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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, 2015 through June 30, 2016
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Table of Contents
Annual Report
J.P. Morgan Small Cap Funds
June 30, 2016
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
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| 13 | ||||
| Schedules of Portfolio Investments | 15 | |||
| Financial Statements | 46 | |||
| Financial Highlights | 62 | |||
| Notes to Financial Statements | 74 | |||
| Report of Independent Registered Public Accounting Firm | 84 | |||
| Trustees | 85 | |||
| Officers | 87 | |||
| Schedule of Shareholder Expenses | 88 | |||
| Tax Letter | 91 | |||
| Privacy Policy — Located at the back of this Annual Report | ||||
Investments in a Fund are not 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 a 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 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
 |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the
end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 1 | ||||||
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J.P. Morgan Small Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U.S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March, as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked one of the single worst days in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. The Russell 2000 Index returned -6.73% for the twelve month reporting period, while the Russell 2000 Growth Index returned -10.75% and the Russell 2000 Value Index returned -2.58%.
| 2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | (14.42)% | |||
| Russell 2000 Growth Index | (10.75)% | |||
| Net Assets as of 6/30/16 (In Thousands) | $152,906 | |||
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’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care sector and financials sector was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Tailored Brands Inc., Nimble Storage Inc. and Barracuda Networks Inc. Shares of Tailored Brands, an apparel retail chain operator, fell on lower than expected quarterly earnings and revenue. Shares of Nimble Storage, a provider of data flash storage, declined on lower than expected quarterly earnings and the company’s forecast for continued weakness in earnings and revenue. Shares of Barracuda, a provider of data security technology, fell amid competitive pressure in the cloud storage sector.
Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Lennox International Inc. and Pool Corp. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Lennox International, a maker of heating and air conditioning systems, rose on better than expected earnings and an increase in its quarterly dividend. Shares of Pool, a distributor of swimming pool supplies, rose on better than expected quarterly results and the company’s positive 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 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. | Monolithic Power Systems, Inc. | 1.5 | % | |||||
| 2. | HEICO Corp. | 1.4 | ||||||
| 3. | Boyd Gaming Corp. | 1.4 | ||||||
| 4. | 2U, Inc. | 1.3 | ||||||
| 5. | Carlisle Cos., Inc. | 1.3 | ||||||
| 6. | Envestnet, Inc. | 1.3 | ||||||
| 7. | Acadia Healthcare Co., Inc. | 1.3 | ||||||
| 8. | Masonite International Corp. | 1.3 | ||||||
| 9. | Lennox International, Inc. | 1.3 | ||||||
| 10. | Guidewire Software, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 26.3 | % | ||
| Health Care | 23.5 | |||
| Industrials | 18.4 | |||
| Consumer Discretionary | 14.5 | |||
| Financials | 8.5 | |||
| Consumer Staples | 3.5 | |||
| Materials | 1.6 | |||
| Energy | 1.6 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 3 | ||||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | May 19, 1997 | |||||||||||||||
With Sales Charge* | (18.91 | )% | 5.26 | % | 5.06 | % | ||||||||||
Without Sales Charge | (14.42 | ) | 6.41 | 5.63 | ||||||||||||
CLASS C SHARES | January 7, 1998 | |||||||||||||||
With CDSC** | (15.86 | ) | 5.87 | 5.04 | ||||||||||||
Without CDSC | (14.86 | ) | 5.87 | 5.04 | ||||||||||||
SELECT CLASS SHARES | April 5, 1999 | (14.23 | ) | 6.72 | 5.98 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| 4 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (8.97)% | |||
| Russell 2000 Index | (6.73)% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $164,636 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Core Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Select Class Shares underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services sector and its overweight position in the energy sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the producer durables and materials & processing sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Dynegy Inc., Unisys Corp. and Blucora Inc. Shares of Dynegy, an electric utility company, fell amid a trend away from coal-fired power plants. Shares of Unisys, an information technology provider, fell on declining revenue and an increased competition in its business lines. Shares of Blucora, a financial solutions provider, fell amid plans to sell its InfoSpace online search business and transform itself into a financial services technology provider.
Leading individual contributors to relative performance included the Fund’s overweight positions in Hawaiian Holdings Inc., Heartware International Inc. and Talen Energy Corp. Shares of Hawaiian Holdings, owner operator of Hawaiian Airlines, rose on investor expectations of continued growth. Shares of Heartware International, a medical device maker, rose following a $1.1 billion takeover offer from Medtronic PLC. Shares of Talen Energy, an electric utility company, rose on news that it would be acquired by private equity firm Riverstone Holdings LLC for an estimated $1.8 billion.
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 momentum. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Cash America International, Inc. | 1.2 | % | |||||
| 2. | Take-Two Interactive Software, Inc. | 1.1 | ||||||
| 3. | Vectrus, Inc. | 1.1 | ||||||
| 4. | Sanmina Corp. | 1.1 | ||||||
| 5. | Quad/Graphics, Inc. | 1.0 | ||||||
| 6. | HeartWare International, Inc. | 1.0 | ||||||
| 7. | Portland General Electric Co. | 1.0 | ||||||
| 8. | Bloomin’ Brands, Inc. | 1.0 | ||||||
| 9. | Talen Energy Corp. | 1.0 | ||||||
| 10. | Molina Healthcare, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 24.5 | % | ||
| Industrials | 17.4 | |||
| Information Technology | 17.0 | |||
| Health Care | 12.7 | |||
| Consumer Discretionary | 10.3 | |||
| Materials | 3.9 | |||
| Utilities | 3.9 | |||
| Energy | 3.1 | |||
| Consumer Staples | 2.6 | |||
| Telecommunication Services | 0.9 | |||
| Short-Term Investment | 3.7 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | May 31, 2016 | |||||||||||||||
With Sales Charge* | (13.78 | )% | 8.07 | % | 5.66 | % | ||||||||||
Without Sales Charge | (9.01 | ) | 9.25 | 6.23 | ||||||||||||
CLASS C SHARES | May 31, 2016 | |||||||||||||||
With CDSC** | (10.05 | ) | 9.24 | 6.23 | ||||||||||||
Without CDSC | (9.05 | ) | 9.24 | 6.23 | ||||||||||||
CLASS R6 SHARES | May 31, 2016 | (8.97 | ) | 9.26 | 6.24 | |||||||||||
SELECT CLASS SHARES | January 1, 1997 | (8.97 | ) | 9.26 | 6.24 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A, Class C and Class R6 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares. The actual returns of the Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of
the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 1.10% | |||
| Russell 2000 Index | (6.73)% | |||
| Net Assets as of 6/30/2015 (In Thousands) | $3,448,930 | |||
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’s Class A Shares, without a sales charge, outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and underweight position in the health care sector and its security selection in the producer durables sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the financials sector and its underweight position in the utilities sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s positions in Waste Connections Inc., Toro Co. and Idexx Laboratories Inc., none of which were held in the Benchmark. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd. Shares of Toro, a maker of lawn mowers and lawn care products, rose on better than expected quarterly earnings. Shares of Idexx Laboratories, a provider of veterinary products and services, rose on better than expected earnings.
Leading individual detractors from relative performance included the Fund’s overweight positions in Hanger Inc., Realogy Holdings Corp. and Ascent Capital Group Inc. Shares of Hanger, a provider of orthopedic and prosthetic care and services, fell after the company delayed filing its financial statements and said it would restate prior financial reports due to accounting errors. Shares of Realogy Holdings, a real estate brokerage franchisor not held in the Benchmark, fell on lower than expected revenue and a weak earnings forecast. Shares of Ascent Capital Group, a provider of electronic home security monitoring, fell on a decline in customer subscription rates.
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. | Toro Co. (The) | 2.5 | % | |||||
| 2. | Spectrum Brands Holdings, Inc. | 2.4 | ||||||
| 3. | AptarGroup, Inc. | 2.3 | ||||||
| 4. | IDEXX Laboratories, Inc. | 1.9 | ||||||
| 5. | Patterson-UTI Energy, Inc. | 1.8 | ||||||
| 6. | Pool Corp. | 1.8 | ||||||
| 7. | West Pharmaceutical Services, Inc. | 1.7 | ||||||
| 8. | Crown Holdings, Inc. | 1.6 | ||||||
| 9. | National Retail Properties, Inc. | 1.6 | ||||||
| 10. | Brinker International, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 23.6 | % | ||
| Industrials | 19.5 | |||
| Consumer Discretionary | 14.4 | |||
| Health Care | 11.8 | |||
| Information Technology | 10.5 | |||
| Materials | 5.7 | |||
| Consumer Staples | 4.1 | |||
| Energy | 3.6 | |||
| Utilities | 2.8 | |||
| Short-Term Investment | 4.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 20, 1994 | |||||||||||||
With Sales Charge* | (4.22 | )% | 10.16 | % | 9.25 | % | ||||||||
Without Sales Charge | 1.10 | 11.35 | 9.84 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | (0.37 | ) | 10.80 | 9.30 | ||||||||||
Without CDSC | 0.63 | 10.80 | 9.30 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 0.85 | 11.07 | 9.63 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 1.62 | 11.91 | 10.39 | ||||||||||
CLASS R6 SHARES | May 31, 2016 | 1.62 | 11.91 | 10.39 | ||||||||||
SELECT CLASS SHARES | May 7, 1996 | 1.41 | 11.68 | 10.17 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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 R6 Shares prior to their inception date are based on the performance of the Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $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, 2006 to June 30, 2016. 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.
| 8 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | (14.17)% | |||
| Russell 2000 Growth Index | (10.75)% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 1,037,138 | ||
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’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Tailored Brands Inc., Nimble Storage Inc. and Barracuda Networks Inc. Shares of Tailored Brands, an apparel retail chain operator, fell on lower than expected quarterly earnings and revenue. Shares of Nimble Storage, a provider of data flash storage, declined on lower than expected quarterly earnings and the company’s forecast for continued weakness in earnings and revenue. Shares of Barracuda, a provider of data security technology, fell amid competitive pressure in the cloud storage sector.
Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Lennox International Inc. and Pool Corp. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Lennox International, a maker of heating and air conditioning systems, rose on better than expected earnings and an increase in its quarterly dividend. Shares of Pool, a distributor of swimming pool supplies, rose on better than expected quarterly results and the company’s positive 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 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. | Monolithic Power Systems, Inc. | 1.5 | % | |||||
| 2. | HEICO Corp. | 1.4 | ||||||
| 3. | Boyd Gaming Corp. | 1.4 | ||||||
| 4. | 2U, Inc. | 1.3 | ||||||
| 5. | Carlisle Cos., Inc. | 1.3 | ||||||
| 6. | Envestnet, Inc. | 1.3 | ||||||
| 7. | Acadia Healthcare Co., Inc. | 1.3 | ||||||
| 8. | Masonite International Corp. | 1.3 | ||||||
| 9. | Lennox International, Inc. | 1.3 | ||||||
| 10. | Guidewire Software, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 26.3 | % | ||
| Health Care | 23.4 | |||
| Industrials | 18.5 | |||
| Consumer Discretionary | 14.4 | |||
| Financials | 8.5 | |||
| Consumer Staples | 3.5 | |||
| Materials | 1.6 | |||
| Energy | 1.6 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | July 1, 1991 | |||||||||||||||
With Sales Charge* | (18.66 | )% | 5.50 | % | 6.12 | % | ||||||||||
Without Sales Charge | (14.17 | ) | 6.64 | 6.69 | ||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||
With CDSC** | (15.59 | ) | 6.11 | 6.11 | ||||||||||||
Without CDSC | (14.59 | ) | 6.11 | 6.11 | ||||||||||||
CLASS R2 SHARES | November 3, 2008 | (14.34 | ) | 6.38 | 6.43 | |||||||||||
CLASS R6 SHARES | November 30, 2010 | (13.69 | ) | 7.18 | 7.17 | |||||||||||
INSTITUTIONAL CLASS SHARES | February 19, 2005 | (13.83 | ) | 7.07 | 7.11 | |||||||||||
SELECT CLASS SHARES | March 26, 1996 | (13.92 | ) | 6.92 | 6.95 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.
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.
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, 2006 to June 30, 2016. 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.
| 10 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (2.32)% | |||
| Russell 2000 Value Index | (2.58)% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 1,753,332 | ||
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’s Select Class Shares outperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the producer durables and financial services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection and overweight position in the energy sector and its security selection in the consumer staples sectors were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in CoreSite Realty Inc., Central Garden & Pet Co. and Children’s Place Retail Stores Inc. Shares of CoreSite Realty, a data center real estate investment trust not held in the Benchmark, rose on better than expected quarterly earnings. Shares of Central Garden & Pet, a manufacturer and distributor of garden and pet supplies, rose on earnings and revenue growth. Shares of Children’s Place, an apparel retail chain, rose on better than expected quarterly earnings and revenue.
Leading individual detractors from relative performance included the Fund’s overweight positions in Stone Energy Corp., Unisys Corp. and Penn Virginia Corp. Shares of Stone Energy and Penn Virginia, both oil and gas producers, fell amid continued weakness in global energy prices. Shares of Unisys, an information technology provider, fell on declining revenue and an increased competition in its business lines.
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 they believe have attractive valuations, 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. | DCT Industrial Trust, Inc. | 1.3 | % | |||||
| 2. | DigitalGlobe, Inc. | 1.2 | ||||||
| 3. | Tech Data Corp. | 1.1 | ||||||
| 4. | Westamerica Bancorporation | 1.1 | ||||||
| 5. | CYS Investments, Inc. | 1.0 | ||||||
| 6. | REX American Resources Corp. | 1.0 | ||||||
| 7. | FTI Consulting, Inc. | 1.0 | ||||||
| 8. | Children’s Place, Inc. (The) | 1.0 | ||||||
| 9. | EMCOR Group, Inc. | 1.0 | ||||||
| 10. | ACCO Brands Corp. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 39.7 | % | ||
| Industrials | 14.3 | |||
| Information Technology | 10.8 | |||
| Consumer Discretionary | 9.1 | |||
| Utilities | 7.3 | |||
| Health Care | 5.0 | |||
| Materials | 4.5 | |||
| Energy | 4.5 | |||
| Consumer Staples | 2.5 | |||
| Telecommunication Services | 0.7 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | January 27, 1995 | |||||||||||||
With Sales Charge* | (7.67 | )% | 7.62 | % | 5.35 | % | ||||||||
Without Sales Charge | (2.54 | ) | 8.79 | 5.92 | ||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | (4.16 | ) | 8.13 | 5.28 | ||||||||||
Without CDSC | (3.16 | ) | 8.13 | 5.28 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (2.78 | ) | 8.51 | 5.66 | |||||||||
CLASS R5 SHARES | May 15, 2006 | (2.21 | ) | 9.16 | 6.29 | |||||||||
CLASS R6 SHARES | February 22, 2005 | (2.07 | ) | 9.25 | 6.35 | |||||||||
SELECT CLASS SHARES | January 27, 1995 | (2.32 | ) | 9.06 | 6.19 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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 prior to their inception date are based on the performance of the 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 Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from June 30, 2006 to June 30, 2016. 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.
| 12 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | (6.48)% | |||
| Russell 2000 Index | (6.73)% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 1,323,312 | ||
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’s Institutional Class Shares outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services and producer durables sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s overweight position in the energy sector and its security selection in the consumer staples sectors were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in CoreSite Realty Corp., The Children’s Place Retail Stores Inc. and Take-Two Interactive Software Inc. Shares of CoreSite Realty, a data center real estate investment trust, rose on better than expected quarterly earnings. Shares of Children’s Place, an apparel retail chain, rose on better than expected quarterly earnings and revenue. Shares of Take-Two Interactive, a developer and publisher of interactive games and entertainment, rose on better than expected earnings.
Leading individual detractors from relative performance included the Fund’s overweight positions in Unisys Corp., Outerwall Inc. and Iconix Brand Group Inc. Shares of Unisys, an information technology provider, fell on declining revenue and increased competition in its business lines. Shares of Outerwall, a provider of automated retail technologies, fell on a decline in revenue and competitive pressure in its movie and game rental business. Shares of Iconix Brands, a manager of brand name apparel, declined after the company issued a weak earnings forecast and reported lower than expected quarterly 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 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. | Take-Two Interactive Software, Inc. | 1.4 | % | |||||
| 2. | CoreSite Realty Corp. | 1.3 | ||||||
| 3. | DigitalGlobe, Inc. | 1.3 | ||||||
| 4. | Outerwall, Inc. | 1.2 | ||||||
| 5. | Children’s Place, Inc. (The) | 1.2 | ||||||
| 6. | REX American Resources Corp. | 1.2 | ||||||
| 7. | Aspen Technology, Inc. | 1.1 | ||||||
| 8. | Darling Ingredients, Inc. | 1.0 | ||||||
| 9. | FCB Financial Holdings, Inc., Class A | 1.0 | ||||||
| 10. | ACCO Brands Corp. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 24.3 | % | ||
| Information Technology | 17.8 | |||
| Industrials | 13.8 | |||
| Consumer Discretionary | 13.3 | |||
| Health Care | 13.2 | |||
| Utilities | 4.0 | |||
| Materials | 3.8 | |||
| Energy | 3.3 | |||
| Consumer Staples | 3.0 | |||
| Telecommunication Services | 1.0 | |||
| Short-Term Investment | 2.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 1, 2007 | |||||||||||||
With Sales Charge* | (11.75 | )% | 8.39 | % | 6.13 | % | ||||||||
Without Sales Charge | (6.86 | ) | 9.57 | 6.70 | ||||||||||
CLASS C SHARES | November 1, 2007 | |||||||||||||
With CDSC** | (8.35 | ) | 9.02 | 6.25 | ||||||||||
Without CDSC | (7.35 | ) | 9.02 | 6.25 | ||||||||||
CLASS R2 SHARES | November 1, 2011 | (7.09 | ) | 9.33 | 6.59 | |||||||||
CLASS R6 SHARES | November 1, 2011 | (6.39 | ) | 10.11 | 7.18 | |||||||||
INSTITUTIONAL CLASS SHARES | November 4, 1993 | (6.48 | ) | 10.03 | 7.14 | |||||||||
SELECT CLASS SHARES | September 10, 2001 | (6.63 | ) | 9.84 | 6.95 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 performance 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, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of
all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.4% |
| ||||||
Consumer Discretionary — 14.5% |
| |||||||
Distributors — 1.0% |
| |||||||
| 17 | Pool Corp. | 1,600 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||||
| 116 | Boyd Gaming Corp. (a) | 2,141 | ||||||
| 38 | La Quinta Holdings, Inc. (a) | 431 | ||||||
| 37 | Texas Roadhouse, Inc. | 1,699 | ||||||
| 11 | Vail Resorts, Inc. | 1,554 | ||||||
|
| |||||||
| 5,825 | ||||||||
|
| |||||||
Household Durables — 0.6% |
| |||||||
| 77 | TRI Pointe Group, Inc. (a) | 904 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 39 | Wayfair, Inc., Class A (a) | 1,537 | ||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 59 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 1,475 | ||||||
|
| |||||||
Specialty Retail — 5.2% |
| |||||||
| 24 | Burlington Stores, Inc. (a) | 1,601 | ||||||
| 22 | Lithia Motors, Inc., Class A | 1,586 | ||||||
| 17 | Monro Muffler Brake, Inc. | 1,073 | ||||||
| 29 | Penske Automotive Group, Inc. | 916 | ||||||
| 54 | Sally Beauty Holdings, Inc. (a) | 1,579 | ||||||
| 40 | Tailored Brands, Inc. | 509 | ||||||
| 24 | Vitamin Shoppe, Inc. (a) | 729 | ||||||
|
| |||||||
| 7,993 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 27 | G-III Apparel Group Ltd. (a) | 1,237 | ||||||
| 41 | Kate Spade & Co. (a) | 835 | ||||||
| 40 | Wolverine World Wide, Inc. | 807 | ||||||
|
| |||||||
| 2,879 | ||||||||
|
| |||||||
Total Consumer Discretionary | 22,213 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
| 10 | Casey’s General Stores, Inc. | 1,278 | ||||||
| 42 | Performance Food Group Co. (a) | 1,125 | ||||||
| 60 | Sprouts Farmers Market, Inc. (a) | 1,385 | ||||||
|
| |||||||
| 3,788 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 106 | Freshpet, Inc. (a) | 985 | ||||||
| 19 | Snyder’s-Lance, Inc. | 633 | ||||||
|
| |||||||
| 1,618 | ||||||||
|
| |||||||
Total Consumer Staples | 5,406 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 1.6% |
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
| 33 | Delek U.S. Holdings, Inc. | 435 | ||||||
| 11 | Diamondback Energy, Inc. (a) | 1,027 | ||||||
| 28 | RSP Permian, Inc. (a) | 962 | ||||||
|
| |||||||
Total Energy | 2,424 | |||||||
|
| |||||||
Financials — 8.6% |
| |||||||
Banks — 2.7% |
| |||||||
| 37 | PrivateBancorp, Inc. | 1,631 | ||||||
| 8 | Signature Bank (a) | 967 | ||||||
| 31 | Texas Capital Bancshares, Inc. (a) | 1,431 | ||||||
|
| |||||||
| 4,029 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 39 | Evercore Partners, Inc., Class A | 1,739 | ||||||
| 51 | Financial Engines, Inc. | 1,317 | ||||||
| 137 | PennantPark Investment Corp. | 939 | ||||||
| 44 | WisdomTree Investments, Inc. | 429 | ||||||
|
| |||||||
| 4,424 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
| 34 | CubeSmart | 1,047 | ||||||
| 22 | Highwoods Properties, Inc. | 1,137 | ||||||
|
| |||||||
| 2,184 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
| 44 | RE/MAX Holdings, Inc., Class A | 1,769 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 37 | BofI Holding, Inc. (a) | 658 | ||||||
|
| |||||||
Total Financials | 13,064 | |||||||
|
| |||||||
Health Care — 23.6% |
| |||||||
Biotechnology — 8.8% |
| |||||||
| 20 | ACADIA Pharmaceuticals, Inc. (a) | 656 | ||||||
| 28 | Acceleron Pharma, Inc. (a) | 957 | ||||||
| 82 | Arrowhead Pharmaceuticals, Inc. (a) | 439 | ||||||
| 37 | Axovant Sciences Ltd., (Bermuda) (a) | 471 | ||||||
| 64 | Bellicum Pharmaceuticals, Inc. (a) | 833 | ||||||
| 46 | Coherus Biosciences, Inc. (a) | 770 | ||||||
| 63 | Exact Sciences Corp. (a) | 770 | ||||||
| 32 | FibroGen, Inc. (a) | 521 | ||||||
| 119 | Halozyme Therapeutics, Inc. (a) | 1,030 | ||||||
| 70 | Ignyta, Inc. (a) | 378 | ||||||
| 58 | Insmed, Inc. (a) | 573 | ||||||
| 26 | Kite Pharma, Inc. (a) | 1,322 | ||||||
| 24 | Neurocrine Biosciences, Inc. (a) | 1,091 | ||||||
| 41 | Portola Pharmaceuticals, Inc. (a) | 968 | ||||||
| 24 | REGENXBIO, Inc. (a) | 194 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 21 | Sage Therapeutics, Inc. (a) | 646 | ||||||
| 19 | Spark Therapeutics, Inc. (a) | 978 | ||||||
| 9 | Ultragenyx Pharmaceutical, Inc. (a) | 456 | ||||||
| 42 | Versartis, Inc. (a) | 462 | ||||||
|
| |||||||
| 13,515 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.2% |
| |||||||
| 153 | GenMark Diagnostics, Inc. (a) | 1,332 | ||||||
| 32 | Insulet Corp. (a) | 958 | ||||||
| 70 | K2M Group Holdings, Inc. (a) | 1,090 | ||||||
| 24 | Nevro Corp. (a) | 1,736 | ||||||
| 170 | Novadaq Technologies, Inc., (Canada) (a) | 1,672 | ||||||
| 132 | Syneron Medical Ltd., (Israel) (a) | 1,019 | ||||||
| 60 | Unilife Corp. (a) | 197 | ||||||
|
| |||||||
| 8,004 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.8% |
| |||||||
| 36 | Acadia Healthcare Co., Inc. (a) | 1,982 | ||||||
| 39 | Surgical Care Affiliates, Inc. (a) | 1,876 | ||||||
| 17 | WellCare Health Plans, Inc. (a) | 1,874 | ||||||
|
| |||||||
| 5,732 | ||||||||
|
| |||||||
Health Care Technology — 2.4% |
| |||||||
| 96 | Evolent Health, Inc., Class A (a) | 1,837 | ||||||
| 55 | Veeva Systems, Inc., Class A (a) | 1,883 | ||||||
|
| |||||||
| 3,720 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% |
| |||||||
| 88 | Horizon Pharma plc (a) | 1,447 | ||||||
| 66 | Nektar Therapeutics (a) | 935 | ||||||
| 38 | Revance Therapeutics, Inc. (a) | 517 | ||||||
| 48 | Sagent Pharmaceuticals, Inc. (a) | 714 | ||||||
| 179 | TherapeuticsMD, Inc. (a) | 1,517 | ||||||
|
| |||||||
| 5,130 | ||||||||
|
| |||||||
Total Health Care | 36,101 | |||||||
|
| |||||||
Industrials — 18.5% |
| |||||||
Aerospace & Defense — 2.2% |
| |||||||
| 33 | HEICO Corp. | 2,181 | ||||||
| 29 | Hexcel Corp. | 1,214 | ||||||
|
| |||||||
| 3,395 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 28 | XPO Logistics, Inc. (a) | 722 | ||||||
|
| |||||||
Building Products — 6.8% |
| |||||||
| 66 | Advanced Drainage Systems, Inc. | 1,797 | ||||||
| 33 | Caesarstone Ltd., (Israel) (a) | 1,152 | ||||||
| 30 | Fortune Brands Home & Security, Inc. | 1,755 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — continued |
| |||||||
| 14 | Lennox International, Inc. | 1,944 | ||||||
| 29 | Masonite International Corp. (a) | 1,945 | ||||||
| 42 | Trex Co., Inc. (a) | 1,892 | ||||||
|
| |||||||
| 10,485 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
| 7 | Acuity Brands, Inc. | 1,799 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 19 | Carlisle Cos., Inc. | 2,015 | ||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
| 22 | Graco, Inc. | 1,706 | ||||||
| 31 | John Bean Technologies Corp. | 1,884 | ||||||
| 16 | Middleby Corp. (The) (a) | 1,825 | ||||||
|
| |||||||
| 5,415 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 25 | Old Dominion Freight Line, Inc. (a) | 1,503 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.0% |
| |||||||
| 52 | Rush Enterprises, Inc., Class A (a) | 1,127 | ||||||
| 13 | Watsco, Inc. | 1,893 | ||||||
|
| |||||||
| 3,020 | ||||||||
|
| |||||||
Total Industrials | 28,354 | |||||||
|
| |||||||
Information Technology — 26.4% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 40 | Ciena Corp. (a) | 758 | ||||||
|
| |||||||
Internet Software & Services — 11.2% |
| |||||||
| 70 | 2U, Inc. (a) | 2,046 | ||||||
| 40 | Benefitfocus, Inc. (a) | 1,521 | ||||||
| 41 | Cornerstone OnDemand, Inc. (a) | 1,568 | ||||||
| 9 | CoStar Group, Inc. (a) | 1,905 | ||||||
| 21 | Demandware, Inc. (a) | 1,563 | ||||||
| 60 | Envestnet, Inc. (a) | 2,001 | ||||||
| 57 | GoDaddy, Inc., Class A (a) | 1,792 | ||||||
| 53 | GrubHub, Inc. (a) | 1,635 | ||||||
| 36 | Instructure, Inc. (a) | 675 | ||||||
| 14 | Marketo, Inc. (a) | 501 | ||||||
| 52 | Shopify, Inc., (Canada), Class A (a) | 1,609 | ||||||
| 9 | Twilio, Inc., Class A (a) | 345 | ||||||
|
| |||||||
| 17,161 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.6% |
| |||||||
| 41 | Cavium, Inc. (a) | 1,579 | ||||||
| 49 | Inphi Corp. (a) | 1,568 | ||||||
| 43 | MACOM Technology Solutions Holdings, Inc. (a) | 1,430 | ||||||
| 41 | MKS Instruments, Inc. | 1,756 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 33 | Monolithic Power Systems, Inc. | 2,252 | ||||||
|
| |||||||
| 8,585 | ||||||||
|
| |||||||
Software — 8.7% |
| |||||||
| 44 | Atlassian Corp. plc, (Australia), Class A (a) | 1,127 | ||||||
| 19 | Fleetmatics Group plc, (Ireland) (a) | 829 | ||||||
| 31 | Guidewire Software, Inc. (a) | 1,940 | ||||||
| 21 | HubSpot, Inc. (a) | 918 | ||||||
| 30 | Imperva, Inc. (a) | 1,296 | ||||||
| 28 | Proofpoint, Inc. (a) | 1,780 | ||||||
| 71 | RingCentral, Inc., Class A (a) | 1,399 | ||||||
| 11 | Tableau Software, Inc., Class A (a) | 561 | ||||||
| 15 | Take-Two Interactive Software, Inc. (a) | 569 | ||||||
| 6 | Tyler Technologies, Inc. (a) | 927 | ||||||
| 72 | Zendesk, Inc. (a) | 1,907 | ||||||
|
| |||||||
| 13,253 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 81 | Nimble Storage, Inc. (a) | 643 | ||||||
|
| |||||||
Total Information Technology | 40,400 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Materials — 1.7% |
| |||||||
Construction Materials — 1.7% |
| |||||||
| 23 | Eagle Materials, Inc. | 1,746 | ||||||
| 38 | Summit Materials, Inc., Class A (a) | 780 | ||||||
|
| |||||||
Total Materials | 2,526 | |||||||
|
| |||||||
Total Common Stocks | 150,488 | |||||||
|
| |||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 3,180 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $3,180) | 3,180 | ||||||
|
| |||||||
Total Investments — 100.5% | 153,668 | |||||||
Liabilities in Excess of | (762 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 152,906 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.7% |
| ||||||
Consumer Discretionary — 10.2% |
| |||||||
Auto Components — 2.2% |
| |||||||
| 34 | American Axle & Manufacturing Holdings, Inc. (a) | 486 | ||||||
| 42 | Cooper Tire & Rubber Co. | 1,241 | ||||||
| 15 | Cooper-Standard Holding, Inc. (a) | 1,169 | ||||||
| 4 | Dana Holding Corp. | 37 | ||||||
| 17 | Horizon Global Corp. (a) | 188 | ||||||
| 2 | Stoneridge, Inc. (a) | 31 | ||||||
| 23 | Tower International, Inc. | 466 | ||||||
|
| |||||||
| 3,618 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
| 2 | Capella Education Co. | 96 | ||||||
| 21 | K12, Inc. (a) | 268 | ||||||
|
| |||||||
| 364 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| 92 | Bloomin’ Brands, Inc. | 1,640 | ||||||
| 19 | Carrols Restaurant Group, Inc. (a) | 229 | ||||||
| 19 | Isle of Capri Casinos, Inc. (a) | 350 | ||||||
| 29 | Krispy Kreme Doughnuts, Inc. (a) | 599 | ||||||
| 24 | Red Rock Resorts, Inc., Class A (a) | 519 | ||||||
|
| |||||||
| 3,337 | ||||||||
|
| |||||||
Household Durables — 1.2% |
| |||||||
| 14 | Helen of Troy Ltd. (a) | 1,459 | ||||||
| 3 | Libbey, Inc. | 42 | ||||||
| 20 | Lifetime Brands, Inc. | 288 | ||||||
| 2 | NACCO Industries, Inc., Class A | 108 | ||||||
|
| |||||||
| 1,897 | ||||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
| 14 | Nautilus, Inc. (a) | 242 | ||||||
|
| |||||||
Media — 0.9% |
| |||||||
| 61 | Gray Television, Inc. (a) | 658 | ||||||
| 3 | Nexstar Broadcasting Group, Inc., Class A | 158 | ||||||
| 23 | Sinclair Broadcast Group, Inc., Class A | 687 | ||||||
|
| |||||||
| 1,503 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
| 5 | Abercrombie & Fitch Co., Class A | 95 | ||||||
| 28 | Caleres, Inc. | 670 | ||||||
| 24 | Cato Corp. (The), Class A | 924 | ||||||
| 18 | Children’s Place, Inc. (The) | 1,444 | ||||||
| 19 | Express, Inc. (a) | 270 | ||||||
| 10 | Kirkland’s, Inc. (a) | 150 | ||||||
| 193 | Office Depot, Inc. (a) | 640 | ||||||
| 6 | Outerwall, Inc. | 265 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 211 | Pier 1 Imports, Inc. | 1,083 | ||||||
| 14 | Tilly’s, Inc., Class A (a) | 80 | ||||||
|
| |||||||
| 5,621 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.1% |
| |||||||
| 9 | Perry Ellis International, Inc. (a) | 187 | ||||||
|
| |||||||
Total Consumer Discretionary | 16,769 | |||||||
|
| |||||||
Consumer Staples — 2.6% |
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
| 38 | SpartanNash Co. | 1,174 | ||||||
| 39 | SUPERVALU, Inc. (a) | 184 | ||||||
| 11 | US Foods Holding Corp. (a) | 264 | ||||||
| 3 | Village Super Market, Inc., Class A | 89 | ||||||
|
| |||||||
| 1,711 | ||||||||
|
| |||||||
Food Products — 1.4% |
| |||||||
| 25 | Dean Foods Co. | 458 | ||||||
| 28 | Pilgrim’s Pride Corp. | 718 | ||||||
| 4 | Pinnacle Foods, Inc. | 177 | ||||||
| 6 | Post Holdings, Inc. (a) | 505 | ||||||
| 3 | Sanderson Farms, Inc. | 286 | ||||||
| 2 | TreeHouse Foods, Inc. (a) | 246 | ||||||
|
| |||||||
| 2,390 | ||||||||
|
| |||||||
Household Products — 0.1% |
| |||||||
| 6 | Central Garden & Pet Co., Class A (a) | 119 | ||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 1 | USANA Health Sciences, Inc. (a) | 88 | ||||||
|
| |||||||
Total Consumer Staples | 4,308 | |||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Energy Equipment & Services — 1.5% |
| |||||||
| 31 | Archrock, Inc. | 296 | ||||||
| 61 | Atwood Oceanics, Inc. | 766 | ||||||
| 25 | Helix Energy Solutions Group, Inc. (a) | 171 | ||||||
| 14 | Matrix Service Co. (a) | 228 | ||||||
| 7 | PHI, Inc. (a) | 119 | ||||||
| 3 | Pioneer Energy Services Corp. (a) | 14 | ||||||
