||||
Total Financials | 502,538 | |||||||
|
| |||||||
Health Care — 12.1% |
| |||||||
Biotechnology — 2.4% |
| |||||||
| 11 | Amgen, Inc. | 1,658 | ||||||
| 247 | Gilead Sciences, Inc. | 28,860 | ||||||
| 73 | United Therapeutics Corp. (a) | 12,733 | ||||||
|
| |||||||
| 43,251 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
| 292 | Alere, Inc. (a) | 15,392 | ||||||
|
| |||||||
Health Care Providers & Services — 5.0% |
| |||||||
| 90 | Aetna, Inc. | 11,459 | ||||||
| 249 | Anthem, Inc. | �� | 40,854 | |||||
| 70 | Cardinal Health, Inc. | 5,814 | ||||||
| 131 | Express Scripts Holding Co. (a) | 11,633 | ||||||
| 234 | Health Net, Inc. (a) | 15,030 | ||||||
| 64 | Molina Healthcare, Inc. (a) | 4,485 | ||||||
|
| |||||||
| 89,275 | ||||||||
|
| |||||||
Pharmaceuticals — 3.8% |
| |||||||
| 2,047 | Pfizer, Inc. | 68,647 | ||||||
|
| |||||||
Total Health Care | 216,565 | |||||||
|
| |||||||
Industrials — 10.4% |
| |||||||
Aerospace & Defense — 5.4% |
| |||||||
| 164 | Curtiss-Wright Corp. | 11,902 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Aerospace & Defense — continued |
| |||||||
| 255 | General Dynamics Corp. | 36,060 | ||||||
| 210 | Northrop Grumman Corp. | 33,376 | ||||||
| 266 | Spirit AeroSystems Holdings, Inc., Class A (a) | 14,637 | ||||||
|
| |||||||
| 95,975 | ||||||||
|
| |||||||
Airlines — 1.7% |
| |||||||
| 38 | Alaska Air Group, Inc. | 2,455 | ||||||
| 420 | Delta Air Lines, Inc. | 17,270 | ||||||
| 325 | Southwest Airlines Co. | 10,757 | ||||||
|
| |||||||
| 30,482 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
| 545 | Pitney Bowes, Inc. | 11,339 | ||||||
| 347 | R.R. Donnelley & Sons Co. | 6,047 | ||||||
|
| |||||||
| 17,386 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
| 143 | AECOM (a) | 4,720 | ||||||
|
| |||||||
Machinery — 2.1% |
| |||||||
| 57 | Deere & Co. | 5,532 | ||||||
| 324 | Illinois Tool Works, Inc. | 29,703 | ||||||
| 22 | Parker-Hannifin Corp. | 2,583 | ||||||
|
| |||||||
| 37,818 | ||||||||
|
| |||||||
Total Industrials | 186,381 | |||||||
|
| |||||||
Information Technology — 10.8% |
| |||||||
Communications Equipment — 0.6% |
| |||||||
| 175 | QUALCOMM, Inc. | 10,941 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
| 121 | Vishay Intertechnology, Inc. | 1,418 | ||||||
|
| |||||||
Internet Software & Services — 0.3% |
| |||||||
| 100 | VeriSign, Inc. (a) | 6,197 | ||||||
|
| |||||||
IT Services — 2.2% |
| |||||||
| 132 | Amdocs Ltd. | 7,211 | ||||||
| 385 | CoreLogic, Inc. (a) | 15,296 | ||||||
| 81 | International Business Machines Corp. | 13,192 | ||||||
| 46 | Leidos Holdings, Inc. | 1,837 | ||||||
| 87 | Western Union Co. (The) | 1,775 | ||||||
|
| |||||||
| 39,311 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.5% |
| |||||||
| 141 | Intel Corp. | 4,288 | ||||||
| 130 | Lam Research Corp. | 10,608 | ||||||
| 642 | Micron Technology, Inc. (a) | 12,086 | ||||||
|
| |||||||
| 26,982 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — 1.8% |
| |||||||
| 640 | Oracle Corp. | 25,784 | ||||||
| 411 | Rovi Corp. (a) | 6,559 | ||||||
|
| |||||||
| 32,343 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
| 277 | Apple, Inc. (m) | 34,793 | ||||||
| 1,078 | Hewlett-Packard Co. | 32,348 | ||||||
| 154 | SanDisk Corp. | 8,960 | ||||||
|
| |||||||
| 76,101 | ||||||||
|
| |||||||
Total Information Technology | 193,293 | |||||||
|
| |||||||
Materials — 3.6% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 336 | LyondellBasell Industries N.V., Class A | 34,762 | ||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 285 | Sealed Air Corp. | 14,623 | ||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 86 | Domtar Corp., (Canada) | 3,552 | ||||||
| 217 | International Paper Co. | 10,303 | ||||||
|
| |||||||
| 13,855 | ||||||||
|
| |||||||
Total Materials | 63,240 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 329 | AT&T, Inc. | 11,693 | ||||||
| 393 | CenturyLink, Inc. | 11,538 | ||||||
| 564 | Frontier Communications Corp. | 2,792 | ||||||
|
| |||||||
Total Telecommunication Services | 26,023 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 5.3% |
| |||||||
Electric Utilities — 3.0% |
| |||||||
| 473 | American Electric Power Co., Inc. | 25,034 | ||||||
| 203 | Entergy Corp. | 14,290 | ||||||
| 155 | NextEra Energy, Inc. | 15,224 | ||||||
|
| |||||||
| 54,548 | ||||||||
|
| |||||||
Gas Utilities — 0.8% |
| |||||||
| 430 | UGI Corp. | 14,815 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 898 | AES Corp. | 11,908 | ||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
| 349 | Public Service Enterprise Group, Inc. | 13,701 | ||||||
|
| |||||||
Total Utilities | 94,972 | |||||||
|
| |||||||
Total Common Stocks | 1,754,097 | |||||||
|
| |||||||
| Short-Term Investment — 2.3% |
| ||||||
Investment Company — 2.3% |
| |||||||
| 41,990 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 41,990 | ||||||
|
| |||||||
Total Investments — 100.5% | 1,796,087 | |||||||
Liabilities in Excess of | (8,304 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,787,783 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 293 | E-mini S&P 500 | 09/18/15 | USD | $ | 30,097 | $ | (443 | ) | ||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
JPMorgan Intrepid Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2015
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than 1,000 shares. | |
| (i) | — Security has been deemed illiquid and may be difficult to sell. | |
| (l) | — The rate shown is the current yield as of June 30, 2015. | |
| (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, 2015 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 22,385 | $ | 3,629,930 | $ | 1,023,862 | ||||||
Investments in affiliates, at value | 264 | 82,114 | 31,742 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 22,649 | 3,712,044 | 1,055,604 | |||||||||
Deposits at broker for futures contracts | — | 3,833 | 1,268 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 13,631 | 79,291 | |||||||||
Fund shares sold | 20 | 652 | 689 | |||||||||
Dividends from non-affiliates | 22 | 2,473 | 562 | |||||||||
Dividends from affiliates | — | (a) | 6 | 2 | ||||||||
Variation margin on futures contracts | — | 154 | 53 | |||||||||
Due from Adviser | 1 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 22,692 | 3,732,793 | 1,137,469 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | (a) | — | (a) | — | (a) | ||||||
Investment securities purchased | — | 20,681 | 81,781 | |||||||||
Fund shares redeemed | 1 | 298 | 187 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | — | 1,226 | 332 | |||||||||
Administration fees | — | (a) | 255 | 8 | ||||||||
Distribution fees | 7 | 49 | 53 | |||||||||
Shareholder servicing fees | — | 410 | 176 | |||||||||
Custodian and accounting fees | 11 | 48 | 15 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | 7 | 1 | |||||||||
Audit fees | 26 | 34 | 33 | |||||||||
Registration Fee | 3 | 60 | 12 | |||||||||