| 36 | RigNet, Inc. (a) | 483 | ||||||
| 49 | Seadrill Ltd., (United Kingdom) (a) | 159 | ||||||
| 13 | Superior Energy Services, Inc. | 241 | ||||||
|
| |||||||
| 2,477 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
| 30 | Bill Barrett Corp. (a) | 189 | ||||||
| 8 | Callon Petroleum Co. (a) | 87 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 6 | Carrizo Oil & Gas, Inc. (a) | 222 | ||||||
| 36 | Delek U.S. Holdings, Inc. | 480 | ||||||
| 113 | Denbury Resources, Inc. | 406 | ||||||
| 78 | Eclipse Resources Corp. (a) | 259 | ||||||
| 72 | EP Energy Corp., Class A (a) | 372 | ||||||
| 8 | Green Plains, Inc. | 159 | ||||||
| 28 | Renewable Energy Group, Inc. (a) | 245 | ||||||
| 1 | REX American Resources Corp. (a) | 78 | ||||||
| 3 | World Fuel Services Corp. | 140 | ||||||
|
| |||||||
| 2,637 | ||||||||
|
| |||||||
Total Energy | 5,114 | |||||||
|
| |||||||
Financials — 24.3% |
| |||||||
Banks — 8.7% |
| |||||||
| 15 | Banc of California, Inc. | 280 | ||||||
| 14 | BBCN Bancorp, Inc. | 205 | ||||||
| 8 | Cathay General Bancorp | 226 | ||||||
| 2 | Community Trust Bancorp, Inc. | 59 | ||||||
| 3 | CU Bancorp (a) | 75 | ||||||
| 19 | Customers Bancorp, Inc. (a) | 478 | ||||||
| 42 | East West Bancorp, Inc. | 1,438 | ||||||
| 32 | Fidelity Southern Corp. | 505 | ||||||
| 5 | Financial Institutions, Inc. | 130 | ||||||
| 78 | First BanCorp, (Puerto Rico) (a) | 310 | ||||||
| 5 | First Business Financial Services, Inc. | 115 | ||||||
| 23 | First Commonwealth Financial Corp. | 213 | ||||||
| 6 | First Community Bancshares, Inc. | 132 | ||||||
| 5 | First Financial Bancorp | 99 | ||||||
| 5 | First Merchants Corp. | 114 | ||||||
| 9 | First NBC Bank Holding Co. (a) | 157 | ||||||
| 5 | Franklin Financial Network, Inc. (a) | 166 | ||||||
| 51 | Fulton Financial Corp. | 691 | ||||||
| 34 | Hanmi Financial Corp. | 794 | ||||||
| 14 | Hilltop Holdings, Inc. (a) | 290 | ||||||
| 135 | Huntington Bancshares, Inc. | 1,206 | ||||||
| 1 | IBERIABANK Corp. | 79 | ||||||
| 4 | MainSource Financial Group, Inc. | 93 | ||||||
| 3 | NBT Bancorp, Inc. | 87 | ||||||
| 25 | PacWest Bancorp | 988 | ||||||
| 51 | Popular, Inc., (Puerto Rico) | 1,491 | ||||||
| 11 | Preferred Bank | 308 | ||||||
| 2 | Premier Financial Bancorp, Inc. | 34 | ||||||
| 5 | PrivateBancorp, Inc. | 232 | ||||||
| 6 | Sierra Bancorp | 94 | ||||||
| 4 | Southern National Bancorp of Virginia, Inc. | 50 | ||||||
| 2 | Stonegate Bank | 68 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 2 | SVB Financial Group (a) | 153 | ||||||
| 115 | TCF Financial Corp. | 1,453 | ||||||
| 2 | Towne Bank | 48 | ||||||
| 16 | TriCo Bancshares | 435 | ||||||
| 15 | TriState Capital Holdings, Inc. (a) | 208 | ||||||
| 6 | Triumph Bancorp, Inc. (a) | 99 | ||||||
| 67 | Wilshire Bancorp, Inc. | 694 | ||||||
|
| |||||||
| 14,297 | ||||||||
|
| |||||||
Capital Markets — 0.9% |
| |||||||
| 67 | BGC Partners, Inc., Class A | 582 | ||||||
| 3 | Evercore Partners, Inc., Class A | 139 | ||||||
| 5 | Houlihan Lokey, Inc. | 112 | ||||||
| 14 | INTL. FCStone, Inc. (a) | 395 | ||||||
| 4 | Piper Jaffray Cos. (a) | 155 | ||||||
| 1 | Stifel Financial Corp. (a) | 46 | ||||||
|
| |||||||
| 1,429 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
| 45 | Cash America International, Inc. | 1,924 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 5 | Bats Global Markets, Inc. (a) | 136 | ||||||
| 12 | FNFV Group (a) | 138 | ||||||
| 1 | MarketAxess Holdings, Inc. | 174 | ||||||
|
| |||||||
| 448 | ||||||||
|
| |||||||
Insurance — 2.4% |
| |||||||
| 37 | American Equity Investment Life Holding Co. | 529 | ||||||
| 7 | Aspen Insurance Holdings Ltd., (Bermuda) | 347 | ||||||
| 51 | CNO Financial Group, Inc. | 898 | ||||||
| 11 | First American Financial Corp. | 454 | ||||||
| 6 | HCI Group, Inc. | 171 | ||||||
| 2 | Horace Mann Educators Corp. | 58 | ||||||
| 5 | Maiden Holdings Ltd., (Bermuda) | 62 | ||||||
| 3 | National General Holdings Corp. | 74 | ||||||
| 4 | Selective Insurance Group, Inc. | 139 | ||||||
| 21 | Stewart Information Services Corp. | 861 | ||||||
| 4 | United Fire Group, Inc. | 173 | ||||||
| 11 | Universal Insurance Holdings, Inc. | 202 | ||||||
| 1 | Validus Holdings Ltd., (Bermuda) | 66 | ||||||
|
| |||||||
| 4,034 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 9.1% |
| |||||||
| 1 | Agree Realty Corp. | 62 | ||||||
| 12 | American Assets Trust, Inc. | 510 | ||||||
| 5 | American Campus Communities, Inc. | 242 | ||||||
| 10 | Armada Hoffler Properties, Inc. | 135 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 152 | Ashford Hospitality Trust, Inc. | 815 | ||||||
| 20 | Bluerock Residential Growth REIT, Inc. | 258 | ||||||
| 135 | Capstead Mortgage Corp. | 1,307 | ||||||
| 9 | Chatham Lodging Trust | 202 | ||||||
| 8 | Chesapeake Lodging Trust | 188 | ||||||
| 9 | CoreSite Realty Corp. | 778 | ||||||
| 23 | Cousins Properties, Inc. | 241 | ||||||
| 10 | CubeSmart | 303 | ||||||
| 3 | CyrusOne, Inc. | 139 | ||||||
| 8 | DCT Industrial Trust, Inc. | 408 | ||||||
| 10 | DDR Corp. | 177 | ||||||
| 16 | DiamondRock Hospitality Co. | 149 | ||||||
| 6 | Easterly Government Properties, Inc. | 113 | ||||||
| 8 | Education Realty Trust, Inc. | 371 | ||||||
| 4 | EPR Properties | 323 | ||||||
| 3 | Equity One, Inc. | 84 | ||||||
| 44 | First Industrial Realty Trust, Inc. | 1,212 | ||||||
| 3 | Franklin Street Properties Corp. | 39 | ||||||
| 20 | GEO Group, Inc. (The) | 693 | ||||||
| 5 | Government Properties Income Trust | 125 | ||||||
| 29 | Gramercy Property Trust | 269 | ||||||
| 7 | Highwoods Properties, Inc. | 386 | ||||||
| 6 | Hudson Pacific Properties, Inc. | 172 | ||||||
| 8 | InfraREIT, Inc. | 147 | ||||||
| 13 | LTC Properties, Inc. | 693 | ||||||
| 3 | Parkway Properties, Inc. | 54 | ||||||
| 2 | PS Business Parks, Inc. | 191 | ||||||
| 9 | RAIT Financial Trust | 28 | ||||||
| 3 | Ramco-Gershenson Properties Trust | 56 | ||||||
| 22 | Redwood Trust, Inc. | 310 | ||||||
| 55 | Retail Opportunity Investments Corp. | 1,194 | ||||||
| 23 | Rexford Industrial Realty, Inc. | 475 | ||||||
| 22 | RLJ Lodging Trust | 461 | ||||||
| 1 | Sovran Self Storage, Inc. | 63 | ||||||
| 49 | Summit Hotel Properties, Inc. | 649 | ||||||
| 3 | Sun Communities, Inc. | 200 | ||||||
| 38 | Sunstone Hotel Investors, Inc. | 461 | ||||||
| 23 | Xenia Hotels & Resorts, Inc. | 384 | ||||||
|
| |||||||
| 15,067 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.7% |
| |||||||
| 19 | Dime Community Bancshares, Inc. | 323 | ||||||
| 37 | Flagstar Bancorp, Inc. (a) | 897 | ||||||
| 1 | Home Bancorp, Inc. | 33 | ||||||
| 42 | HomeStreet, Inc. (a) | 829 | ||||||
| 7 | Meta Financial Group, Inc. | 377 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — continued |
| |||||||
| 9 | PennyMac Financial Services, Inc., Class A (a) | 109 | ||||||
| 9 | Walker & Dunlop, Inc. (a) | 200 | ||||||
| 2 | Washington Federal, Inc. | 43 | ||||||
|
| |||||||
| 2,811 | ||||||||
|
| |||||||
Total Financials | 40,010 | |||||||
|
| |||||||
Health Care — 12.7% |
| |||||||
Biotechnology — 4.5% |
| |||||||
| 4 | Acceleron Pharma, Inc. (a) | 150 | ||||||
| 14 | Achillion Pharmaceuticals, Inc. (a) | 108 | ||||||
| 11 | Acorda Therapeutics, Inc. (a) | 283 | ||||||
| 6 | Adamas Pharmaceuticals, Inc. (a) | 83 | ||||||
| 10 | Aduro Biotech, Inc. (a) | 118 | ||||||
| 1 | Adverum Biotechnologies, Inc. (a) | 3 | ||||||
| 2 | Agios Pharmaceuticals, Inc. (a) | 71 | ||||||
| 11 | AMAG Pharmaceuticals, Inc. (a) | 266 | ||||||
| 19 | Amicus Therapeutics, Inc. (a) | 106 | ||||||
| 13 | Applied Genetic Technologies Corp. (a) | 189 | ||||||
| 7 | Bellicum Pharmaceuticals, Inc. (a) | 92 | ||||||
| 8 | Bluebird Bio, Inc. (a) | 329 | ||||||
| 13 | Blueprint Medicines Corp. (a) | 269 | ||||||
| 19 | Cara Therapeutics, Inc. (a) | 89 | ||||||
| 40 | Celldex Therapeutics, Inc. (a) | 176 | ||||||
| 8 | Clovis Oncology, Inc. (a) | 114 | ||||||
| 9 | Coherus Biosciences, Inc. (a) | 144 | ||||||
| 9 | Corvus Pharmaceuticals, Inc. (a) | 131 | ||||||
| 9 | Dimension Therapeutics, Inc. (a) | 56 | ||||||
| 22 | Epizyme, Inc. (a) | 228 | ||||||
| 8 | Esperion Therapeutics, Inc. (a) | 78 | ||||||
| 7 | FibroGen, Inc. (a) | 120 | ||||||
| 8 | Global Blood Therapeutics, Inc. (a) | 129 | ||||||
| 6 | Immune Design Corp. (a) | 45 | ||||||
| 27 | Infinity Pharmaceuticals, Inc. (a) | 36 | ||||||
| 20 | Insmed, Inc. (a) | 194 | ||||||
| 3 | Intellia Therapeutics, Inc. (a) | 68 | ||||||
| 20 | Karyopharm Therapeutics, Inc. (a) | 133 | ||||||
| 1 | Loxo Oncology, Inc. (a) | 21 | ||||||
| 13 | MacroGenics, Inc. (a) | 362 | ||||||
| 9 | Neurocrine Biosciences, Inc. (a) | 418 | ||||||
| 5 | Ophthotech Corp. (a) | 245 | ||||||
| 7 | Puma Biotechnology, Inc. (a) | 203 | ||||||
| 50 | Raptor Pharmaceutical Corp. (a) | 266 | ||||||
| 7 | Sage Therapeutics, Inc. (a) | 223 | ||||||
| 16 | Selecta Biosciences, Inc. (a) | 229 | ||||||
| 3 | Seres Therapeutics, Inc. (a) | 87 | ||||||
| 5 | Spark Therapeutics, Inc. (a) | 261 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 55 | Synergy Pharmaceuticals, Inc. (a) | 208 | ||||||
| 6 | Ultragenyx Pharmaceutical, Inc. (a) | 274 | ||||||
| 35 | Vitae Pharmaceuticals, Inc. (a) | 382 | ||||||
| 11 | Voyager Therapeutics, Inc. (a) | 118 | ||||||
| 13 | Xencor, Inc. (a) | 243 | ||||||
|
| |||||||
| 7,348 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% |
| |||||||
| 12 | AngioDynamics, Inc. (a) | 177 | ||||||
| 8 | Cynosure, Inc., Class A (a) | 411 | ||||||
| 11 | Greatbatch, Inc. (a) | 342 | ||||||
| 29 | HeartWare International, Inc. (a) | 1,677 | ||||||
| 3 | ICU Medical, Inc. (a) | 366 | ||||||
| 15 | Inogen, Inc. (a) | 774 | ||||||
| 12 | NuVasive, Inc. (a) | 717 | ||||||
| 50 | OraSure Technologies, Inc. (a) | 296 | ||||||
| 9 | Orthofix International N.V. (a) | 369 | ||||||
| 1 | Penumbra, Inc. (a) | 75 | ||||||
| 5 | West Pharmaceutical Services, Inc. | 410 | ||||||
|
| |||||||
| 5,614 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 8 | American Renal Associates Holdings, Inc. (a) | 220 | ||||||
| 14 | Amsurg Corp. (a) | 1,074 | ||||||
| 12 | Civitas Solutions, Inc. (a) | 248 | ||||||
| 95 | Cross Country Healthcare, Inc. (a) | 1,325 | ||||||
| 28 | Kindred Healthcare, Inc. | 315 | ||||||
| 31 | Molina Healthcare, Inc. (a) | 1,543 | ||||||
| 10 | Owens & Minor, Inc. | 386 | ||||||
| 14 | PharMerica Corp. (a) | 350 | ||||||
| 12 | Surgical Care Affiliates, Inc. (a) | 595 | ||||||
| 4 | WellCare Health Plans, Inc. (a) | 382 | ||||||
|
| |||||||
| 6,438 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 3 | Cambrex Corp. (a) | 171 | ||||||
|
| |||||||
Pharmaceuticals — 0.8% |
| |||||||
| 9 | Amphastar Pharmaceuticals, Inc. (a) | 137 | ||||||
| 6 | Flex Pharma, Inc. (a) | 61 | ||||||
| 9 | Intra-Cellular Therapies, Inc. (a) | 361 | ||||||
| 7 | Medicines Co. (The) (a) | 222 | ||||||
| 3 | Pacira Pharmaceuticals, Inc. (a) | 108 | ||||||
| 13 | Reata Pharmaceuticals, Inc., Class A (a) | 259 | ||||||
| 9 | Revance Therapeutics, Inc. (a) | 125 | ||||||
|
| |||||||
| 1,273 | ||||||||
|
| |||||||
Total Health Care | 20,844 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 17.3% |
| |||||||
Aerospace & Defense — 1.8% |
| |||||||
| 16 | AAR Corp. | 382 | ||||||
| 13 | Engility Holdings, Inc. (a) | 273 | ||||||
| 6 | HEICO Corp., Class A | 316 | ||||||
| 3 | Moog, Inc., Class A (a) | 173 | ||||||
| 62 | Vectrus, Inc. (a) | 1,755 | ||||||
|
| |||||||
| 2,899 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 12 | Atlas Air Worldwide Holdings, Inc. (a) | 478 | ||||||
| 4 | Park-Ohio Holdings Corp. | 106 | ||||||
|
| |||||||
| 584 | ||||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
| 35 | Hawaiian Holdings, Inc. (a) | 1,340 | ||||||
| 36 | SkyWest, Inc. | 947 | ||||||
|
| |||||||
| 2,287 | ||||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
| 17 | American Woodmark Corp. (a) | 1,140 | ||||||
| 24 | NCI Building Systems, Inc. (a) | 379 | ||||||
| 12 | Universal Forest Products, Inc. | 1,131 | ||||||
|
| |||||||
| 2,650 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.6% |
| |||||||
| 14 | ABM Industries, Inc. | 518 | ||||||
| 146 | ACCO Brands Corp. (a) | 1,506 | ||||||
| 26 | Essendant, Inc. | 807 | ||||||
| 3 | Herman Miller, Inc. | 77 | ||||||
| 16 | Interface, Inc. | 250 | ||||||
| 12 | Kimball International, Inc., Class B | 137 | ||||||
| 73 | Quad/Graphics, Inc. | 1,704 | ||||||
| 30 | Steelcase, Inc., Class A | 409 | ||||||
| 4 | Viad Corp. | 119 | ||||||
| 1 | VSE Corp. | 54 | ||||||
| 16 | West Corp. | 307 | ||||||
|
| |||||||
| 5,888 | ||||||||
|
| |||||||
Construction & Engineering — 1.1% |
| |||||||
| 15 | EMCOR Group, Inc. | 729 | ||||||
| 33 | MasTec, Inc. (a) | 725 | ||||||
| 13 | Tutor Perini Corp. (a) | 307 | ||||||
|
| |||||||
| 1,761 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
| 7 | EnerSys | 436 | ||||||
| 109 | General Cable Corp. | 1,384 | ||||||
| 8 | Powell Industries, Inc. | 303 | ||||||
| 3 | Regal Beloit Corp. | 183 | ||||||
|
| |||||||
| 2,306 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Machinery — 3.1% |
| |||||||
| 6 | Barnes Group, Inc. | 194 | ||||||
| 5 | Columbus McKinnon Corp. | 71 | ||||||
| 16 | Federal Signal Corp. | 204 | ||||||
| 56 | Global Brass & Copper Holdings, Inc. | 1,523 | ||||||
| 5 | Greenbrier Cos., Inc. (The) | 153 | ||||||
| 2 | Hurco Cos., Inc. | 56 | ||||||
| 4 | Hyster-Yale Materials Handling, Inc. | 232 | ||||||
| 10 | Joy Global, Inc. | 201 | ||||||
| 7 | Kadant, Inc. | 385 | ||||||
| 3 | Kennametal, Inc. | 71 | ||||||
| 106 | Meritor, Inc. (a) | 762 | ||||||
| 1 | Standex International Corp. | 103 | ||||||
| 10 | TriMas Corp. (a) | 176 | ||||||
| 84 | Wabash National Corp. (a) | 1,065 | ||||||
|
| |||||||
| 5,196 | ||||||||
|
| |||||||
Marine — 0.0% (g) |
| |||||||
| 2 | Matson, Inc. | 54 | ||||||
|
| |||||||
Professional Services — 1.9% |
| |||||||
| 31 | Barrett Business Services, Inc. | 1,277 | ||||||
| 5 | CRA International, Inc. (a) | 120 | ||||||
| 4 | Insperity, Inc. | 277 | ||||||
| 2 | Kelly Services, Inc., Class A | 37 | ||||||
| 12 | RPX Corp. (a) | 111 | ||||||
| 10 | TriNet Group, Inc. (a) | 200 | ||||||
| 32 | TrueBlue, Inc. (a) | 602 | ||||||
| 8 | WageWorks, Inc. (a) | 449 | ||||||
|
| |||||||
| 3,073 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 55 | ArcBest Corp. | 890 | ||||||
| 3 | Universal Logistics Holdings, Inc. | 33 | ||||||
| 38 | YRC Worldwide, Inc. (a) | 332 | ||||||
|
| |||||||
| 1,255 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
| 9 | Applied Industrial Technologies, Inc. | 384 | ||||||
| 3 | SiteOne Landscape Supply, Inc. (a) | 98 | ||||||
|
| |||||||
| 482 | ||||||||
|
| |||||||
Total Industrials | 28,435 | |||||||
|
| |||||||
Information Technology — 16.8% |
| |||||||
Communications Equipment — 0.9% |
| |||||||
| 20 | Comtech Telecommunications Corp. | 262 | ||||||
| 41 | EMCORE Corp. (a) | 242 | ||||||
| 276 | Extreme Networks, Inc. (a) | 935 | ||||||
|
| |||||||
| 1,439 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 3.2% |
| |||||||
| 34 | Benchmark Electronics, Inc. (a) | 724 | ||||||
| 47 | Insight Enterprises, Inc. (a) | 1,228 | ||||||
| 29 | Kimball Electronics, Inc. (a) | 359 | ||||||
| 2 | Littelfuse, Inc. | 293 | ||||||
| 8 | Methode Electronics, Inc. | 290 | ||||||
| 65 | Sanmina Corp. (a) | 1,743 | ||||||
| 8 | Tech Data Corp. (a) | 554 | ||||||
|
| |||||||
| 5,191 | ||||||||
|
| |||||||
Internet Software & Services — 2.5% |
| |||||||
| 9 | Carbonite, Inc. (a) | 91 | ||||||
| 9 | Cornerstone OnDemand, Inc. (a) | 341 | ||||||
| 55 | Everyday Health, Inc. (a) | 430 | ||||||
| 32 | Five9, Inc. (a) | 377 | ||||||
| 3 | Q2 Holdings, Inc. (a) | 85 | ||||||
| 158 | RetailMeNot, Inc. (a) | 1,215 | ||||||
| 11 | Twilio, Inc., Class A (a) | 402 | ||||||
| 6 | Web.com Group, Inc. (a) | 117 | ||||||
| 13 | WebMD Health Corp. (a) | 727 | ||||||
| 30 | Xactly Corp. (a) | 389 | ||||||
|
| |||||||
| 4,174 | ||||||||
|
| |||||||
IT Services — 2.3% |
| |||||||
| 2 | Blackhawk Network Holdings, Inc. (a) | 62 | ||||||
| 11 | Euronet Worldwide, Inc. (a) | 771 | ||||||
| 2 | EVERTEC, Inc., (Puerto Rico) | 37 | ||||||
| 9 | ExlService Holdings, Inc. (a) | 463 | ||||||
| 48 | Planet Payment, Inc. (a) | 216 | ||||||
| 6 | Science Applications International Corp. | 325 | ||||||
| 14 | Sykes Enterprises, Inc. (a) | 412 | ||||||
| 75 | Travelport Worldwide Ltd., (United Kingdom) | 960 | ||||||
| 85 | Unisys Corp. (a) | 622 | ||||||
|
| |||||||
| 3,868 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
| 2 | Acacia Communications, Inc. (a) | 68 | ||||||
| 12 | Advanced Energy Industries, Inc. (a) | 461 | ||||||
| 8 | Alpha & Omega Semiconductor Ltd. (a) | 109 | ||||||
| 29 | Amkor Technology, Inc. (a) | 169 | ||||||
| 8 | Cirrus Logic, Inc. (a) | 303 | ||||||
| 30 | Cohu, Inc. | 327 | ||||||
| 99 | Cypress Semiconductor Corp. | 1,046 | ||||||
| 15 | First Solar, Inc. (a) | 712 | ||||||
| 66 | IXYS Corp. | 679 | ||||||
| 5 | Nanometrics, Inc. (a) | 97 | ||||||
| 15 | NeoPhotonics Corp. (a) | 138 | ||||||
| 11 | PDF Solutions, Inc. (a) | 152 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 81 | Sigma Designs, Inc. (a) | 520 | ||||||
| 81 | Ultra Clean Holdings, Inc. (a) | 460 | ||||||
| 68 | Xcerra Corp. (a) | 391 | ||||||
|
| |||||||
| 5,632 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
| 56 | AVG Technologies N.V., (Netherlands) (a) | 1,059 | ||||||
| 4 | Manhattan Associates, Inc. (a) | 282 | ||||||
| 28 | Pegasystems, Inc. | 752 | ||||||
| 9 | PTC, Inc. (a) | 337 | ||||||
| 29 | Qlik Technologies, Inc. (a) | 850 | ||||||
| 3 | Qualys, Inc. (a) | 92 | ||||||
| 9 | Rapid7, Inc. (a) | 109 | ||||||
| 43 | RingCentral, Inc., Class A (a) | 842 | ||||||
| 73 | Rovi Corp. (a) | 1,140 | ||||||
| 49 | Take-Two Interactive Software, Inc. (a) | 1,870 | ||||||
| 5 | VASCO Data Security International, Inc. (a) | 74 | ||||||
|
| |||||||
| 7,407 | ||||||||
|
| |||||||
Total Information Technology | 27,711 | |||||||
|
| |||||||
Materials — 3.9% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 3 | FutureFuel Corp. | 35 | ||||||
| 18 | Innophos Holdings, Inc. | 760 | ||||||
| 1 | Innospec, Inc. | 58 | ||||||
| 13 | Minerals Technologies, Inc. | 722 | ||||||
| 14 | OMNOVA Solutions, Inc. (a) | 105 | ||||||
| 36 | Trinseo S.A. (a) | 1,541 | ||||||
|
| |||||||
| 3,221 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 3 | AEP Industries, Inc. | 258 | ||||||
| 10 | Berry Plastics Group, Inc. (a) | 373 | ||||||
| 36 | Graphic Packaging Holding Co. | 448 | ||||||
|
| |||||||
| 1,079 | ||||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
| 20 | Commercial Metals Co. | 336 | ||||||
| 35 | Ryerson Holding Corp. (a) | 607 | ||||||
| 4 | Worthington Industries, Inc. | 184 | ||||||
|
| |||||||
| 1,127 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
| 14 | Boise Cascade Co. (a) | 312 | ||||||
| 20 | Schweitzer-Mauduit International, Inc. | 697 | ||||||
|
| |||||||
| 1,009 | ||||||||
|
| |||||||
Total Materials | 6,436 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
| 6 | 8x8, Inc. (a) | 93 | ||||||
| 7 | IDT Corp., Class B | 104 | ||||||
| 65 | Inteliquent, Inc. | 1,291 | ||||||
|
| |||||||
Total Telecommunication Services | 1,488 | |||||||
|
| |||||||
Utilities — 3.9% |
| |||||||
Electric Utilities — 2.0% |
| |||||||
| 2 | El Paso Electric Co. | 75 | ||||||
| 7 | IDACORP, Inc. | 539 | ||||||
| 3 | MGE Energy, Inc. | 190 | ||||||
| 38 | Portland General Electric Co. | 1,657 | ||||||
| 20 | Spark Energy, Inc., Class A | 650 | ||||||
| 2 | Westar Energy, Inc. | 127 | ||||||
|
| |||||||
| 3,238 | ||||||||
|
| |||||||
Gas Utilities — 0.5% |
| |||||||
| 1 | AGL Resources, Inc. | 41 | ||||||
| 14 | New Jersey Resources Corp. | 530 | ||||||
| 3 | Southwest Gas Corp. | 251 | ||||||
|
| |||||||
| 822 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 1.3% |
| |||||||
| 14 | Atlantic Power Corp. | 34 | ||||||
| 16 | Dynegy, Inc. (a) | 274 | ||||||
| 121 | Talen Energy Corp. (a) | 1,639 | ||||||
| 66 | TerraForm Global, Inc., Class A | 215 | ||||||
|
| |||||||
| 2,162 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 2 | American States Water Co. | 90 | ||||||
| 2 | Consolidated Water Co., Ltd., (Cayman Islands) | 32 | ||||||
|
| |||||||
| 122 | ||||||||
|
| |||||||
Total Utilities | 6,344 | |||||||
|
| |||||||
Total Common Stocks | 157,459 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 2 | Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) | — | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.6% |
| ||||||
Investment Company — 3.6% |
| |||||||
| 5,966 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $5,966) | 5,966 | ||||||
|
| |||||||
Total Investments — 99.3% | 163,425 | |||||||
Other Assets in Excess of | 1,211 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 164,636 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 66 | E-mini Russell 2000 | 09/16/16 | USD | $ | 7,573 | $ | 85 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.5% |
| ||||||
Consumer Discretionary — 14.3% |
| |||||||
Auto Components — 0.9% |
| |||||||
| 355 | Drew Industries, Inc. | 30,132 | ||||||
|
| |||||||
Distributors — 1.8% |
| |||||||
| 643 | Pool Corp. | 60,487 | ||||||
|
| |||||||
Diversified Consumer Services — 1.3% |
| |||||||
| 1,083 | ServiceMaster Global Holdings, Inc. (a) | 43,086 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.7% |
| |||||||
| 1,112 | Brinker International, Inc. | 50,615 | ||||||
| 611 | Monarch Casino & Resort, Inc. (a) | 13,415 | ||||||
| 578 | Papa John’s International, Inc. | 39,331 | ||||||
| 708 | Zoe’s Kitchen, Inc. (a) | 25,687 | ||||||
|
| |||||||
| 129,048 | ||||||||
|
| |||||||
Leisure Products — 1.5% |
| |||||||
| 904 | Brunswick Corp. | 40,951 | ||||||
| 1,013 | Malibu Boats, Inc., Class A (a) | 12,233 | ||||||
|
| |||||||
| 53,184 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 1,123 | Cinemark Holdings, Inc. | 40,929 | ||||||
| 2,341 | E.W. Scripps Co. (The), Class A (a) | 37,074 | ||||||
|
| |||||||
| 78,003 | ||||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
| 1,673 | American Eagle Outfitters, Inc. | 26,646 | ||||||
| 3,095 | Chico’s FAS, Inc. | 33,146 | ||||||
|
| |||||||
| 59,792 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
| 3,481 | Crocs, Inc. (a) | 39,265 | ||||||
|
| |||||||
Total Consumer Discretionary | 492,997 | |||||||
|
| |||||||
Consumer Staples — 4.0% |
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
| 1,160 | Performance Food Group Co. (a) | 31,222 | ||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 204 | J&J Snack Foods Corp. | 24,375 | ||||||
|
| |||||||
Household Products — 2.4% |
| |||||||
| 702 | Spectrum Brands Holdings, Inc. | 83,712 | ||||||
|
| |||||||
Total Consumer Staples | 139,309 | |||||||
|
| |||||||
Energy — 3.6% |
| |||||||
Energy Equipment & Services — 2.3% |
| |||||||
| 308 | Dril-Quip, Inc. (a) | 17,973 | ||||||
| 2,860 | Patterson-UTI Energy, Inc. | 60,978 | ||||||
|
| |||||||
| 78,951 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 1.3% |
| |||||||
| 187 | Cimarex Energy Co. | 22,311 | ||||||
| 3,537 | Synergy Resources Corp. (a) | 23,556 | ||||||
|
| |||||||
| 45,867 | ||||||||
|
| |||||||
Total Energy | 124,818 | |||||||
|
| |||||||
Financials — 23.5% |
| |||||||
Banks — 9.7% |
| |||||||
| 2,481 | Associated Banc-Corp. | 42,546 | ||||||
| 1,178 | BankUnited, Inc. | 36,179 | ||||||
| 347 | Commerce Bancshares, Inc. | 16,606 | ||||||
| 1,294 | First Financial Bancorp | 25,177 | ||||||
| 2,252 | First Horizon National Corp. | 31,027 | ||||||
| 383 | First Republic Bank | 26,818 | ||||||
| 1,046 | Glacier Bancorp, Inc. | 27,808 | ||||||
| 1,199 | Great Western Bancorp, Inc. | 37,823 | ||||||
| 572 | IBERIABANK Corp. | 34,172 | ||||||
| 1,866 | Umpqua Holdings Corp. | 28,874 | ||||||
| 860 | Western Alliance Bancorp (a) | 28,079 | ||||||
|
| |||||||
| 335,109 | ||||||||
|
| |||||||
Capital Markets — 3.1% |
| |||||||
| 891 | Eaton Vance Corp. | 31,476 | ||||||
| 653 | Greenhill & Co., Inc. | 10,508 | ||||||
| 1,854 | Janus Capital Group, Inc. | 25,814 | ||||||
| 703 | Lazard Ltd., (Bermuda), Class A | 20,944 | ||||||
| 726 | Moelis & Co., Class A | 16,329 | ||||||
|
| |||||||
| 105,071 | ||||||||
|
| |||||||
Diversified Financial Services — 2.0% |
| |||||||
| 174 | FactSet Research Systems, Inc. | 28,094 | ||||||
| 517 | Morningstar, Inc. | 42,272 | ||||||
|
| |||||||
| 70,366 | ||||||||
|
| |||||||
Insurance — 1.3% |
| |||||||
| 848 | ProAssurance Corp. | 45,418 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.4% |
| |||||||
| 680 | EastGroup Properties, Inc. | 46,871 | ||||||
| 389 | Mid-America Apartment Communities, Inc. | 41,354 | ||||||
| 1,077 | National Retail Properties, Inc. | 55,721 | ||||||
| 1,929 | RLJ Lodging Trust | 41,374 | ||||||
|
| |||||||
| 185,320 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.0% |
| |||||||
| 1,255 | HFF, Inc., Class A | 36,237 | ||||||
| 1,129 | Realogy Holdings Corp. (a) | 32,752 | ||||||
|
| |||||||
| 68,989 | ||||||||
|
| |||||||
Total Financials | 810,273 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care — 11.8% |
| |||||||
Health Care Equipment & Supplies — 4.1% |
| |||||||
| 147 | ICU Medical, Inc. (a) | 16,615 | ||||||
| 706 | IDEXX Laboratories, Inc. (a) | 65,574 | ||||||
| 755 | West Pharmaceutical Services, Inc. | 57,273 | ||||||
|
| |||||||
| 139,462 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.1% |
| |||||||
| 694 | Centene Corp. (a) | 49,516 | ||||||
| 412 | HealthEquity, Inc. (a) | 12,505 | ||||||
| 1,285 | HealthSouth Corp. | 49,871 | ||||||
| 353 | Magellan Health, Inc. (a) | 23,201 | ||||||
| 384 | WellCare Health Plans, Inc. (a) | 41,178 | ||||||
|
| |||||||
| 176,271 | ||||||||
|
| |||||||
Health Care Technology — 1.4% |
| |||||||
| 575 | Cotiviti Holdings, Inc. (a) | 12,158 | ||||||
| 694 | Medidata Solutions, Inc. (a) | 32,513 | ||||||
| 118 | Press Ganey Holdings, Inc. (a) | 4,632 | ||||||
|
| |||||||
| 49,303 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% |
| |||||||
| 1,797 | Catalent, Inc. (a) | 41,315 | ||||||
|
| |||||||
Total Health Care | 406,351 | |||||||
|
| |||||||
Industrials — 19.4% |
| |||||||
Commercial Services & Supplies — 5.9% |
| |||||||
| 1,204 | Brady Corp., Class A | 36,797 | ||||||
| 297 | G&K Services, Inc., Class A | 22,732 | ||||||
| 1,248 | Herman Miller, Inc. | 37,305 | ||||||
| 960 | KAR Auction Services, Inc. | 40,082 | ||||||
| 408 | US Ecology, Inc. | 18,728 | ||||||
| 677 | Waste Connections, Inc., (Canada) | 48,812 | ||||||
|
| |||||||
| 204,456 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
| 915 | Generac Holdings, Inc. (a) | 31,986 | ||||||
|
| |||||||
Machinery — 8.2% |
| |||||||
| 1,600 | Allison Transmission Holdings, Inc. | 45,180 | ||||||
| 943 | Altra Industrial Motion Corp. | 25,438 | ||||||
| 980 | Douglas Dynamics, Inc. | 25,208 | ||||||
| 388 | Lincoln Electric Holdings, Inc. | 22,907 | ||||||
| 157 | Proto Labs, Inc. (a) | 9,042 | ||||||
| 575 | RBC Bearings, Inc. (a) | 41,692 | ||||||
| 1,264 | Rexnord Corp. (a) | 24,804 | ||||||
| 990 | Toro Co. (The) | 87,306 | ||||||
|
| |||||||
| 281,577 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 2.4% |
| |||||||
| 1,504 | Knight Transportation, Inc. | 39,975 | ||||||
| 629 | Landstar System, Inc. | 43,190 | ||||||
|
| |||||||
| 83,165 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.0% |
| |||||||
| 742 | Applied Industrial Technologies, Inc. | 33,484 | ||||||
| 249 | Watsco, Inc. | 35,001 | ||||||
|
| |||||||
| 68,485 | ||||||||
|
| |||||||
Total Industrials | 669,669 | |||||||
|
| |||||||
Information Technology — 10.5% |
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
| 260 | FEI Co. | 27,761 | ||||||
|
| |||||||
Internet Software & Services — 2.3% |
| |||||||
| 999 | GrubHub, Inc. (a) | 31,035 | ||||||
| 692 | Instructure, Inc. (a) | 13,151 | ||||||
| 1,171 | Q2 Holdings, Inc. (a) | 32,811 | ||||||
|
| |||||||
| 76,997 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 1,097 | CoreLogic, Inc. (a) | 42,221 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
| 592 | Cabot Microelectronics Corp. | 25,051 | ||||||
|
| |||||||
Software — 5.5% |
| |||||||
| 454 | Aspen Technology, Inc. (a) | 18,275 | ||||||
| 526 | Guidewire Software, Inc. (a) | 32,489 | ||||||
| 610 | Imperva, Inc. (a) | 26,224 | ||||||
| 1,311 | Monotype Imaging Holdings, Inc. | 32,288 | ||||||
| 381 | NetSuite, Inc. (a) | 27,722 | ||||||
| 296 | Splunk, Inc. (a) | 16,044 | ||||||
| 212 | Tyler Technologies, Inc. (a) | 35,337 | ||||||
|
| |||||||
| 188,379 | ||||||||
|
| |||||||
Total Information Technology | 360,409 | |||||||
|
| |||||||
Materials — 5.7% |
| |||||||
Chemicals — 0.5% |
| |||||||
| 261 | GCP Applied Technologies, Inc. (a) | 6,793 | ||||||
| 112 | Quaker Chemical Corp. | 9,995 | ||||||
|
| |||||||
| 16,788 | ||||||||
|
| |||||||
Containers & Packaging — 5.2% |
| |||||||
| 1,015 | AptarGroup, Inc. | 80,336 | ||||||
| 1,106 | Crown Holdings, Inc. (a) | 56,023 | ||||||
| 855 | Silgan Holdings, Inc. | 44,016 | ||||||
|
| |||||||
| 180,375 | ||||||||
|
| |||||||
Total Materials | 197,163 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
| 1,109 | Portland General Electric Co. | 48,922 | ||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
| 720 | NorthWestern Corp. | 45,416 | ||||||
|
| |||||||
Total Utilities | 94,338 | |||||||
|
| |||||||
Total Common Stocks | 3,295,327 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.0% |
| ||||||
Investment Company — 4.0% |
| |||||||
| 138,079 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $138,079) | 138,079 | ||||||
|
| |||||||
Total Investments — 99.5% | 3,433,406 | |||||||
Other Assets in Excess of | 15,524 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,448,930 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.2% |
| ||||||
Consumer Discretionary — 14.5% |
| |||||||
Distributors — 1.0% |
| |||||||
| 115 | Pool Corp. | 10,807 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||||
| 788 | Boyd Gaming Corp. (a) | 14,503 | ||||||
| 257 | La Quinta Holdings, Inc. (a) | 2,931 | ||||||
| 253 | Texas Roadhouse, Inc. | 11,515 | ||||||
| 76 | Vail Resorts, Inc. | 10,493 | ||||||
|
| |||||||
| 39,442 | ||||||||
|
| |||||||
Household Durables — 0.6% |
| |||||||
| 519 | TRI Pointe Group, Inc. (a) | 6,136 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 267 | Wayfair, Inc., Class A (a) | 10,417 | ||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 402 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 9,999 | ||||||
|
| |||||||
Specialty Retail — 5.2% |
| |||||||
| 162 | Burlington Stores, Inc. (a) | 10,814 | ||||||
| 151 | Lithia Motors, Inc., Class A | 10,745 | ||||||
| 115 | Monro Muffler Brake, Inc. | 7,278 | ||||||
| 198 | Penske Automotive Group, Inc. | 6,215 | ||||||
| 364 | Sally Beauty Holdings, Inc. (a) | 10,699 | ||||||
| 274 | Tailored Brands, Inc. | 3,465 | ||||||
| 162 | Vitamin Shoppe, Inc. (a) | 4,947 | ||||||
|
| |||||||
| 54,163 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 184 | G-III Apparel Group Ltd. (a) | 8,391 | ||||||
| 275 | Kate Spade & Co. (a) | 5,664 | ||||||
| 269 | Wolverine World Wide, Inc. | 5,476 | ||||||
|
| |||||||
| 19,531 | ||||||||
|
| |||||||
Total Consumer Discretionary | 150,495 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
| 66 | Casey’s General Stores, Inc. | 8,631 | ||||||
| 284 | Performance Food Group Co. (a) | 7,630 | ||||||
| 410 | Sprouts Farmers Market, Inc. (a) | 9,386 | ||||||
|
| |||||||
| 25,647 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 716 | Freshpet, Inc. (a) | 6,678 | ||||||
| 127 | Snyder’s-Lance, Inc. | 4,302 | ||||||
|
| |||||||
| 10,980 | ||||||||
|
| |||||||
Total Consumer Staples | 36,627 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 1.6% |
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
| 224 | Delek U.S. Holdings, Inc. | 2,961 | ||||||
| 76 | Diamondback Energy, Inc. (a) | 6,965 | ||||||
| 187 | RSP Permian, Inc. (a) | 6,529 | ||||||
|
| |||||||
Total Energy | 16,455 | |||||||
|
| |||||||
Financials — 8.5% |
| |||||||
Banks — 2.6% |
| |||||||
| 251 | PrivateBancorp, Inc. | 11,049 | ||||||
| 51 | Signature Bank (a) | 6,325 | ||||||
| 207 | Texas Capital Bancshares, Inc. (a) | 9,692 | ||||||
|
| |||||||
| 27,066 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 266 | Evercore Partners, Inc., Class A | 11,775 | ||||||
| 345 | Financial Engines, Inc. | 8,926 | ||||||
| 933 | PennantPark Investment Corp. | 6,370 | ||||||
| 298 | WisdomTree Investments, Inc. | 2,922 | ||||||
|
| |||||||
| 29,993 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
| 230 | CubeSmart | 7,105 | ||||||
| 146 | Highwoods Properties, Inc. | 7,710 | ||||||
|
| |||||||
| 14,815 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
| 298 | RE/MAX Holdings, Inc., Class A | 11,989 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 252 | BofI Holding, Inc. (a) | 4,471 | ||||||
|
| |||||||
Total Financials | 88,334 | |||||||
|
| |||||||
Health Care — 23.5% |
| |||||||
Biotechnology — 8.9% |
| |||||||
| 137 | ACADIA Pharmaceuticals, Inc. (a) | 4,432 | ||||||
| 191 | Acceleron Pharma, Inc. (a) | 6,493 | ||||||
| 561 | Arrowhead Pharmaceuticals, Inc. (a) | 2,985 | ||||||
| 249 | Axovant Sciences Ltd., (Bermuda) (a) | 3,203 | ||||||
| 436 | Bellicum Pharmaceuticals, Inc. (a) | 5,651 | ||||||
| 310 | Coherus Biosciences, Inc. (a) | 5,228 | ||||||
| 427 | Exact Sciences Corp. (a) | 5,233 | ||||||
| 216 | FibroGen, Inc. (a) | 3,546 | ||||||
| 809 | Halozyme Therapeutics, Inc. (a) | 6,984 | ||||||
| 475 | Ignyta, Inc. (a) | 2,575 | ||||||
| 395 | Insmed, Inc. (a) | 3,893 | ||||||
| 179 | Kite Pharma, Inc. (a) | 8,964 | ||||||
| 163 | Neurocrine Biosciences, Inc. (a) | 7,399 | ||||||
| 278 | Portola Pharmaceuticals, Inc. (a) | 6,566 | ||||||
| 166 | REGENXBIO, Inc. (a) | 1,328 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 146 | Sage Therapeutics, Inc. (a) | 4,389 | ||||||
| 130 | Spark Therapeutics, Inc. (a) | 6,639 | ||||||
| 63 | Ultragenyx Pharmaceutical, Inc. (a) | 3,100 | ||||||
| 284 | Versartis, Inc. (a) | 3,144 | ||||||
|
| |||||||
| 91,752 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.1% |
| |||||||
| 1,038 | GenMark Diagnostics, Inc. (a) | 9,032 | ||||||
| 215 | Insulet Corp. (a) | 6,498 | ||||||
| 476 | K2M Group Holdings, Inc. (a) | 7,392 | ||||||
| 159 | Nevro Corp. (a) | 11,764 | ||||||
| 981 | Novadaq Technologies, Inc., (Canada) (a) | 9,654 | ||||||
| 899 | Syneron Medical Ltd., (Israel) (a) | 6,910 | ||||||
| 410 | Unilife Corp. (a) | 1,349 | ||||||
|
| |||||||
| 52,599 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
| 242 | Acadia Healthcare Co., Inc. (a) | 13,428 | ||||||
| 267 | Surgical Care Affiliates, Inc. (a) | 12,713 | ||||||
| 118 | WellCare Health Plans, Inc. (a) | 12,664 | ||||||
|
| |||||||
| 38,805 | ||||||||
|
| |||||||
Health Care Technology — 2.4% |
| |||||||
| 648 | Evolent Health, Inc., Class A (a) | 12,450 | ||||||
| 374 | Veeva Systems, Inc., Class A (a) | 12,755 | ||||||
|
| |||||||
| 25,205 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% |
| |||||||
| 595 | Horizon Pharma plc (a) | 9,804 | ||||||
| 446 | Nektar Therapeutics (a) | 6,340 | ||||||
| 259 | Revance Therapeutics, Inc. (a) | 3,517 | ||||||
| 324 | Sagent Pharmaceuticals, Inc. (a) | 4,851 | ||||||
| 1,210 | TherapeuticsMD, Inc. (a) | 10,284 | ||||||
|
| |||||||
| 34,796 | ||||||||
|
| |||||||
Total Health Care | 243,157 | |||||||
|
| |||||||
Industrials — 18.5% |
| |||||||
Aerospace & Defense — 2.2% |
| |||||||
| 221 | HEICO Corp. | 14,777 | ||||||
| 198 | Hexcel Corp. | 8,232 | ||||||
|
| |||||||
| 23,009 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 187 | XPO Logistics, Inc. (a) | 4,903 | ||||||
|
| |||||||
Building Products — 6.8% |
| |||||||
| 445 | Advanced Drainage Systems, Inc. | 12,177 | ||||||
| 225 | Caesarstone Ltd., (Israel) (a) | 7,811 | ||||||
| 205 | Fortune Brands Home & Security, Inc. | 11,894 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — continued |
| |||||||
| 92 | Lennox International, Inc. | 13,171 | ||||||
| 199 | Masonite International Corp. (a) | 13,179 | ||||||
| 285 | Trex Co., Inc. (a) | 12,816 | ||||||
|
| |||||||
| 71,048 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
| 49 | Acuity Brands, Inc. | 12,189 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 129 | Carlisle Cos., Inc. | 13,648 | ||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
| 146 | Graco, Inc. | 11,562 | ||||||
| 208 | John Bean Technologies Corp. | 12,762 | ||||||
| 107 | Middleby Corp. (The) (a) | 12,362 | ||||||
|
| |||||||
| 36,686 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 169 | Old Dominion Freight Line, Inc. (a) | 10,189 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.0% |
| |||||||
| 355 | Rush Enterprises, Inc., Class A (a) | 7,639 | ||||||
| 91 | Watsco, Inc. | 12,825 | ||||||
|
| |||||||
| 20,464 | ||||||||
|
| |||||||
Total Industrials | 192,136 | |||||||
|
| |||||||
Information Technology — 26.4% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 275 | Ciena Corp. (a) | 5,149 | ||||||
|
| |||||||
Internet Software & Services — 11.2% |
| |||||||
| 471 | 2U, Inc. (a) | 13,858 | ||||||
| 270 | Benefitfocus, Inc. (a) | 10,309 | ||||||
| 279 | Cornerstone OnDemand, Inc. (a) | 10,626 | ||||||
| 59 | CoStar Group, Inc. (a) | 12,910 | ||||||
| 141 | Demandware, Inc. (a) | 10,595 | ||||||
| 407 | Envestnet, Inc. (a) | 13,559 | ||||||
| 389 | GoDaddy, Inc., Class A (a) | 12,144 | ||||||
| 357 | GrubHub, Inc. (a) | 11,078 | ||||||
| 241 | Instructure, Inc. (a) | 4,586 | ||||||
| 98 | Marketo, Inc. (a) | 3,405 | ||||||
| 354 | Shopify, Inc., (Canada), Class A (a) | 10,900 | ||||||
| 64 | Twilio, Inc., Class A (a) | 2,336 | ||||||
|
| |||||||
| 116,306 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.6% |
| |||||||
| 277 | Cavium, Inc. (a) | 10,697 | ||||||
| 332 | Inphi Corp. (a) | 10,628 | ||||||
| 294 | MACOM Technology Solutions Holdings, Inc. (a) | 9,694 | ||||||
| 276 | MKS Instruments, Inc. | 11,901 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 223 | Monolithic Power Systems, Inc. | 15,254 | ||||||
|
| |||||||
| 58,174 | ||||||||
|
| |||||||
Software — 8.7% |
| |||||||
| 295 | Atlassian Corp. plc, (Australia), Class A (a) | 7,640 | ||||||
| 130 | Fleetmatics Group plc, (Ireland) (a) | 5,624 | ||||||
| 213 | Guidewire Software, Inc. (a) | 13,147 | ||||||
| 143 | HubSpot, Inc. (a) | 6,229 | ||||||
| 204 | Imperva, Inc. (a) | 8,786 | ||||||
| 191 | Proofpoint, Inc. (a) | 12,064 | ||||||
| 481 | RingCentral, Inc., Class A (a) | 9,480 | ||||||
| 78 | Tableau Software, Inc., Class A (a) | 3,812 | ||||||
| 103 | Take-Two Interactive Software, Inc. (a) | 3,887 | ||||||
| 38 | Tyler Technologies, Inc. (a) | 6,291 | ||||||
| 490 | Zendesk, Inc. (a) | 12,917 | ||||||
|
| |||||||
| 89,877 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 548 | Nimble Storage, Inc. (a) | 4,365 | ||||||
|
| |||||||
Total Information Technology | 273,871 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Materials — 1.7% |
| |||||||
Construction Materials — 1.7% |
| |||||||
| 153 | Eagle Materials, Inc. | 11,829 | ||||||
| 259 | Summit Materials, Inc., Class A (a) | 5,296 | ||||||
|
| |||||||
Total Materials | 17,125 | |||||||
|
| |||||||
Total Common Stocks | 1,018,200 | |||||||
|
| |||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% |
| |||||||
| 22,619 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $22,619) | 22,619 | ||||||
|
| |||||||
Total Investments — 100.4% | 1,040,819 | |||||||
Liabilities in Excess of | (3,681 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,037,138 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% |
| ||||||
Consumer Discretionary — 9.1% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 501 | Cooper Tire & Rubber Co. | 14,952 | ||||||
| 651 | Dana Holding Corp. | 6,874 | ||||||
| 173 | Stoneridge, Inc. (a) | 2,585 | ||||||
|
| |||||||
| 24,411 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.5% |
| |||||||
| 316 | Ascent Capital Group, Inc., Class A (a) | 4,865 | ||||||
| 316 | DeVry Education Group, Inc. | 5,629 | ||||||
| 454 | K12, Inc. (a) | 5,665 | ||||||
| 769 | Regis Corp. (a) | 9,568 | ||||||
|
| |||||||
| 25,727 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| 134 | Bob Evans Farms, Inc. | 5,082 | ||||||
| 45 | Intrawest Resorts Holdings, Inc. (a) | 580 | ||||||
| 683 | Isle of Capri Casinos, Inc. (a) | 12,504 | ||||||
| 21 | Jack in the Box, Inc. | 1,804 | ||||||
| 809 | La Quinta Holdings, Inc. (a) | 9,223 | ||||||
| 71 | Ruby Tuesday, Inc. (a) | 257 | ||||||
| 305 | Ruth’s Hospitality Group, Inc. | 4,872 | ||||||
| 46 | Speedway Motorsports, Inc. | 809 | ||||||
|
| |||||||
| 35,131 | ||||||||
|
| |||||||
Household Durables — 0.6% |
| |||||||
| 98 | CSS Industries, Inc. | 2,627 | ||||||
| 107 | Leggett & Platt, Inc. | 5,443 | ||||||
| 39 | NACCO Industries, Inc., Class A | 2,162 | ||||||
|
| |||||||
| 10,232 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 339 | Liberty TripAdvisor Holdings, Inc., Class A (a) | 7,411 | ||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
| 109 | JAKKS Pacific, Inc. (a) | 863 | ||||||
| 25 | Nautilus, Inc. (a) | 441 | ||||||
|
| |||||||
| 1,304 | ||||||||
|
| |||||||
Media — 0.3% |
| |||||||
| 169 | Central European Media Enterprises Ltd., (Bermuda), Class A (a) | 355 | ||||||
| 251 | Entercom Communications Corp., Class A | 3,409 | ||||||
| 279 | Radio One, Inc., Class D (a) | 890 | ||||||
| 10 | Saga Communications, Inc., Class A | 397 | ||||||
|
| |||||||
| 5,051 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
| 75 | Dillard’s, Inc., Class A | 4,527 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 2.1% |
| |||||||
| 734 | Abercrombie & Fitch Co., Class A | 13,076 | ||||||
| 216 | Children’s Place, Inc. (The) | 17,287 | ||||||
| 1,188 | Pier 1 Imports, Inc. | 6,108 | ||||||
|
| |||||||
| 36,471 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
| 528 | Iconix Brand Group, Inc. (a) | 3,567 | ||||||
| 253 | Movado Group, Inc. | 5,476 | ||||||
|
| |||||||
| 9,043 | ||||||||
|
| |||||||
Total Consumer Discretionary | 159,308 | |||||||
|
| |||||||
Consumer Staples — 2.5% |
| |||||||
Food & Staples Retailing — 0.3% |
| |||||||
| 65 | Smart & Final Stores, Inc. (a) | 968 | ||||||
| 119 | SpartanNash Co. | 3,632 | ||||||
| 65 | US Foods Holding Corp. (a) | 1,576 | ||||||
|
| |||||||
| 6,176 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 589 | Darling Ingredients, Inc. (a) | 8,779 | ||||||
| 66 | Dean Foods Co. | 1,188 | ||||||
| 48 | Fresh Del Monte Produce, Inc. | 2,613 | ||||||
|
| |||||||
| 12,580 | ||||||||
|
| |||||||
Household Products — 0.7% |
| |||||||
| 539 | Central Garden & Pet Co., Class A (a) | 11,693 | ||||||
|
| |||||||
Tobacco — 0.8% |
| |||||||
| 232 | Universal Corp. | 13,390 | ||||||
|
| |||||||
Total Consumer Staples | 43,839 | |||||||
|
| |||||||
Energy — 4.5% |
| |||||||
Energy Equipment & Services — 1.9% |
| |||||||
| 45 | Archrock, Inc. | 421 | ||||||
| 137 | Atwood Oceanics, Inc. | 1,709 | ||||||
| 37 | Geospace Technologies Corp. (a) | 612 | ||||||
| 10 | North Atlantic Drilling Ltd., (Norway) (a) | 69 | ||||||
| 346 | Parker Drilling Co. (a) | 793 | ||||||
| 1,465 | Pioneer Energy Services Corp. (a) | 6,739 | ||||||
| 84 | SEACOR Holdings, Inc. (a) | 4,845 | ||||||
| 4,201 | Seadrill Ltd., (United Kingdom) (a) | 13,612 | ||||||
| 298 | Unit Corp. (a) | 4,631 | ||||||
|
| |||||||
| 33,431 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.6% |
| |||||||
| 5 | Adams Resources & Energy, Inc. | 181 | ||||||
| 103 | Alon USA Energy, Inc. | 666 | ||||||
| 1,688 | Bill Barrett Corp. (a) | 10,784 | ||||||
| 2,112 | Denbury Resources, Inc. | 7,582 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 461 | Eclipse Resources Corp. (a) | 1,539 | ||||||
| 588 | EP Energy Corp., Class A (a) | 3,047 | ||||||
| 234 | Jones Energy, Inc., Class A (a) | 964 | ||||||
| 302 | REX American Resources Corp. (a) | 18,069 | ||||||
| 437 | Sanchez Energy Corp. (a) | 3,083 | ||||||
|
| |||||||
| 45,915 | ||||||||
|
| |||||||
Total Energy | 79,346 | |||||||
|
| |||||||
Financials — 39.8% |
| |||||||
Banks — 17.4% |
| |||||||
| 121 | 1st Source Corp. | 3,919 | ||||||
| 7 | American National Bankshares, Inc. | 176 | ||||||
| 72 | BancFirst Corp. | 4,337 | ||||||
| 419 | BancorpSouth, Inc. | 9,507 | ||||||
| 183 | Bank of Hawaii Corp. | 12,618 | ||||||
| 69 | Banner Corp. | 2,935 | ||||||
| 396 | BBCN Bancorp, Inc. | 5,911 | ||||||
| 84 | Brookline Bancorp, Inc. | 928 | ||||||
| 35 | Bryn Mawr Bank Corp. | 1,010 | ||||||
| 261 | Capital Bank Financial Corp., Class A | 7,502 | ||||||
| 93 | Cascade Bancorp (a) | 516 | ||||||
| 231 | Cathay General Bancorp | 6,523 | ||||||
| 543 | Central Pacific Financial Corp. | 12,812 | ||||||
| 27 | Central Valley Community Bancorp | 379 | ||||||
| 9 | Century Bancorp, Inc., Class A | 389 | ||||||
| 22 | Citizens & Northern Corp. | 435 | ||||||
| 162 | City Holding Co. | 7,380 | ||||||
| 81 | CoBiz Financial, Inc. | 947 | ||||||
| 61 | Columbia Banking System, Inc. | 1,712 | ||||||
| 152 | Community Bank System, Inc. | 6,254 | ||||||
| 137 | Community Trust Bancorp, Inc. | 4,757 | ||||||
| 188 | Customers Bancorp, Inc. (a) | 4,735 | ||||||
| 14 | East West Bancorp, Inc. | 473 | ||||||
| 412 | FCB Financial Holdings, Inc., Class A (a) | 14,018 | ||||||
| 78 | Financial Institutions, Inc. | 2,033 | ||||||
| 34 | First Bancorp | 596 | ||||||
| 1,432 | First BanCorp, (Puerto Rico) (a) | 5,685 | ||||||
| 148 | First Busey Corp. | 3,166 | ||||||
| 9 | First Citizens BancShares, Inc., Class A | 2,408 | ||||||
| 1,362 | First Commonwealth Financial Corp. | 12,530 | ||||||
| 68 | First Community Bancshares, Inc. | 1,517 | ||||||
| 121 | First Financial Bancorp | 2,359 | ||||||
| 85 | First Financial Bankshares, Inc. | 2,784 | ||||||
| 23 | First Financial Corp. | 853 | ||||||
| 99 | First Interstate BancSystem, Inc., Class A | 2,788 | ||||||
| 164 | Flushing Financial Corp. | 3,256 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 396 | Fulton Financial Corp. | 5,351 | ||||||
| 238 | Glacier Bancorp, Inc. | 6,323 | ||||||
| 41 | Great Southern Bancorp, Inc. | 1,523 | ||||||
| 166 | Great Western Bancorp, Inc. | 5,236 | ||||||
| 51 | Guaranty Bancorp | 850 | ||||||
| 373 | Hancock Holding Co. | 9,739 | ||||||
| 61 | Heartland Financial USA, Inc. | 2,139 | ||||||
| 27 | Heritage Financial Corp. | 479 | ||||||
| 23 | Independent Bank Corp. | 338 | ||||||
| 1,092 | Investors Bancorp, Inc. | 12,094 | ||||||
| 69 | Lakeland Bancorp, Inc. | 786 | ||||||
| 31 | Lakeland Financial Corp. | 1,467 | ||||||
| 188 | MainSource Financial Group, Inc. | 4,136 | ||||||
| 18 | Mercantile Bank Corp. | 438 | ||||||
| 631 | OFG Bancorp, (Puerto Rico) | 5,241 | ||||||
| 88 | Pacific Continental Corp. | 1,379 | ||||||
| 175 | PacWest Bancorp | 6,942 | ||||||
| 59 | Park Sterling Corp. | 419 | ||||||
| 20 | Preferred Bank | 572 | ||||||
| 22 | Republic Bancorp, Inc., Class A | 605 | ||||||
| 25 | S&T Bancorp, Inc. | 601 | ||||||
| 30 | Sandy Spring Bancorp, Inc. | 869 | ||||||
| 19 | Sierra Bancorp | 319 | ||||||
| 85 | Southside Bancshares, Inc. | 2,624 | ||||||
| 136 | Southwest Bancorp, Inc. | 2,308 | ||||||
| 64 | State Bank Financial Corp. | 1,311 | ||||||
| 21 | Stock Yards Bancorp, Inc. | 601 | ||||||
| 20 | Suffolk Bancorp | 611 | ||||||
| 44 | Tompkins Financial Corp. | 2,886 | ||||||
| 29 | TriState Capital Holdings, Inc. (a) | 394 | ||||||
| 397 | Trustmark Corp. | 9,875 | ||||||
| 210 | UMB Financial Corp. | 11,169 | ||||||
| 662 | Umpqua Holdings Corp. | 10,235 | ||||||
| 451 | Union Bankshares Corp. | 11,136 | ||||||
| 85 | Valley National Bancorp | 774 | ||||||
| 43 | Washington Trust Bancorp, Inc. | 1,619 | ||||||
| 125 | Webster Financial Corp. | 4,251 | ||||||
| 44 | West Bancorporation, Inc. | 825 | ||||||
| 386 | Westamerica Bancorporation | 18,995 | ||||||
| 18 | Western Alliance Bancorp (a) | 572 | ||||||
| 695 | Wilshire Bancorp, Inc. | 7,243 | ||||||
|
| |||||||
| 305,423 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
| 49 | Arlington Asset Investment Corp., Class A | 635 | ||||||
| 810 | Cowen Group, Inc., Class A (a) | 2,398 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Capital Markets — continued |
| |||||||
| 183 | Investment Technology Group, Inc. | 3,065 | ||||||
| 826 | KCG Holdings, Inc., Class A (a) | 10,980 | ||||||
| 51 | Oppenheimer Holdings, Inc., Class A | 792 | ||||||
| 138 | Stifel Financial Corp. (a) | 4,343 | ||||||
|
| |||||||
| 22,213 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
| 175 | Cash America International, Inc. | 7,450 | ||||||
| 176 | EZCORP, Inc., Class A (a) | 1,332 | ||||||
| 101 | Nelnet, Inc., Class A | 3,523 | ||||||
|
| |||||||
| 12,305 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% |
| |||||||
| 36 | Marlin Business Services Corp. | 592 | ||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
| 38 | Arch Capital Group Ltd., (Bermuda) (a) | 2,753 | ||||||
| 152 | Argo Group International Holdings Ltd., (Bermuda) | 7,878 | ||||||
| 783 | CNO Financial Group, Inc. | 13,668 | ||||||
| 13 | Global Indemnity plc, (Ireland) (a) | 355 | ||||||
| 82 | Hallmark Financial Services (a) | 949 | ||||||
| 263 | Horace Mann Educators Corp. | 8,873 | ||||||
| 975 | MBIA, Inc. (a) | 6,662 | ||||||
| 40 | Navigators Group, Inc. (The) | 3,670 | ||||||
| 286 | Primerica, Inc. | 16,377 | ||||||
| 197 | ProAssurance Corp. | 10,528 | ||||||
|
| |||||||
| 71,713 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 12.6% |
| |||||||
| 105 | AG Mortgage Investment Trust, Inc. | 1,516 | ||||||
| 26 | American Assets Trust, Inc. | 1,095 | ||||||
| 220 | Apartment Investment & Management Co., Class A | 9,716 | ||||||
| 249 | ARMOUR Residential REIT, Inc. | 4,974 | ||||||
| 1,000 | Ashford Hospitality Trust, Inc. | 5,369 | ||||||
| 1,146 | Capstead Mortgage Corp. | 11,112 | ||||||
| 405 | CBL & Associates Properties, Inc. | 3,766 | ||||||
| 307 | Cedar Realty Trust, Inc. | 2,281 | ||||||
| 93 | CoreSite Realty Corp. | 8,248 | ||||||
| 2,165 | CYS Investments, Inc. | 18,124 | ||||||
| 472 | DCT Industrial Trust, Inc. | 22,681 | ||||||
| 356 | DiamondRock Hospitality Co. | 3,217 | ||||||
| 78 | DuPont Fabros Technology, Inc. | 3,689 | ||||||
| 74 | EPR Properties | 5,946 | ||||||
| 794 | FelCor Lodging Trust, Inc. | 4,949 | ||||||
| 141 | First Industrial Realty Trust, Inc. | 3,917 | ||||||
| 546 | First Potomac Realty Trust | 5,020 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 181 | Franklin Street Properties Corp. | 2,225 | ||||||
| 163 | Getty Realty Corp. | 3,504 | ||||||
| 82 | Gladstone Commercial Corp. | 1,378 | ||||||
| 510 | Government Properties Income Trust | 11,756 | ||||||
| 441 | Gramercy Property Trust | 4,061 | ||||||
| 243 | Hatteras Financial Corp. | 3,987 | ||||||
| 33 | Highwoods Properties, Inc. | 1,753 | ||||||
| 178 | Hospitality Properties Trust | 5,126 | ||||||
| 40 | InfraREIT, Inc. | 703 | ||||||
| 136 | Kite Realty Group Trust | 3,807 | ||||||
| 89 | LaSalle Hotel Properties | 2,092 | ||||||
| 110 | LTC Properties, Inc. | 5,711 | ||||||
| 142 | Mack-Cali Realty Corp. | 3,839 | ||||||
| 16 | Mid-America Apartment Communities, Inc. | 1,710 | ||||||
| 261 | Monogram Residential Trust, Inc. | 2,664 | ||||||
| 144 | Pebblebrook Hotel Trust | 3,770 | ||||||
| 335 | Pennsylvania Real Estate Investment Trust | 7,192 | ||||||
| 271 | Potlatch Corp. | 9,241 | ||||||
| 94 | PS Business Parks, Inc. | 9,972 | ||||||
| 515 | RAIT Financial Trust | 1,613 | ||||||
| 355 | RLJ Lodging Trust | 7,604 | ||||||
| 13 | Saul Centers, Inc. | 821 | ||||||
| 72 | Silver Bay Realty Trust Corp. | 1,233 | ||||||
| 504 | Sunstone Hotel Investors, Inc. | 6,078 | ||||||
| 15 | Taubman Centers, Inc. | 1,135 | ||||||
| 87 | Urstadt Biddle Properties, Inc., Class A | 2,156 | ||||||
| 10 | Washington Real Estate Investment Trust | 324 | ||||||
| 7 | WP Glimcher, Inc. | 75 | ||||||
|
| |||||||
| 221,150 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 154 | Alexander & Baldwin, Inc. | 5,580 | ||||||
| 507 | Forestar Group, Inc. (a) | 6,032 | ||||||
| 365 | St. Joe Co. (The) (a) | 6,466 | ||||||
|
| |||||||
| 18,078 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 2.6% |
| |||||||
| 27 | BankFinancial Corp. | 323 | ||||||
| 878 | Beneficial Bancorp, Inc. (a) | 11,170 | ||||||
| 293 | Charter Financial Corp. | 3,888 | ||||||
| 17 | First Defiance Financial Corp. | 676 | ||||||
| 30 | Fox Chase Bancorp, Inc. | 614 | ||||||
| 22 | Kearny Financial Corp. | 277 | ||||||
| 368 | Meridian Bancorp, Inc. | 5,442 | ||||||
| 661 | Northfield Bancorp, Inc. | 9,806 | ||||||
| 10 | OceanFirst Financial Corp. | 178 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Thrifts & Mortgage Finance — continued |
| |||||||
| 101 | Oritani Financial Corp. | 1,617 | ||||||
| 18 | Territorial Bancorp, Inc. | 468 | ||||||
| 108 | United Financial Bancorp, Inc. | 1,407 | ||||||
| 261 | Walker & Dunlop, Inc. (a) | 5,936 | ||||||
| 99 | Waterstone Financial, Inc. | 1,519 | ||||||
| 85 | WSFS Financial Corp. | 2,746 | ||||||
|
| |||||||
| 46,067 | ||||||||
|
| |||||||
Total Financials | 697,541 | |||||||
|
| |||||||
Health Care — 5.1% |
| |||||||
Biotechnology — 1.3% |
| |||||||
| 40 | ACADIA Pharmaceuticals, Inc. (a) | 1,308 | ||||||
| 69 | Acorda Therapeutics, Inc. (a) | 1,750 | ||||||
| 9 | Adverum Biotechnologies, Inc. (a) | 28 | ||||||
| 8 | Applied Genetic Technologies Corp. (a) | 113 | ||||||
| 148 | Ardelyx, Inc. (a) | 1,289 | ||||||
| 46 | Cara Therapeutics, Inc. (a) | 223 | ||||||
| 15 | Epizyme, Inc. (a) | 150 | ||||||
| 53 | Five Prime Therapeutics, Inc. (a) | 2,175 | ||||||
| 1,976 | Idera Pharmaceuticals, Inc. (a) | 3,023 | ||||||
| 17 | Immune Design Corp. (a) | 135 | ||||||
| 50 | Insmed, Inc. (a) | 493 | ||||||
| 7 | Karyopharm Therapeutics, Inc. (a) | 45 | ||||||
| 17 | MacroGenics, Inc. (a) | 456 | ||||||
| 87 | NantKwest, Inc. (a) | 543 | ||||||
| 74 | Radius Health, Inc. (a) | 2,727 | ||||||
| 720 | Rigel Pharmaceuticals, Inc. (a) | 1,605 | ||||||
| 6 | Sage Therapeutics, Inc. (a) | 178 | ||||||
| 89 | Seres Therapeutics, Inc. (a) | 2,580 | ||||||
| 14 | Ultragenyx Pharmaceutical, Inc. (a) | 670 | ||||||
| 158 | Versartis, Inc. (a) | 1,743 | ||||||
| 125 | Voyager Therapeutics, Inc. (a) | 1,374 | ||||||
| 17 | Zafgen, Inc. (a) | 99 | ||||||
|
| |||||||
| 22,707 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.7% |
| |||||||
| 45 | Halyard Health, Inc. (a) | 1,453 | ||||||
| 45 | Inogen, Inc. (a) | 2,255 | ||||||
| 44 | Meridian Bioscience, Inc. | 862 | ||||||
| 278 | Quidel Corp. (a) | 4,958 | ||||||
| 104 | SurModics, Inc. (a) | 2,442 | ||||||
|
| |||||||
| 11,970 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
| 69 | Addus HomeCare Corp. (a) | 1,199 | ||||||
| 98 | Alliance HealthCare Services, Inc. (a) | 610 | ||||||
| 786 | Community Health Systems, Inc. (a) | 9,467 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — continued |
| |||||||
| 553 | Cross Country Healthcare, Inc. (a) | 7,696 | ||||||
| 168 | Molina Healthcare, Inc. (a) | 8,393 | ||||||
| 146 | Owens & Minor, Inc. | 5,443 | ||||||
| 67 | Surgical Care Affiliates, Inc. (a) | 3,194 | ||||||
| 174 | Triple-S Management Corp., (Puerto Rico), Class B (a) | 4,261 | ||||||
| 17 | WellCare Health Plans, Inc. (a) | 1,845 | ||||||
|
| |||||||
| 42,108 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% |
| |||||||
| 95 | Amphastar Pharmaceuticals, Inc. (a) | 1,533 | ||||||
| 513 | Endocyte, Inc. (a) | 1,647 | ||||||
| 168 | Medicines Co. (The) (a) | 5,650 | ||||||
| 231 | MyoKardia, Inc. (a) | 2,862 | ||||||
| 29 | Revance Therapeutics, Inc. (a) | 391 | ||||||
|
| |||||||
| 12,083 | ||||||||
|
| |||||||
Total Health Care | 88,868 | |||||||
|
| |||||||
Industrials — 14.3% |
| |||||||
Aerospace & Defense — 2.3% |
| |||||||
| 286 | AAR Corp. | 6,684 | ||||||
| 90 | Curtiss-Wright Corp. | 7,608 | ||||||
| 947 | DigitalGlobe, Inc. (a) | 20,265 | ||||||
| 96 | Moog, Inc., Class A (a) | 5,198 | ||||||
|
| |||||||
| 39,755 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 119 | Atlas Air Worldwide Holdings, Inc. (a) | 4,946 | ||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
| 94 | Alaska Air Group, Inc. | 5,456 | ||||||
|
| |||||||
Building Products — 0.2% |
| |||||||
| 117 | Gibraltar Industries, Inc. (a) | 3,684 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.8% |
| |||||||
| 1,629 | ACCO Brands Corp. (a) | 16,822 | ||||||
| 94 | Ennis, Inc. | 1,795 | ||||||
| 182 | Essendant, Inc. | 5,568 | ||||||
| 511 | Quad/Graphics, Inc. | 11,890 | ||||||
| 73 | VSE Corp. | 4,863 | ||||||
| 391 | West Corp. | 7,679 | ||||||
|
| |||||||
| 48,617 | ||||||||
|
| |||||||
Construction & Engineering — 1.1% |
| |||||||
| 40 | Argan, Inc. | 1,673 | ||||||
| 28 | Comfort Systems USA, Inc. | 915 | ||||||
| 342 | EMCOR Group, Inc. | 16,862 | ||||||
|
| |||||||
| 19,450 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electrical Equipment — 0.1% |
| |||||||
| 210 | General Cable Corp. | 2,663 | ||||||
|
| |||||||
Machinery — 3.2% |
| |||||||
| 107 | AGCO Corp. | 5,019 | ||||||
| 301 | Briggs & Stratton Corp. | 6,371 | ||||||
| 398 | Douglas Dynamics, Inc. | 10,238 | ||||||
| 224 | Federal Signal Corp. | 2,879 | ||||||
| 12 | Graham Corp. | 228 | ||||||
| 54 | Greenbrier Cos., Inc. (The) | 1,559 | ||||||
| 72 | Hurco Cos., Inc. | 2,007 | ||||||
| 46 | Hyster-Yale Materials Handling, Inc. | 2,760 | ||||||
| 412 | Joy Global, Inc. | 8,703 | ||||||
| 113 | Kadant, Inc. | 5,836 | ||||||
| 22 | Kennametal, Inc. | 478 | ||||||
| 810 | Wabash National Corp. (a) | 10,288 | ||||||
|
| |||||||
| 56,366 | ||||||||
|
| |||||||
Marine — 0.3% |
| |||||||
| 147 | Matson, Inc. | 4,737 | ||||||
|
| |||||||
Professional Services — 2.2% |
| |||||||
| 216 | Barrett Business Services, Inc. | 8,922 | ||||||
| 440 | FTI Consulting, Inc. (a) | 17,899 | ||||||
| 84 | Huron Consulting Group, Inc. (a) | 5,076 | ||||||
| 166 | RPX Corp. (a) | 1,523 | ||||||
| 281 | TriNet Group, Inc. (a) | 5,842 | ||||||
|
| |||||||
| 39,262 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
| 5 | AMERCO | 1,873 | ||||||
| 241 | ArcBest Corp. | 3,911 | ||||||
| 269 | USA Truck, Inc. (a) | 4,712 | ||||||
|
| |||||||
| 10,496 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
| 181 | DXP Enterprises, Inc. (a) | 2,701 | ||||||
| 596 | MRC Global, Inc. (a) | 8,468 | ||||||
| 32 | SiteOne Landscape Supply, Inc. (a) | 1,084 | ||||||
| 327 | Titan Machinery, Inc. (a) | 3,642 | ||||||
|
| |||||||
| 15,895 | ||||||||
|
| |||||||
Total Industrials | 251,327 | |||||||
|
| |||||||
Information Technology — 10.8% |
| |||||||
Communications Equipment — 1.4% |
| |||||||
| 88 | Bel Fuse, Inc., Class B | 1,568 | ||||||
| 282 | Black Box Corp. | 3,684 | ||||||
| 168 | Comtech Telecommunications Corp. | 2,161 | ||||||
| 75 | InterDigital, Inc. | 4,193 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — continued |
| |||||||
| 179 | NETGEAR, Inc. (a) | 8,509 | ||||||
| 466 | Polycom, Inc. (a) | 5,238 | ||||||
|
| |||||||
| 25,353 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.0% |
| |||||||
| 748 | Benchmark Electronics, Inc. (a) | 15,820 | ||||||
| 229 | Insight Enterprises, Inc. (a) | 5,941 | ||||||
| 68 | Sanmina Corp. (a) | 1,829 | ||||||
| 270 | Tech Data Corp. (a) | 19,385 | ||||||
| 725 | Vishay Intertechnology, Inc. | 8,983 | ||||||
|
| |||||||
| 51,958 | ||||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
| 581 | Bazaarvoice, Inc. (a) | 2,328 | ||||||
| 46 | Benefitfocus, Inc. (a) | 1,769 | ||||||
| 695 | EarthLink Holdings Corp. | 4,449 | ||||||
| 427 | Monster Worldwide, Inc. (a) | 1,020 | ||||||
| 177 | RetailMeNot, Inc. (a) | 1,362 | ||||||
|
| |||||||
| 10,928 | ||||||||
|
| |||||||
IT Services — 0.8% |
| |||||||
| 219 | Convergys Corp. | 5,470 | ||||||
| 64 | Datalink Corp. (a) | 479 | ||||||
| 39 | EVERTEC, Inc., (Puerto Rico) | 600 | ||||||
| 1,122 | Unisys Corp. (a) | 8,170 | ||||||
|
| |||||||
| 14,719 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.7% |
| |||||||
| 295 | Advanced Energy Industries, Inc. (a) | 11,191 | ||||||
| 324 | Alpha & Omega Semiconductor Ltd. (a) | 4,519 | ||||||
| 837 | Amkor Technology, Inc. (a) | 4,813 | ||||||
| 316 | Cohu, Inc. | 3,427 | ||||||
| 934 | Cypress Semiconductor Corp. | 9,849 | ||||||
| 512 | FormFactor, Inc. (a) | 4,607 | ||||||
| 229 | IXYS Corp. | 2,346 | ||||||
| 84 | Ultra Clean Holdings, Inc. (a) | 476 | ||||||
| 1,064 | Xcerra Corp. (a) | 6,119 | ||||||
|
| |||||||
| 47,347 | ||||||||
|
| |||||||
Software — 2.3% |
| |||||||
| 69 | Aspen Technology, Inc. (a) | 2,760 | ||||||
| 72 | Fair Isaac Corp. | 8,080 | ||||||
| 93 | Progress Software Corp. (a) | 2,543 | ||||||
| 667 | Rovi Corp. (a) | 10,429 | ||||||
| 425 | Take-Two Interactive Software, Inc. (a) | 16,120 | ||||||
|
| |||||||
| 39,932 | ||||||||
|
| |||||||
Total Information Technology | 190,237 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 4.6% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 98 | American Vanguard Corp. | 1,483 | ||||||
| 169 | Innophos Holdings, Inc. | 7,142 | ||||||
| 50 | Innospec, Inc. | 2,313 | ||||||
| 117 | Minerals Technologies, Inc. | 6,663 | ||||||
| 990 | Rayonier Advanced Materials, Inc. | 13,457 | ||||||
|
| |||||||
| 31,058 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
| 643 | Graphic Packaging Holding Co. | 8,059 | ||||||
| 61 | Myers Industries, Inc. | 883 | ||||||
|
| |||||||
| 8,942 | ||||||||
|
| |||||||
Metals & Mining — 1.8% |
| |||||||
| 279 | Carpenter Technology Corp. | 9,184 | ||||||
| 348 | Cliffs Natural Resources, Inc. (a) | 1,974 | ||||||
| 62 | Olympic Steel, Inc. | 1,691 | ||||||
| 175 | Ryerson Holding Corp. (a) | 3,057 | ||||||
| 224 | Schnitzer Steel Industries, Inc., Class A | 3,934 | ||||||
| 262 | Worthington Industries, Inc. | 11,061 | ||||||
|
| |||||||
| 30,901 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% |
| |||||||
| 111 | Domtar Corp. | 3,879 | ||||||
| 148 | Schweitzer-Mauduit International, Inc. | 5,204 | ||||||
|
| |||||||
| 9,083 | ||||||||
|
| |||||||
Total Materials | 79,984 | |||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 558 | Cincinnati Bell, Inc. (a) | 2,551 | ||||||
| 235 | Intelsat S.A., (Luxembourg) (a) | 607 | ||||||
| 946 | Windstream Holdings, Inc. | 8,771 | ||||||
|
| |||||||
| 11,929 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 39 | Spok Holdings, Inc. | 745 | ||||||
|
| |||||||
Total Telecommunication Services | 12,674 | |||||||
|
| |||||||
Utilities — 7.3% |
| |||||||
Electric Utilities — 1.9% |
| |||||||
| 333 | El Paso Electric Co. | 15,731 | ||||||
| 369 | Portland General Electric Co. | 16,298 | ||||||
| 24 | Spark Energy, Inc., Class A | 803 | ||||||
|
| |||||||
| 32,832 | ||||||||
|
| |||||||
Gas Utilities — 2.5% |
| |||||||
| 95 | AGL Resources, Inc. | 6,273 | ||||||
| 160 | Northwest Natural Gas Co. | 10,378 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — continued |
| |||||||
| 168 | Southwest Gas Corp. | 13,247 | ||||||
| 199 | Spire, Inc. | 14,111 | ||||||
|
| |||||||
| 44,009 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.8% |
| |||||||
| 2,285 | Atlantic Power Corp. | 5,667 | ||||||
| 427 | Dynegy, Inc. (a) | 7,362 | ||||||
| 50 | Ormat Technologies, Inc. | 2,192 | ||||||
|
| |||||||
| 15,221 | ||||||||
|
| |||||||
Multi-Utilities — 1.4% |
| |||||||
| 278 | Avista Corp. | 12,437 | ||||||
| 147 | NorthWestern Corp. | 9,265 | ||||||
| 58 | Unitil Corp. | 2,466 | ||||||
|
| |||||||
| 24,168 | ||||||||
|
| |||||||
Water Utilities — 0.7% |
| |||||||
| 181 | American States Water Co. | 7,909 | ||||||
| 125 | California Water Service Group | 4,349 | ||||||
|
| |||||||
| 12,258 | ||||||||
|
| |||||||
Total Utilities | 128,488 | |||||||
|
| |||||||
Total Common Stocks | 1,731,612 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 3 | Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.6% |
| ||||||
Investment Company — 1.6% |
| |||||||
| 27,554 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $27,554) | 27,554 | ||||||
|
| |||||||
Total Investments — 100.3% | 1,759,166 | |||||||
Liabilities in Excess of | (5,834 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,753,332 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 179 | E-mini Russell 2000 | 09/16/16 | USD | $ | 20,538 | $ | 556 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.2% |
| ||||||
Consumer Discretionary — 13.3% |
| |||||||
Auto Components — 1.6% |
| |||||||
| 37 | American Axle & Manufacturing Holdings, Inc. (a) | 542 | ||||||
| 426 | Cooper Tire & Rubber Co. | 12,715 | ||||||
| 253 | Dana Holding Corp. | 2,672 | ||||||
| 335 | Stoneridge, Inc. (a) | 5,003 | ||||||
| 20 | Tenneco, Inc. (a) | 923 | ||||||
|
| |||||||
| 21,855 | ||||||||
|
| |||||||
Diversified Consumer Services — 2.0% |
| |||||||
| 129 | Ascent Capital Group, Inc., Class A (a) | 1,991 | ||||||
| 236 | Houghton Mifflin Harcourt Co. (a) | 3,692 | ||||||
| 95 | K12, Inc. (a) | 1,189 | ||||||
| 761 | Regis Corp. (a) | 9,472 | ||||||
| 204 | Strayer Education, Inc. (a) | 10,037 | ||||||
|
| |||||||
| 26,381 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.0% |
| |||||||
| 88 | Bloomin’ Brands, Inc. | 1,565 | ||||||
| 174 | Bob Evans Farms, Inc. | 6,607 | ||||||
| 38 | Boyd Gaming Corp. (a) | 692 | ||||||
| 64 | Diamond Resorts International, Inc. (a) | 1,923 | ||||||
| 9 | DineEquity, Inc. | 797 | ||||||
| 23 | Intrawest Resorts Holdings, Inc. (a) | 296 | ||||||
| 510 | Isle of Capri Casinos, Inc. (a) | 9,340 | ||||||
| 130 | Jack in the Box, Inc. | 11,135 | ||||||
| 293 | La Quinta Holdings, Inc. (a) | 3,345 | ||||||
| 195 | Red Rock Resorts, Inc., Class A (a) | 4,290 | ||||||
| 282 | Ruby Tuesday, Inc. (a) | 1,017 | ||||||
| 386 | Sonic Corp. | 10,444 | ||||||
| 87 | Speedway Motorsports, Inc. | 1,548 | ||||||
|
| |||||||
| 52,999 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
| 44 | CSS Industries, Inc. | 1,180 | ||||||
| 86 | Leggett & Platt, Inc. | 4,411 | ||||||
| 62 | NACCO Industries, Inc., Class A | 3,494 | ||||||
|
| |||||||
| 9,085 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
| 158 | JAKKS Pacific, Inc. (a) | 1,252 | ||||||
|
| |||||||
Media — 0.9% |
| |||||||
| 77 | Nexstar Broadcasting Group, Inc., Class A | 3,669 | ||||||
| 284 | Sinclair Broadcast Group, Inc., Class A | 8,468 | ||||||
|
| |||||||
| 12,137 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multiline Retail — 0.6% |
| |||||||
| 137 | Big Lots, Inc. | 6,880 | ||||||
| 16 | Dillard’s, Inc., Class A | 994 | ||||||
|
| |||||||
| 7,874 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
| 259 | Abercrombie & Fitch Co., Class A | 4,608 | ||||||
| 200 | Children’s Place, Inc. (The) | 16,020 | ||||||
| 383 | Outerwall, Inc. | 16,064 | ||||||
| 990 | Pier 1 Imports, Inc. | 5,088 | ||||||
|
| |||||||
| 41,780 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
| 96 | Movado Group, Inc. | 2,077 | ||||||
|
| |||||||
Total Consumer Discretionary | 175,440 | |||||||
|
| |||||||
Consumer Staples — 3.0% |
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
| 92 | Ingles Markets, Inc., Class A | 3,435 | ||||||
| 70 | US Foods Holding Corp. (a) | 1,690 | ||||||
|
| |||||||
| 5,125 | ||||||||
|
| |||||||
Food Products — 2.2% |
| |||||||
| 918 | Darling Ingredients, Inc. (a) | 13,684 | ||||||
| 263 | Dean Foods Co. | 4,759 | ||||||
| 168 | Pilgrim’s Pride Corp. | 4,286 | ||||||
| 50 | Post Holdings, Inc. (a) | 4,151 | ||||||
| 21 | Sanderson Farms, Inc. | 1,854 | ||||||
| 20 | Seneca Foods Corp., Class A (a) | 739 | ||||||
|
| |||||||
| 29,473 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 18 | Herbalife Ltd. (a) | 1,054 | ||||||
| 14 | Medifast, Inc. | 452 | ||||||
|
| |||||||
| 1,506 | ||||||||
|
| |||||||
Tobacco — 0.3% |
| |||||||
| 52 | Universal Corp. | 3,014 | ||||||
|
| |||||||