Other | 4 | 88 | 42 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 52 | 23,156 | 82,640 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 22,640 | $ | 3,709,637 | $ | 1,054,829 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 20,073 | $ | 2,813,648 | $ | 1,000,897 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 61 | 24,926 | 4,981 | |||||||||
Accumulated net realized gains (losses) | (2,070 | ) | 170,013 | (167,620 | ) | |||||||
Net unrealized appreciation (depreciation) | 4,576 | 701,050 | 216,571 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 22,640 | $ | 3,709,637 | $ | 1,054,829 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 10,933 | $ | 184,225 | $ | 106,573 | ||||||
Class C | 6,874 | 14,978 | 49,309 | |||||||||
Class R2 | — | 2,923 | 1,205 | |||||||||
Class R5 | — | 2,015,302 | 189,466 | |||||||||
Select Class | 4,833 | 1,492,209 | 708,276 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 22,640 | $ | 3,709,637 | $ | 1,054,829 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 321 | 4,838 | 2,600 | |||||||||
Class C | 207 | 397 | 1,225 | |||||||||
Class R2 | — | 78 | 30 | |||||||||
Class R5 | — | 52,462 | 4,608 | |||||||||
Select Class | 141 | 38,768 | 17,163 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 34.01 | $ | 38.08 | $ | 40.99 | ||||||
Class C — Offering price per share (b) | 33.29 | 37.74 | 40.26 | |||||||||
Class R2 — Offering and redemption price per share | — | 37.45 | 40.39 | |||||||||
Class R5 — Offering and redemption price per share | — | 38.41 | 41.12 | |||||||||
Select Class — Offering and redemption price per share | 34.22 | 38.49 | 41.27 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 35.89 | $ | 40.19 | $ | 43.26 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 17,809 | $ | 2,927,746 | $ | 806,801 | ||||||
Cost of investments in affiliates | 264 | 82,114 | 31,742 | |||||||||
| (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, 2015 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2015 (continued)
(Amounts in thousands, except per share amounts)
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 953,067 | $ | 1,754,097 | ||||
Investments in affiliates, at value | 19,863 | 41,990 | ||||||
|
|
|
| |||||
Total investment securities, at value | 972,930 | 1,796,087 | ||||||
Cash | — | (a) | — | |||||
Deposits at broker for futures contracts | 933 | 1,781 | ||||||
Receivables: | ||||||||
Investment securities sold | 81,696 | 134,533 | ||||||
Fund shares sold | 2,803 | 3,044 | ||||||
Dividends from non-affiliates | 1,048 | 1,663 | ||||||
Dividends from affiliates | 1 | 2 | ||||||
Variation margin on futures contracts | 17 | 74 | ||||||
|
|
|
| |||||
Total Assets | 1,059,428 | 1,937,184 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 81,755 | 146,596 | ||||||
Fund shares redeemed | 1,255 | 1,496 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 480 | 478 | ||||||
Administration fees | 46 | 52 | ||||||
Distribution fees | 133 | 75 | ||||||
Shareholder servicing fees | 48 | 169 | ||||||
Custodian and accounting fees | 8 | 29 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 2 | ||||||
Other | 153 | 504 | ||||||
|
|
|
| |||||
Total Liabilities | 83,879 | 149,401 | ||||||
|
|
|
| |||||
Net Assets | $ | 975,549 | $ | 1,787,783 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 787,835 | $ | 1,413,159 | ||||
Accumulated undistributed (distributions in excess of) net investment income | (23 | ) | (17 | ) | ||||
Accumulated net realized gains (losses) | 64,881 | 34,542 | ||||||
Net unrealized appreciation (depreciation) | 122,856 | 340,099 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 975,549 | $ | 1,787,783 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 377,893 | $ | 173,149 | ||||
Class C | 87,191 | 53,413 | ||||||
Class R2 | — | 14,237 | ||||||
Class R5 | — | 83,859 | ||||||
Class R6 | — | 39,024 | ||||||
Select Class | 510,465 | 1,424,101 | ||||||
|
|
|
| |||||
Total | $ | 975,549 | $ | 1,787,783 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 17,317 | 4,856 | ||||||
Class C | 4,573 | 1,514 | ||||||
Class R2 | — | 401 | ||||||
Class R5 | — | 2,337 | ||||||
Class R6 | — | 1,087 | ||||||
Select Class | 22,423 | 39,785 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 21.82 | $ | 35.66 | ||||
Class C — Offering price per share (b) | 19.07 | 35.29 | ||||||
Class R2 — Offering and redemption price per share | — | 35.48 | ||||||
Class R5 — Offering and redemption price per share | — | 35.88 | ||||||
Class R6 — Offering and redemption price per share | — | 35.89 | ||||||
Select Class — Offering and redemption price per share | 22.77 | 35.80 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 23.03 | $ | 37.64 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 829,917 | $ | 1,413,555 | ||||
Cost of investments in affiliates | 19,863 | 41,990 | ||||||
| (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, 2015 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2015
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 422 | $ | 72,263 | $ | 14,122 | ||||||
Dividend income from affiliates | — | (a) | 35 | 12 | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 422 | 72,298 | 14,134 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 137 | 13,659 | 4,570 | |||||||||
Administration fees | 17 | 2,808 | 752 | |||||||||
Distribution fees: | ||||||||||||
Class A | 28 | 391 | 167 | |||||||||
Class C | 44 | 88 | 260 | |||||||||
Class R2 | — | 8 | 4 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 28 | 391 | 167 | |||||||||
Class C | 15 | 29 | 87 | |||||||||
Class R2 | — | 4 | 2 | |||||||||
Class R5 | — | 845 | 74 | |||||||||
Select Class | 10 | 3,888 | 1,661 | |||||||||
Custodian and accounting fees | 30 | 116 | 43 | |||||||||
Professional fees | 39 | 77 | 53 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 35 | 9 | ||||||||
Printing and mailing costs | 2 | 61 | 24 | |||||||||
Registration and filing fees | 38 | 159 | 80 | |||||||||
Transfer agent fees | 16 | 370 | 218 | |||||||||
Other | 8 | 79 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 412 | 23,008 | 8,194 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (150 | ) | (320 | ) | (1,311 | ) | ||||||
Less expense reimbursements | (1 | ) | — | (a) | (4 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 261 | 22,688 | 6,879 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 161 | 49,610 | 7,255 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 1,123 | 238,588 | 84,225 | |||||||||
Futures | — | 4,058 | 1,840 | |||||||||
Foreign currency transactions | — | 5 | 2 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 1,123 | 242,651 | 86,067 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 181 | (11,467 | ) | 1,167 | ||||||||
Futures | — | (1,617 | ) | (581 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 181 | (13,084 | ) | 586 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,304 | 229,567 | 86,653 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,465 | $ | 279,177 | $ | 93,908 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