Total Consumer Staples | 39,118 | |||||||
|
| |||||||
Energy — 3.3% |
| |||||||
Energy Equipment & Services — 0.9% |
| |||||||
| 64 | Archrock, Inc. | 604 | ||||||
| 318 | Parker Drilling Co. (a) | 729 | ||||||
| 267 | Pioneer Energy Services Corp. (a) | 1,230 | ||||||
| 109 | SEACOR Holdings, Inc. (a) | 6,316 | ||||||
| 289 | Seadrill Ltd., (United Kingdom) (a) | 936 | ||||||
| 123 | Unit Corp. (a) | 1,911 | ||||||
|
| |||||||
| 11,726 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — 2.4% |
| |||||||
| 16 | Adams Resources & Energy, Inc. | 616 | ||||||
| 1,076 | Bill Barrett Corp. (a) | 6,873 | ||||||
| 1,344 | Denbury Resources, Inc. | 4,825 | ||||||
| 21 | EP Energy Corp., Class A (a) | 109 | ||||||
| 61 | Renewable Energy Group, Inc. (a) | 538 | ||||||
| 257 | REX American Resources Corp. (a) | 15,346 | ||||||
| 330 | Sanchez Energy Corp. (a) | 2,330 | ||||||
| 40 | Western Refining, Inc. | 817 | ||||||
|
| |||||||
| 31,454 | ||||||||
|
| |||||||
Total Energy | 43,180 | |||||||
|
| |||||||
Financials — 24.2% |
| |||||||
Banks — 8.6% |
| |||||||
| 57 | 1st Source Corp. | 1,858 | ||||||
| 83 | BancFirst Corp. | 5,019 | ||||||
| 221 | BancorpSouth, Inc. | 5,010 | ||||||
| 26 | Banner Corp. | 1,106 | ||||||
| 73 | BBCN Bancorp, Inc. | 1,082 | ||||||
| 227 | Capital Bank Financial Corp., Class A | 6,543 | ||||||
| 86 | Cathay General Bancorp | 2,434 | ||||||
| 337 | Central Pacific Financial Corp. | 7,944 | ||||||
| 20 | Central Valley Community Bancorp | 283 | ||||||
| 34 | Chemical Financial Corp. | 1,264 | ||||||
| 23 | Citizens & Northern Corp. | 455 | ||||||
| 55 | City Holding Co. | 2,496 | ||||||
| 59 | CoBiz Financial, Inc. | 687 | ||||||
| 373 | CVB Financial Corp. | 6,105 | ||||||
| 4 | East West Bancorp, Inc. | 138 | ||||||
| 396 | FCB Financial Holdings, Inc., Class A (a) | 13,464 | ||||||
| 421 | First Commonwealth Financial Corp. | 3,869 | ||||||
| 24 | First Community Bancshares, Inc. | 541 | ||||||
| 7 | First Financial Bancorp | 134 | ||||||
| 25 | First Interstate BancSystem, Inc., Class A | 705 | ||||||
| 73 | Flushing Financial Corp. | 1,457 | ||||||
| 136 | FNB Corp. | 1,705 | ||||||
| 93 | Fulton Financial Corp. | 1,251 | ||||||
| 58 | Great Western Bancorp, Inc. | 1,817 | ||||||
| 36 | Guaranty Bancorp | 608 | ||||||
| 36 | Independent Bank Corp. | 518 | ||||||
| 242 | Investors Bancorp, Inc. | 2,685 | ||||||
| 29 | MainSource Financial Group, Inc. | 631 | ||||||
| 232 | OFG Bancorp, (Puerto Rico) | 1,926 | ||||||
| 59 | PacWest Bancorp | 2,351 | ||||||
| 72 | Park Sterling Corp. | 511 | ||||||
| 25 | Sierra Bancorp | 417 | ||||||
| 35 | Simmons First National Corp., Class A | 1,626 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 17 | Southside Bancshares, Inc. | 523 | ||||||
| 18 | Southwest Bancorp, Inc. | 310 | ||||||
| 116 | Suffolk Bancorp | 3,619 | ||||||
| 222 | TCF Financial Corp. | 2,810 | ||||||
| 76 | Trustmark Corp. | 1,891 | ||||||
| 34 | UMB Financial Corp. | 1,804 | ||||||
| 312 | Union Bankshares Corp. | 7,702 | ||||||
| 21 | Webster Financial Corp. | 696 | ||||||
| 82 | West Bancorporation, Inc. | 1,521 | ||||||
| 255 | Westamerica Bancorporation | 12,542 | ||||||
| 148 | Wilshire Bancorp, Inc. | 1,538 | ||||||
|
| |||||||
| 113,596 | ||||||||
|
| |||||||
Capital Markets — 0.5% |
| |||||||
| 237 | Cowen Group, Inc., Class A (a) | 702 | ||||||
| 32 | Federated Investors, Inc., Class B | 909 | ||||||
| 156 | Investment Technology Group, Inc. | 2,602 | ||||||
| 174 | KCG Holdings, Inc., Class A (a) | 2,313 | ||||||
|
| |||||||
| 6,526 | ||||||||
|
| |||||||
Consumer Finance — 0.6% |
| |||||||
| 56 | Cash America International, Inc. | 2,370 | ||||||
| 10 | Credit Acceptance Corp. (a) | 1,777 | ||||||
| 223 | EZCORP, Inc., Class A (a) | 1,682 | ||||||
| 73 | Nelnet, Inc., Class A | 2,519 | ||||||
|
| |||||||
| 8,348 | ||||||||
|
| |||||||
Diversified Financial Services — 0.9% |
| |||||||
| 64 | Bats Global Markets, Inc. (a) | 1,655 | ||||||
| 72 | MarketAxess Holdings, Inc. | 10,512 | ||||||
|
| |||||||
| 12,167 | ||||||||
|
| |||||||
Insurance — 2.2% |
| |||||||
| 16 | Ambac Financial Group, Inc. (a) | 265 | ||||||
| 146 | American Equity Investment Life Holding Co. | 2,078 | ||||||
| 25 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,159 | ||||||
| 331 | CNO Financial Group, Inc. | 5,777 | ||||||
| 56 | First American Financial Corp. | 2,252 | ||||||
| 20 | Global Indemnity plc, (Ireland) (a) | 562 | ||||||
| 71 | Kemper Corp. | 2,206 | ||||||
| 96 | MBIA, Inc. (a) | 656 | ||||||
| 48 | Navigators Group, Inc. (The) | 4,387 | ||||||
| 88 | Primerica, Inc. | 5,060 | ||||||
| 75 | ProAssurance Corp. | 4,027 | ||||||
| 14 | Stewart Information Services Corp. | 563 | ||||||
|
| |||||||
| 28,992 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — 8.4% |
| |||||||
| 95 | American Assets Trust, Inc. | 4,045 | ||||||
| 14 | Armada Hoffler Properties, Inc. | 185 | ||||||
| 41 | Ashford Hospitality Trust, Inc. | 219 | ||||||
| 607 | Capstead Mortgage Corp. | 5,885 | ||||||
| 104 | CBL & Associates Properties, Inc. | 970 | ||||||
| 189 | CoreSite Realty Corp. | 16,762 | ||||||
| 69 | CubeSmart | 2,125 | ||||||
| 21 | CyrusOne, Inc. | 1,152 | ||||||
| 1,380 | CYS Investments, Inc. | 11,554 | ||||||
| 82 | DCT Industrial Trust, Inc. | 3,956 | ||||||
| 102 | DiamondRock Hospitality Co. | 918 | ||||||
| 45 | EastGroup Properties, Inc. | 3,095 | ||||||
| 5 | EPR Properties | 387 | ||||||
| 26 | Equity LifeStyle Properties, Inc. | 2,089 | ||||||
| 22 | Equity One, Inc. | 705 | ||||||
| 51 | First Industrial Realty Trust, Inc. | 1,422 | ||||||
| 88 | Franklin Street Properties Corp. | 1,083 | ||||||
| 20 | Gladstone Commercial Corp. | 339 | ||||||
| 96 | Government Properties Income Trust | 2,221 | ||||||
| 128 | Gramercy Property Trust | 1,177 | ||||||
| 179 | Hersha Hospitality Trust | 3,063 | ||||||
| 38 | Highwoods Properties, Inc. | 2,017 | ||||||
| 104 | Hospitality Properties Trust | 3,001 | ||||||
| 164 | LTC Properties, Inc. | 8,468 | ||||||
| 92 | Mack-Cali Realty Corp. | 2,487 | ||||||
| 90 | Monogram Residential Trust, Inc. | 922 | ||||||
| 13 | National Retail Properties, Inc. | 667 | ||||||
| 54 | Pennsylvania Real Estate Investment Trust | 1,158 | ||||||
| 42 | Post Properties, Inc. | 2,564 | ||||||
| 143 | Potlatch Corp. | 4,883 | ||||||
| 18 | PS Business Parks, Inc. | 1,920 | ||||||
| 188 | Ramco-Gershenson Properties Trust | 3,691 | ||||||
| 490 | RLJ Lodging Trust | 10,511 | ||||||
| 50 | Saul Centers, Inc. | 3,086 | ||||||
| 23 | Silver Bay Realty Trust Corp. | 388 | ||||||
| 33 | Summit Hotel Properties, Inc. | 433 | ||||||
| 34 | Taubman Centers, Inc. | 2,515 | ||||||
|
| |||||||
| 112,063 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 31 | Alexander & Baldwin, Inc. | 1,113 | ||||||
| 420 | Forestar Group, Inc. (a) | 4,989 | ||||||
| 20 | St. Joe Co. (The) (a) | 356 | ||||||
|
| |||||||
| 6,458 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — 2.5% |
| |||||||
| 19 | BankFinancial Corp. | 223 | ||||||
| 388 | Beneficial Bancorp, Inc. (a) | 4,937 | ||||||
| 20 | Capitol Federal Financial, Inc. | 279 | ||||||
| 72 | Charter Financial Corp. | 952 | ||||||
| 20 | First Defiance Financial Corp. | 769 | ||||||
| 597 | Meridian Bancorp, Inc. | 8,819 | ||||||
| 227 | MGIC Investment Corp. (a) | 1,348 | ||||||
| 218 | NMI Holdings, Inc., Class A (a) | 1,193 | ||||||
| 584 | Northfield Bancorp, Inc. | 8,662 | ||||||
| 158 | Oritani Financial Corp. | 2,531 | ||||||
| 133 | Walker & Dunlop, Inc. (a) | 3,019 | ||||||
|
| |||||||
| 32,732 | ||||||||
|
| |||||||
Total Financials | 320,882 | |||||||
|
| |||||||
Health Care — 13.1% |
| |||||||
Biotechnology — 4.5% |
| |||||||
| 129 | ACADIA Pharmaceuticals, Inc. (a) | 4,181 | ||||||
| 91 | Adamas Pharmaceuticals, Inc. (a) | 1,370 | ||||||
| 15 | Aduro Biotech, Inc. (a) | 171 | ||||||
| 92 | Aimmune Therapeutics, Inc. (a) | 990 | ||||||
| 160 | Amicus Therapeutics, Inc. (a) | 875 | ||||||
| 8 | Applied Genetic Technologies Corp. (a) | 112 | ||||||
| 31 | Ardelyx, Inc. (a) | 271 | ||||||
| 335 | Arrowhead Pharmaceuticals, Inc. (a) | 1,784 | ||||||
| 52 | Atara Biotherapeutics, Inc. (a) | 1,175 | ||||||
| 30 | Avexis, Inc. (a) | 1,137 | ||||||
| 132 | Bellicum Pharmaceuticals, Inc. (a) | 1,716 | ||||||
| 35 | Blueprint Medicines Corp. (a) | 713 | ||||||
| 87 | Cara Therapeutics, Inc. (a) | 417 | ||||||
| 38 | Chimerix, Inc. (a) | 148 | ||||||
| 72 | Coherus Biosciences, Inc. (a) | 1,221 | ||||||
| 92 | Dimension Therapeutics, Inc. (a) | 554 | ||||||
| 101 | Edge Therapeutics, Inc. (a) | 1,021 | ||||||
| 84 | FibroGen, Inc. (a) | 1,374 | ||||||
| 96 | Flexion Therapeutics, Inc. (a) | 1,434 | ||||||
| 90 | Global Blood Therapeutics, Inc. (a) | 1,491 | ||||||
| 123 | Halozyme Therapeutics, Inc. (a) | 1,063 | ||||||
| 52 | Heron Therapeutics, Inc. (a) | 935 | ||||||
| 183 | Idera Pharmaceuticals, Inc. (a) | 280 | ||||||
| 134 | Immune Design Corp. (a) | 1,093 | ||||||
| 189 | Infinity Pharmaceuticals, Inc. (a) | 252 | ||||||
| 27 | Intellia Therapeutics, Inc. (a) | 585 | ||||||
| 147 | Karyopharm Therapeutics, Inc. (a) | 986 | ||||||
| 12 | Kite Pharma, Inc. (a) | 615 | ||||||
| 62 | MacroGenics, Inc. (a) | 1,673 | ||||||
| 49 | Mirati Therapeutics, Inc. (a) | 265 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 99 | Neurocrine Biosciences, Inc. (a) | 4,513 | ||||||
| 41 | Ophthotech Corp. (a) | 2,082 | ||||||
| 49 | Portola Pharmaceuticals, Inc. (a) | 1,145 | ||||||
| 54 | Proteostasis Therapeutics, Inc. (a) | 657 | ||||||
| 75 | Prothena Corp. plc, (Ireland) (a) | 2,632 | ||||||
| 298 | PTC Therapeutics, Inc. (a) | 2,095 | ||||||
| 19 | Puma Biotechnology, Inc. (a) | 560 | ||||||
| 53 | Radius Health, Inc. (a) | 1,933 | ||||||
| 55 | Sage Therapeutics, Inc. (a) | 1,663 | ||||||
| 132 | Selecta Biosciences, Inc. (a) | 1,845 | ||||||
| 43 | Seres Therapeutics, Inc. (a) | 1,235 | ||||||
| 19 | Spark Therapeutics, Inc. (a) | 982 | ||||||
| 639 | Synergy Pharmaceuticals, Inc. (a) | 2,429 | ||||||
| 83 | Tokai Pharmaceuticals, Inc. (a) | 458 | ||||||
| 45 | Ultragenyx Pharmaceutical, Inc. (a) | 2,206 | ||||||
| 54 | Versartis, Inc. (a) | 594 | ||||||
| 147 | Xencor, Inc. (a) | 2,782 | ||||||
| 11 | Zafgen, Inc. (a) | 68 | ||||||
|
| |||||||
| 59,781 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
| 184 | Inogen, Inc. (a) | 9,240 | ||||||
| 35 | NuVasive, Inc. (a) | 2,078 | ||||||
| 113 | Orthofix International N.V. (a) | 4,783 | ||||||
| 9 | Penumbra, Inc. (a) | 506 | ||||||
| 350 | Quidel Corp. (a) | 6,242 | ||||||
| 184 | SurModics, Inc. (a) | 4,323 | ||||||
| 20 | Utah Medical Products, Inc. | 1,235 | ||||||
| 244 | Wright Medical Group N.V., (Netherlands) (a) | 4,229 | ||||||
|
| |||||||
| 32,636 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.6% |
| |||||||
| 141 | Alliance HealthCare Services, Inc. (a) | 877 | ||||||
| 56 | American Renal Associates Holdings, Inc. (a) | 1,608 | ||||||
| 71 | Amsurg Corp. (a) | 5,474 | ||||||
| 239 | Civitas Solutions, Inc. (a) | 4,976 | ||||||
| 897 | Community Health Systems, Inc. (a) | 10,811 | ||||||
| 503 | Cross Country Healthcare, Inc. (a) | 7,002 | ||||||
| 66 | Landauer, Inc. | 2,708 | ||||||
| 155 | Molina Healthcare, Inc. (a) | 7,755 | ||||||
| 228 | Owens & Minor, Inc. | 8,504 | ||||||
| 107 | Surgical Care Affiliates, Inc. (a) | 5,105 | ||||||
| 102 | Triple-S Management Corp., (Puerto Rico), Class B (a) | 2,485 | ||||||
| 34 | WellCare Health Plans, Inc. (a) | 3,594 | ||||||
|
| |||||||
| 60,899 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 0.2% |
| |||||||
| 169 | HMS Holdings Corp. (a) | 2,967 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
| 25 | Cambrex Corp. (a) | 1,314 | ||||||
| 63 | INC Research Holdings, Inc., Class A (a) | 2,410 | ||||||
|
| |||||||
| 3,724 | ||||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
| 100 | Amphastar Pharmaceuticals, Inc. (a) | 1,609 | ||||||
| 129 | Axsome Therapeutics, Inc. (a) | 975 | ||||||
| 52 | Intra-Cellular Therapies, Inc. (a) | 2,011 | ||||||
| 54 | Pacira Pharmaceuticals, Inc. (a) | 1,804 | ||||||
| 30 | Prestige Brands Holdings, Inc. (a) | 1,679 | ||||||
| 107 | Reata Pharmaceuticals, Inc., Class A (a) | 2,121 | ||||||
| 61 | Relypsa, Inc. (a) | 1,123 | ||||||
| 75 | Revance Therapeutics, Inc. (a) | 1,021 | ||||||
| 200 | TherapeuticsMD, Inc. (a) | 1,699 | ||||||
|
| |||||||
| 14,042 | ||||||||
|
| |||||||
Total Health Care | 174,049 | |||||||
|
| |||||||
Industrials — 13.8% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
| 113 | AAR Corp. | 2,628 | ||||||
| 68 | Curtiss-Wright Corp. | 5,754 | ||||||
| 772 | DigitalGlobe, Inc. (a) | 16,511 | ||||||
| 63 | Moog, Inc., Class A (a) | 3,376 | ||||||
|
| |||||||
| 28,269 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
| 46 | Atlas Air Worldwide Holdings, Inc. (a) | 1,897 | ||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
| 115 | Alaska Air Group, Inc. | 6,680 | ||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
| 209 | Continental Building Products, Inc. (a) | 4,642 | ||||||
| 127 | Gibraltar Industries, Inc. (a) | 4,009 | ||||||
| 158 | Ply Gem Holdings, Inc. (a) | 2,302 | ||||||
|
| |||||||
| 10,953 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.0% |
| |||||||
| 1,289 | ACCO Brands Corp. (a) | 13,314 | ||||||
| 107 | Deluxe Corp. | 7,095 | ||||||
| 238 | Ennis, Inc. | 4,570 | ||||||
| 189 | Essendant, Inc. | 5,764 | ||||||
| 66 | Interface, Inc. | 999 | ||||||
| 58 | VSE Corp. | 3,841 | ||||||
| 200 | West Corp. | 3,926 | ||||||
|
| |||||||
| 39,509 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Construction & Engineering — 1.0% |
| |||||||
| 222 | EMCOR Group, Inc. | 10,945 | ||||||
| 118 | MasTec, Inc. (a) | 2,625 | ||||||
|
| |||||||
| 13,570 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
| 258 | Actuant Corp., Class A | 5,838 | ||||||
| 327 | Briggs & Stratton Corp. | 6,924 | ||||||
| 314 | Douglas Dynamics, Inc. | 8,087 | ||||||
| 12 | Graham Corp. | 217 | ||||||
| 39 | Hurco Cos., Inc. | 1,094 | ||||||
| 23 | Hyster-Yale Materials Handling, Inc. | 1,351 | ||||||
| 18 | Joy Global, Inc. | 383 | ||||||
| 72 | Kadant, Inc. | 3,698 | ||||||
| 26 | Kennametal, Inc. | 579 | ||||||
| 52 | Wabash National Corp. (a) | 655 | ||||||
|
| |||||||
| 28,826 | ||||||||
|
| |||||||
Marine — 0.7% |
| |||||||
| 273 | Matson, Inc. | 8,822 | ||||||
|
| |||||||
Professional Services — 1.3% |
| |||||||
| 136 | Barrett Business Services, Inc. | 5,621 | ||||||
| 41 | Franklin Covey Co. (a) | 628 | ||||||
| 52 | Huron Consulting Group, Inc. (a) | 3,112 | ||||||
| 32 | TriNet Group, Inc. (a) | 665 | ||||||
| 122 | WageWorks, Inc. (a) | 7,273 | ||||||
|
| |||||||
| 17,299 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 116 | ArcBest Corp. | 1,880 | ||||||
| 123 | Swift Transportation Co. (a) | 1,891 | ||||||
| 293 | USA Truck, Inc. (a) | 5,132 | ||||||
|
| |||||||
| 8,903 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.3% |
| |||||||
| 75 | Applied Industrial Technologies, Inc. | 3,394 | ||||||
| 166 | DXP Enterprises, Inc. (a) | 2,478 | ||||||
| 383 | MRC Global, Inc. (a) | 5,440 | ||||||
| 120 | NOW, Inc. (a) | 2,175 | ||||||
| 24 | SiteOne Landscape Supply, Inc. (a) | 816 | ||||||
| 309 | Titan Machinery, Inc. (a) | 3,450 | ||||||
|
| |||||||
| 17,753 | ||||||||
|
| |||||||
Total Industrials | 182,481 | |||||||
|
| |||||||
Information Technology — 17.8% |
| |||||||
Communications Equipment — 2.6% |
| |||||||
| 94 | Bel Fuse, Inc., Class B | 1,673 | ||||||
| 58 | Black Box Corp. | 753 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — continued |
| |||||||
| 591 | Harmonic, Inc. (a) | 1,686 | ||||||
| 120 | InterDigital, Inc. | 6,704 | ||||||
| 116 | NETGEAR, Inc. (a) | 5,524 | ||||||
| 185 | Plantronics, Inc. | 8,149 | ||||||
| 258 | Polycom, Inc. (a) | 2,897 | ||||||
| 186 | Ubiquiti Networks, Inc. (a) | 7,206 | ||||||
|
| |||||||
| 34,592 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% |
| |||||||
| 221 | Benchmark Electronics, Inc. (a) | 4,679 | ||||||
| 19 | Coherent, Inc. (a) | 1,716 | ||||||
| 41 | Insight Enterprises, Inc. (a) | 1,071 | ||||||
| 1,312 | InvenSense, Inc. (a) | 8,040 | ||||||
| 135 | Sanmina Corp. (a) | 3,630 | ||||||
| 162 | Tech Data Corp. (a) | 11,654 | ||||||
| 97 | Vishay Intertechnology, Inc. | 1,202 | ||||||
|
| |||||||
| 31,992 | ||||||||
|
| |||||||
Internet Software & Services — 2.8% |
| |||||||
| 2,161 | Bazaarvoice, Inc. (a) | 8,665 | ||||||
| 736 | EarthLink Holdings Corp. | 4,710 | ||||||
| 195 | Marchex, Inc., Class B (a) | 619 | ||||||
| 183 | MINDBODY, Inc., Class A (a) | 2,957 | ||||||
| 259 | RetailMeNot, Inc. (a) | 1,997 | ||||||
| 88 | Twilio, Inc., Class A (a) | 3,219 | ||||||
| 291 | Web.com Group, Inc. (a) | 5,297 | ||||||
| 77 | WebMD Health Corp. (a) | 4,498 | ||||||
| 397 | Xactly Corp. (a) | 5,082 | ||||||
|
| |||||||
| 37,044 | ||||||||
|
| |||||||
IT Services — 1.8% |
| |||||||
| 209 | Convergys Corp. | 5,232 | ||||||
| 220 | CSG Systems International, Inc. | 8,884 | ||||||
| 26 | Euronet Worldwide, Inc. (a) | 1,806 | ||||||
| 34 | EVERTEC, Inc., (Puerto Rico) | 527 | ||||||
| 62 | Science Applications International Corp. | 3,618 | ||||||
| 493 | Unisys Corp. (a) | 3,589 | ||||||
|
| |||||||
| 23,656 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 14 | Acacia Communications, Inc. (a) | 551 | ||||||
| 187 | Advanced Energy Industries, Inc. (a) | 7,114 | ||||||
| 320 | Alpha & Omega Semiconductor Ltd. (a) | 4,456 | ||||||
| 430 | Cohu, Inc. | 4,663 | ||||||
| 303 | Integrated Device Technology, Inc. (a) | 6,093 | ||||||
| 296 | Intersil Corp., Class A | 4,012 | ||||||
| 19 | Silicon Laboratories, Inc. (a) | 906 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 57 | Tessera Technologies, Inc. | 1,759 | ||||||
| 621 | Xcerra Corp. (a) | 3,570 | ||||||
|
| |||||||
| 33,124 | ||||||||
|
| |||||||
Software — 5.7% |
| |||||||
| 188 | ACI Worldwide, Inc. (a) | 3,672 | ||||||
| 362 | Aspen Technology, Inc. (a) | 14,559 | ||||||
| 177 | AVG Technologies N.V., (Netherlands) (a) | 3,367 | ||||||
| 134 | Barracuda Networks, Inc. (a) | 2,027 | ||||||
| 80 | Fair Isaac Corp. | 8,996 | ||||||
| 48 | Manhattan Associates, Inc. (a) | 3,078 | ||||||
| 263 | Mentor Graphics Corp. | 5,600 | ||||||
| 32 | Progress Software Corp. (a) | 887 | ||||||
| 52 | Qualys, Inc. (a) | 1,547 | ||||||
| 65 | Rapid7, Inc. (a) | 814 | ||||||
| 624 | Rovi Corp. (a) | 9,751 | ||||||
| 494 | Take-Two Interactive Software, Inc. (a) | 18,725 | ||||||
| 127 | VASCO Data Security International, Inc. (a) | 2,073 | ||||||
|
| |||||||
| 75,096 | ||||||||
|
| |||||||
Total Information Technology | 235,504 | |||||||
|
| |||||||
Materials — 3.8% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 84 | Innophos Holdings, Inc. | 3,541 | ||||||
| 67 | Koppers Holdings, Inc. (a) | 2,068 | ||||||
| 112 | Minerals Technologies, Inc. | 6,350 | ||||||
| 258 | OMNOVA Solutions, Inc. (a) | 1,871 | ||||||
| 450 | Rayonier Advanced Materials, Inc. | 6,117 | ||||||
| 79 | Trinseo S.A. (a) | 3,409 | ||||||
|
| |||||||
| 23,356 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 60 | Berry Plastics Group, Inc. (a) | 2,312 | ||||||
| 678 | Graphic Packaging Holding Co. | 8,496 | ||||||
| 31 | Myers Industries, Inc. | 452 | ||||||
|
| |||||||
| 11,260 | ||||||||
|
| |||||||
Metals & Mining — 1.1% |
| |||||||
| 53 | Carpenter Technology Corp. | 1,732 | ||||||
| 50 | Commercial Metals Co. | 850 | ||||||
| 74 | Olympic Steel, Inc. | 2,024 | ||||||
| 131 | Ryerson Holding Corp. (a) | 2,292 | ||||||
| 174 | Worthington Industries, Inc. | 7,348 | ||||||
|
| |||||||
| 14,246 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| 41 | Domtar Corp. | 1,428 | ||||||
|
| |||||||
Total Materials | 50,290 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 1,089 | Cincinnati Bell, Inc. (a) | 4,975 | ||||||
| 25 | General Communication, Inc., Class A (a) | 387 | ||||||
| 85 | Vonage Holdings Corp. (a) | 520 | ||||||
| 782 | Windstream Holdings, Inc. | 7,245 | ||||||
|
| |||||||
Total Telecommunication Services | 13,127 | |||||||
|
| |||||||
Utilities — 3.9% |
| |||||||
Electric Utilities — 1.3% |
| |||||||
| 104 | El Paso Electric Co. | 4,930 | ||||||
| 77 | PNM Resources, Inc. | 2,733 | ||||||
| 155 | Portland General Electric Co. | 6,821 | ||||||
| 80 | Spark Energy, Inc., Class A | 2,644 | ||||||
|
| |||||||
| 17,128 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 48 | AGL Resources, Inc. | 3,157 | ||||||
| 52 | Southwest Gas Corp. | 4,109 | ||||||
| 61 | Spire, Inc. | 4,335 | ||||||
|
| |||||||
| 11,601 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.8% |
| |||||||
| 1,181 | Atlantic Power Corp. | 2,929 | ||||||
| 416 | Dynegy, Inc. (a) | 7,179 | ||||||
| 18 | Ormat Technologies, Inc. | 792 | ||||||
|
| |||||||
| 10,900 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
| 26 | Avista Corp. | 1,160 | ||||||
| 28 | NorthWestern Corp. | 1,791 | ||||||
|
| |||||||
| 2,951 | ||||||||
|
| |||||||
Water Utilities — 0.7% |
| |||||||
| 221 | American States Water Co. | 9,684 | ||||||
|
| |||||||
Total Utilities | 52,264 | |||||||
|
| |||||||
Total Common Stocks | 1,286,335 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% | |||||||
Health Care — 0.0% |
| |||||||
Biotechnology — 0.0% |
| |||||||
| 63 | Trius Therapeutics, Inc. CVR (a) | — | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (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% |
| |||||||
| — | (h) | Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) | — | |||||
|
| |||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.5% | |||||||
Investment Company — 2.5% |
| |||||||
| 32,546 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $32,546) | 32,546 | ||||||
|
| |||||||
Total Investments — 99.7% | 1,318,881 | |||||||
Other Assets in Excess of | 4,431 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,323,312 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 310 | E-mini Russell 2000 | 09/16/16 | USD | $ | 35,569 | $ | 521 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Small Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| CVR | — Contingent Value Rights | |
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market 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 0.05%. | |
| (h) | — Amount rounds to less than 500 (shares or number of warrants). | |
| (l) | — The rate shown is the current yield as of June 30, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(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 | $ | 150,488 | $ | 157,459 | $ | 3,295,327 | ||||||
Investments in affiliates, at value | 3,180 | 5,966 | 138,079 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 153,668 | 163,425 | 3,433,406 | |||||||||
Deposits at broker for futures contracts | — | 455 | — | |||||||||
Due from custodian | — | — | 2,580 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 975 | 1,464 | — | |||||||||
Fund shares sold | 94 | 95 | 18,960 | |||||||||
Dividends from non-affiliates | 84 | 200 | 3,737 | |||||||||
Dividends from affiliates | — | (a) | 1 | 50 | ||||||||
Variation margin on futures contracts | — | 114 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 154,821 | 165,754 | 3,458,733 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 11 | — | |||||||||
Investment securities purchased | 1,326 | 621 | 3,984 | |||||||||
Fund shares redeemed | 276 | 263 | 1,776 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 57 | 76 | 1,747 | |||||||||
Administration fees | — | 3 | 220 | |||||||||
Distribution fees | 32 | — | (a) | 186 | ||||||||
Shareholder servicing fees | 25 | 35 | 888 | |||||||||
Custodian and accounting fees | 9 | 10 | 21 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | 3 | |||||||
Sub-transfer agency fees | 69 | 77 | 650 | |||||||||
Other | 121 | 22 | 328 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 1,915 | 1,118 | 9,803 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 152,906 | $ | 164,636 | $ | 3,448,930 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 106,522 | $ | 121,320 | $ | 2,458,361 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (658 | ) | (31 | ) | 8,726 | |||||||
Accumulated net realized gains (losses) | 7,688 | 10,400 | 115,255 | |||||||||
Net unrealized appreciation (depreciation) | 39,354 | 32,947 | 866,588 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 152,906 | $ | 164,636 | $ | 3,448,930 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 55,583 | $ | 23 | $ | 736,629 | ||||||
Class C | 32,734 | 20 | 70,176 | |||||||||
Class R2 | — | — | 5,313 | |||||||||
Class R5 | — | — | 1,349,107 | |||||||||
Class R6 | — | 20 | 25,933 | |||||||||
Select Class | 64,589 | 164,573 | 1,261,772 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 152,906 | $ | 164,636 | $ | 3,448,930 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 2,904 | 1 | 17,673 | |||||||||
Class C | 2,102 | 1 | 2,179 | |||||||||
Class R2 | — | — | 129 | |||||||||
Class R5 | — | — | 28,361 | |||||||||
Class R6 | — | 1 | 545 | |||||||||
Select Class | 3,051 | 3,585 | 26,566 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A —Redemption price per share | $ | 19.14 | $ | 45.88 | $ | 41.68 | ||||||
Class C — Offering price per share (b) | 15.58 | 45.86 | 32.21 | |||||||||
Class R2 —Offering and redemption price per share | — | — | 41.08 | |||||||||
Class R5 —Offering and redemption price per share | — | — | 47.57 | |||||||||
Class R6 —Offering and redemption price per share | — | 45.90 | 47.57 | |||||||||
Select Class — Offering and redemption price per share | 21.17 | 45.90 | 47.50 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 20.20 | $ | 48.42 | $ | 43.99 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 111,134 | $ | 124,597 | $ | 2,428,739 | ||||||
Cost of investments in affiliates | 3,180 | 5,966 | 138,079 | |||||||||
| (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, 2016 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016 (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 | $ | 1,018,200 | $ | 1,731,612 | $ | 1,286,335 | ||||||
Investments in affiliates, at value | 22,619 | 27,554 | 32,546 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,040,819 | 1,759,166 | 1,318,881 | |||||||||
Cash | 43 | — | — | |||||||||
Deposits at broker for futures contracts | — | 1,168 | 1,395 | |||||||||
Due from custodian | — | 1,518 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 6,596 | 7,775 | 5,960 | |||||||||
Fund shares sold | 594 | 1,813 | 2,127 | |||||||||
Dividends from non-affiliates | 569 | 3,377 | 1,697 | |||||||||
Dividends from affiliates | 4 | 9 | 15 | |||||||||
Variation margin on futures contracts | — | 328 | 511 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,048,625 | 1,775,154 | 1,330,586 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | — | (a) | — | ||||||||
Investment securities purchased | 8,998 | 16,938 | 4,855 | |||||||||
Fund shares redeemed | 1,377 | 2,765 | 1,037 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 522 | 926 | 632 | |||||||||
Administration fees | 69 | 117 | 88 | |||||||||
Distribution fees | 57 | 158 | 89 | |||||||||
Shareholder servicing fees | 42 | 64 | 56 | |||||||||
Custodian and accounting fees | 9 | 13 | 23 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | (a) | 1 | ||||||||
Sub-transfer agency fees | 287 | 581 | 343 | |||||||||
Other | 125 | 260 | 150 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 11,487 | 21,822 | 7,274 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,037,138 | $ | 1,753,332 | $ | 1,323,312 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 883,407 | $ | 1,579,895 | $ | 1,296,896 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (1,912 | ) | 2,643 | 2,547 | ||||||||
Accumulated net realized gains (losses) | (17,472 | ) | (33,389 | ) | (47,289 | ) | ||||||
Net unrealized appreciation (depreciation) | 173,115 | 204,183 | 71,158 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,037,138 | $ | 1,753,332 | $ | 1,323,312 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 179,093 | $ | 551,313 | $ | 226,309 | ||||||
Class C | 18,218 | 41,161 | 45,932 | |||||||||
Class R2 | 21,276 | 47,309 | 34,326 | |||||||||
Class R5 | — | 96,674 | — | |||||||||
Class R6 | 445,008 | 753,439 | 139,835 | |||||||||
Institutional Class | 271,369 | — | 587,279 | |||||||||
Select Class | 102,174 | 263,436 | 289,631 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,037,138 | $ | 1,753,332 | $ | 1,323,312 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 15,662 | 22,374 | 14,996 | |||||||||
Class C | 2,067 | 1,977 | 3,152 | |||||||||
Class R2 | 1,908 | 1,932 | 2,307 | |||||||||
Class R5 | — | 3,723 | — | |||||||||
Class R6 | 34,763 | 28,986 | 9,080 | |||||||||
Institutional Class | 21,342 | — | 38,161 | |||||||||
Select Class | 8,226 | 10,144 | 18,809 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 11.43 | $ | 24.64 | $ | 15.09 | ||||||
Class C — Offering price per share (b) | 8.82 | 20.82 | 14.57 | |||||||||
Class R2 — Offering and redemption price per share | 11.15 | 24.48 | 14.88 | |||||||||
Class R5 — Offering and redemption price per share | — | 25.97 | — | |||||||||
Class R6 — Offering and redemption price per share | 12.80 | 25.99 | 15.40 | |||||||||
Institutional Class — Offering and redemption price per share | 12.72 | — | 15.39 | |||||||||
Select Class — Offering and redemption price per share | 12.42 | 25.97 | 15.40 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 12.06 | $ | 26.01 | $ | 15.93 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 845,085 | $ | 1,527,985 | $ | 1,215,698 | ||||||
Cost of investments in affiliates | 22,619 | 27,554 | 32,546 | |||||||||
| (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, 2016 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 1,418 | $ | 5,037 | $ | 48,318 | ||||||
Dividend income from affiliates | 7 | 14 | 317 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,425 | 5,051 | 48,635 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 2,065 | 2,989 | 20,213 | |||||||||
Administration fees | 260 | 377 | 2,549 | |||||||||
Distribution fees: | ||||||||||||
Class A (a) | 152 | — | (b) | 1,737 | ||||||||
Class C (a) | 291 | — | (b) | 302 | ||||||||
Class R2 | — | — | 16 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A (a) | 152 | — | (b) | 1,737 | ||||||||
Class C (a) | 97 | — | (b) | 101 | ||||||||
Class R2 | — | — | 8 | |||||||||
Class R5 | — | — | 613 | |||||||||
Select Class | 545 | 1,150 | 2,861 | |||||||||
Custodian and accounting fees | 41 | 63 | 96 | |||||||||
Interest expense to affiliates | — | (b) | — | — | (b) | |||||||
Professional fees | 51 | 52 | 77 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 9 | 10 | 31 | |||||||||
Printing and mailing costs | 137 | 91 | 558 | |||||||||
Registration and filing fees | 39 | 32 | 129 | |||||||||
Transfer agency fees (See Note 2.D.) | 29 | 15 | 86 | |||||||||
Sub-transfer agency fees (See Note 2.D.) | 229 | 533 | 2,888 | |||||||||
Other | 8 | 8 | 30 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 4,105 | 5,320 | 34,032 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (497 | ) | (1,658 | ) | (3,179 | ) | ||||||
Less expense reimbursements | (1 | ) | (8 | ) | (50 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 3,607 | 3,654 | 30,803 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (2,182 | ) | 1,397 | 17,832 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 27,057 | 69,611 | 399,193 | |||||||||
Futures | 1,130 | (2,237 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 28,187 | 67,374 | 399,193 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (117,590 | ) | (152,376 | ) | (343,741 | ) | ||||||
Futures | — | 453 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (117,590 | ) | (151,923 | ) | (343,741 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (89,403 | ) | (84,549 | ) | 55,452 | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (91,585 | ) | $ | (83,152 | ) | $ | 73,284 | ||||
|
|
|
|
|
| |||||||
| (a) | Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund. |
| (b) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
Small Cap | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 5,300 | $ | 33,915 | $ | 15,756 | ||||||
Dividend income from affiliates | 36 | 95 | 98 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 5,336 | 34,010 | 15,854 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 7,091 | 11,398 | 6,644 | |||||||||
Administration fees | 894 | 1,437 | 908 | |||||||||
Distribution fees: | ||||||||||||
Class A | 531 | 1,356 | 577 | |||||||||
Class C | 158 | 325 | 333 | |||||||||
Class R2 | 116 | 227 | 139 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 531 | 1,356 | 577 | |||||||||
Class C | 53 | 108 | 111 | |||||||||
Class R2 | 58 | 114 | 70 | |||||||||
Class R5 | — | 48 | — | |||||||||
Institutional Class | 264 | — | 431 | |||||||||
Select Class | 294 | 851 | 658 | |||||||||
Custodian and accounting fees | 50 | 102 | 103 | |||||||||
Professional fees | 56 | 59 | 65 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 18 | 14 | |||||||||
Printing and mailing costs | 94 | 255 | 133 | |||||||||
Registration and filing fees | 119 | 162 | 196 | |||||||||
Transfer agency fees (See Note 2.D.) | 77 | 428 | 75 | |||||||||
Sub-transfer agency fees (See Note 2.D.) | 976 | 1,894 | 1,217 | |||||||||
Other | 15 | 35 | 13 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 11,391 | 20,173 | 12,264 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,151 | ) | (2,095 | ) | (1,157 | ) | ||||||
Less expense reimbursements | (87 | ) | (344 | ) | (30 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 10,153 | 17,734 | 11,077 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (4,817 | ) | 16,276 | 4,777 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 3,683 | (6,282 | ) | (26,400 | ) | |||||||