INVESTMENT INCOME: |
| |||||||
Interest income from non-affiliates | $ | 1 | $ | — | ||||
Dividend income from non-affiliates | 11,569 | 35,189 | ||||||
Dividend income from affiliates | 15 | 17 | ||||||
|
|
|
| |||||
Total investment income | 11,585 | 35,206 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 5,103 | 6,685 | ||||||
Administration fees | 645 | 1,374 | ||||||
Distribution fees: | ||||||||
Class A | 704 | 366 | ||||||
Class B (a) | 33 | — | ||||||
Class C | 469 | 336 | ||||||
Class R2 | — | 27 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 704 | 366 | ||||||
Class B (a) | 11 | — | ||||||
Class C | 156 | 112 | ||||||
Class R2 | — | 14 | ||||||
Class R5 | — | 42 | ||||||
Select Class | 1,092 | 3,403 | ||||||
Custodian and accounting fees | 37 | 69 | ||||||
Professional fees | 52 | 59 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 8 | 17 | ||||||
Printing and mailing costs | 85 | 158 | ||||||
Registration and filing fees | 132 | 175 | ||||||
Transfer agent fees | 532 | 2,006 | ||||||
Other | 15 | 131 | ||||||
|
|
|
| |||||
Total expenses | 9,778 | 15,340 | ||||||
|
|
|
| |||||
Less fees waived | (1,449 | ) | (3,160 | ) | ||||
Less expense reimbursements | (14 | ) | (7 | ) | ||||
|
|
|
| |||||
Net expenses | 8,315 | 12,173 | ||||||
|
|
|
| |||||
Net investment income (loss) | 3,270 | 23,033 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 80,598 | 113,032 | ||||||
Futures | 2,889 | 4,151 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 83,487 | 117,183 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation of: | ||||||||
Investments in non-affiliates | (52,471 | ) | (54,752 | ) | ||||
Futures | (467 | ) | (727 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (52,938 | ) | (55,479 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 30,549 | 61,704 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 33,819 | $ | 84,737 | ||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 161 | $ | 91 | $ | 49,610 | $ | 32,016 | ||||||||
Net realized gain (loss) | 1,123 | 1,207 | 242,651 | 336,209 | ||||||||||||
Change in net unrealized appreciation/depreciation | 181 | 1,936 | (13,084 | ) | 251,755 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,465 | 3,234 | 279,177 | 619,980 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (78 | ) | (54 | ) | (1,555 | ) | (777 | ) | ||||||||
From net realized gains | — | — | (7,056 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (37 | ) | (7 | ) | (59 | ) | (22 | ) | ||||||||
From net realized gains | — | — | (488 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (8 | ) | (1 | ) | ||||||||||
From net realized gains | — | — | (20 | ) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (22,291 | ) | (11,848 | ) | ||||||||||
From net realized gains | — | — | (75,877 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (33 | ) | (17 | ) | (17,845 | ) | (13,878 | ) | ||||||||
From net realized gains | — | — | (72,997 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (148 | ) | (78 | ) | (198,196 | ) | (26,526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 4,710 | 882 | 645,023 | 192,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 6,027 | 4,038 | 726,004 | 785,839 | ||||||||||||
Beginning of period | 16,613 | 12,575 | 2,983,633 | 2,197,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 22,640 | $ | 16,613 | $ | 3,709,637 | $ | 2,983,633 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 61 | $ | 49 | $ | 24,926 | $ | 17,258 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 7,255 | $ | 6,041 | $ | 3,270 | $ | 2,713 | ||||||||
Net realized gain (loss) | 86,067 | 104,085 | 83,487 | 110,696 | ||||||||||||
Change in net unrealized appreciation/depreciation | 586 | 72,151 | (52,938 | ) | 34,506 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 93,908 | 182,277 | 33,819 | 147,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (320 | ) | (112 | ) | (1,100 | ) | (505 | ) | ||||||||
From net realized gains | — | — | (33,270 | ) | (788 | ) | ||||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | — | (5 | ) | — | |||||||||||
From net realized gains | — | — | (722 | ) | (33 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (45 | ) | (8 | ) | (75 | ) | — | |||||||||
From net realized gains | — | — | (8,490 | ) | (205 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (1 | ) | (1 | ) | — | — | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (995 | ) | (1,052 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,526 | ) | (4,372 | ) | (2,295 | ) | (1,684 | ) | ||||||||
From net realized gains | — | — | (53,175 | ) | (1,755 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (4,887 | ) | (5,545 | ) | (99,132 | ) | (4,970 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 189,626 | (94,414 | ) | 443,967 | (61,813 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 278,647 | 82,318 | 378,654 | 81,132 | ||||||||||||
Beginning of period | 776,182 | 693,864 | 596,895 | 515,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,054,829 | $ | 776,182 | $ | 975,549 | $ | 596,895 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 4,981 | $ | 2,723 | $ | (23 | ) | $ | (83 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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, 2015 | Year Ended June 30, 2014 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 23,033 | $ | 17,585 | ||||
Net realized gain (loss) | 117,183 | 115,586 | ||||||
Change in net unrealized appreciation/depreciation | (55,479 | ) | 172,882 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 84,737 | 306,053 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,883 | ) | (1,034 | ) | ||||
From net realized gains | (10,740 | ) | — | |||||
Class C | ||||||||
From net investment income | (373 | ) | (214 | ) | ||||
From net realized gains | (3,334 | ) | — | |||||
Class R2 | ||||||||
From net investment income | (98 | ) | (9 | ) | ||||
From net realized gains | (155 | ) | — | |||||
Class R5 | ||||||||
From net investment income | (1,285 | ) | (1,055 | ) | ||||
From net realized gains | (6,160 | ) | — | |||||
Class R6 | ||||||||
From net investment income | (508 | ) | (234 | ) | ||||
From net realized gains | (2,196 | ) | — | |||||
Select Class | ||||||||
From net investment income | (18,775 | ) | (14,448 | ) | ||||
From net realized gains | (102,921 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (148,428 | ) | (16,994 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 385,861 | 78,434 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 322,170 | 367,493 | ||||||
Beginning of period | 1,465,613 | 1,098,120 | ||||||
|
|
|
| |||||
End of period | $ | 1,787,783 | $ | 1,465,613 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (17 | ) | $ | (141 | ) | ||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 3,725 | $ | 1,047 | $ | 168,215 | $ | 51,201 | ||||||||
Distributions reinvested | 78 | 54 | 7,997 | 505 | ||||||||||||
Cost of shares redeemed | (3,040 | ) | (2,430 | ) | (94,262 | ) | (64,819 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 763 | $ | (1,329 | ) | $ | 81,950 | $ | (13,113 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 3,609 | $ | 997 | $ | 7,099 | $ | 1,022 | ||||||||
Distributions reinvested | 34 | 7 | 508 | 21 | ||||||||||||
Cost of shares redeemed | (832 | ) | (218 | ) | (1,603 | ) | (1,397 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 2,811 | $ | 786 | $ | 6,004 | $ | (354 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,255 | $ | 54 | ||||||||
Distributions reinvested | — | — | 10 | 1 | ||||||||||||
Cost of shares redeemed | — | — | (567 | ) | (99 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 2,698 | $ | (44 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 551,608 | $ | 426,650 | ||||||||
Distributions reinvested | — | — | 98,125 | 11,848 | ||||||||||||
Cost of shares redeemed | — | — | (31,065 | ) | (20,847 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 618,668 | $ | 417,651 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,411 | $ | 1,514 | $ | 111,237 | $ | 101,250 | ||||||||
Distributions reinvested | 22 | 6 | 75,360 | 11,463 | ||||||||||||
Cost of shares redeemed | (297 | ) | (95 | ) | (250,894 | ) | (324,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 1,136 | $ | 1,425 | $ | (64,297 | ) | $ | (211,755 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 4,710 | $ | 882 | $ | 645,023 | $ | 192,385 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 112 | 37 | 4,472 | 1,526 | ||||||||||||
Reinvested | 2 | 2 | 216 | 15 | ||||||||||||
Redeemed | (90 | ) | (85 | ) | (2,456 | ) | (1,891 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 24 | (46 | ) | 2,232 | (350 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 113 | 34 | 188 | 30 | ||||||||||||
Reinvested | 1 | — | (a) | 14 | 1 | |||||||||||
Redeemed | (25 | ) | (8 | ) | (42 | ) | (42 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 89 | 26 | 160 | (11 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 88 | 2 | ||||||||||||
Reinvested | — | — | — | (a) | — | (a) | ||||||||||
Redeemed | — | — | (15 | ) | (3 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 73 | (1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 14,342 | 12,842 | ||||||||||||
Reinvested | — | — | 2,615 | 348 | ||||||||||||
Redeemed | — | — | (816 | ) | (603 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 16,141 | 12,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 42 | 51 | 2,960 | 3,090 | ||||||||||||
Reinvested | 1 | — | (a) | 2,006 | 335 | |||||||||||
Redeemed | (9 | ) | (3 | ) | (6,458 | ) | (9,563 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 34 | 48 | (1,492 | ) | (6,138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 41 | ||||||
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, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 98,088 | $ | 8,517 | $ | 241,603 | $ | 41,078 | ||||||||
Distributions reinvested | 307 | 108 | 32,554 | 1,257 | ||||||||||||
Cost of shares redeemed | (30,452 | ) | (15,891 | ) | (68,865 | ) | (34,483 | ) | ||||||||
Conversion from Class B Shares | — | — | 3,279 | 229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 67,943 | $ | (7,266 | ) | $ | 208,571 | $ | 8,081 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 113 | $ | 142 | ||||||||
Distributions reinvested | — | — | 692 | 32 | ||||||||||||
Cost of shares redeemed | — | — | (2,858 | ) | (3,423 | ) | ||||||||||
Conversion to Class A Shares | — | — | (3,279 | ) | (229 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (5,332 | ) | $ | (3,478 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 30,221 | $ | 2,456 | $ | 48,031 | $ | 11,340 | ||||||||
Distributions reinvested | 35 | 6 | 7,809 | 192 | ||||||||||||
Cost of shares redeemed | (3,414 | ) | (2,301 | ) | (11,521 | ) | (8,150 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 26,842 | $ | 161 | $ | 44,319 | $ | 3,382 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,169 | $ | 79 | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (666 | ) | (211 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 504 | $ | (131 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 74,969 | $ | 12,500 | $ | — | $ | — | ||||||||
Distributions reinvested | 995 | 1,052 | — | — | ||||||||||||
Cost of shares redeemed | (24,666 | ) | (21,523 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 51,298 | $ | (7,971 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 140,682 | $ | 46,041 | $ | 301,379 | $ | 57,111 | ||||||||
Distributions reinvested | 3,214 | 3,875 | 49,847 | 3,315 | ||||||||||||
Cost of shares redeemed | (100,857 | ) | (129,123 | ) | (154,817 | ) | (130,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 43,039 | $ | (79,207 | ) | $ | 196,409 | $ | (69,798 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 189,626 | $ | (94,414 | ) | $ | 443,967 | $ | (61,813 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 2,450 | 250 | 10,640 | 1,865 | ||||||||||||
Reinvested | 8 | 3 | 1,529 | 57 | ||||||||||||
Redeemed | (764 | ) | (491 | ) | (3,017 | ) | (1,597 | ) | ||||||||
Conversion from Class B Shares | — | — | 145 | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,694 | (238 | ) | 9,297 | 336 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | — | 5 | 8 | ||||||||||||
Reinvested | — | — | 37 | 2 | ||||||||||||
Redeemed | — | — | (140 | ) | (176 | ) | ||||||||||
Conversion to Class A Shares | — | — | (166 | ) | (12 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (264 | ) | (178 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 774 | 74 | 2,416 | 581 | ||||||||||||
Reinvested | 1 | — | (b) | 420 | 10 | |||||||||||
Redeemed | (87 | ) | (71 | ) | (572 | ) | (421 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 688 | 3 | 2,264 | 170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 30 | 2 | — | — | ||||||||||||
Reinvested | — | (b) | — | (b) | — | — | ||||||||||
Redeemed | (16 | ) | (7 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 14 | (5 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 1,842 | 367 | — | — | ||||||||||||
Reinvested | 24 | 31 | — | — | ||||||||||||
Redeemed | (614 | ) | (641 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1,252 | (243 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,517 | 1,443 | 12,734 | 2,579 | ||||||||||||
Reinvested | 79 | 113 | 2,245 | 144 | ||||||||||||
Redeemed | (2,493 | ) | (3,732 | ) | (6,494 | ) | (5,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 1,103 | (2,176 | ) | 8,485 | (2,913 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. Prior year amounts, related to the conversion of Class B Shares to Class A Shares, have been reclassified to conform to the current year presentation. |
| (b) | Amount rounds to less than 1,000 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 97,330 | $ | 45,132 | ||||
Distributions reinvested | 12,172 | 1,016 | ||||||