Futures | — | (5,339 | ) | 747 | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 3,683 | (11,621 | ) | (25,653 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (172,393 | ) | (53,206 | ) | (38,055 | ) | ||||||
Futures | — | 963 | 756 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (172,393 | ) | (52,243 | ) | (37,299 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (168,710 | ) | (63,864 | ) | (62,952 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (173,527 | ) | $ | (47,588 | ) | $ | (58,175 | ) | |||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,182 | ) | $ | (3,624 | ) | $ | 1,397 | $ | 4,900 | ||||||
Net realized gain (loss) | 28,187 | 60,975 | 67,374 | 75,637 | ||||||||||||
Change in net unrealized appreciation/depreciation | (117,590 | ) | 8,299 | (151,923 | ) | (30,546 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (91,585 | ) | 65,650 | (83,152 | ) | 49,991 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net realized gains | (8,870 | ) | (5,692 | ) | — | — | ||||||||||
Class B (a) | ||||||||||||||||
From net realized gains | — | (37 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net realized gains | (6,681 | ) | (4,687 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (4,787 | ) | (1,375 | ) | ||||||||||
From net realized gains | (40,293 | ) | (32,531 | ) | (69,898 | ) | (72,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (55,844 | ) | (42,947 | ) | (74,685 | ) | (73,476 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (209,461 | ) | (72,931 | ) | (493,179 | ) | 135,830 | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (356,890 | ) | (50,228 | ) | (651,016 | ) | 112,345 | |||||||||
Beginning of period | 509,796 | 560,024 | 815,652 | 703,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 152,906 | $ | 509,796 | $ | 164,636 | $ | 815,652 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (658 | ) | $ | (1,638 | ) | $ | (31 | ) | $ | 3,671 | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Dynamic Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 17,832 | $ | 16,019 | $ | (4,817 | ) | $ | (6,112 | ) | ||||||
Net realized gain (loss) | 399,193 | 217,676 | 3,683 | 105,332 | ||||||||||||
Change in net unrealized appreciation/depreciation | (343,741 | ) | 22,116 | (172,393 | ) | 49,185 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 73,284 | 255,811 | (173,527 | ) | 148,405 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (2,634 | ) | (1,326 | ) | — | — | ||||||||||
From net realized gains | (51,657 | ) | (72,144 | ) | (17,982 | ) | (20,645 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | — | (441 | ) | — | (176 | ) | ||||||||||
Class C | ||||||||||||||||
From net realized gains | (2,993 | ) | (4,673 | ) | (2,222 | ) | (2,503 | ) | ||||||||
Class R2 | ||||||||||||||||
From net realized gains | (211 | ) | (372 | ) | (1,956 | ) | (2,202 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (7,998 | ) | (7,331 | ) | — | — | ||||||||||
From net realized gains | (77,242 | ) | (107,883 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | — | — | (34,132 | ) | (30,237 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net realized gains | — | — | (19,628 | ) | (20,050 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,556 | ) | (6,696 | ) | — | — | ||||||||||
From net realized gains | (59,055 | ) | (140,920 | ) | (8,776 | ) | (10,568 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (205,346 | ) | (341,786 | ) | (84,696 | ) | (86,381 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 187,154 | 70,368 | 50,292 | 25,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 55,092 | (15,607 | ) | (207,931 | ) | 87,755 | ||||||||||
Beginning of period | 3,393,838 | 3,409,445 | 1,245,069 | 1,157,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,448,930 | $ | 3,393,838 | $ | 1,037,138 | $ | 1,245,069 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 8,726 | $ | 7,031 | $ | (1,912 | ) | $ | (2,802 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 16,276 | $ | 17,079 | $ | 4,777 | $ | 3,308 | ||||||||
Net realized gain (loss) | (11,621 | ) | 82,582 | (25,653 | ) | 36,899 | ||||||||||
Change in net unrealized appreciation/depreciation | (52,243 | ) | (77,688 | ) | (37,299 | ) | 23,209 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (47,588 | ) | 21,973 | (58,175 | ) | 63,416 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (3,316 | ) | (4,063 | ) | (375 | ) | — | |||||||||
From net realized gains | (24,024 | ) | (24,585 | ) | (9,859 | ) | (5,065 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | (10 | ) | — | — | |||||||||||
From net realized gains | — | (142 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (138 | ) | (237 | ) | — | — | ||||||||||
From net realized gains | (2,266 | ) | (2,788 | ) | (1,985 | ) | (879 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (176 | ) | (253 | ) | (36 | ) | — | |||||||||
From net realized gains | (2,034 | ) | (2,245 | ) | (1,197 | ) | (339 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (877 | ) | (897 | ) | — | — | ||||||||||
From net realized gains | (4,226 | ) | (3,945 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | (7,344 | ) | (5,716 | ) | (620 | ) | (152 | ) | ||||||||
From net realized gains | (33,390 | ) | (23,274 | ) | (4,031 | ) | (1,577 | ) | ||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (2,157 | ) | (689 | ) | ||||||||||
From net realized gains | — | — | (16,302 | ) | (8,505 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (2,589 | ) | (4,081 | ) | (1,045 | ) | (184 | ) | ||||||||
From net realized gains | (11,883 | ) | (19,170 | ) | (11,139 | ) | (5,885 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (92,263 | ) | (91,406 | ) | (48,746 | ) | (23,275 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 22,440 | 381,022 | 458,685 | 349,644 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (117,411 | ) | 311,589 | 351,764 | 389,785 | |||||||||||
Beginning of period | 1,870,743 | 1,559,154 | 971,548 | 581,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,753,332 | $ | 1,870,743 | $ | 1,323,312 | $ | 971,548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,643 | $ | 1,913 | $ | 2,547 | $ | 2,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A (a) | ||||||||||||||||
Proceeds from shares issued | $ | 10,070 | $ | 11,741 | $ | 23 | $ | — | ||||||||
Distributions reinvested | 6,411 | 4,072 | — | — | ||||||||||||
Cost of shares redeemed | (14,402 | ) | (32,156 | ) | — | — | ||||||||||
Conversion from Class B Shares | — | 366 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 2,079 | $ | (15,977 | ) | $ | 23 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 8 | $ | — | $ | — | ||||||||
Distributions reinvested | — | 33 | — | — | ||||||||||||
Cost of shares redeemed | — | (202 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (366 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (527 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C (a) | ||||||||||||||||
Proceeds from shares issued | $ | 13,161 | $ | 12,653 | $ | 20 | $ | — | ||||||||
Distributions reinvested | 856 | 515 | — | — | ||||||||||||
Cost of shares redeemed | (17,151 | ) | (19,389 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (3,134 | ) | $ | (6,221 | ) | $ | 20 | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 20 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 20 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 68,912 | $ | 109,502 | $ | 82,011 | $ | 165,199 | ||||||||
Distributions reinvested | 39,841 | 32,251 | 71,593 | 69,335 | ||||||||||||
Cost of shares redeemed | (317,159 | ) | (191,959 | ) | (116,062 | ) | (98,704 | ) | ||||||||
Redemptions in-kind (See Note 7) | — | — | (530,784 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (208,406 | ) | $ | (50,206 | ) | $ | (493,242 | ) | $ | 135,830 | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (209,461 | ) | $ | (72,931 | ) | $ | (493,179 | ) | $ | 135,830 | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Dynamic Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A (a) | ||||||||||||||||
Issued | 478 | 487 | 1 | — | ||||||||||||
Reinvested | 327 | 179 | — | — | ||||||||||||
Redeemed | (712 | ) | (1,334 | ) | — | — | ||||||||||
Conversion from Class B Shares | — | 14 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 93 | (654 | ) | 1 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (b) | ||||||||||||||||
Issued | — | 1 | — | — | ||||||||||||
Reinvested | — | 1 | — | — | ||||||||||||
Redeemed | — | (10 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (16 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (24 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C (a) | ||||||||||||||||
Issued | 780 | 625 | 1 | — | ||||||||||||
Reinvested | 54 | 27 | — | — | ||||||||||||
Redeemed | (1,015 | ) | (935 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (181 | ) | (283 | ) | 1 | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | — | — | 1 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 1 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,027 | 4,202 | 1,600 | 2,959 | ||||||||||||
Reinvested | 1,842 | 1,306 | 1,578 | 1,342 | ||||||||||||
Redeemed | (15,456 | ) | (7,272 | ) | (2,421 | ) | (1,763 | ) | ||||||||
Redemptions in-kind (See Note 7) | — | — | (11,691 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (10,587 | ) | (1,764 | ) | (10,934 | ) | 2,538 | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Dynamic Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 797,670 | $ | 108,279 | $ | 34,331 | $ | 41,024 | ||||||||
Distributions reinvested | 49,673 | 66,061 | 17,120 | 19,785 | ||||||||||||
Cost of shares redeemed | (225,187 | ) | (213,835 | ) | (82,368 | ) | (88,174 | ) | ||||||||
Redemptions in-kind (See Note 7) | (545,339 | ) | — | — | — | |||||||||||
Conversion from Class B Shares | — | 1,096 | — | 1,416 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 76,817 | $ | (38,399 | ) | $ | (30,917 | ) | $ | (25,949 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 54 | $ | — | $ | 18 | ||||||||
Distributions reinvested | — | 405 | — | 165 | ||||||||||||
Cost of shares redeemed | — | (4,544 | ) | — | (832 | ) | ||||||||||
Conversion to Class A Shares | — | (1,096 | ) | — | (1,416 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (5,181 | ) | $ | — | $ | (2,065 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 39,875 | $ | 1,597 | $ | 1,342 | $ | 1,657 | ||||||||
Distributions reinvested | 2,583 | 3,928 | 1,891 | 2,095 | ||||||||||||
Cost of shares redeemed | (7,079 | ) | (7,262 | ) | (5,168 | ) | (5,918 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 35,379 | $ | (1,737 | ) | $ | (1,935 | ) | $ | (2,166 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 3,684 | $ | 864 | $ | 3,627 | $ | 3,831 | ||||||||
Distributions reinvested | 147 | 267 | 1,908 | 2,147 | ||||||||||||
Cost of shares redeemed | (1,850 | ) | (1,407 | ) | (6,699 | ) | (9,815 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 1,981 | $ | (276 | ) | $ | (1,164 | ) | $ | (3,837 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 327,668 | $ | 212,080 | $ | — | $ | — | ||||||||
Distributions reinvested | 80,413 | 108,316 | — | — | ||||||||||||
Cost of shares redeemed | (243,746 | ) | (227,737 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 164,335 | $ | 92,659 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 25,790 | $ | — | $ | 130,485 | $ | 120,496 | ||||||||
Distributions reinvested | — | — | 34,132 | 30,237 | ||||||||||||
Cost of shares redeemed | (173 | ) | — | (105,409 | ) | (46,820 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 25,617 | $ | — | $ | 59,208 | $ | 103,913 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 114,481 | $ | 65,873 | ||||||||
Distributions reinvested | — | — | 18,231 | 18,418 | ||||||||||||
Cost of shares redeemed | — | — | (81,578 | ) | (121,813 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 51,134 | $ | (37,522 | ) | |||||||
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|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 643,933 | $ | 365,334 | $ | 29,505 | $ | 35,361 | ||||||||
Distributions reinvested | 55,589 | 136,721 | 7,984 | 9,680 | ||||||||||||
Cost of shares redeemed | (816,497 | ) | (478,753 | ) | (63,523 | ) | (51,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (116,975 | ) | $ | 23,302 | $ | (26,034 | ) | $ | (6,643 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 187,154 | $ | 70,368 | $ | 50,292 | $ | 25,731 | ||||||||
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|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Commencement of offering of class of shares effective May 31, 2016 for Small Cap Equity Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 20,677 | 2,447 | 2,821 | 3,026 | ||||||||||||
Reinvested | 1,292 | 1,602 | 1,466 | 1,564 | ||||||||||||
Redeemed | (5,663 | ) | (4,844 | ) | (7,028 | ) | (6,513 | ) | ||||||||
Redemptions in-kind (See Note 7) | (13,733 | ) | — | — | — | |||||||||||
Conversion from Class B Shares | — | 24 | — | 96 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,573 | (771 | ) | (2,741 | ) | (1,827 | ) | |||||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 2 | — | 1 | ||||||||||||
Reinvested | — | 12 | — | 17 | ||||||||||||
Redeemed | — | (127 | ) | — | (80 | ) | ||||||||||
Conversion to Class A Shares | — | (31 | ) | — | (129 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (144 | ) | — | (191 | ) | ||||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued | 1,307 | 47 | 143 | 154 | ||||||||||||
Reinvested | 87 | 120 | 210 | 208 | ||||||||||||
Redeemed | (228 | ) | (203 | ) | (572 | ) | (544 | ) | ||||||||
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|
|
| |||||||||
Change in Class C Shares | 1,166 | (36 | ) | (219 | ) | (182 | ) | |||||||||
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| |||||||||
Class R2 | ||||||||||||||||
Issued | 93 | 20 | 309 | 288 | ||||||||||||
Reinvested | 4 | 7 | 167 | 173 | ||||||||||||
Redeemed | (46 | ) | (33 | ) | (566 | ) | (730 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 51 | (6 | ) | (90 | ) | (269 | ) | |||||||||
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| |||||||||
Class R5 | ||||||||||||||||
Issued | 7,138 | 4,248 | — | — | ||||||||||||
Reinvested | 1,832 | 2,321 | — | — | ||||||||||||
Redeemed | (5,295 | ) | (4,580 | ) | — | — | ||||||||||
|
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|
|
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|
|
| |||||||||
Change in Class R5 Shares | 3,675 | 1,989 | — | — | ||||||||||||
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| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | 549 | — | 10,137 | 8,080 | ||||||||||||
Reinvested | — | — | 2,617 | 2,169 | ||||||||||||
Redeemed | (4 | ) | — | (8,387 | ) | (3,169 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 545 | — | 4,367 | 7,080 | ||||||||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 8,718 | 4,442 | ||||||||||||
Reinvested | — | — | 1,407 | 1,328 | ||||||||||||
Redeemed | — | — | (6,315 | ) | (8,156 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 3,810 | (2,386 | ) | |||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 14,082 | 7,313 | 2,235 | 2,421 | ||||||||||||
Reinvested | 1,270 | 2,941 | 630 | 711 | ||||||||||||
Redeemed | (17,314 | ) | (9,609 | ) | (4,737 | ) | (3,538 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in Select Class Shares | (1,962 | ) | 645 | (1,872 | ) | (406 | ) | |||||||||
|
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|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Commencement of offering of class of shares effective May 31, 2016 for Small Cap Equity Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 138,661 | $ | 267,230 | $ | 112,560 | $ | 158,127 | ||||||||
Distributions reinvested | 25,666 | 26,931 | 9,251 | 4,623 | ||||||||||||
Cost of shares redeemed | (186,013 | ) | (168,313 | ) | (108,488 | ) | (59,204 | ) | ||||||||
Conversion from Class B Shares | — | 2,069 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (21,686 | ) | $ | 127,917 | $ | 13,323 | $ | 103,546 | |||||||
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| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 35 | $ | — | $ | — | ||||||||
Distributions reinvested | — | 150 | — | — | ||||||||||||
Cost of shares redeemed | — | (1,071 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (2,069 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (2,955 | ) | $ | — | $ | — | |||||||
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|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 3,797 | $ | 7,961 | $ | 17,408 | $ | 25,684 | ||||||||
Distributions reinvested | 2,160 | 2,683 | 1,817 | 772 | ||||||||||||
Cost of shares redeemed | (10,313 | ) | (10,808 | ) | (12,981 | ) | (5,242 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (4,356 | ) | $ | (164 | ) | $ | 6,244 | $ | 21,214 | ||||||
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|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 16,117 | $ | 17,717 | $ | 25,767 | $ | 11,570 | ||||||||
Distributions reinvested | 2,028 | 2,299 | 944 | 335 | ||||||||||||
Cost of shares redeemed | (15,854 | ) | (17,153 | ) | (7,774 | ) | (4,428 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 2,291 | $ | 2,863 | $ | 18,937 | $ | 7,477 | ||||||||
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|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 31,169 | $ | 46,041 | $ | — | $ | — | ||||||||
Distributions reinvested | 4,681 | 4,335 | — | — | ||||||||||||
Cost of shares redeemed | (34,423 | ) | (23,688 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 1,427 | $ | 26,688 | $ | — | $ | — | ||||||||
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|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 383,830 | $ | 149,197 | $ | 100,275 | $ | 39,209 | ||||||||
Distributions reinvested | 40,732 | 28,990 | 4,436 | 1,450 | ||||||||||||
Cost of shares redeemed | (173,847 | ) | (58,319 | ) | (26,418 | ) | (19,367 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 250,715 | $ | 119,868 | $ | 78,293 | $ | 21,292 | ||||||||
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|
|
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|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 366,693 | $ | 184,860 | ||||||||
Distributions reinvested | — | — | 17,359 | 8,769 | ||||||||||||
Cost of shares redeemed | — | — | (113,529 | ) | (73,427 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 270,523 | $ | 120,202 | ||||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 106,814 | $ | 210,959 | $ | 166,060 | $ | 114,544 | ||||||||
Distributions reinvested | 12,987 | 20,813 | 11,293 | 5,585 | ||||||||||||
Cost of shares redeemed | (325,752 | ) | (124,967 | ) | (105,988 | ) | (44,216 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (205,951 | ) | $ | 106,805 | $ | 71,365 | $ | 75,913 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 22,440 | $ | 381,022 | $ | 458,685 | $ | 349,644 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,761 | 9,914 | 7,413 | 9,673 | ||||||||||||
Reinvested | 1,114 | 1,055 | 626 | 298 | ||||||||||||
Redeemed | (7,728 | ) | (6,295 | ) | (7,196 | ) | (3,624 | ) | ||||||||
Conversion from Class B Shares | — | 76 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (853 | ) | 4,750 | 843 | 6,347 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 2 | — | — | ||||||||||||
Reinvested | — | 7 | — | — | ||||||||||||
Redeemed | — | (47 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (88 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (126 | ) | — | — | |||||||||||
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|
|
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|
| |||||||||
Class C | ||||||||||||||||
Issued | 184 | 349 | 1,176 | 1,604 | ||||||||||||
Reinvested | 111 | 123 | 127 | 51 | ||||||||||||
Redeemed | (506 | ) | (471 | ) | (897 | ) | (330 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (211 | ) | 1 | 406 | 1,325 | |||||||||||
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|
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|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 675 | 669 | 1,706 | 706 | ||||||||||||
Reinvested | 89 | 91 | 65 | 22 | ||||||||||||
Redeemed | (669 | ) | (646 | ) | (528 | ) | (271 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 95 | 114 | 1,243 | 457 | ||||||||||||
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|
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|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 1,223 | 1,643 | — | — | ||||||||||||
Reinvested | 193 | 161 | — | — | ||||||||||||
Redeemed | (1,376 | ) | (843 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 40 | 961 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 14,544 | 5,312 | 6,414 | 2,338 | ||||||||||||
Reinvested | 1,675 | 1,077 | 294 | 92 | ||||||||||||
Redeemed | (7,015 | ) | (2,075 | ) | (1,663 | ) | (1,156 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 9,204 | 4,314 | 5,045 | 1,274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 24,199 | 11,156 | ||||||||||||
Reinvested | — | — | 1,150 | 554 | ||||||||||||
Redeemed | — | — | (7,566 | ) | (4,455 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 17,783 | 7,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 4,250 | 7,576 | 10,694 | 6,883 | ||||||||||||
Reinvested | 535 | 775 | 748 | 354 | ||||||||||||
Redeemed | (12,338 | ) | (4,468 | ) | (6,898 | ) | (2,668 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (7,553 | ) | 3,883 | 4,544 | 4,569 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2016 | 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) (a) | 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, 2016 | $ | 26.04 | $ | (0.16 | ) | $ | (3.52 | ) | $ | (3.68 | ) | $ | (3.22 | ) | ||||||
Year Ended June 30, 2015 | 25.11 | (0.20 | ) | 3.17 | 2.97 | (2.04 | ) | |||||||||||||
Year Ended June 30, 2014 | 23.10 | (0.24 | ) | 4.44 | 4.20 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 18.83 | (0.14 | )(e) | 5.17 | 5.03 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.20 | (0.13 | )(f) | (1.24 | ) | (1.37 | ) | — | ||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 21.97 | (0.22 | ) | (2.95 | ) | (3.17 | ) | (3.22 | ) | |||||||||||
Year Ended June 30, 2015 | 21.61 | (0.28 | ) | 2.68 | 2.40 | (2.04 | ) | |||||||||||||
Year Ended June 30, 2014 | 20.25 | (0.32 | ) | 3.87 | 3.55 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 16.68 | (0.22 | )(e) | 4.55 | 4.33 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 17.98 | (0.20 | )(f) | (1.10 | ) | (1.30 | ) | — | ||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 28.34 | (0.14 | ) | (3.81 | ) | (3.95 | ) | (3.22 | ) | |||||||||||
Year Ended June 30, 2015 | 27.08 | (0.15 | ) | 3.45 | 3.30 | (2.04 | ) | |||||||||||||
Year Ended June 30, 2014 | 24.70 | (0.19 | ) | 4.76 | 4.57 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 20.02 | (0.07 | )(e) | 5.51 | 5.44 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 21.39 | (0.06 | )(f) | (1.31 | ) | (1.37 | ) | — | ||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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, 2016 | ||||
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) | Net investment income (loss) | Expenses | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 19.14 | (14.42 | )% | $ | 55,583 | 1.25 | % | (0.76 | )% | 1.51 | % | 56 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 15.58 | (14.80 | ) | 32,734 | 1.75 | (1.27 | ) | 2.12 | 56 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 21.17 | (14.19 | ) | 64,589 | 1.00 | (0.57 | ) | 1.09 | 56 | ||||||||||||||||||
| 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 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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 | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
May 31, 2016 (f) through June 30, 2016 | $ | 45.81 | $ | 0.02 | (g)(h) | $ | 0.05 | $ | 0.07 | $ | — | $ | — | $ | — | |||||||||||||
Class C | ||||||||||||||||||||||||||||
May 31, 2016 (f) through June 30, 2016 | 45.81 | — | (g)(h)(i) | 0.05 | 0.05 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
May 31, 2016 (f) through June 30, 2016 | 45.81 | 0.04 | (g)(h) | 0.05 | 0.09 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 56.18 | 0.15 | (g)(h) | (5.25 | ) | (5.10 | ) | (0.32 | ) | (4.86 | ) | (5.18 | ) | |||||||||||||||
Year Ended June 30, 2015 | 58.70 | 0.37 | (g) | 3.20 | 3.57 | (0.10 | ) | (5.99 | ) | (6.09 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 48.11 | 0.15 | (j) | 13.44 | 13.59 | (0.27 | ) | (2.73 | ) | (3.00 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 37.54 | 0.37 | (k) | 10.63 | 11.00 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 39.44 | 0.27 | (l) | (1.98 | ) | (1.71 | ) | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||
| (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 0.005% 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) | Commencement of offering of class of shares. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | 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. |
| (i) | Amount rounds to less than $0.005. |
| (j) | 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. |
| (k) | 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. |
| (l) | 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, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 45.88 | 0.15 | % | $ | 23 | 1.25 | % | 0.56 | %(h) | 1.39 | % | 58 | % | |||||||||||||
| 45.86 | 0.11 | 20 | 1.74 | 0.06 | (h) | 1.89 | 58 | |||||||||||||||||||
| 45.90 | 0.20 | 20 | 0.74 | 1.06 | (h) | 0.88 | 58 | |||||||||||||||||||
| 45.90 | (8.97 | ) | 164,573 | 0.80 | 0.30 | (h) | 1.16 | 58 | ||||||||||||||||||
| 56.18 | 7.01 | 815,652 | 0.80 | 0.66 | 1.13 | 56 | ||||||||||||||||||||
| 58.70 | 28.95 | 703,307 | 0.79 | 0.28 | (j) | 1.12 | 51 | |||||||||||||||||||
| 48.11 | 29.50 | 522,295 | 0.79 | 0.84 | (k) | 1.19 | 55 | |||||||||||||||||||
| 37.54 | (4.29 | ) | 406,590 | 0.80 | 0.64 | (l) | 1.02 | 45 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 44.68 | $ | 0.13 | (g) | $ | 0.08 | $ | 0.21 | $ | (0.14 | ) | $ | (3.07 | ) | $ | (3.21 | ) | ||||||||||
Year Ended June 30, 2015 | 46.56 | 0.08 | 2.98 | 3.06 | (0.08 | ) | (4.86 | ) | (4.94 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 39.94 | 0.10 | (h) | 8.97 | 9.07 | (0.07 | ) | (2.38 | ) | (2.45 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 36.02 | 0.29 | (i) | 7.39 | 7.68 | (0.36 | ) | (3.40 | ) | (3.76 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 36.72 | 0.07 | 1.09 | 1.16 | (0.10 | ) | (1.76 | ) | (1.86 | ) | ||||||||||||||||||
Class C | �� | |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.32 | (0.06 | )(g) | 0.02 | (0.04 | ) | — | (3.07 | ) | (3.07 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 37.96 | (0.12 | ) | 2.34 | 2.22 | — | (4.86 | ) | (4.86 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 33.06 | (0.10 | )(h) | 7.38 | 7.28 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.46 | 0.09 | (i) | 6.15 | 6.24 | (0.24 | ) | (3.40 | ) | (3.64 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.41 | (0.08 | ) | 0.89 | 0.81 | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 44.04 | 0.01 | (g) | 0.10 | 0.11 | — | (3.07 | ) | (3.07 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 45.99 | (0.04 | ) | 2.95 | 2.91 | — | (4.86 | ) | (4.86 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 39.52 | (0.01 | )(h) | 8.86 | 8.85 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 35.67 | 0.20 | (i) | 7.31 | 7.51 | (0.26 | ) | (3.40 | ) | (3.66 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 36.41 | (0.01 | ) | 1.07 | 1.06 | (0.04 | ) | (1.76 | ) | (1.80 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 50.43 | 0.36 | (g) | 0.15 | 0.51 | (0.30 | ) | (3.07 | ) | (3.37 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 51.88 | 0.34 | 3.37 | 3.71 | (0.30 | ) | (4.86 | ) | (5.16 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 44.21 | 0.36 | (h) | 9.96 | 10.32 | (0.27 | ) | (2.38 | ) | (2.65 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 39.47 | 0.52 | (i) | 8.16 | 8.68 | (0.54 | ) | (3.40 | ) | (3.94 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 40.04 | 0.28 | 1.19 | 1.47 | (0.28 | ) | (1.76 | ) | (2.04 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
May 31, 2016 (j) through June 30, 2016 | 47.04 | 0.06 | (g) | 0.47 | 0.53 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 50.31 | 0.25 | (g) | 0.17 | 0.42 | (0.16 | ) | (3.07 | ) | (3.23 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 51.78 | 0.24 | 3.36 | 3.60 | (0.21 | ) | (4.86 | ) | (5.07 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 44.14 | 0.26 | (h) | 9.94 | 10.20 | (0.18 | ) | (2.38 | ) | (2.56 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 39.41 | 0.44 | (i) | 8.15 | 8.59 | (0.46 | ) | (3.40 | ) | (3.86 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 39.98 | 0.19 | 1.20 | 1.39 | (0.20 | ) | (1.76 | ) | (1.96 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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 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. |
| (i) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.05, $(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. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 41.68 | 1.10 | % | $ | 736,629 | 1.29 | % | 0.31 | %(g) | 1.38 | % | 32 | % | |||||||||||||
| 44.68 | 7.49 | 674,619 | 1.29 | 0.17 | 1.39 | 20 | ||||||||||||||||||||
| 46.56 | 23.27 | 738,967 | 1.29 | 0.23 | (h) | 1.37 | 30 | |||||||||||||||||||
| 39.94 | 23.11 | 696,784 | 1.29 | 0.78 | (i) | 1.39 | 25 | |||||||||||||||||||
| 36.02 | 3.79 | 618,705 | 1.30 | 0.21 | 1.41 | 27 | ||||||||||||||||||||
| 32.21 | 0.63 | 70,176 | 1.79 | (0.20 | )(g) | 1.85 | 32 | |||||||||||||||||||
| 35.32 | 6.92 | 35,783 | 1.79 | (0.33 | ) | 1.87 | 20 | |||||||||||||||||||
| 37.96 | 22.67 | 39,824 | 1.79 | (0.26 | )(h) | 1.87 | 30 | |||||||||||||||||||
| 33.06 | 22.50 | 37,039 | 1.79 | 0.28 | (i) | 1.88 | 25 | |||||||||||||||||||
| 30.46 | 3.26 | 34,994 | 1.80 | (0.29 | ) | 1.91 | 27 | |||||||||||||||||||
| 41.08 | 0.85 | 5,313 | 1.54 | 0.03 | (g) | 1.72 | 32 | |||||||||||||||||||
| 44.04 | 7.23 | 3,446 | 1.54 | (0.08 | ) | 1.73 | 20 | |||||||||||||||||||
| 45.99 | 22.95 | 3,883 | 1.54 | (0.02 | )(h) | 1.62 | 30 | |||||||||||||||||||
| 39.52 | 22.80 | 4,909 | 1.54 | 0.53 | (i) | 1.64 | 25 | |||||||||||||||||||
| 35.67 | 3.51 | 5,587 | 1.55 | (0.03 | ) | 1.66 | 27 | |||||||||||||||||||
| 47.57 | 1.62 | 1,349,107 | 0.79 | 0.78 | (g) | 0.86 | 32 | |||||||||||||||||||
| 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 | (h) | 0.92 | 30 | |||||||||||||||||||
| 44.21 | 23.71 | 814,942 | 0.79 | 1.25 | (i) | 0.94 | 25 | |||||||||||||||||||
| 39.47 | 4.31 | 696,200 | 0.79 | 0.73 | 0.96 | 27 | ||||||||||||||||||||
| 47.57 | 1.13 | 25,933 | 0.73 | 1.60 | (g) | 0.75 | 32 | |||||||||||||||||||
| 47.50 | 1.41 | 1,261,772 | 0.99 | 0.54 | (g) | 1.14 | 32 | |||||||||||||||||||
| 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 | (h) | 1.12 | 30 | |||||||||||||||||||
| 44.14 | 23.48 | 1,134,887 | 0.99 | 1.07 | (i) | 1.14 | 25 | |||||||||||||||||||
| 39.41 | 4.09 | 1,076,509 | 1.00 | 0.51 | 1.16 | 27 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | 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, 2016 | $ | 14.50 | $ | (0.09 | ) | $ | (1.94 | ) | $ | (2.03 | ) | $ | (1.04 | ) | ||||||
Year Ended June 30, 2015 | 13.96 | (0.11 | )(e) | 1.77 | 1.66 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 13.00 | (0.12 | ) | 2.52 | 2.40 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.13 | (0.06 | )(f) | 2.94 | 2.88 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.17 | (0.05 | )(g) | (0.77 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 11.50 | (0.12 | ) | (1.52 | ) | (1.64 | ) | (1.04 | ) | |||||||||||
Year Ended June 30, 2015 | 11.36 | (0.14 | )(e) | 1.40 | 1.26 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 10.87 | (0.16 | ) | 2.09 | 1.93 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 9.51 | (0.10 | )(f) | 2.47 | 2.37 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 10.48 | (0.09 | )(g) | (0.66 | ) | (0.75 | ) | (0.22 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2016 | 14.20 | (0.12 | ) | (1.89 | ) | (2.01 | ) | (1.04 | ) | |||||||||||
Year Ended June 30, 2015 | 13.73 | (0.14 | )(e) | 1.73 | 1.59 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 12.84 | (0.16 | ) | 2.49 | 2.33 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.03 | (0.09 | )(f) | 2.91 | 2.82 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.09 | (0.08 | )(g) | (0.76 | ) | (0.84 | ) | (0.22 | ) | |||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2016 | 16.01 | (0.03 | ) | (2.14 | ) | (2.17 | ) | (1.04 | ) | |||||||||||
Year Ended June 30, 2015 | 15.23 | (0.05 | )(e) | 1.95 | 1.90 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 14.00 | (0.06 | ) | 2.73 | 2.67 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.85 | — | (f)(h) | 3.16 | 3.16 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.88 | — | (g)(h) | (0.81 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 15.93 | (0.05 | ) | (2.12 | ) | (2.17 | ) | (1.04 | ) | |||||||||||
Year Ended June 30, 2015 | 15.17 | (0.06 | )(e) | 1.94 | 1.88 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 13.96 | (0.07 | ) | 2.72 | 2.65 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.84 | (0.01 | )(f) | 3.14 | 3.13 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.87 | (0.01 | )(g) | (0.80 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 15.61 | (0.07 | ) | (2.08 | ) | (2.15 | ) | (1.04 | ) | |||||||||||
Year Ended June 30, 2015 | 14.91 | (0.08 | )(e) | 1.90 | 1.82 | (1.12 | ) | |||||||||||||