Cost of shares redeemed | (45,423 | ) | (22,532 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 64,079 | $ | 23,616 | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 22,302 | $ | 8,164 | ||||
Distributions reinvested | 3,280 | 193 | ||||||
Cost of shares redeemed | (6,296 | ) | (4,558 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 19,286 | $ | 3,799 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 15,444 | $ | 491 | ||||
Distributions reinvested | 179 | 7 | ||||||
Cost of shares redeemed | (2,495 | ) | (289 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 13,128 | $ | 209 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 19,393 | $ | 10,240 | ||||
Distributions reinvested | 7,445 | 1,055 | ||||||
Cost of shares redeemed | (20,221 | ) | (9,584 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 6,617 | $ | 1,711 | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 25,620 | $ | 20,752 | ||||
Distributions reinvested | 2,704 | 234 | ||||||
Cost of shares redeemed | (7,455 | ) | (15,146 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 20,869 | $ | 5,840 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 495,104 | $ | 447,101 | ||||
Distributions reinvested | 109,550 | 11,704 | ||||||
Cost of shares redeemed | (342,772 | ) | (415,546 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | 261,882 | $ | 43,259 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 385,861 | $ | 78,434 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2015 | Year Ended June 30, 2014 | |||||||
SHARE TRANSACTIONS: |
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Class A |
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Issued | 2,685 | 1,328 | ||||||
Reinvested | 348 | 29 | ||||||
Redeemed | (1,249 | ) | (674 | ) | ||||
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Change in Class A Shares | 1,784 | 683 | ||||||
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Class C | ||||||||
Issued | 616 | 243 | ||||||
Reinvested | 95 | 6 | ||||||
Redeemed | (174 | ) | (137 | ) | ||||
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Change in Class C Shares | 537 | 112 | ||||||
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Class R2 | ||||||||
Issued | 429 | 13 | ||||||
Reinvested | 5 | — | (a) | |||||
Redeemed | (69 | ) | (9 | ) | ||||
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Change in Class R2 Shares | 365 | 4 | ||||||
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Class R5 | ||||||||
Issued | 527 | 305 | ||||||
Reinvested | 212 | 30 | ||||||
Redeemed | (546 | ) | (287 | ) | ||||
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Change in Class R5 Shares | 193 | 48 | ||||||
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Class R6 | ||||||||
Issued | 693 | 577 | ||||||
Reinvested | 77 | 7 | ||||||
Redeemed | (205 | ) | (426 | ) | ||||
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Change in Class R6 Shares | 565 | 158 | ||||||
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Select Class | ||||||||
Issued | 13,382 | 13,485 | ||||||
Reinvested | 3,121 | 337 | ||||||
Redeemed | (9,329 | ) | (12,261 | ) | ||||
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Change in Select Class Shares | 7,174 | 1,561 | ||||||
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| (a) | Amount rounds to less than 1,000 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 45 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | �� | Total from investment operations | Net investment income | |||||||||||||||
Intrepid Advantage Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 31.93 | $ | 0.28 | (d) | $ | 2.02 | $ | 2.30 | $ | (0.22 | ) | ||||||||
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 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 31.38 | 0.12 | (d) | 1.98 | 2.10 | (0.19 | ) | |||||||||||||
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 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 32.07 | 0.37 | (d) | 2.04 | 2.41 | (0.26 | ) | |||||||||||||
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 | ) | |||||||||||||
| (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, $0.06 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 Class A, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 34.01 | 7.22 | % | $ | 10,933 | 1.15 | % | 0.85 | % | 1.87 | % | 35 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 33.29 | 6.71 | 6,874 | 1.65 | 0.36 | 2.36 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 34.22 | 7.51 | 4,833 | 0.90 | 1.10 | 1.59 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 47 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid America Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 37.28 | $ | 0.44 | (d) | $ | 2.57 | $ | 3.01 | $ | (0.38 | ) | $ | (1.83 | ) | $ | (2.21 | ) | ||||||||||
Year Ended June 30, 2014 | 29.76 | 0.30 | (d) | 7.49 | 7.79 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.68 | 0.34 | (d) | 5.15 | 5.49 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.19 | (d) | 0.10 | 0.29 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.54 | 0.17 | (d) | 6.01 | 6.18 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 36.99 | 0.22 | (d) | 2.57 | 2.79 | (0.21 | ) | (1.83 | ) | (2.04 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.53 | 0.13 | (d) | 7.42 | 7.55 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.48 | 0.20 | (d) | 5.12 | 5.32 | (0.27 | ) | — | (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 | ) | — | (0.04 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 36.82 | 0.33 | (d) | 2.55 | 2.88 | (0.42 | ) | (1.83 | ) | (2.25 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.43 | 0.21 | (d) | 7.40 | 7.61 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.43 | 0.26 | (d) | 5.11 | 5.37 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.21 | 0.13 | (d) | 0.12 | 0.25 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.36 | 0.13 | (d) | 5.92 | 6.05 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.54 | 0.60 | (d) | 2.61 | 3.21 | (0.51 | ) | (1.83 | ) | (2.34 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.94 | 0.46 | (d) | 7.54 | 8.00 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.84 | 0.46 | (d) | 5.19 | 5.65 | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.69 | 0.30 | (d) | 0.10 | 0.40 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.65 | 0.26 | (d) | 6.06 | 6.32 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.61 | 0.53 | (d) | 2.61 | 3.14 | (0.43 | ) | (1.83 | ) | (2.26 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 30.00 | 0.38 | (d) | 7.56 | 7.94 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.88 | 0.41 | (d) | 5.20 | 5.61 | (0.49 | ) | — | (0.49 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.73 | 0.25 | (d) | 0.10 | 0.35 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.68 | 0.23 | (d) | 6.04 | 6.27 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
| (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.
| 48 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 38.08 | 8.27 | % | $ | 184,225 | 1.03 | % | 1.16 | % | 1.11 | % | 49 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 37.74 | 7.72 | 14,978 | 1.53 | 0.58 | 1.56 | 49 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.45 | 8.01 | 2,923 | 1.28 | 0.88 | 1.35 | 49 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 38.41 | 8.76 | 2,015,302 | 0.55 | 1.56 | 0.55 | 49 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 38.49 | 8.56 | 1,492,209 | 0.75 | 1.37 | 0.76 | 49 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | 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 Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2015 | $ | 37.05 | $ | 0.25 | (d) | $ | 3.88 | $ | 4.13 | $ | (0.19 | ) | ||||||||
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 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2015 | 36.45 | 0.05 | (d) | 3.81 | 3.86 | (0.05 | ) | |||||||||||||
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 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2015 | 36.49 | 0.12 | (d) | 3.85 | 3.97 | (0.07 | ) | |||||||||||||
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 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2015 | 37.09 | 0.41 | (d) | 3.91 | 4.32 | (0.29 | ) | |||||||||||||
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 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2015 | 37.23 | 0.32 | (d) | 3.93 | 4.25 | (0.21 | ) | |||||||||||||
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 | ) | |||||||||||||
| (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.
| 50 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 40.99 | 11.16 | % | $ | 106,573 | 0.96 | % | 0.62 | % | 1.16 | % | 64 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 40.26 | 10.60 | 49,309 | 1.46 | 0.12 | 1.66 | 64 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 40.39 | 10.87 | 1,205 | 1.22 | 0.31 | 1.45 | 64 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 41.12 | 11.66 | 189,466 | 0.54 | 1.02 | 0.70 | 64 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 41.27 | 11.43 | 708,276 | 0.74 | 0.80 | 0.87 | 64 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 51 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 24.11 | $ | 0.08 | (d) | $ | 1.18 | $ | 1.26 | $ | (0.09 | ) | $ | (3.46 | ) | $ | (3.55 | ) | ||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 21.56 | (0.06 | )(d) | 1.06 | 1.00 | (0.03 | ) | (3.46 | ) | (3.49 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 24.97 | 0.14 | (d) | 1.24 | 1.38 | (0.12 | ) | (3.46 | ) | (3.58 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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, $(0.08) and $0.10 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.20%, (0.42)% and 0.45% for Class A, 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, $(0.03) and $0.13 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.47%, (0.17)% and 0.72% for Class A, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $ | 21.82 | 5.64 | % | $ | 377,893 | 1.14 | % | 0.33 | % | 1.37 | % | 66 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 19.07 | 5.02 | 87,191 | 1.78 | (0.31 | ) | 1.87 | 66 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 22.77 | 5.97 | 510,465 | 0.89 | 0.58 | 1.07 | 66 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 53 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | $ | 37.13 | $ | 0.46 | (f) | $ | 1.38 | $ | 1.84 | $ | (0.44 | ) | $ | (2.87 | ) | $ | (3.31 | ) | ||||||||||
Year Ended June 30, 2014 | 29.76 | 0.40 | (f) | 7.36 | 7.76 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 23.99 | 0.42 | (f) | 5.79 | 6.21 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.35 | 0.35 | (f) | (0.34 | ) | 0.01 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 18.64 | 0.30 | (f) | 5.65 | 5.95 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 36.80 | 0.27 | (f) | 1.37 | 1.64 | (0.28 | ) | (2.87 | ) | (3.15 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.52 | 0.23 | (f) | 7.28 | 7.51 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 23.80 | 0.29 | (f) | 5.74 | 6.03 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.16 | 0.24 | (f) | (0.35 | ) | (0.11 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 18.53 | 0.19 | (f) | 5.60 | 5.79 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.02 | 0.35 | (f) | 1.40 | 1.75 | (0.42 | ) | (2.87 | ) | (3.29 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.69 | 0.31 | (f) | 7.33 | 7.64 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 23.95 | 0.30 | (f) | 5.83 | 6.13 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.31 | 0.29 | (f) | (0.33 | ) | (0.04 | ) | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.24 | (f) | 5.64 | 5.88 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.33 | 0.59 | (f) | 1.39 | 1.98 | (0.56 | ) | (2.87 | ) | (3.43 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.52 | (f) | 7.40 | 7.92 | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.52 | (f) | 5.82 | 6.34 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (f) | (0.34 | ) | 0.09 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 18.71 | 0.37 | (f) | 5.68 | 6.05 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.33 | 0.61 | (f) | 1.39 | 2.00 | (0.57 | ) | (2.87 | ) | (3.44 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.47 | (f) | 7.46 | 7.93 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.53 | (f) | 5.83 | 6.36 | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (f) | (0.33 | ) | 0.10 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 21.27 | 0.21 | (f) | 3.18 | 3.39 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2015 | 37.25 | 0.51 | (f) | 1.40 | 1.91 | (0.49 | ) | (2.87 | ) | (3.36 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 29.85 | 0.45 | (f) | 7.38 | 7.83 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 24.06 | 0.46 | (f) | 5.81 | 6.27 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.42 | 0.39 | (f) | (0.35 | ) | 0.04 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 18.70 | 0.33 | (f) | 5.67 | 6.00 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (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.
| 54 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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) | ||||||||||||||||||||
| $35.66 | 5.24 | % | $ | 173,149 | 0.86 | % | 1.26 | % | 1.13 | % | 52 | % | ||||||||||||||
| 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 | ||||||||||||||||||||
| 35.29 | 4.72 | 53,413 | 1.36 | 0.76 | 1.62 | 52 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.48 | 4.98 | 14,237 | 1.09 | 0.97 | 1.43 | 52 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.88 | 5.60 | 83,859 | 0.51 | 1.59 | 0.63 | 52 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.89 | 5.67 | 39,024 | 0.46 | 1.65 | 0.55 | 52 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.80 | 5.41 | 1,424,101 | 0.71 | 1.39 | 0.90 | 52 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 55 | ||||||
Table of Contents
AS OF JUNE 30, 2015
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 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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). 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.