Year Ended June 30, 2014 | 13.77 | (0.09 | ) | 2.67 | 2.58 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.70 | (0.03 | )(f) | 3.11 | 3.08 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.74 | (0.02 | )(g) | (0.80 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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. |
| (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 $(0.09), $(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. |
| (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 $(0.07), $(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. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
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) | Net investment income (loss) | Expenses | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 11.43 | (14.17 | )% | $ | 179,093 | 1.25 | % | (0.77 | )% | 1.50 | % | 47 | % | |||||||||||||
| 14.50 | 13.04 | 266,805 | 1.25 | (0.82 | )(e) | 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 | )(f) | 1.42 | 60 | |||||||||||||||||||
| 11.13 | (6.59 | ) | 219,946 | 1.25 | (0.46 | )(g) | 1.44 | 58 | ||||||||||||||||||
| 8.82 | (14.50 | ) | 18,218 | 1.75 | (1.27 | ) | 1.91 | 47 | ||||||||||||||||||
| 11.50 | 12.47 | 26,297 | 1.75 | (1.32 | )(e) | 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 | )(f) | 1.92 | 60 | |||||||||||||||||||
| 9.51 | (6.99 | ) | 23,689 | 1.75 | (0.97 | )(g) | 1.94 | 58 | ||||||||||||||||||
| 11.15 | (14.34 | ) | 21,276 | 1.50 | (1.01 | ) | 1.85 | 47 | ||||||||||||||||||
| 14.20 | 12.74 | 28,364 | 1.50 | (1.07 | )(e) | 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 | )(f) | 1.67 | 60 | |||||||||||||||||||
| 11.03 | (6.80 | ) | 22,514 | 1.50 | (0.71 | )(g) | 1.69 | 58 | ||||||||||||||||||
| 12.80 | (13.69 | ) | 445,008 | 0.75 | (0.25 | ) | 0.77 | 47 | ||||||||||||||||||
| 16.01 | 13.55 | 486,724 | 0.75 | (0.31 | )(e) | 0.79 | 50 | |||||||||||||||||||
| 15.23 | 19.55 | 355,032 | 0.75 | (0.36 | ) | 0.87 | 58 | |||||||||||||||||||
| 14.00 | 28.63 | 248,415 | 0.75 | 0.00 | (f)(i) | 0.92 | 60 | |||||||||||||||||||
| 11.85 | (6.14 | ) | 200,960 | 0.75 | 0.02 | (g) | 0.94 | 58 | ||||||||||||||||||
| 12.72 | (13.76 | ) | 271,369 | 0.85 | (0.35 | ) | 0.96 | 47 | ||||||||||||||||||
| 15.93 | 13.47 | 279,248 | 0.85 | (0.42 | )(e) | 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 | )(f) | 1.02 | 60 | |||||||||||||||||||
| 11.84 | (6.15 | ) | 226,834 | 0.85 | (0.06 | )(g) | 1.04 | 58 | ||||||||||||||||||
| 12.42 | (13.92 | ) | 102,174 | 1.00 | (0.52 | ) | 1.18 | 47 | ||||||||||||||||||
| 15.61 | 13.29 | 157,631 | 1.00 | (0.57 | )(e) | 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 | )(f) | 1.17 | 60 | |||||||||||||||||||
| 11.70 | (6.29 | ) | 123,887 | 1.00 | (0.21 | )(g) | 1.19 | 58 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | 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, 2016 | $ | 26.65 | $ | 0.17 | $ | (0.94 | ) | $ | (0.77 | ) | $ | (0.15 | ) | $ | (1.09 | ) | $ | (1.24 | ) | |||||||||
Year Ended June 30, 2015 | 27.98 | 0.22 | (0.01 | ) | 0.21 | (0.20 | ) | (1.34 | ) | (1.54 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 23.77 | 0.12 | (e) | 4.87 | 4.99 | (0.11 | ) | (0.67 | ) | (0.78 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 18.75 | 0.21 | (f) | 5.04 | 5.25 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 18.99 | 0.14 | (0.22 | ) | (0.08 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 22.77 | 0.02 | (0.82 | ) | (0.80 | ) | (0.06 | ) | (1.09 | ) | (1.15 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 24.19 | 0.05 | (0.01 | ) | 0.04 | (0.11 | ) | (1.34 | ) | (1.45 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 20.73 | (0.03 | )(e) | 4.22 | 4.19 | (0.06 | ) | (0.67 | ) | (0.73 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 16.40 | 0.06 | (f) | 4.41 | 4.47 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.64 | 0.03 | (0.19 | ) | (0.16 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 26.49 | 0.11 | (0.94 | ) | (0.83 | ) | (0.09 | ) | (1.09 | ) | (1.18 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 27.83 | 0.16 | (0.02 | ) | 0.14 | (0.14 | ) | (1.34 | ) | (1.48 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 23.67 | 0.07 | (e) | 4.83 | 4.90 | (0.07 | ) | (0.67 | ) | (0.74 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 18.68 | 0.15 | (f) | 5.03 | 5.18 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 18.93 | 0.10 | (0.23 | ) | (0.13 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 28.01 | 0.26 | (0.98 | ) | (0.72 | ) | (0.23 | ) | (1.09 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.34 | (0.02 | ) | 0.32 | (0.28 | ) | (1.34 | ) | (1.62 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 24.85 | 0.23 | (e) | 5.09 | 5.32 | (0.19 | ) | (0.67 | ) | (0.86 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.58 | 0.29 | (f) | 5.27 | 5.56 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.82 | 0.20 | (0.22 | ) | (0.02 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 28.03 | 0.31 | (1.00 | ) | (0.69 | ) | (0.26 | ) | (1.09 | ) | (1.35 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.33 | 0.37 | (0.02 | ) | 0.35 | (0.31 | ) | (1.34 | ) | (1.65 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 24.87 | 0.24 | (e) | 5.09 | 5.33 | (0.20 | ) | (0.67 | ) | (0.87 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.59 | 0.29 | (f) | 5.29 | 5.58 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.83 | 0.22 | (0.23 | ) | (0.01 | ) | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 28.00 | 0.23 | (0.97 | ) | (0.74 | ) | (0.20 | ) | (1.09 | ) | (1.29 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.31 | (0.02 | ) | 0.29 | (0.26 | ) | (1.34 | ) | (1.60 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 24.86 | 0.20 | (e) | 5.09 | 5.29 | (0.17 | ) | (0.67 | ) | (0.84 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.58 | 0.26 | (f) | 5.29 | 5.55 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.82 | 0.19 | (0.23 | ) | (0.04 | ) | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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 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) | 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, 2016 | ||||
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) | Net investment income (loss) | Expenses | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 24.64 | (2.54 | )% | $ | 551,313 | 1.25 | % | 0.69 | % | 1.53 | % | 46 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 20.82 | (3.12 | ) | 41,161 | 1.86 | 0.07 | 1.94 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.48 | (2.78 | ) | 47,309 | 1.50 | 0.45 | 1.91 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.97 | (2.21 | ) | 96,674 | 0.90 | 1.04 | 0.93 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.99 | (2.07 | ) | 753,439 | 0.77 | 1.21 | 0.77 | 46 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 25.97 | (2.28 | ) | 263,436 | 1.00 | 0.88 | 1.18 | 46 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 16.96 | $ | 0.02 | $ | (1.20 | ) | $ | (1.18 | ) | $ | (0.02 | ) | $ | (0.67 | ) | $ | (0.69 | ) | |||||||||
Year Ended June 30, 2015 | 16.25 | 0.03 | 1.22 | 1.25 | — | (0.54 | ) | (0.54 | ) | |||||||||||||||||||
Year Ended June 30, 2014 | 13.17 | (0.01 | )(g) | 3.39 | 3.38 | (0.01 | ) | (0.29 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.31 | 0.04 | (h) | 2.89 | 2.93 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.62 | 0.02 | (0.33 | )(i) | (0.31 | ) | — | — | — | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.46 | (0.05 | ) | (1.17 | ) | (1.22 | ) | — | (0.67 | ) | (0.67 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 15.86 | (0.05 | ) | 1.19 | 1.14 | — | (0.54 | ) | (0.54 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 12.91 | (0.08 | )(g) | 3.32 | 3.24 | — | (0.29 | ) | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.14 | (0.02 | )(h) | 2.83 | 2.81 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.50 | (0.02 | ) | (0.34 | )(i) | (0.36 | ) | — | — | — | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.77 | (0.01 | ) | (1.19 | ) | (1.20 | ) | (0.02 | ) | (0.67 | ) | (0.69 | ) | |||||||||||||||
Year Ended June 30, 2015 | 16.12 | (0.01 | ) | 1.20 | 1.19 | — | (0.54 | ) | (0.54 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.09 | (0.05 | )(g) | 3.38 | 3.33 | (0.01 | ) | (0.29 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.25 | (0.02 | )(h) | 2.90 | 2.88 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
November 1, 2011(j) through June 30, 2012 | 9.02 | — | (k) | 1.27 | (i) | 1.27 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 17.29 | 0.11 | (1.23 | ) | (1.12 | ) | (0.10 | ) | (0.67 | ) | (0.77 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.52 | 0.12 | 1.24 | 1.36 | (0.05 | ) | (0.54 | ) | (0.59 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.35 | 0.06 | (g) | 3.46 | 3.52 | (0.06 | ) | (0.29 | ) | (0.35 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.43 | 0.11 | (h) | 2.91 | 3.02 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
November 1, 2011(j) through June 30, 2012 | 9.13 | 0.05 | 1.29 | (i) | 1.34 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 17.28 | 0.10 | (1.24 | ) | (1.14 | ) | (0.08 | ) | (0.67 | ) | (0.75 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.51 | 0.11 | 1.24 | 1.35 | (0.04 | ) | (0.54 | ) | (0.58 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.35 | 0.06 | (g) | 3.44 | 3.50 | (0.05 | ) | (0.29 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.43 | 0.10 | (h) | 2.92 | 3.02 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.75 | 0.06 | (0.34 | )(i) | (0.28 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 17.29 | 0.06 | (1.22 | ) | (1.16 | ) | (0.06 | ) | (0.67 | ) | (0.73 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.53 | 0.08 | 1.24 | 1.32 | (0.02 | ) | (0.54 | ) | (0.56 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.37 | 0.03 | (g) | 3.45 | 3.48 | (0.03 | ) | (0.29 | ) | (0.32 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.45 | 0.08 | (h) | 2.92 | 3.00 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.76 | 0.05 | (0.33 | )(i) | (0.28 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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) | Commencement of offering of class of shares. |
| (k) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 15.09 | (6.86 | )% | $ | 226,309 | 1.26 | % | 0.15 | % | 1.44 | % | 49 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 14.57 | (7.35 | ) | 45,932 | 1.76 | (0.34 | ) | 1.91 | 49 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 14.88 | (7.09 | ) | 34,326 | 1.51 | (0.05 | ) | 1.75 | 49 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 15.40 | (6.39 | ) | 139,835 | 0.73 | 0.71 | 0.74 | 49 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 15.39 | (6.48 | ) | 587,279 | 0.82 | 0.63 | 0.90 | 49 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 15.40 | (6.63 | ) | 289,631 | 1.00 | 0.42 | 1.11 | 49 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
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AS OF JUNE 30, 2016
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, 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 | Class A*, Class C*, Class R6*, Select Class | JPM I | Diversified | |||
| Small Cap Equity Fund | Class A, Class C, Class R2, Class R5, Class R6** 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 |
| * | Class A, Class C and Class R6 Shares commenced operations on May 31, 2016 for Small Cap Core Fund. |
| ** | Class R6 Shares commenced operations on May 31, 2016 for Small Cap Equity Fund. |
The investment objectives of Dynamic Small Cap Growth Fund, Small Cap Core Fund and Small Cap Equity Fund are to seek capital growth over the long term.
The investment objective of Small Cap Growth Fund is to seek long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.
The investment objective of Small Cap Value Fund is to seek long-term capital growth primarily by investing in equity securities of small-capitalization companies.
The investment objective of U.S. Small Company Fund is to seek to provide high total return from a portfolio of small company stocks.
All share classes of the Dynamic Small Cap Growth Fund and Small Cap Growth Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses. Effective as of the close of business on August 12, 2016, the Select Shares of the Small Cap Core Fund were publicly offered only on a limited basis. Effective August 25, 2016, all share classes of the Small Cap Growth Fund were publicly offered.
Prior to November 16, 2015, Small Cap Equity Fund was publicly offered only on a limited basis.
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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
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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 affiliated and unaffiliated 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.
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 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) | $ | 153,668 | $ | — | $ | — | $ | 153,668 | ||||||||
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| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 163,425 | $ | — | $ | — | (c) | $ | 163,425 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 85 | $ | — | $ | — | $ | 85 | ||||||||
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| Small Cap Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,433,406 | $ | — | $ | — | $ | 3,433,406 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| 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) | $ | 1,040,819 | $ | — | $ | — | $ | 1,040,819 | ||||||||
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| Small Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 1,759,166 | $ | — | $ | — | (c) | $ | 1,759,166 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 556 | $ | — | $ | — | $ | 556 | ||||||||
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| U.S. Small Company Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (d) | $ | 1,318,881 | $ | — | $ | — | (c) | $ | 1,318,881 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 521 | $ | — | $ | — | $ | 521 | ||||||||
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| (a) | Portfolio holdings designated in level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Portfolio holdings designated in level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of warrants. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (c) | Value is Zero |
| (d) | Portfolio holdings designated in level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of a right and warrant. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2016.
B. 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 or minimize transaction costs. The Funds also bought futures contracts to 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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The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2016 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 11,431 | $ | 49,924 | $ | 34,338 | ||||||
Ending Notional Balance Long | 7,573 | 20,538 | 35,569 | |||||||||
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).
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | Total | |||||||||||||||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 22 | $ | 2 | n/a | n/a | n/a | n/a | $ | 5 | $ | 29 | ||||||||||||||||||||
Sub-transfer agency fees | 70 | 99 | n/a | n/a | n/a | n/a | 60 | 229 | ||||||||||||||||||||||||
Small Cap Core Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | — | n/a | n/a | $ | — | n/a | 15 | 15 | ||||||||||||||||||||||
Sub-transfer agency fees | — | — | n/a | n/a | — | n/a | 533 | 533 | ||||||||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 47 | 2 | $1 | $ | 12 | — | (a) | n/a | 24 | 86 | ||||||||||||||||||||||
Sub-transfer agency fees | 781 | 30 | 6 | 612 | — | n/a | 1,459 | 2,888 | ||||||||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 52 | 5 | 1 | n/a | 6 | $ | 5 | 8 | 77 | |||||||||||||||||||||||
Sub-transfer agency fees | 442 | 24 | 76 | n/a | — | 247 | 187 | 976 | ||||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 351 | 7 | 39 | 6 | 15 | n/a | 10 | 428 | ||||||||||||||||||||||||
Sub-transfer agency fees | 1,059 | 67 | 138 | 99 | — | n/a | 531 | 1,894 | ||||||||||||||||||||||||
U.S. Small Company Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 31 | 9 | 7 | n/a | 5 | 10 | 13 | 75 | ||||||||||||||||||||||||
Sub-transfer agency fees | 447 | 69 | 68 | n/a | — | 292 | 341 | 1,217 | ||||||||||||||||||||||||
| (a) | Amount rounds to less than $500. |
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, 2016, 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 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 divi-
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Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
dend 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 | $ | 1,447 | $ | 3,162 | $ | (4,609 | ) | |||||
Small Cap Core Fund | 43,893 | (312 | ) | (43,581 | ) | |||||||
Small Cap Equity Fund | 235,495 | (1,949 | ) | (233,546 | ) | |||||||
Small Cap Growth Fund | (6,539 | ) | 5,707 | 832 | ||||||||
Small Cap Value Fund | — | (1,106 | ) | 1,106 | ||||||||
U.S. Small Company Fund | — | (414 | ) | 414 | ||||||||
The reclassifications for the Funds relate primarily to net operating losses, tax equalization, non-taxable dividends, adjustments to gain/loss due to redemptions in-kind and investments in real estate investment trusts.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, the Adviser 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, 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, 2016, 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 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 C | Class R2 | ||||||||||
Dynamic Small Cap Growth Fund | 0.25 | % | 0.75 | % | n/a | |||||||
Small Cap Core Fund | 0.25 | 0.75 | n/a | |||||||||
Small Cap Equity Fund | 0.25 | 0.75 | 0.50 | % | ||||||||
Small Cap Growth Fund | 0.25 | 0.75 | 0.50 | |||||||||
Small Cap Value Fund | 0.25 | 0.75 | 0.50 | |||||||||
U.S. Small Company Fund | 0.25 | 0.75 | 0.50 | |||||||||
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In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Dynamic Small Cap Growth Fund | $ | 2 | $ | — | ||||
Small Cap Equity Fund | 75 | — | (a) | |||||
Small Cap Growth Fund | 6 | — | ||||||
Small Cap Value Fund | 18 | — | (a) | |||||
U.S. Small Company Fund | 17 | — | (a) | |||||
| (a) | Amount rounds to less than $500. |
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 charge a shareholder servicing fee. 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 C | Class R2 | Class R5 | Institutional Class | Select Class | |||||||||||||||||||
Dynamic Small Cap Growth Fund | 0.25 | % | 0.25 | % | n/a | n/a | n/a | 0.25 | % | |||||||||||||||
Small Cap Core Fund | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | ||||||||||||||||||
Small Cap Equity Fund | 0.25 | 0.25 | 0.25 | % | 0.05 | % | n/a | 0.25 | ||||||||||||||||
Small Cap Growth Fund | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | |||||||||||||||||
Small Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||
U.S. Small Company Fund | 0.25 | 0.25 | 0.25 | n/a | 0.10 | 0.25 | ||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived shareholder servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing 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/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||
Dynamic Small Cap Growth Fund | 1.25 | % | 1.75 | % | n/a | n/a | n/a | n/a | 1.00 | % | ||||||||||||||||||
Small Cap Core Fund | 1.25 | 1.75 | n/a | n/a | 0.75 | % | n/a | 0.80 | ||||||||||||||||||||
Small Cap Equity Fund | 1.30 | 1.80 | 1.55 | % | 0.80 | % | 0.75 | n/a | 1.00 | |||||||||||||||||||
Small Cap Growth Fund | 1.25 | 1.75 | 1.50 | n/a | 0.75 | 0.85 | % | 1.00 | ||||||||||||||||||||
Small Cap Value Fund | 1.25 | 1.86 | 1.50 | 0.91 | 0.86 | n/a | 1.00 | |||||||||||||||||||||
U.S. Small Company Fund | 1.26 | 1.76 | 1.51 | n/a | 0.76 | 0.83 | 1.01 | |||||||||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least May 31, 2017 for Class A, Class C and Class R6 of Small Cap Core Fund and Class R6 for Small Cap Equity Fund. For all other classes, the contractual expense limitation percentages in the table above are in place until at least October 31, 2016.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
For the year ended June 30, 2016, 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 | $ | 216 | $ | 115 | $ | 155 | $ | 486 | $ | 1 | ||||||||||
Small Cap Core Fund | 1,215 | 373 | 46 | 1,634 | 8 | |||||||||||||||
Small Cap Equity Fund | 780 | 520 | 1,617 | 2,917 | 50 | |||||||||||||||
Small Cap Growth Fund | 101 | 65 | 952 | 1,118 | 87 | |||||||||||||||
Small Cap Value Fund | 6 | — | 1,997 | 2,003 | 344 | |||||||||||||||
U.S. Small Company Fund | — | — | 1,079 | 1,079 | 30 | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2016 was as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 11 | ||
Small Cap Core Fund | 24 | |||
Small Cap Equity Fund | 262 | |||
Small Cap Growth Fund | 33 | |||
Small Cap Value Fund | 92 | |||
U.S. Small Company Fund | 78 |
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, 2016, Dynamic Small Cap Growth Fund, Small Cap Core Fund and U.S. Small Company Fund 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, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | — | (a) | |
Small Cap Core Fund | — | (a) | ||
Small Cap Growth Fund | 1 | |||
Small Cap Value Fund | — | (a) | ||
U.S. Small Company Fund | 1 |
| (a) | Amount rounds to less than $500. |
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
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4. Investment Transactions
During the year ended June 30, 2016, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Dynamic Small Cap Growth Fund | $ | 172,501 | $ | 435,993 | ||||
Small Cap Core Fund | 254,463 | 278,157 | ||||||
Small Cap Equity Fund | 1,482,365 | 955,240 | ||||||
Small Cap Growth Fund | 504,898 | 545,693 | ||||||
Small Cap Value Fund | 786,230 | 797,172 | ||||||
U.S. Small Company Fund | 946,397 | 532,432 | ||||||
During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 121,004 | $ | 42,707 | $ | 10,043 | $ | 32,664 | ||||||||
Small Cap Core Fund | 132,472 | 40,481 | 9,528 | 30,953 | ||||||||||||
Small Cap Equity Fund | 2,572,159 | 955,684 | 94,437 | 861,247 | ||||||||||||
Small Cap Growth Fund | 881,655 | 259,200 | 100,036 | 159,164 | ||||||||||||
Small Cap Value Fund | 1,561,667 | 337,277 | 139,778 | 197,499 | ||||||||||||
U.S. Small Company Fund | 1,263,163 | 161,902 | 106,184 | 55,718 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, investments in PFICs, and non-taxable dividends.
The tax character of distributions paid during the year ended June 30, 2016 was as follows (amounts in thousands):
| Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | 55,844 | $ | 55,844 | ||||||
Small Cap Core Fund | 16,109 | 58,576 | 74,685 | |||||||||
Small Cap Equity Fund | 37,477 | 167,869 | 205,346 | |||||||||
Small Cap Growth Fund | — | 84,696 | 84,696 | |||||||||
Small Cap Value Fund | 15,467 | 76,796 | 92,263 | |||||||||
U.S. Small Company Fund | 16,789 | 31,957 | 48,746 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
As of June 30, 2016, 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 | $ | — | $ | 14,379 | $ | 32,664 | ||||||
Small Cap Core Fund | — | 12,394 | 30,953 | |||||||||
Small Cap Equity Fund | 8,782 | 131,133 | 861,247 | |||||||||
Small Cap Growth Fund | — | 250 | 159,164 | |||||||||
Small Cap Value Fund | 3,151 | 828 | 197,499 | |||||||||
U.S. Small Company Fund | 2,556 | — | 55,718 | |||||||||
For the Funds, the cumulative timing differences primarily consist of late year ordinary loss deferrals, wash sale loss deferrals, non-taxable dividends, post-October loss deferrals, investments in PFICs and mark to market of futures contracts.
As of June 30, 2016, the Funds did not have any capital loss carryforwards.
Late year ordinary losses incurred after December 31 and net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2016, the following Funds deferred to July 1, 2016 late year ordinary losses and net capital losses of (amounts in thousands):
| Net Capital Losses | Late Year Ordinary Losses | |||||||||||
| Short-Term | Long- Term | |||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | — | $ | 643 | ||||||
Small Cap Equity Fund | 10,541 | — | — | |||||||||
Small Cap Growth Fund | 19,610 | (15,840 | ) | 1,886 | ||||||||
Small Cap Value Fund | 49,393 | (21,383 | ) | — | ||||||||
U.S. Small Company Fund | 36,322 | (4,475 | ) | — | ||||||||
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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016. Average borrowings from the Facility for, or at any time during the year ended June 30, 2016, were as follows (amounts in thousands):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 23,687 | 0.23 | % | 1 | $ | — | (a) | ||||||||
Small Cap Equity Fund | 20,831 | 0.25 | 3 | — | (a) | |||||||||||
| (a) | Amount rounds to less than $500. |
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
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7. Redemptions In-Kind
During the year ended June 30, 2016, certain shareholders sold their shares of Small Cap Core Fund and Small Cap 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 the close of business on the date and at the market value listed below (amounts in thousands):
| December 18, 2015 | Value | Realized Gains (Losses) | Type | |||||||||
Small Cap Core Fund — Select Class | $ | 530,784 | * | $ | 35,980 | Redemption in-kind | ||||||
| March 18, 2016 | Value | Realized Gains (Losses) | Type | |||||||||
Small Cap Equity Fund — Class A | $ | 545,339 | ** | 235,174 | Redemption in-kind | |||||||
| * | This amount includes cash of approximately $16,676,000 associated with the redemptions in-kind. |
| ** | This amount includes cash of approximately $26,463,000 associated with the redemptions in-kind. |
8. 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.
As of June 30, 2016, Dynamic Small Cap Growth Fund, Small Cap Core Fund, Small Cap Equity Fund, Small Cap Growth Fund and U.S. Small Company Fund had omnibus accounts, which collectively represented the following percentage of each Fund’s net assets:
| Number of Non-affiliated Omnibus Accounts | % of the Fund | |||||||
Dynamic Small Cap Growth Fund | 3 | 57.6 | % | |||||
Small Cap Core Fund | 3 | 47.6 | ||||||
Small Cap Equity Fund | 3 | 14.9 | ||||||
Small Cap Growth Fund | 2 | 11.4 | ||||||
U.S. Small Company Fund | 9 | 41.4 | ||||||
As of June 30, 2016, the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:
| JPMorgan SmartRetirement Funds | ||||
Small Cap Growth Fund | 30.3 | % | ||
Small Cap Value Fund | 18.1 | |||
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.
9. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
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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, 2016, 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, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2016
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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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 152 | 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). | |||
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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) | ||||||
| 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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 | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| JUNE 30, 2016 | 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, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 960.40 | $ | 6.09 | 1.25 | % | ||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 958.20 | 8.52 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 961.80 | 4.88 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Small Cap Core Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual** | 1,000.00 | 1,001.50 | 1.03 | 1.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual** | 1,000.00 | 1,001.10 | 1.43 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,002.00 | 0.61 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 995.00 | 3.92 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,079.50 | 6.67 | 1.29 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
| 88 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
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| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Small Cap Equity Fund (continued) | ||||||||||||||||
Class C | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,076.90 | $ | 9.19 | 1.78 | % | ||||||||
Hypothetical* | 1,000.00 | 1,016.01 | 8.92 | 1.78 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,078.20 | 7.96 | 1.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.21 | 7.72 | 1.54 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,082.40 | 4.09 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,011.30 | 0.60 | 0.73 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.23 | 3.67 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,081.30 | 5.12 | 0.99 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 961.30 | 6.10 | 1.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 959.70 | 8.53 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 960.40 | 7.31 | 1.50 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 963.90 | 3.66 | 0.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 963.60 | 4.15 | 0.85 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 962.80 | 4.88 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,062.30 | 6.41 | 1.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,059.00 | 9.52 | 1.86 | ||||||||||||
Hypothetical* | 1,000.00 | 1,015.61 | 9.32 | 1.86 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,061.10 | 7.69 | 1.50 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,064.50 | 4.62 | 0.90 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,065.10 | 3.95 | 0.77 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.03 | 3.87 | 0.77 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,064.00 | 5.13 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 89 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,008.00 | $ | 6.24 | 1.25 | % | ||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,005.50 | 8.73 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,006.80 | 7.48 | 1.50 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,011.20 | 3.70 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,010.50 | 4.10 | 0.82 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.79 | 4.12 | 0.82 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,009.80 | 5.00 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 30/366 (to reflect the one-half year period). |
| 90 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2016 | ||||
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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, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| Dividends Received Deduction | ||||
Small Cap Core Fund | 38.76 | % | ||
Small Cap Equity Fund | 100.00 | |||
Small Cap Value Fund | 100.00 | |||
U.S. Small Company 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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Dynamic Small Cap Growth Fund | $ | 60,078 | ||
Small Cap Core Fund | 67,752 | |||
Small Cap Equity Fund | 167,869 | |||
Small Cap Growth Fund | 84,696 | |||
Small Cap Value Fund | 76,796 | |||
U.S. Small Company Fund | 31,957 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Small Cap Core Fund | $ | 6,399 | ||
Small Cap Equity Fund | 37,477 | |||
Small Cap Value Fund | 15,467 | |||
U.S. Small Company Fund | 16,788 | |||
| JUNE 30, 2016 | J.P. MORGAN SMALL CAP FUNDS | 91 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management businesses 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., 2016. All rights reserved. June 2016. | AN-SC-616 |
Table of Contents
Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2016
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 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 a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
July 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
 |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 | ||||||
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J.P. Morgan Mid Cap/Multi-Cap Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in recent global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
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JPMorgan Growth Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | (5.07)% | |||
| Russell 3000 Growth Index | 1.88% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 5,963,600 | ||
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’s Class A Shares, without a sales charge, underperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and consumer discretionary sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., SolarCity Corp. and Illumina Inc.
Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of SolarCity, a maker of solar energy systems, declined on lower than expected installations in the fourth quarter of 2015 and the first quarter of 2016. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.
Leading individual contributors to relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Facebook Inc. and Acuity Brands Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in quarterly revenue. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains.