On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC. Information relating to certain fees and other characteristics of the Class B Shares prior to June 19, 2015 is included in Note 3.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations.
| 56 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
Table of Contents
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Intrepid Advantage Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 22,649 | $ | — | $ | — | $ | 22,649 | ||||||||
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| Intrepid America Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,712,044 | $ | — | $ | — | $ | 3,712,044 | ||||||||
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|
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| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (1,134 | ) | $ | — | $ | — | $ | (1,134 | ) | ||||||
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| |||||||||
| Intrepid Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,055,604 | $ | — | $ | — | $ | 1,055,604 | ||||||||
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| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (490 | ) | $ | — | $ | — | $ | (490 | ) | ||||||
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| Intrepid Mid Cap Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 133,446 | $ | — | $ | — | $ | 133,446 | ||||||||
Consumer Staples | 56,022 | — | — | 56,022 | ||||||||||||
Energy | 58,400 | — | — | 58,400 | ||||||||||||
Financials | 197,926 | — | — | 197,926 | ||||||||||||
Health Care | 110,696 | — | — | 110,696 | ||||||||||||
Industrials | 133,887 | — | — | 133,887 | ||||||||||||
Information Technology | 152,233 | — | — | 152,233 | ||||||||||||
Materials | 50,764 | — | — | 50,764 | ||||||||||||
Telecommunication Services | 9,684 | — | — | 9,684 | ||||||||||||
Utilities | 49,995 | — | — | 49,995 | ||||||||||||
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| |||||||||
Total Common Stocks | 953,053 | — | — | 953,053 | ||||||||||||
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| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
| Intrepid Mid Cap Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Rights | ||||||||||||||||
Consumer Staples | $ | — | $ | — | $ | 14 | $ | 14 | ||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 19,863 | — | — | 19,863 | ||||||||||||
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| |||||||||
Total Investments in Securities | $ | 972,916 | $ | — | $ | 14 | $ | 972,930 | ||||||||
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| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (294 | ) | $ | — | $ | — | $ | (294 | ) | ||||||
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| Intrepid Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,796,087 | $ | — | $ | — | $ | 1,796,087 | ||||||||
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| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (443 | ) | $ | — | $ | — | $ | (443 | ) | ||||||
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| (a) | All portfolio holdings designated as Level 1 are disclosed 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, 2015.
B. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds also bought futures contracts to immediately invest incoming cash in the market or sold 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 on 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 on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on 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, 2015 (amounts in thousands):
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||||||||
Average Notional Balance Long | $ | 86,746 | $ | 28,641 | $ | 23,524 | $ | 40,985 | ||||||||
Ending Notional Balance Long | 77,143 | 27,940 | 19,475 | 30,097 | ||||||||||||
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. 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
| 58 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds. As of June 30, 2015, the Funds had no investments in restricted securities.
The following are the values and percentages of net assets of securities deemed to be illiquid as of June 30, 2015 (amounts in thousands):
| Value | Percentage | |||||||
Intrepid Mid Cap Fund | $ | 14 | — | %(a) | ||||
| (a) | Amount rounds to less than 0.1%. |
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, 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.
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, 2015, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years 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 the Intrepid Mid Cap Fund and Intrepid Value Fund, for which distributions are generally declared and paid at least 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) | ||||||||||
Intrepid Advantage Fund | $ | — | $ | (1 | ) | $ | 1 | |||||
Intrepid America Fund | — | (184 | ) | 184 | ||||||||
Intrepid Growth Fund | — | (110 | ) | 110 | ||||||||
Intrepid Mid Cap Fund | — | 265 | (265 | ) | ||||||||
Intrepid Value Fund | — | 13 | (13 | ) | ||||||||
The reclassifications for the Funds relate primarily to non-taxable dividends and redesignation of distributions.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), 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 |
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 59 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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, 2015, 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 has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds, as applicable, 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 | ||||||||||||
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, 2015, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid Advantage Fund | $ | 3 | $ | — | (a) | |||
Intrepid America Fund | 9 | 1 | ||||||
Intrepid Growth Fund | 29 | 10 | ||||||
Intrepid Mid Cap Fund | 77 | 1 | ||||||
Intrepid Value Fund | 32 | 2 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder 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 on 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 on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on 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,
| 60 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2015 | ||||
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taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s 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** | 1.04 | n/a | 1.54 | 1.29 | % | 0.60 | % | n/a | 0.80 | |||||||||||||||||||
Intrepid Growth Fund** | 0.93 | n/a | 1.42 | 1.17 | 0.48 | n/a | 0.68 | |||||||||||||||||||||
Intrepid Mid Cap Fund*** | 1.15 | 1.79 | % | 1.79 | n/a | n/a | n/a | 0.90 | ||||||||||||||||||||
Intrepid Value Fund**** | 0.83 | n/a | 1.33 | 1.08 | % | 0.48 | 0.43 | % | 0.68 | |||||||||||||||||||
| * | 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 5, 2014 for Intrepid America Fund and prior to October 31, 2014 for Intrepid Growth Fund, there were no contractual expense limitations for Class A, Class C, Class R2, Class R5 and Select Class. |
| *** | 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. |
| **** | Prior to November 11, 2014, the contractual expense limitations for Intrepid Value Fund were 0.95%, 1.45%, 1.20%, 0.60%, 0.55% and 0.80% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2015. The contractual expense limitation percentages in the table above are in place until at least October 31, 2015 except Intrepid America Fund which is in place until at least November 5, 2015 and Class B shares, which are no longer operating. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2015. 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, 2015, 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 | $ | 109 | $ | 17 | $ | 23 | $ | 149 | $ | 1 | ||||||||||
Intrepid America Fund | — | — | 125 | 125 | — | (a) | ||||||||||||||
Intrepid Growth Fund | 696 | 468 | 88 | 1,252 | 4 | |||||||||||||||
Intrepid Mid Cap Fund | 392 | 259 | 747 | 1,398 | 14 | |||||||||||||||
Intrepid Value Fund | 880 | 575 | 1,609 | 3,064 | 7 | |||||||||||||||
| (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, 2015 were as follows (amounts in thousands):
Intrepid Advantage Fund | $ | 1 | ||
Intrepid America Fund | 195 | |||
Intrepid Growth Fund | 59 | |||
Intrepid Mid Cap Fund | 51 | |||
Intrepid Value Fund | 96 |
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 appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the 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, 2015, 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, 2015, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 61 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2015 (continued)
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, 2015, 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 | $ | 12,258 | $ | 7,204 | $ | — | $ | — | ||||||||
Intrepid America Fund | 2,104,355 | 1,619,167 | — | — | ||||||||||||
Intrepid Growth Fund | 739,714 | 567,540 | — | — | ||||||||||||
Intrepid Mid Cap Fund | 846,423 | 497,674 | — | 625 | ||||||||||||
Intrepid Value Fund | 1,120,787 | 838,921 | — | — | ||||||||||||
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, 2015 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid Advantage Fund | $ | 18,134 | $ | 4,994 | $ | 479 | $ | 4,515 | ||||||||
Intrepid America Fund | 3,016,110 | 782,012 | 86,078 | 695,934 | ||||||||||||
Intrepid Growth Fund | 840,646 | 233,601 | 18,643 | 214,958 | ||||||||||||
Intrepid Mid Cap Fund | 851,949 | 159,104 | 38,123 | 120,981 | ||||||||||||
Intrepid Value Fund | 1,484,855 | 358,138 | 46,906 | 311,232 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended June 30, 2015 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Intrepid Advantage Fund | $ | 148 | $ | — | $ | 148 | ||||||
Intrepid America Fund | 56,358 | 141,838 | 198,196 | |||||||||
Intrepid Growth Fund | 4,887 | — | 4,887 | |||||||||
Intrepid Mid Cap Fund | 10,207 | 88,925 | 99,132 | |||||||||
Intrepid Value Fund | 42,160 | 106,268 | 148,428 | |||||||||
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 | ||||||||||
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 | |||||||||
As of June 30, 2015, 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 | $ | 61 | $ | (1,978 | ) | $ | 4,515 | |||||
Intrepid America Fund | 25,014 | 180,975 | 695,934 | |||||||||
Intrepid Growth Fund | 5,008 | (162,839 | ) | 214,958 | ||||||||
Intrepid Mid Cap Fund | 12,475 | 54,280 | 120,981 | |||||||||
Intrepid Value Fund | 6,132 | 57,274 | 311,232 | |||||||||
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For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals and post-October 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, 2015, the Funds did not have any post-enactment net capital loss carryforwards.
As of June 30, 2015, the Funds had the following 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 | $ | — | $ | 1,978 | $ | 1,978 | ||||||
Intrepid Growth Fund | 162,839 | — | 162,839 | |||||||||
During the year ended June 30, 2015, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Intrepid Advantage Fund | $ | 1,133 | ||
Intrepid Growth Fund | 88,879 |
Net capital losses and other late year 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, 2015, the following Funds deferred to July 1, 2015 net capital losses and other late year loss of (amounts in thousands):
| Net capital loss | ||||||||||||
| Short-Term | Long-Term | Other late year loss | ||||||||||
Intrepid Advantage Fund | $ | 31 | $ | — | $ | — | ||||||
Intrepid America Fund | 5,844 | — | — | |||||||||
Intrepid Growth Fund | 3,172 | — | — | |||||||||
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 9, 2015.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2015, or at any time during the year then ended.
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 Intrepid Advantage Fund and Intrepid Mid Cap Fund, 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 | 32.1 | % | 53.0 | % | ||||
Intrepid Growth Fund | 53.4 | — | ||||||
Intrepid Mid Cap Fund | 23.1 | — | ||||||
Additionally, Intrepid Value Fund has one or more shareholders, each of which are accounts maintained by a financial intermediary on behalf of its clients, that own a significant portion of that Fund’s outstanding shares.
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 63 | ||||||
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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, 2015, 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, 2015 by correspondence with the custodian, transfer agent and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2015
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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). | 153 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 153 | 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). | 153 | None | |||
| Frankie D. Hughes (1952), Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014 - present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 153 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 153 | 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). | 153 | 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). | 153 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 153 | 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). | 153 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals (2010-present); Trustee of the Stratton Mountain School (2001-present). | |||
| JUNE 30, 2015 | J.P. MORGAN INTREPID FUNDS | 65 | ||||||
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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 (continued) | ||||||
| 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). | 153 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 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). | 153 | 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). | 153 | 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). | 153 | None | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (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 eleven registered investment companies (153 funds). |
| * | 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. |
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), President and Principal Executive Officer (2013)* | 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. | |
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 to 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 to February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; 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. since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to 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. since 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. since 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 460 Polaris Parkway, Westerville, OH 43082. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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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 (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, 2015, and continued to hold your shares at the end of the reporting period, June 30, 2015.
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, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.70 | $ | 5.74 | 1.15 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,011.20 | 8.23 | 1.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,014.80 | 4.50 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Intrepid America Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,009.50 | 5.13 | 1.03 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.16 | 1.03 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,006.90 | 7.61 | 1.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.21 | 7.65 | 1.53 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,008.30 | 6.37 | 1.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.41 | 1.28 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,011.90 | 2.69 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,010.80 | 3.74 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
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| Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.90 | $ | 4.61 | 0.92 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.23 | 4.61 | 0.92 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,017.40 | 7.05 | 1.41 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.80 | 7.05 | 1.41 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,018.40 | 5.81 | 1.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.04 | 5.81 | 1.16 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,022.10 | 2.36 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,021.00 | 3.36 | 0.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.36 | 0.67 | ||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 992.80 | 5.63 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 990.10 | 8.78 | 1.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.97 | 8.90 | 1.78 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 994.50 | 4.40 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 999.20 | 4.06 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.73 | 4.11 | 0.82 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 996.70 | 6.53 | 1.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.25 | 6.61 | 1.32 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 997.90 | 5.30 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,000.90 | 2.33 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,001.20 | 2.08 | 0.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.71 | 2.11 | 0.42 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 999.90 | 3.32 | 0.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.36 | 0.67 | ||||||||||||
| * | 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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(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, 2015. 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, 2015. The information necessary to complete your income tax returns for the calendar year ending December 31, 2015 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, 2015:
| Dividends Received Deduction | ||||
Intrepid Advantage Fund | 100.00 | % | ||
Intrepid America Fund | 100.00 | |||
Intrepid Growth Fund | 100.00 | |||
Intrepid Mid Cap Fund | 55.33 | |||
Intrepid Value Fund | 81.38 | |||
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, 2015 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Intrepid America Fund | $ | 141,838 | ||
Intrepid Mid Cap Fund | 88,925 | |||
Intrepid Value Fund | 106,268 | |||
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, 2015 (amounts in thousands):
| Qualified Dividend Income | ||||
Intrepid Advantage Fund | $ | 148 | ||
Intrepid America Fund | 56,358 | |||
Intrepid Growth Fund | 4,887 | |||
Intrepid Mid Cap Fund | 10,207 | |||
Intrepid Value Fund | 36,873 | |||
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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 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., 2015. All rights reserved. June 2015. | AN-INT-615 |
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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
2015 – $382,500
2014 – $369,500
(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
2015 – $55,000
2014 – $57,160
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
2015 – $140,430
2014 – $113,250
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, 2015 and 2014, 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
2015 – Not applicable
2014 – 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.
2015 – 0.0%
2014 – 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:
2014 - $30.8 million
2013 - $33.9 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. DISCLOSUREOF 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. PURCHASEOF 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 3, 2015 |
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 3, 2015 |
| By: | /s/ Laura M. Del Prato | |
| Laura M. Del Prato | ||
| Treasurer and Principal Financial Officer | ||
| September 3, 2015 |