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. | Alphabet, Inc., Class C | 5.7 | % | |||||
| 2. | Facebook, Inc., Class A | 4.3 | ||||||
| 3. | Amazon.com, Inc. | 3.5 | ||||||
| 4. | UnitedHealth Group, Inc. | 2.4 | ||||||
| 5. | Waste Connections, Inc., (Canada) | 2.1 | ||||||
| 6. | Mohawk Industries, Inc. | 2.1 | ||||||
| 7. | Home Depot, Inc. (The) | 2.0 | ||||||
| 8. | Gilead Sciences, Inc. | 1.9 | ||||||
| 9. | Bristol-Myers Squibb Co. | 1.9 | ||||||
| 10. | Acuity Brands, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 34.8 | % | ||
| Consumer Discretionary | 17.5 | |||
| Health Care | 16.9 | |||
| Industrials | 13.2 | |||
| Financials | 6.9 | |||
| Materials | 4.7 | |||
| Consumer Staples | 2.2 | |||
| Energy | 2.0 | |||
| Short-Term Investment | 1.8 | |||
| * | 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | October 29, 1999 | |||||||||||||
With Sales Charge* | (10.04 | )% | 10.84 | % | 8.87 | % | ||||||||
Without Sales Charge | (5.07 | ) | 12.03 | 9.46 | ||||||||||
CLASS C SHARES | May 1, 2006 | |||||||||||||
With CDSC** | (6.55 | ) | 11.49 | 8.87 | ||||||||||
Without CDSC | (5.55 | ) | 11.49 | 8.87 | ||||||||||
CLASS R5 SHARES | January 8, 2009 | (4.72 | ) | 12.47 | 9.85 | |||||||||
CLASS R6 SHARES | December 23, 2013 | (4.59 | ) | 12.53 | 9.88 | |||||||||
SELECT CLASS SHARES | �� | May 1, 2006 | (4.91 | ) | 12.25 | 9.69 | ||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 date are based on the performance of 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 R6 Shares prior to their inception date are based on the performance of Class R5 Shares from January 8, 2009 to December 23, 2013 and Select Class Shares prior to January 8, 2009. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares and Select Class Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. 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.
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (3.81)% | |||
| Russell Midcap Index | 0.56% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 2,364,349 | ||
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’s Select Class Shares underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., CBRE Group Inc. and Illumina Inc. Shares of Valeant, a drug maker not held in the Benchmark, fell on continued investor concerns about the company’s revenue accounting practices. Shares of CBRE, a commercial real estate and investment company, fell on investor concerns the company’s earnings will be hurt by the U.K.’s exit from the European Union. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.
Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Jack Henry & Associates Inc. and Waste Connections Inc. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Jack Henry & Associates, a provider of data processing to community banks, rose on better than expected quarterly earnings and revenue. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd.
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. | 2.1 | % | |||||
| 2. | Fortune Brands Home & Security, Inc. | 1.4 | ||||||
| 3. | Hilton Worldwide Holdings, Inc. | 1.4 | ||||||
| 4. | Amphenol Corp., Class A | 1.4 | ||||||
| 5. | Carlisle Cos., Inc. | 1.3 | ||||||
| 6. | Electronic Arts, Inc. | 1.2 | ||||||
| 7. | Dollar General Corp. | 1.2 | ||||||
| 8. | Waste Connections, Inc., (Canada) | 1.2 | ||||||
| 9. | Acuity Brands, Inc. | 1.1 | ||||||
| 10. | EQT Corp. | 1.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 20.1 | % | ||
| Consumer Discretionary | 19.0 | |||
| Information Technology | 17.1 | |||
| Industrials | 13.7 | |||
| Health Care | 9.3 | |||
| Utilities | 5.5 | |||
| Consumer Staples | 4.5 | |||
| Energy | 4.4 | |||
| Materials | 4.2 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 2, 2009 | |||||||||||||
With Sales Charge* | (9.18 | )% | 9.52 | % | 7.47 | % | ||||||||
Without Sales Charge | (4.15 | ) | 10.71 | 8.05 | ||||||||||
CLASS C SHARES | November 2, 2009 | |||||||||||||
With CDSC** | (5.64 | ) | 10.15 | 7.69 | ||||||||||
Without CDSC | (4.64 | ) | 10.15 | 7.69 | ||||||||||
CLASS R2 SHARES | March 14, 2014 | (4.40 | ) | 10.58 | 7.99 | |||||||||
CLASS R5 SHARES | March 14, 2014 | (3.73 | ) | 11.14 | 8.33 | |||||||||
CLASS R6 SHARES | March 14, 2014 | (3.66 | ) | 11.17 | 8.34 | |||||||||
SELECT CLASS SHARES | January 1, 1997 | (3.81 | ) | 11.09 | 8.30 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, and the Lipper Multi-Cap Growth Funds Index from June 30, 2006 to June 30,
2016. 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 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 Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Multi-Cap Growth Funds Index is an index 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.
| 6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (10.01)% | |||
| Russell Midcap Growth Index | (2.14)% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 2,851,483 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Select Class Shares underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector and the producer durables sector was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., SolarCity Corp. and Illumina Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on continued investor concerns about the company’s revenue accounting practices. Shares of SolarCity, a maker of solar energy systems, declined on lower than expected installations in the fourth quarter of 2015 and the first quarter of 2016. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.
Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Waste Connections Inc. and Ulta Salon Cosmetics & Fragrance Inc. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd. Shares of Ulta Salon Cosmetics, a beauty products retailer, rose on better than expected quarterly earnings and the company’s forecast for sales growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach
to stock selection, researching individual companies in an effort
to construct 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. | Electronic Arts, Inc. | 2.5 | % | |||||
| 2. | Mohawk Industries, Inc. | 2.4 | ||||||
| 3. | Dollar General Corp. | 2.4 | ||||||
| 4. | Waste Connections, Inc., (Canada) | 2.3 | ||||||
| 5. | Acuity Brands, Inc. | 2.2 | ||||||
| 6. | O’Reilly Automotive, Inc. | 1.9 | ||||||
| 7. | Fortune Brands Home & Security, Inc. | 1.9 | ||||||
| 8. | Hilton Worldwide Holdings, Inc. | 1.8 | ||||||
| 9. | Vantiv, Inc., Class A | 1.8 | ||||||
| 10. | Harris Corp. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 24.4 | % | ||
| Consumer Discretionary | 20.7 | |||
| Industrials | 18.2 | |||
| Health Care | 14.4 | |||
| Financials | 9.6 | |||
| Materials | 4.5 | |||
| Consumer Staples | 3.6 | |||
| Energy | 2.2 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | (15.01 | )% | 8.05 | % | 7.11 | % | ||||||||
Without Sales Charge | (10.29 | ) | 9.22 | 7.69 | ||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | (11.70 | ) | 8.68 | 7.12 | ||||||||||
Without CDSC | (10.70 | ) | 8.68 | 7.12 | ||||||||||
CLASS R2 SHARES | June 19, 2009 | (10.42 | ) | 9.05 | 7.52 | |||||||||
CLASS R5 SHARES | November 1, 2011 | (9.87 | ) | 9.71 | 8.09 | |||||||||
CLASS R6 SHARES | November 1, 2011 | (9.82 | ) | 9.76 | 8.11 | |||||||||
SELECT CLASS SHARES | March 2, 1989 | (10.01 | ) | 9.56 | 8.01 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 Global Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. 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 Global 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 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 Global Multi-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.
| 8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 2.35% | |||
| Russell Midcap Value Index | 3.25% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 15,564,142 | ||
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’s Institutional Class Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s overweight position and security selection in the consumer discretionary sector and its security selection in the health care sector were leading detractors from performance relative to the Benchmark. The Fund’s underweight position in the energy sector and its security selection in the industrials sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Gap Inc. and Kohl’s Corp. and its underweight position in Nvidia Corp. Shares of Gap, an apparel retailer not held in the Benchmark, fell on sales weakness due to the relative strength of the U.S. dollar and disappointing holiday season sales at its Old Navy brand. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth. Shares Nvidia, a graphics software maker that was not held in the Fund, rose on strong demand for its semiconductors.
Leading individual contributors to relative performance included the Fund’s overweight positions in Jack Henry & Associates Inc., Westar Energy Inc. and its underweight position in Perrigo Co. Shares of Jack Henry & Associates, a provider of financial data processing technology that was not held in the Benchmark, rose on better than expected quarterly earnings and revenue. Shares of Westar Energy, an electric utility, rose as investors sought out companies with higher divided yields. Shares of Perrigo, a specialty pharmaceuticals and consumer products company, rose on better than expected revenue growth and investor expectations that the company may become an acquisition target.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | EQT Corp. | 2.1 | % | |||||
| 2. | Energen Corp. | 2.0 | ||||||
| 3. | Mohawk Industries, Inc. | 1.8 | ||||||
| 4. | Loews Corp. | 1.7 | ||||||
| 5. | M&T Bank Corp. | 1.6 | ||||||
| 6. | Synopsys, Inc. | 1.6 | ||||||
| 7. | Columbia Pipeline Group, Inc. | 1.6 | ||||||
| 8. | Xcel Energy, Inc. | 1.5 | ||||||
| 9. | Arrow Electronics, Inc. | 1.5 | ||||||
| 10. | Marsh & McLennan Cos., Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 29.6 | % | ||
| Consumer Discretionary | 17.1 | |||
| Utilities | 10.8 | |||
| Information Technology | 9.9 | |||
| Industrials | 9.0 | |||
Energy | 6.5 | |||
| Consumer Staples | 5.5 | |||
| Health Care | 4.3 | |||
| Materials | 3.9 | |||
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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||
With Sales Charge* | (3.50 | )% | 10.94 | % | 7.66 | % | ||||||||
Without Sales Charge | 1.85 | 12.14 | 8.24 | |||||||||||
CLASS C SHARES | April 30, 2001 | |||||||||||||
With CDSC** | 0.35 | 11.58 | 7.69 | |||||||||||
Without CDSC | 1.35 | 11.58 | 7.69 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 1.61 | 11.85 | 8.03 | ||||||||||
INSTITUTIONAL CLASS SHARES | November 13, 1997 | 2.35 | 12.69 | 8.78 | ||||||||||
SELECT CLASS SHARES | October 31, 2001 | 2.11 | 12.43 | 8.51 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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.
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, 2006 to June 30, 2016. 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.
| 10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 0.60% | |||
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.19% | |||
| Net Assets as of 6/30/16 (In Thousands) | $ | 188,103 | ||
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’s Select Class Shares outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health services and systems and energy sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the pharmaceuticals and medical technology sector and its security selection and overweight position in the banks and brokerages sector were leading detractors from relative performance.
Leading individual contributors to Fund’s return included its short positions in Consol Energy Inc. and Tenet Healthcare Inc. and its long position in CoreLogic Inc. Shares of Consol Energy, an oil and gas producer, fell on continued weakness in global energy prices. Shares of Tenet Healthcare, a hospitals operator,
fell on declining patient visits. Shares of CoreLogic, a provider of real estate data and analysis, rose on better than expected quarterly earnings and revenue.
Leading individual detractors from Fund returns included its short positions in Twitter Inc. and Nordstrom Inc. and its long position in Health Net Inc. Shares of Twitter, a provider of social media, rose on expansion of its business into streaming live content. Shares of Nordstrom, an apparel retailer, rose on better than expected sales in the middle of the reporting period. Shares of Health Net, a health insurer, fell on lower than expected revenue early in the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models deemed capable of achieving, 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.
| JUNE 30, 2016 | 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, 2016 (Unaudited) (continued)
| TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
| 1. | Express Scripts Holding Co. | 1.1 | % | |||||
| 2. | C.R. Bard, Inc. | 1.1 | ||||||
| 3. | MSCI, Inc. | 1.1 | ||||||
| 4. | Computer Sciences Corp. | 1.0 | ||||||
| 5. | Ingredion, Inc. | 1.0 | ||||||
| 6. | Entergy Corp. | 1.0 | ||||||
| 7. | UGI Corp. | 1.0 | ||||||
| 8. | PVH Corp. | 1.0 | ||||||
| 9. | VeriSign, Inc. | 1.0 | ||||||
| 10. | Hologic, Inc. | 1.0 | ||||||
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
| 1. | Monster Beverage Corp. | 1.4 | % | |||||
| 2. | DexCom, Inc. | 1.3 | ||||||
| 3. | Patterson Cos., Inc. | 1.3 | ||||||
| 4. | Dominion Resources, Inc. | 1.2 | ||||||
| 5. | WhiteWave Foods Co. (The) | 1.2 | ||||||
| 6. | Constellation Brands, Inc., Class A | 1.2 | ||||||
| 7. | Wynn Resorts Ltd. | 1.2 | ||||||
| 8. | MAXIMUS, Inc. | 1.2 | ||||||
| 9. | ViaSat, Inc. | 1.2 | ||||||
| 10. | Donaldson Co. | 1.2 | ||||||
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 24.0 | % | ||
| Industrials | 16.2 | |||
| Consumer Discretionary | 12.8 | |||
| Health Care | 11.9 | |||
| Consumer Staples | 6.8 | |||
| Materials | 6.2 | |||
| Energy | 4.1 | |||
| Financials | 2.6 | |||
| Utilities | 2.3 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 11.6 | |||
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 27.5 | % | ||
| Industrials | 19.4 | |||
| Consumer Discretionary | 14.0 | |||
| Health Care | 12.1 | |||
| Consumer Staples | 7.4 | |||
| Materials | 7.3 | |||
| Energy | 4.2 | |||
| Financials | 3.6 | |||
| Utilities | 3.2 | |||
| Telecommunication Services | 1.3 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total long investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| **** | Percentages indicated are based on total short investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| 12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 23, 2003 | |||||||||||||
With Sales Charge* | (4.99 | )% | (0.89 | )% | (0.76 | )% | ||||||||
Without Sales Charge | 0.30 | 0.18 | (0.22 | ) | ||||||||||
CLASS C SHARES | May 23, 2003 | |||||||||||||
With CDSC** | (1.21 | ) | (0.40 | ) | (0.89 | ) | ||||||||
Without CDSC | (0.21 | ) | (0.40 | ) | (0.89 | ) | ||||||||
SELECT CLASS SHARES | May 23, 2003 | 0.60 | 0.44 | 0.03 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | (1.87)% | |||
| Russell 3000 Value Index | 2.42% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 10,090,951 | ||
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’s Institutional Class Shares underperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s overweight positions in the consumer discretionary and financial services sectors were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the utilities and consumer staples sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions Kohl’s Corp. and Southwestern Energy Co. and its underweight position in General Electric Co. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth. Shares of Southwestern Energy, a petroleum and natural gas producer, fell on continued weakness in global energy prices. Shares of General Electric, an industrial manufacturer not held by the Fund, rose on overall strength in the industrials sector stocks.
Leading individual contributors to relative performance included the Fund’s overweight positions in Xcel Energy Inc., Martin Marietta Materials Inc. and Post Holdings Inc. Shares of Xcel, an electric utility, rose on positive earnings performance and investor demand for utility stocks with high dividend yields. Shares of Martin Marietta, a supplier of construction materials, rose on better than expected earnings and overall strength in industrials sector stocks. Shares of Post Holdings, a maker of cereals and other packaged foods, rose on better than expected earnings.
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. During the reporting period, the Fund’s largest average overweight position
remained the consumer discretionary sector, where the Fund’s portfolio managers found what they believed to be compelling investment opportunities. The Fund’s largest average underweight position was in the energy sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.7 | % | |||||
| 2. | Exxon Mobil Corp. | 3.0 | ||||||
| 3. | Pfizer, Inc. | 2.8 | ||||||
| 4. | Loews Corp. | 2.1 | ||||||
| 5. | Capital One Financial Corp. | 1.9 | ||||||
| 6. | Johnson & Johnson | 1.8 | ||||||
| 7. | Bank of America Corp. | 1.7 | ||||||
| 8. | Merck & Co., Inc. | 1.6 | ||||||
| 9. | M&T Bank Corp. | 1.6 | ||||||
| 10. | UnitedHealth Group, Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 33.7 | % | ||
| Consumer Discretionary | 15.5 | |||
| Health Care | 9.6 | |||
| Information Technology | 7.5 | |||
| Energy | 7.4 | |||
| Utilities | 7.4 | |||
| Industrials | 7.1 | |||
| Consumer Staples | 5.6 | |||
| Materials | 3.3 | |||
| Telecommunication Services | 2.1 | |||
| Short-Term Investment | 0.8 | |||
| * | 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, 2016. The Fund’s portfolio composition is subject to change. |
| 14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 28, 2005 | |||||||||||||
With Sales Charge* | (7.46 | )% | 9.62 | % | 7.23 | % | ||||||||
Without Sales Charge | (2.34 | ) | 10.82 | 7.81 | ||||||||||
CLASS C SHARES | February 28, 2005 | |||||||||||||
With CDSC** | (3.82 | ) | 10.27 | 7.28 | ||||||||||
Without CDSC | (2.82 | ) | 10.27 | 7.28 | ||||||||||
INSTITUTIONAL CLASS SHARES | February 28, 2005 | (1.87 | ) | 11.37 | 8.36 | |||||||||
SELECT CLASS SHARES | February 28, 2005 | (2.10 | ) | 11.09 | 8.08 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assume a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.5% |
| ||||||
Consumer Discretionary — 17.3% |
| |||||||
Automobiles — 0.6% |
| |||||||
| 168 | Tesla Motors, Inc. (a) | 35,705 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.9% |
| |||||||
| 1,178 | Aramark | 39,356 | ||||||
| 2,985 | Hilton Worldwide Holdings, Inc. | 67,245 | ||||||
| 1,251 | Norwegian Cruise Line Holdings Ltd. (a) | 49,848 | ||||||
| 1,303 | Starbucks Corp. | 74,427 | ||||||
|
| |||||||
| 230,876 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 657 | Mohawk Industries, Inc. (a) | 124,653 | ||||||
|
| |||||||
Internet & Catalog Retail — 6.4% |
| |||||||
| 290 | Amazon.com, Inc. (a) | 207,744 | ||||||
| 633 | Netflix, Inc. (a) | 57,889 | ||||||
| 68 | Priceline Group, Inc. (The) (a) | 84,392 | ||||||
| 822 | Wayfair, Inc., Class A (a) | 32,058 | ||||||
|
| |||||||
| 382,083 | ||||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
| 963 | Dollar General Corp. | 90,560 | ||||||
|
| |||||||
Specialty Retail — 2.8% |
| |||||||
| 920 | Home Depot, Inc. (The) | 117,462 | ||||||
| 218 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 53,114 | ||||||
|
| |||||||
| 170,576 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,034,453 | |||||||
|
| |||||||
Consumer Staples — 2.2% |
| |||||||
Beverages — 0.8% |
| |||||||
| 282 | Monster Beverage Corp. (a) | 45,384 | ||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
| 1,570 | Sprouts Farmers Market, Inc. (a) | 35,962 | ||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
| 720 | Tyson Foods, Inc., Class A | 48,089 | ||||||
|
| |||||||
Total Consumer Staples | 129,435 | |||||||
|
| |||||||
Energy — 2.0% |
| |||||||
Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
| 724 | Concho Resources, Inc. (a) | 86,304 | ||||||
| 408 | EOG Resources, Inc. | 34,060 | ||||||
|
| |||||||
Total Energy | 120,364 | |||||||
|
| |||||||
Financials — 6.9% |
| |||||||
Banks — 1.7% |
| |||||||
| 1,176 | East West Bancorp, Inc. | 40,203 | ||||||
| 476 | Signature Bank (a) | 59,474 | ||||||
|
| |||||||
| 99,677 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — 3.0% |
| |||||||
| 323 | Affiliated Managers Group, Inc. (a) | 45,511 | ||||||
| 152 | BlackRock, Inc. | 52,133 | ||||||
| 2,173 | Charles Schwab Corp. (The) | 54,986 | ||||||
| 854 | Lazard Ltd., (Bermuda), Class A | 25,420 | ||||||
|
| |||||||
| 178,050 | ||||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
| 653 | S&P Global, Inc. | 69,987 | ||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 2,351 | CBRE Group, Inc., Class A (a) | 62,263 | ||||||
|
| |||||||
Total Financials | 409,977 | |||||||
|
| |||||||
Health Care — 16.8% |
| |||||||
Biotechnology — 6.0% |
| |||||||
| 437 | Celgene Corp. (a) | 43,072 | ||||||
| 1,379 | Gilead Sciences, Inc. | 115,036 | ||||||
| 225 | Intercept Pharmaceuticals, Inc. (a) | 32,146 | ||||||
| 840 | Kite Pharma, Inc. (a) | 41,980 | ||||||
| 160 | Regeneron Pharmaceuticals, Inc. (a) | 55,947 | ||||||
| 393 | Spark Therapeutics, Inc. (a) | 20,084 | ||||||
| 599 | Vertex Pharmaceuticals, Inc. (a) | 51,534 | ||||||
|
| |||||||
| 359,799 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.3% |
| |||||||
| 1,507 | Novadaq Technologies, Inc., (Canada) (a) | 14,831 | ||||||
|
| |||||||
Health Care Providers & Services — 6.2% |
| |||||||
| 1,292 | Acadia Healthcare Co., Inc. (a) | 71,566 | ||||||
| 415 | Aetna, Inc. | 50,708 | ||||||
| 218 | Cigna Corp. | 27,838 | ||||||
| 1,576 | Envision Healthcare Holdings, Inc. (a) | 39,978 | ||||||
| 226 | Humana, Inc. | 40,599 | ||||||
| 996 | UnitedHealth Group, Inc. | 140,607 | ||||||
|
| |||||||
| 371,296 | ||||||||
|
| |||||||
Health Care Technology — 0.8% |
| |||||||
| 1,310 | Veeva Systems, Inc., Class A (a) | 44,707 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 472 | Illumina, Inc. (a) | 66,245 | ||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
| 1,532 | Bristol-Myers Squibb Co. | 112,642 | ||||||
| 1,016 | Revance Therapeutics, Inc. (a) | 13,820 | ||||||
| 2,210 | TherapeuticsMD, Inc. (a) | 18,788 | ||||||
|
| |||||||
| 145,250 | ||||||||
|
| |||||||
Total Health Care | 1,002,128 | |||||||
|
| |||||||
Industrials — 13.1% |
| |||||||
Airlines — 1.0% |
| |||||||
| 1,481 | Southwest Airlines Co. | 58,062 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Building Products — 2.8% |
| |||||||
| 1,406 | Fortune Brands Home & Security, Inc. | 81,483 | ||||||
| 593 | Lennox International, Inc. | 84,533 | ||||||
|
| |||||||
| 166,016 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.0% |
| |||||||
| 515 | Stericycle, Inc. (a) | 53,591 | ||||||
| 1,766 | Waste Connections, Inc., (Canada) | 127,240 | ||||||
|
| |||||||
| 180,831 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
| 422 | Acuity Brands, Inc. | 104,614 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 650 | Carlisle Cos., Inc. | 68,713 | ||||||
|
| |||||||
Machinery — 0.6% |
| |||||||
| 299 | Middleby Corp. (The) (a) | 34,402 | ||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 400 | Equifax, Inc. | 51,322 | ||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
| 579 | Old Dominion Freight Line, Inc. (a) | 34,893 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
| 2,335 | HD Supply Holdings, Inc. (a) | 81,294 | ||||||
|
| |||||||
Total Industrials | 780,147 | |||||||
| �� |
|
| ||||||
Information Technology — 34.5% |
| |||||||
Communications Equipment — 2.7% |
| |||||||
| 650 | Arista Networks, Inc. (a) | 41,866 | ||||||
| 972 | Harris Corp. | 81,129 | ||||||
| 295 | Palo Alto Networks, Inc. (a) | 36,216 | ||||||
|
| |||||||
| 159,211 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.0% |
| |||||||
| 1,151 | Amphenol Corp., Class A | 65,987 | ||||||
| 2,717 | Corning, Inc. | 55,644 | ||||||
|
| |||||||
| 121,631 | ||||||||
|
| |||||||
Internet Software & Services — 11.6% |
| |||||||
| 485 | Alphabet, Inc., Class C (a) | 335,741 | ||||||
| 229 | CoStar Group, Inc. (a) | 50,161 | ||||||
| 2,234 | Facebook, Inc., Class A (a) | 255,256 | ||||||
| 1,738 | GoDaddy, Inc., Class A (a) | 54,199 | ||||||
|
| |||||||
| 695,357 | ||||||||
|
| |||||||
IT Services — 5.8% |
| |||||||
| 1,016 | MasterCard, Inc., Class A | 89,442 | ||||||
| 2,189 | PayPal Holdings, Inc. (a) | 79,924 | ||||||
| 1,258 | Vantiv, Inc., Class A (a) | 71,180 | ||||||
| 1,394 | Visa, Inc., Class A | 103,386 | ||||||
|
| |||||||
| 343,932 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 472 | Broadcom Ltd., (Singapore) | 73,333 | ||||||
| 411 | Lam Research Corp. | 34,574 | ||||||
| 755 | NXP Semiconductors N.V., (Netherlands) (a) | 59,155 | ||||||
|
| |||||||
| 167,062 | ||||||||
|
| |||||||
Software — 8.1% |
| |||||||
| 598 | Adobe Systems, Inc. (a) | 57,273 | ||||||
| 1,353 | Electronic Arts, Inc. (a) | 102,533 | ||||||
| 647 | Guidewire Software, Inc. (a) | 39,934 | ||||||
| 1,785 | Microsoft Corp. | 91,359 | ||||||
| 785 | Mobileye N.V., (Israel) (a) | 36,215 | ||||||
| 509 | salesforce.com, Inc. (a) | 40,428 | ||||||
| 699 | ServiceNow, Inc. (a) | 46,400 | ||||||
| 658 | Splunk, Inc. (a) | 35,629 | ||||||
| 424 | Workday, Inc., Class A (a) | 31,690 | ||||||
|
| |||||||
| 481,461 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.5% |
| |||||||
| 931 | Apple, Inc. | 89,008 | ||||||
|
| |||||||
Total Information Technology | 2,057,662 | |||||||
|
| |||||||
Materials — 4.7% |
| |||||||
Chemicals — 2.9% |
| |||||||
| 334 | Air Products & Chemicals, Inc. | 47,413 | ||||||
| 675 | PPG Industries, Inc. | 70,332 | ||||||
| 180 | Sherwin-Williams Co. (The) | 52,714 | ||||||
|
| |||||||
| 170,459 | ||||||||
|
| |||||||
Construction Materials — 1.8% |
| |||||||
| 570 | Eagle Materials, Inc. | 43,976 | ||||||
| 534 | Vulcan Materials Co. | 64,236 | ||||||
|
| |||||||
| 108,212 | ||||||||
|
| |||||||
Total Materials | 278,671 | |||||||
|
| |||||||
Total Common Stocks | 5,812,837 | |||||||
|
| |||||||
| Short-Term Investment — 1.7% |
| ||||||
Investment Company — 1.7% |
| |||||||
| 103,543 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 103,543 | ||||||
|
| |||||||
Total Investments — 99.2% | 5,916,380 | |||||||
Other Assets in Excess of | 47,220 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,963,600 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.4% |
| ||||||
Consumer Discretionary — 18.9% |
| |||||||
Automobiles — 0.2% |
| |||||||
| 26 | Tesla Motors, Inc. (a) | 5,434 | ||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
| 130 | Genuine Parts Co. | 13,122 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.2% |
| |||||||
| 426 | Aramark | 14,227 | ||||||
| 18 | Chipotle Mexican Grill, Inc. (a) | 7,411 | ||||||
| 1,480 | Hilton Worldwide Holdings, Inc. | 33,355 | ||||||
| 115 | Marriott International, Inc., Class A | 7,657 | ||||||
| 312 | Norwegian Cruise Line Holdings Ltd. (a) | 12,441 | ||||||
|
| |||||||
| 75,091 | ||||||||
|
| |||||||
Household Durables — 3.1% |
| |||||||
| 260 | Mohawk Industries, Inc. (a) | 49,293 | ||||||
| 331 | Newell Brands, Inc. | 16,098 | ||||||
| 293 | Toll Brothers, Inc. (a) | 7,871 | ||||||
|
| |||||||
| 73,262 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 139 | Expedia, Inc. | 14,748 | ||||||
| 88 | Netflix, Inc. (a) | 8,087 | ||||||
| 116 | TripAdvisor, Inc. (a) | 7,446 | ||||||
| 181 | Wayfair, Inc., Class A (a) | 7,040 | ||||||
|
| |||||||
| 37,321 | ||||||||
|
| |||||||
Media — 1.3% |
| |||||||
| 148 | CBS Corp. (Non-Voting), Class B | 8,046 | ||||||
| 219 | DISH Network Corp., Class A (a) | 11,488 | ||||||
| 355 | TEGNA, Inc. | 8,233 | ||||||
| 192 | Time, Inc. | 3,157 | ||||||
|
| |||||||
| 30,924 | ||||||||
|
| |||||||
Multiline Retail — 2.0% |
| |||||||
| 299 | Dollar General Corp. | 28,125 | ||||||
| 355 | Kohl’s Corp. | 13,456 | ||||||
| 184 | Nordstrom, Inc. | 7,014 | ||||||
|
| |||||||
| 48,595 | ||||||||
|
| |||||||
Specialty Retail — 5.5% |
| |||||||
| 17 | AutoZone, Inc. (a) | 13,139 | ||||||
| 224 | Bed Bath & Beyond, Inc. | 9,676 | ||||||
| 350 | Best Buy Co., Inc. | 10,713 | ||||||
| 473 | Gap, Inc. (The) | 10,042 | ||||||
| 82 | O’Reilly Automotive, Inc. (a) | 22,149 | ||||||
| 330 | Ross Stores, Inc. | 18,702 | ||||||
| 284 | Sally Beauty Holdings, Inc. (a) | 8,344 | ||||||
| 157 | Tiffany & Co. | 9,510 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 123 | Tractor Supply Co. | 11,188 | ||||||
| 64 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 15,690 | ||||||
|
| |||||||
| 129,153 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
| 404 | Gildan Activewear, Inc., (Canada) | 11,840 | ||||||
| 121 | PVH Corp. | 11,429 | ||||||
| 186 | V.F. Corp. | 11,446 | ||||||
|
| |||||||
| 34,715 | ||||||||
|
| |||||||
Total Consumer Discretionary | 447,617 | |||||||
|
| |||||||
Consumer Staples — 4.5% |
| |||||||
Beverages — 1.3% |
| |||||||
| 67 | Constellation Brands, Inc., Class A | 11,128 | ||||||
| 143 | Dr. Pepper Snapple Group, Inc. | 13,812 | ||||||
| 42 | Monster Beverage Corp. (a) | 6,782 | ||||||
|
| |||||||
| 31,722 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
| 100 | Casey’s General Stores, Inc. | 13,125 | ||||||
| 438 | Kroger Co. (The) | 16,117 | ||||||
| 415 | Rite Aid Corp. (a) | 3,105 | ||||||
| 412 | Sprouts Farmers Market, Inc. (a) | 9,426 | ||||||
|
| |||||||
| 41,773 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 47 | TreeHouse Foods, Inc. (a) | 4,861 | ||||||
| 183 | Tyson Foods, Inc., Class A | 12,209 | ||||||
|
| |||||||
| 17,070 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 122 | Energizer Holdings, Inc. | 6,272 | ||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
| 123 | Edgewell Personal Care Co. (a) | 10,400 | ||||||
|
| |||||||
Total Consumer Staples | 107,237 | |||||||
|
| |||||||
Energy — 4.4% |
| |||||||
Oil, Gas & Consumable Fuels — 4.4% |
| |||||||
| 740 | Columbia Pipeline Group, Inc. | 18,872 | ||||||
| 152 | Concho Resources, Inc. (a) | 18,117 | ||||||
| 501 | Energen Corp. | 24,134 | ||||||
| 322 | EQT Corp. | 24,905 | ||||||
| 253 | PBF Energy, Inc., Class A | 6,017 | ||||||
| 176 | Range Resources Corp. | 7,601 | ||||||
| 328 | Southwestern Energy Co. (a) | 4,132 | ||||||
|
| |||||||
Total Energy | 103,778 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Financials — 20.0% |
| |||||||
Banks — 4.3% |
| |||||||
| 420 | Citizens Financial Group, Inc. | 8,398 | ||||||
| 279 | East West Bancorp, Inc. | 9,536 | ||||||
| 812 | Fifth Third Bancorp | 14,283 | ||||||
| 139 | First Republic Bank | 9,716 | ||||||
| 540 | Huntington Bancshares, Inc. | 4,831 | ||||||
| 170 | M&T Bank Corp. | 20,124 | ||||||
| 123 | Signature Bank (a) | 15,315 | ||||||
| 399 | SunTrust Banks, Inc. | 16,392 | ||||||
| 128 | Zions Bancorporation | 3,219 | ||||||
|
| |||||||
| 101,814 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
| 108 | Affiliated Managers Group, Inc. (a) | 15,259 | ||||||
| 73 | Ameriprise Financial, Inc. | 6,545 | ||||||
| 323 | Invesco Ltd. | 8,259 | ||||||
| 298 | Lazard Ltd., (Bermuda), Class A | 8,869 | ||||||
| 138 | Legg Mason, Inc. | 4,070 | ||||||
| 145 | Northern Trust Corp. | 9,632 | ||||||
| 229 | Oaktree Capital Group LLC | 10,232 | ||||||
| 137 | Raymond James Financial, Inc. | 6,758 | ||||||
| 183 | T. Rowe Price Group, Inc. | 13,371 | ||||||
| 388 | TD Ameritrade Holding Corp. | 11,045 | ||||||
|
| |||||||
| 94,040 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 395 | Ally Financial, Inc. (a) | 6,749 | ||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
| 166 | Nasdaq, Inc. | 10,742 | ||||||
| 159 | S&P Global, Inc. | 17,086 | ||||||
|
| |||||||
| 27,828 | ||||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
| 13 | Alleghany Corp. (a) | 6,911 | ||||||
| 47 | Chubb Ltd., (Switzerland) | 6,178 | ||||||
| 324 | Hartford Financial Services Group, Inc. (The) | 14,379 | ||||||
| 494 | Loews Corp. | 20,281 | ||||||
| 253 | Marsh & McLennan Cos., Inc. | 17,292 | ||||||
| 163 | Progressive Corp. (The) | 5,470 | ||||||
| 329 | Unum Group | 10,453 | ||||||
| 75 | W.R. Berkley Corp. | 4,498 | ||||||
| 366 | XL Group plc, (Ireland) | 12,186 | ||||||
|
| |||||||
| 97,648 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.5% |
| |||||||
| 157 | American Campus Communities, Inc. | 8,282 | ||||||
| 318 | American Homes 4 Rent, Class A | 6,512 | ||||||
| 67 | AvalonBay Communities, Inc. | 12,065 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 86 | Boston Properties, Inc. | 11,374 | ||||||
| 385 | Brixmor Property Group, Inc. | 10,192 | ||||||
| 27 | Essex Property Trust, Inc. | 6,101 | ||||||
| 211 | General Growth Properties, Inc. | 6,283 | ||||||
| 132 | HCP, Inc. | 4,675 | ||||||
| 416 | Kimco Realty Corp. | 13,043 | ||||||
| 305 | Outfront Media, Inc. | 7,364 | ||||||
| 293 | Rayonier, Inc. | 7,680 | ||||||
| 102 | Regency Centers Corp. | 8,552 | ||||||
| 133 | Vornado Realty Trust | 13,363 | ||||||
| 282 | Weyerhaeuser Co. | 8,409 | ||||||
| 76 | WP Carey, Inc. | 5,304 | ||||||
|
| |||||||
| 129,199 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 570 | CBRE Group, Inc., Class A (a) | 15,093 | ||||||
|
| |||||||
Total Financials | 472,371 | |||||||
|
| |||||||
Health Care — 9.2% |
| |||||||
Biotechnology — 1.5% |
| |||||||
| 135 | BioMarin Pharmaceutical, Inc. (a) | 10,526 | ||||||
| 55 | Intercept Pharmaceuticals, Inc. (a) | 7,848 | ||||||
| 170 | Kite Pharma, Inc. (a) | 8,480 | ||||||
| 92 | Vertex Pharmaceuticals, Inc. (a) | 7,931 | ||||||
|
| |||||||
| 34,785 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 222 | Dentsply Sirona, Inc. | 13,750 | ||||||
| 93 | Edwards Lifesciences Corp. (a) | 9,285 | ||||||
|
| |||||||
| 23,035 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.8% |
| |||||||
| 274 | Acadia Healthcare Co., Inc. (a) | 15,196 | ||||||
| 154 | AmerisourceBergen Corp. | 12,211 | ||||||
| 183 | Centene Corp. (a) | 13,068 | ||||||
| 63 | Cigna Corp. | 8,124 | ||||||
| 569 | Envision Healthcare Holdings, Inc. (a) | 14,433 | ||||||
| 58 | Henry Schein, Inc. (a) | 10,193 | ||||||
| 135 | Humana, Inc. | 24,279 | ||||||
| 253 | Premier, Inc., Class A (a) | 8,273 | ||||||
| 66 | Universal Health Services, Inc., Class B | 8,829 | ||||||
|
| |||||||
| 114,606 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
| 319 | Inovalon Holdings, Inc., Class A (a) | 5,746 | ||||||
| 307 | Veeva Systems, Inc., Class A (a) | 10,475 | ||||||
|
| |||||||
| 16,221 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
| 141 | Illumina, Inc. (a) | 19,833 | ||||||
|
| |||||||
Pharmaceuticals — 0.4% |
| |||||||
| 74 | Jazz Pharmaceuticals plc, (Ireland) (a) | 10,513 | ||||||
|
| |||||||
Total Health Care | 218,993 | |||||||
|
| |||||||
Industrials — 13.6% |
| |||||||
Airlines — 0.5% |
| |||||||
| 292 | Southwest Airlines Co. | 11,465 | ||||||
|
| |||||||
Building Products — 2.3% |
| |||||||
| 579 | Fortune Brands Home & Security, Inc. | 33,588 | ||||||
| 141 | Lennox International, Inc. | 20,164 | ||||||
|
| |||||||
| 53,752 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.7% |
| |||||||
| 123 | Stericycle, Inc. (a) | 12,854 | ||||||
| 386 | Waste Connections, Inc., (Canada) | 27,790 | ||||||
|
| |||||||
| 40,644 | ||||||||
|
| |||||||
Electrical Equipment — 2.5% |
| |||||||
| 102 | Acuity Brands, Inc. | 25,168 | ||||||
| 255 | AMETEK, Inc. | 11,792 | ||||||
| 125 | Hubbell, Inc. | 13,189 | ||||||
| 187 | Regal Beloit Corp. | 10,313 | ||||||
|
| |||||||
| 60,462 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 286 | Carlisle Cos., Inc. | 30,260 | ||||||
|
| |||||||
Machinery — 2.3% |
| |||||||
| 143 | IDEX Corp. | 11,714 | ||||||
| 147 | Middleby Corp. (The) (a) | 16,942 | ||||||
| 345 | Rexnord Corp. (a) | 6,768 | ||||||
| 73 | Snap-on, Inc. | 11,491 | ||||||
| 79 | WABCO Holdings, Inc. (a) | 7,225 | ||||||
|
| |||||||
| 54,140 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 160 | Equifax, Inc. | 20,483 | ||||||
|
| |||||||
Road & Rail — 0.3% |
| |||||||
| 134 | Old Dominion Freight Line, Inc. (a) | 8,100 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.8% |
| |||||||
| 520 | HD Supply Holdings, Inc. (a) | 18,099 | ||||||
| 156 | MSC Industrial Direct Co., Inc., Class A | 10,990 | ||||||
| 94 | Watsco, Inc. | 13,246 | ||||||
|
| |||||||
| 42,335 | ||||||||
|
| |||||||
Total Industrials | 321,641 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 17.1% |
| |||||||
Communications Equipment — 2.1% |
| |||||||
| 143 | Arista Networks, Inc. (a) | 9,206 | ||||||
| 295 | CommScope Holding Co., Inc. (a) | 9,152 | ||||||
| 249 | Harris Corp. | 20,751 | ||||||
| 85 | Palo Alto Networks, Inc. (a) | 10,395 | ||||||
|
| |||||||
| 49,504 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.3% |
| |||||||
| 568 | Amphenol Corp., Class A | 32,577 | ||||||
| 284 | Arrow Electronics, Inc. (a) | 17,572 | ||||||
| 94 | CDW Corp. | 3,786 | ||||||
| 568 | Corning, Inc. | 11,627 | ||||||
| 191 | FLIR Systems, Inc. | 5,908 | ||||||
| 234 | Keysight Technologies, Inc. (a) | 6,809 | ||||||
|
| |||||||
| 78,279 | ||||||||
|
| |||||||
Internet Software & Services — 1.2% |
| |||||||
| 59 | CoStar Group, Inc. (a) | 12,879 | ||||||
| 363 | GoDaddy, Inc., Class A (a) | 11,307 | ||||||
| 262 | Match Group, Inc. (a) | 3,942 | ||||||
|
| |||||||
| 28,128 | ||||||||
|
| |||||||
IT Services — 2.8% |
| |||||||
| 162 | Gartner, Inc. (a) | 15,810 | ||||||
| 99 | Global Payments, Inc. | 7,074 | ||||||
| 170 | Jack Henry & Associates, Inc. | 14,820 | ||||||
| 321 | Sabre Corp. | 8,599 | ||||||
| 373 | Vantiv, Inc., Class A (a) | 21,112 | ||||||
|
| |||||||
| 67,415 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
| 197 | Analog Devices, Inc. | 11,177 | ||||||
| 62 | Broadcom Ltd., (Singapore) | 9,666 | ||||||
| 155 | Cavium, Inc. (a) | 5,998 | ||||||
| 218 | KLA-Tencor Corp. | 15,998 | ||||||
| 126 | Lam Research Corp. | 10,558 | ||||||
| 158 | NXP Semiconductors N.V., (Netherlands) (a) | 12,346 | ||||||
| 89 | Xilinx, Inc. | 4,101 | ||||||
|
| |||||||
| 69,844 | ||||||||
|
| |||||||
Software — 4.7% |
| |||||||
| 234 | Atlassian Corp. plc, (Australia), Class A (a) | 6,048 | ||||||
| 381 | Electronic Arts, Inc. (a) | 28,834 | ||||||
| 156 | Guidewire Software, Inc. (a) | 9,628 | ||||||
| 155 | Mobileye N.V., (Israel) (a) | 7,152 | ||||||
| 202 | ServiceNow, Inc. (a) | 13,406 | ||||||
| 189 | Splunk, Inc. (a) | 10,256 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 357 | Synopsys, Inc. (a) | 19,283 | ||||||
| 132 | Tableau Software, Inc., Class A (a) | 6,438 | ||||||
| 126 | Workday, Inc., Class A (a) | 9,401 | ||||||
|
| |||||||
| 110,446 | ||||||||
|
| |||||||
Total Information Technology | 403,616 | |||||||
|
| |||||||
Materials — 4.2% |
| |||||||
Chemicals — 1.2% |
| |||||||
| 116 | PPG Industries, Inc. | 12,071 | ||||||
| 59 | Sherwin-Williams Co. (The) | 17,418 | ||||||
|
| |||||||
| 29,489 | ||||||||
|
| |||||||
Construction Materials — 1.3% |
| |||||||
| 162 | Eagle Materials, Inc. | 12,475 | ||||||
| 149 | Vulcan Materials Co. | 17,886 | ||||||
|
| |||||||
| 30,361 | ||||||||
|
| |||||||
Containers & Packaging — 1.7% |
| |||||||
| 173 | Ball Corp. | 12,537 | ||||||
| 254 | Silgan Holdings, Inc. | 13,063 | ||||||
| 351 | WestRock Co. | 13,647 | ||||||
|
| |||||||
| 39,247 | ||||||||
|
| |||||||
Total Materials | 99,097 | |||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 2.0% |
| |||||||
| 220 | Edison International | 17,087 | ||||||
| 197 | Westar Energy, Inc. | 11,060 | ||||||
| 403 | Xcel Energy, Inc. | 18,027 | ||||||
|
| |||||||
| 46,174 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.8% |
| |||||||
| 207 | National Fuel Gas Co. | 11,759 | ||||||
| 322 | Questar Corp. | 8,182 | ||||||
|
| |||||||
| 19,941 | ||||||||
|
| |||||||
Multi-Utilities — 2.7% |
| |||||||
| 664 | CenterPoint Energy, Inc. | 15,925 | ||||||
| 360 | CMS Energy Corp. | 16,523 | ||||||
| 140 | Sempra Energy | 15,994 | ||||||
| 230 | WEC Energy Group, Inc. | 15,040 | ||||||
|
| |||||||
| 63,482 | ||||||||
|
| |||||||
Total Utilities | 129,597 | |||||||
|
| |||||||
Total Common Stocks | 2,303,947 | |||||||
|
| |||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% |
| |||||||
| 51,139 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $51,139) | 51,139 | ||||||
|
| |||||||
Total Investments — 99.6% | 2,355,086 | |||||||
Other Assets in Excess of | 9,263 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,364,349 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 20.7% |
| |||||||
Automobiles — 0.5% |
| |||||||
| 63 | Tesla Motors, Inc. (a) | 13,278 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.8% |
| |||||||
| 1,037 | Aramark | 34,643 | ||||||
| 45 | Chipotle Mexican Grill, Inc. (a) | 18,114 | ||||||
| 2,326 | Hilton Worldwide Holdings, Inc. | 52,399 | ||||||
| 761 | Norwegian Cruise Line Holdings Ltd. (a) | 30,300 | ||||||
|
| |||||||
| 135,456 | ||||||||
|
| |||||||
Household Durables — 3.1% |
| |||||||
| 365 | Mohawk Industries, Inc. (a) | 69,238 | ||||||
| 713 | Toll Brothers, Inc. (a) | 19,187 | ||||||
|
| |||||||
| 88,425 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.9% |
| |||||||
| 216 | Netflix, Inc. (a) | 19,716 | ||||||
| 282 | TripAdvisor, Inc. (a) | 18,160 | ||||||
| 440 | Wayfair, Inc., Class A (a) | 17,158 | ||||||
|
| |||||||
| 55,034 | ||||||||
|
| |||||||
Multiline Retail — 2.4% |
| |||||||
| 728 | Dollar General Corp. | 68,445 | ||||||
|
| |||||||
Specialty Retail — 6.5% |
| |||||||
| 199 | O’Reilly Automotive, Inc. (a) | 54,048 | ||||||
| 803 | Ross Stores, Inc. | 45,538 | ||||||
| 692 | Sally Beauty Holdings, Inc. (a) | 20,340 | ||||||
| 299 | Tractor Supply Co. | 27,248 | ||||||
| 157 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 38,194 | ||||||
|
| |||||||
| 185,368 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
| 983 | Gildan Activewear, Inc., (Canada) | 28,841 | ||||||
| 248 | V.F. Corp. | 15,268 | ||||||
|
| |||||||
| 44,109 | ||||||||
|
| |||||||
Total Consumer Discretionary | 590,115 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Beverages — 0.6% |
| |||||||
| 103 | Monster Beverage Corp. (a) | 16,488 | ||||||
|
| |||||||
Food & Staples Retailing — 1.9% |
| |||||||
| 243 | Casey’s General Stores, Inc. | 31,957 | ||||||
| 1,003 | Sprouts Farmers Market, Inc. (a) | 22,972 | ||||||
|
| |||||||
| 54,929 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 445 | Tyson Foods, Inc., Class A | 29,735 | ||||||
|
| |||||||
Total Consumer Staples | 101,152 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 2.2% |
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
| 370 | Concho Resources, Inc. (a) | 44,097 | ||||||
| 430 | Range Resources Corp. | 18,529 | ||||||
|
| |||||||
Total Energy | 62,626 | |||||||
|
| |||||||
Financials — 9.6% |
| |||||||
Banks — 2.0% |
| |||||||
| 653 | East West Bancorp, Inc. | 22,318 | ||||||
| 283 | Signature Bank (a) | 35,334 | ||||||
|
| |||||||
| 57,652 | ||||||||
|
| |||||||
Capital Markets — 3.9% |
| |||||||
| 264 | Affiliated Managers Group, Inc. (a) | 37,151 | ||||||
| 726 | Lazard Ltd., (Bermuda), Class A | 21,610 | ||||||
| 557 | Oaktree Capital Group LLC | 24,936 | ||||||
| 947 | TD Ameritrade Holding Corp. | 26,967 | ||||||
|
| |||||||
| 110,664 | ||||||||
|
| |||||||
Diversified Financial Services — 2.4% |
| |||||||
| 404 | Nasdaq, Inc. | 26,120 | ||||||
| 388 | S&P Global, Inc. | 41,588 | ||||||
|
| |||||||
| 67,708 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.3% |
| |||||||
| 1,386 | CBRE Group, Inc., Class A (a) | 36,710 | ||||||
|
| |||||||
Total Financials | 272,734 | |||||||
|
| |||||||
Health Care — 14.3% |
| |||||||
Biotechnology — 3.0% |
| |||||||
| 330 | BioMarin Pharmaceutical, Inc. (a) | 25,651 | ||||||
| 134 | Intercept Pharmaceuticals, Inc. (a) | 19,129 | ||||||
| 413 | Kite Pharma, Inc. (a) | 20,670 | ||||||
| 225 | Vertex Pharmaceuticals, Inc. (a) | 19,345 | ||||||
|
| |||||||
| 84,795 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
| 539 | Dentsply Sirona, Inc. | 33,439 | ||||||
| 227 | Edwards Lifesciences Corp. (a) | 22,619 | ||||||
|
| |||||||
| 56,058 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.4% |
| |||||||
| 669 | Acadia Healthcare Co., Inc. (a) | 37,065 | ||||||
| 446 | Centene Corp. (a) | 31,831 | ||||||
| 1,385 | Envision Healthcare Holdings, Inc. (a) | 35,147 | ||||||
| 169 | Humana, Inc. | 30,361 | ||||||
| 617 | Premier, Inc., Class A (a) | 20,169 | ||||||
|
| |||||||
| 154,573 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Technology — 1.4% |
| |||||||
| 780 | Inovalon Holdings, Inc., Class A (a) | 14,056 | ||||||
| 748 | Veeva Systems, Inc., Class A (a) | 25,524 | ||||||
|
| |||||||
| 39,580 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.7% |
| |||||||
| 344 | Illumina, Inc. (a) | 48,273 | ||||||
|
| |||||||
Pharmaceuticals — 0.9% |
| |||||||
| 181 | Jazz Pharmaceuticals plc, (Ireland) (a) | 25,573 | ||||||
|
| |||||||
Total Health Care | 408,852 | |||||||
|
| |||||||
Industrials — 18.2% |
| |||||||
Airlines — 1.0% |
| |||||||
| 712 | Southwest Airlines Co. | 27,902 | ||||||
|
| |||||||
Building Products — 3.6% |
| |||||||
| 916 | Fortune Brands Home & Security, Inc. | 53,083 | ||||||
| 344 | Lennox International, Inc. | 49,087 | ||||||
|
| |||||||
| 102,170 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.4% |
| |||||||
| 301 | Stericycle, Inc. (a) | 31,309 | ||||||
| 922 | Waste Connections, Inc., (Canada) | 66,427 | ||||||
|
| |||||||
| 97,736 | ||||||||
|
| |||||||
Electrical Equipment — 2.2% |
| |||||||
| 247 | Acuity Brands, Inc. | 61,228 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 333 | Carlisle Cos., Inc. | 35,163 | ||||||
|
| |||||||
Machinery — 2.1% |
| |||||||
| 358 | Middleby Corp. (The) (a) | 41,254 | ||||||
| 192 | WABCO Holdings, Inc. (a) | 17,618 | ||||||
|
| |||||||
| 58,872 | ||||||||
|
| |||||||
Professional Services — 1.3% |
| |||||||
| 296 | Equifax, Inc. | 37,942 | ||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 327 | Old Dominion Freight Line, Inc. (a) | 19,739 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.7% |
| |||||||
| 1,282 | HD Supply Holdings, Inc. (a) | 44,642 | ||||||
| 229 | Watsco, Inc. | 32,245 | ||||||
|
| |||||||
| 76,887 | ||||||||
|
| |||||||
Total Industrials | 517,639 | |||||||
|
| |||||||
Information Technology — 24.3% |
| |||||||
Communications Equipment — 3.4% |
| |||||||
| 349 | Arista Networks, Inc. (a) | 22,438 | ||||||
| 605 | Harris Corp. | 50,503 | ||||||
| 207 | Palo Alto Networks, Inc. (a) | 25,327 | ||||||
|
| |||||||
| 98,268 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 3.2% |
| |||||||
| 869 | Amphenol Corp., Class A | 49,839 | ||||||
| 1,383 | Corning, Inc. | 28,322 | ||||||
| 466 | FLIR Systems, Inc. | 14,410 | ||||||
|
| |||||||
| 92,571 | ||||||||
|
| |||||||
Internet Software & Services — 2.1% |
| |||||||
| 143 | CoStar Group, Inc. (a) | 31,351 | ||||||
| 883 | GoDaddy, Inc., Class A (a) | 27,541 | ||||||
|
| |||||||
| 58,892 | ||||||||
|
| |||||||
IT Services — 4.5% |
| |||||||
| 395 | Gartner, Inc. (a) | 38,504 | ||||||
| 242 | Global Payments, Inc. | 17,253 | ||||||
| 783 | Sabre Corp. | 20,963 | ||||||
| 908 | Vantiv, Inc., Class A (a) | 51,395 | ||||||
|
| |||||||
| 128,115 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 152 | Broadcom Ltd., (Singapore) | 23,564 | ||||||
| 379 | Cavium, Inc. (a) | 14,630 | ||||||
| 307 | Lam Research Corp. | 25,797 | ||||||
| 384 | NXP Semiconductors N.V., (Netherlands) (a) | 30,080 | ||||||
|
| |||||||
| 94,071 | ||||||||
|
| |||||||
Software — 7.8% |
| |||||||
| 570 | Atlassian Corp. plc, (Australia), Class A (a) | 14,750 | ||||||
| 926 | Electronic Arts, Inc. (a) | 70,170 | ||||||
| 380 | Guidewire Software, Inc. (a) | 23,464 | ||||||
| 378 | Mobileye N.V., (Israel) (a) | 17,437 | ||||||
| 492 | ServiceNow, Inc. (a) | 32,647 | ||||||
| 461 | Splunk, Inc. (a) | 24,979 | ||||||
| 315 | Tableau Software, Inc., Class A (a) | 15,404 | ||||||
| 307 | Workday, Inc., Class A (a) | 22,902 | ||||||
|
| |||||||
| 221,753 | ||||||||
|
| |||||||
Total Information Technology | 693,670 | |||||||
|
| |||||||
Materials — 4.5% |
| |||||||
Chemicals — 1.9% |
| |||||||
| 282 | PPG Industries, Inc. | 29,414 | ||||||
| 80 | Sherwin-Williams Co. (The) | 23,565 | ||||||
|
| |||||||
| 52,979 | ||||||||
|
| |||||||
Construction Materials — 2.6% |
| |||||||
| 394 | Eagle Materials, Inc. | 30,391 | ||||||
| 362 | Vulcan Materials Co. | 43,554 | ||||||
|
| |||||||
| 73,945 | ||||||||
|
| |||||||
Total Materials | 126,924 | |||||||
|
| |||||||
Total Common Stocks | 2,773,712 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% |
| |||||||
| 69,664 | JPMorgan Liquid Assets Money Market Fund, | 69,664 | ||||||
|
| |||||||
Total Investments — 99.7% | 2,843,376 | |||||||
Other Assets in Excess of | 8,107 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,851,483 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.2% |
| ||||||
Consumer Discretionary — 17.1% |
| |||||||
Distributors — 1.1% |
| |||||||
| 1,691 | Genuine Parts Co. | 171,201 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
| 6,844 | Hilton Worldwide Holdings, Inc. | 154,191 | ||||||
| 1,512 | Marriott International, Inc., Class A | 100,491 | ||||||
|
| |||||||
| 254,682 | ||||||||
|
| |||||||
Household Durables — 3.1% |
| |||||||
| 1,435 | Mohawk Industries, Inc. (a) | 272,396 | ||||||
| 4,319 | Newell Brands, Inc. | 209,788 | ||||||
|
| |||||||
| 482,184 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.2% |
| |||||||
| 1,795 | Expedia, Inc. | 190,785 | ||||||
|
| |||||||
Media — 2.6% |
| |||||||
| 1,906 | CBS Corp. (Non-Voting), Class B | 103,751 | ||||||
| 2,819 | DISH Network Corp., Class A (a) | 147,718 | ||||||
| 4,485 | TEGNA, Inc. | 103,922 | ||||||
| 2,445 | Time, Inc. | 40,240 | ||||||
|
| |||||||
| 395,631 | ||||||||
|
| |||||||
Multiline Retail — 1.7% |
| |||||||
| 4,558 | Kohl’s Corp. | 172,845 | ||||||
| 2,377 | Nordstrom, Inc. | 90,426 | ||||||
|
| |||||||
| 263,271 | ||||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
| 212 | AutoZone, Inc. (a) | 168,510 | ||||||
| 2,887 | Bed Bath & Beyond, Inc. | 124,784 | ||||||
| 4,504 | Best Buy Co., Inc. | 137,836 | ||||||
| 6,216 | Gap, Inc. (The) | 131,895 | ||||||
| 2,015 | Tiffany & Co. | 122,172 | ||||||
|
| |||||||
| 685,197 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
| 1,559 | PVH Corp. | 146,858 | ||||||
| 1,093 | V.F. Corp. | 67,219 | ||||||
|
| |||||||
| 214,077 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,657,028 | |||||||
|
| |||||||
Consumer Staples — 5.4% |
| |||||||
Beverages — 2.1% |
| |||||||
| 865 | Constellation Brands, Inc., Class A | 143,026 | ||||||
| 1,843 | Dr. Pepper Snapple Group, Inc. | 178,114 | ||||||
|
| |||||||
| 321,140 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 1.6% |
| |||||||
| 5,665 | Kroger Co. (The) | 208,430 | ||||||
| 5,327 | Rite Aid Corp. (a) | 39,897 | ||||||
|
| |||||||
| 248,327 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
| 617 | TreeHouse Foods, Inc. (a) | 63,294 | ||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
| 1,543 | Energizer Holdings, Inc. | 79,429 | ||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
| 1,584 | Edgewell Personal Care Co. (a) | 133,711 | ||||||
|
| |||||||
Total Consumer Staples | 845,901 | |||||||
|
| |||||||
Energy — 6.5% |
| |||||||
Oil, Gas & Consumable Fuels — 6.5% |
| |||||||
| 9,519 | Columbia Pipeline Group, Inc. | 242,637 | ||||||
| 6,458 | Energen Corp. | 311,346 | ||||||
| 4,125 | EQT Corp. | 319,361 | ||||||
| 3,261 | PBF Energy, Inc., Class A | 77,556 | ||||||
| 4,305 | Southwestern Energy Co. (a) | 54,151 | ||||||
|
| |||||||
Total Energy | 1,005,051 | |||||||
|
| |||||||
Financials — 29.5% |
| |||||||
Banks — 6.3% |
| |||||||
| 5,305 | Citizens Financial Group, Inc. | 106,003 | ||||||
| 10,497 | Fifth Third Bancorp | 184,649 | ||||||
| 1,752 | First Republic Bank | 122,632 | ||||||
| 6,943 | Huntington Bancshares, Inc. | 62,074 | ||||||
| 2,143 | M&T Bank Corp. | 253,419 | ||||||
| 5,028 | SunTrust Banks, Inc. | 206,565 | ||||||
| 1,681 | Zions Bancorporation | 42,245 | ||||||
|
| |||||||
| 977,587 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
| 921 | Ameriprise Financial, Inc. | 82,742 | ||||||
| 4,169 | Invesco Ltd. | 106,484 | ||||||
| 1,751 | Legg Mason, Inc. | 51,633 | ||||||
| 1,894 | Northern Trust Corp. | 125,481 | ||||||
| 1,776 | Raymond James Financial, Inc. | 87,574 | ||||||
| 2,309 | T. Rowe Price Group, Inc. | 168,521 | ||||||
|
| |||||||
| 622,435 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
| 4,995 | Ally Financial, Inc. (a) | 85,268 | ||||||
|
| |||||||
Insurance — 8.1% |
| |||||||
| 162 | Alleghany Corp. (a) | 88,825 | ||||||
| 612 | Chubb Ltd., (Switzerland) | 79,983 | ||||||
| 4,154 | Hartford Financial Services Group, Inc. (The) | 184,334 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 6,317 | Loews Corp. | 259,576 | ||||||
| 3,243 | Marsh & McLennan Cos., Inc. | 222,006 | ||||||
| 2,066 | Progressive Corp. (The) | 69,210 | ||||||
| 4,228 | Unum Group | 134,418 | ||||||
| 965 | W.R. Berkley Corp. | 57,796 | ||||||
| 4,697 | XL Group plc, (Ireland) | 156,459 | ||||||
|
| |||||||
| 1,252,607 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 10.6% |
| |||||||
| 2,040 | American Campus Communities, Inc. | 107,878 | ||||||
| 4,142 | American Homes 4 Rent, Class A | 84,825 | ||||||
| 865 | AvalonBay Communities, Inc. | 155,955 | ||||||
| 1,130 | Boston Properties, Inc. | 149,101 | ||||||
| 5,021 | Brixmor Property Group, Inc. | 132,848 | ||||||
| 347 | Essex Property Trust, Inc. | 79,111 | ||||||
| 2,734 | General Growth Properties, Inc. | 81,536 | ||||||
| 1,721 | HCP, Inc. | 60,898 | ||||||
| 5,418 | Kimco Realty Corp. | 170,020 | ||||||
| 4,009 | Outfront Media, Inc. | 96,902 | ||||||
| 3,778 | Rayonier, Inc. | 99,128 | ||||||
| 1,338 | Regency Centers Corp. | 112,027 | ||||||
| 2,293 | Starwood Property Trust, Inc. | 47,513 | ||||||
| 1,683 | Vornado Realty Trust | 168,478 | ||||||
| 3,629 | Weyerhaeuser Co. | 108,042 | ||||||
|
| |||||||
| 1,654,262 | ||||||||
|
| |||||||
Total Financials | 4,592,159 | |||||||
|
| |||||||
Health Care — 4.2% |
| |||||||
Health Care Providers & Services — 4.2% |
| |||||||
| 2,020 | AmerisourceBergen Corp. | 160,258 | ||||||
| 833 | Cigna Corp. | 106,582 | ||||||
| 727 | Henry Schein, Inc. (a) | 128,580 | ||||||
| 842 | Humana, Inc. | 151,487 | ||||||
| 849 | Universal Health Services, Inc., Class B | 113,893 | ||||||
|
| |||||||
Total Health Care | 660,800 | |||||||
|
| |||||||
Industrials — 9.0% |
| |||||||
Building Products — 1.0% |
| |||||||
| 2,611 | Fortune Brands Home & Security, Inc. | 151,347 | ||||||
|
| |||||||
Electrical Equipment — 2.9% |
| |||||||
| 3,279 | AMETEK, Inc. | 151,580 | ||||||
| 1,636 | Hubbell, Inc. | 172,514 | ||||||
| 2,456 | Regal Beloit Corp. | 135,209 | ||||||
|
| |||||||
| 459,303 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 1,919 | Carlisle Cos., Inc. | 202,809 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 2.5% |
| |||||||
| 1,848 | IDEX Corp. | 151,697 | ||||||
| 4,451 | Rexnord Corp. (a) | 87,368 | ||||||
| 928 | Snap-on, Inc. | 146,528 | ||||||
|
| |||||||
| 385,593 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
| 493 | Equifax, Inc. | 63,358 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
| 2,004 | MSC Industrial Direct Co., Inc., Class A | 141,401 | ||||||
|
| |||||||
Total Industrials | 1,403,811 | |||||||
|
| |||||||
Information Technology — 9.8% |
| |||||||
Communications Equipment — 0.8% |
| |||||||
| 3,800 | CommScope Holding Co., Inc. (a) | 117,906 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.3% |
| |||||||
| 2,710 | Amphenol Corp., Class A | 155,336 | ||||||
| 3,697 | Arrow Electronics, Inc. (a) | 228,863 | ||||||
| 1,232 | CDW Corp. | 49,359 | ||||||
| 3,052 | Keysight Technologies, Inc. (a) | 88,769 | ||||||
|
| |||||||
| 522,327 | ||||||||
|
| |||||||
Internet Software & Services — 0.3% |
| |||||||
| 3,371 | Match Group, Inc. (a) | 50,817 | ||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 2,183 | Jack Henry & Associates, Inc. | 190,481 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.6% |
| |||||||
| 2,489 | Analog Devices, Inc. | 140,955 | ||||||
| 2,824 | KLA-Tencor Corp. | 206,840 | ||||||
| 1,155 | Xilinx, Inc. | 53,297 | ||||||
|
| |||||||
| 401,092 | ||||||||
|
| |||||||
Software — 1.6% |
| |||||||
| 4,596 | Synopsys, Inc. (a) | 248,578 | ||||||
|
| |||||||
Total Information Technology | 1,531,201 | |||||||
|
| |||||||
Materials — 3.9% |
| |||||||
Chemicals — 0.7% |
| |||||||
| 344 | Sherwin-Williams Co. (The) | 101,148 | ||||||
|
| |||||||
Containers & Packaging — 3.2% |
| |||||||
| 2,186 | Ball Corp. | 158,035 | ||||||
| 3,252 | Silgan Holdings, Inc. | 167,332 | ||||||
| 4,505 | WestRock Co. | 175,113 | ||||||
|
| |||||||
| 500,480 | ||||||||
|
| |||||||
Total Materials | 601,628 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Utilities — 10.8% |
| |||||||
Electric Utilities — 3.8% |
| |||||||
| 2,837 | Edison International | 220,323 | ||||||
| 2,542 | Westar Energy, Inc. | 142,554 | ||||||
| 5,190 | Xcel Energy, Inc. | 232,429 | ||||||
|
| |||||||
| 595,306 | ||||||||
|
| |||||||
Gas Utilities — 1.7% |
| |||||||
| 2,711 | National Fuel Gas Co. | 154,217 | ||||||
| 4,252 | Questar Corp. | 107,879 | ||||||
|
| |||||||
| 262,096 | ||||||||
|
| |||||||
Multi-Utilities — 5.3% |
| |||||||
| 8,682 | CenterPoint Energy, Inc. | 208,360 | ||||||
| 4,647 | CMS Energy Corp. | 213,125 | ||||||
| 1,811 | Sempra Energy | 206,472 | ||||||
| 2,969 | WEC Energy Group, Inc. | 193,844 | ||||||
|
| |||||||
| 821,801 | ||||||||
|
| |||||||
Total Utilities | 1,679,203 | |||||||
|
| |||||||
Total Common Stocks | 14,976,782 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.4% | |||||||
Investment Company — 3.4% |
| |||||||
| 522,537 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $522,537) | 522,537 | ||||||
|
| |||||||
Total Investments — 99.6% | 15,499,319 | |||||||
Other Assets in Excess of | 64,823 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 15,564,142 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 105.8% |
| ||||||
| Common Stocks — 93.6% |
| ||||||
Consumer Discretionary — 13.6% |
| |||||||
Automobiles — 1.0% |
| |||||||
| 104 | Ford Motor Co. | 1,310 | ||||||
| 20 | General Motors Co. | 579 | ||||||
|
| |||||||
| 1,889 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
| 17 | Carnival Corp. | 734 | ||||||
| 12 | Darden Restaurants, Inc. | 741 | ||||||
| 45 | Restaurant Brands International, Inc., (Canada) | 1,863 | ||||||
| 10 | Six Flags Entertainment Corp. | 562 | ||||||
| 63 | Wendy’s Co. (The) | 607 | ||||||
|
| |||||||
| 4,507 | ||||||||
|
| |||||||
Household Durables — 1.1% |
| |||||||
| 32 | D.R. Horton, Inc. | 1,002 | ||||||
| 1 | NVR, Inc. (a) (j) | 1,113 | ||||||
|
| |||||||
| 2,115 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.2% |
| |||||||
| 119 | Groupon, Inc. (a) | 387 | ||||||
|
| |||||||
Leisure Products — 0.5% |
| |||||||
| 14 | Brunswick Corp. | 622 | ||||||
| 12 | Mattel, Inc. | 363 | ||||||
|
| |||||||
| 985 | ||||||||
|
| |||||||
Media — 1.0% |
| |||||||
| 13 | Sinclair Broadcast Group, Inc., Class A | 384 | ||||||
| 320 | Sirius XM Holdings, Inc. (a) | 1,263 | ||||||
| 9 | Time, Inc. | 154 | ||||||
|
| |||||||
| 1,801 | ||||||||
|
| |||||||
Multiline Retail — 0.9% |
| |||||||
| 9 | Kohl’s Corp. | 353 | ||||||
| 13 | Macy’s, Inc. | 447 | ||||||
| 12 | Target Corp. (j) | 867 | ||||||
|
| |||||||
| 1,667 | ||||||||
|
| |||||||
Specialty Retail — 4.5% |
| |||||||
| 12 | Bed Bath & Beyond, Inc. | 523 | ||||||
| 59 | Best Buy Co., Inc. (j) | 1,803 | ||||||
| 11 | GameStop Corp., Class A | 299 | ||||||
| 33 | GNC Holdings, Inc., Class A | 804 | ||||||
| 3 | Home Depot, Inc. (The) | 412 | ||||||
| 22 | Lowe’s Cos., Inc. (j) | 1,712 | ||||||
| 153 | Staples, Inc. (j) | 1,319 | ||||||
| 56 | Urban Outfitters, Inc. (a) | 1,538 | ||||||
|
| |||||||
| 8,410 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — 2.0% |
| |||||||
| 36 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 1,778 | ||||||
| 21 | PVH Corp. | 2,002 | ||||||
|
| |||||||
| 3,780 | ||||||||
|
| |||||||
Total Consumer Discretionary | 25,541 | |||||||
|
| |||||||
Consumer Staples — 7.2% |
| |||||||
Beverages — 0.8% |
| |||||||
| 15 | Molson Coors Brewing Co., Class B (j) | 1,498 | ||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
| 18 | Wal-Mart Stores, Inc. | 1,329 | ||||||
|
| |||||||
Food Products — 3.9% |
| |||||||
| 16 | Ingredion, Inc. (j) | 2,035 | ||||||
| 76 | Pilgrim’s Pride Corp. (j) | 1,939 | ||||||
| 6 | Post Holdings, Inc. (a) | 471 | ||||||
| – | (h) | Seaboard Corp. (a) | 1,292 | |||||
| 25 | Tyson Foods, Inc., Class A | 1,648 | ||||||
|
| |||||||
| 7,385 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
| 29 | Energizer Holdings, Inc. | 1,471 | ||||||
|
| |||||||
Personal Products — 1.0% |
| |||||||
| 16 | Herbalife Ltd. (a) | 926 | ||||||
| 20 | Nu Skin Enterprises, Inc., Class A | 917 | ||||||
|
| |||||||
| 1,843 | ||||||||
|
| |||||||
Total Consumer Staples | 13,526 | |||||||
|
| |||||||
Energy — 4.4% |
| |||||||
Energy Equipment & Services — 1.9% |
| |||||||
| 90 | Ensco plc, (United Kingdom), Class A | 875 | ||||||
| 32 | FMC Technologies, Inc. (a) | 857 | ||||||
| 61 | Seadrill Ltd., (United Kingdom) (a) | 199 | ||||||
| 88 | Superior Energy Services, Inc. | 1,618 | ||||||
|
| |||||||
| 3,549 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
| 74 | Denbury Resources, Inc. (a) | 264 | ||||||
| 28 | Devon Energy Corp. | 1,002 | ||||||
| 24 | Marathon Oil Corp. | 358 | ||||||
| 7 | Tesoro Corp. | 505 | ||||||
| 23 | Valero Energy Corp. | 1,174 | ||||||
| 20 | World Fuel Services Corp. (j) | 971 | ||||||
| 45 | WPX Energy, Inc. (a) | 419 | ||||||
|
| |||||||
| 4,693 | ||||||||
|
| |||||||
Total Energy | 8,242 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Financials — 2.8% |
| |||||||
Banks — 0.4% |
| |||||||
| 27 | Synovus Financial Corp. | 775 | ||||||
|
| |||||||
Capital Markets — 0.2% |
| |||||||
| 27 | NorthStar Asset Management Group, Inc. | 273 | ||||||
|
| |||||||
Diversified Financial Services — 1.1% |
| |||||||
| 27 | MSCI, Inc. | 2,102 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.8% |
| |||||||
| 50 | Equity Commonwealth (a) | 1,467 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||
| 107 | MGIC Investment Corp. (a) | 637 | ||||||
|
| |||||||
Total Financials | 5,254 | |||||||
|
| |||||||
Health Care — 12.6% |
| |||||||
Biotechnology — 3.1% |
| |||||||
| 12 | Amgen, Inc. (j) | 1,899 | ||||||
| 2 | Biogen, Inc. (a) | 520 | ||||||
| 21 | Gilead Sciences, Inc. (j) | 1,741 | ||||||
| 11 | United Therapeutics Corp. (a) | 1,160 | ||||||
| 5 | Vertex Pharmaceuticals, Inc. (a) | 416 | ||||||
|
| |||||||
| 5,736 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 9 | C.R. Bard, Inc. | 2,205 | ||||||
| 57 | Hologic, Inc. (a) (j) | 1,986 | ||||||
|
| |||||||
| 4,191 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.2% |
| |||||||
| 9 | AmerisourceBergen Corp. | 676 | ||||||
| 7 | Amsurg Corp. (a) | 547 | ||||||
| 7 | Anthem, Inc. (j) | 936 | ||||||
| 9 | Centene Corp. (a) | 622 | ||||||
| 13 | Cigna Corp. | 1,715 | ||||||
| 24 | Community Health Systems, Inc. (a) | 292 | ||||||
| 30 | Express Scripts Holding Co. (a) | 2,235 | ||||||
| 10 | Humana, Inc. | 1,812 | ||||||
| 3 | McKesson Corp. | 509 | ||||||
| 9 | Molina Healthcare, Inc. (a) | 458 | ||||||
|
| |||||||
| 9,802 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% |
| |||||||
| 14 | Jazz Pharmaceuticals plc, (Ireland) (a) | 1,925 | ||||||
| 13 | Mallinckrodt plc (a) | 760 | ||||||
| 8 | Mylan N.V. (a) | 335 | ||||||
| 27 | Pfizer, Inc. (j) | 966 | ||||||
| 3,986 | ||||||||
|
| |||||||
Total Health Care | 23,715 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 17.2% |
| |||||||
Aerospace & Defense — 2.4% |
| |||||||
| 55 | BWX Technologies, Inc. (j) | 1,950 | ||||||
| 3 | Curtiss-Wright Corp. | 287 | ||||||
| 11 | Huntington Ingalls Industries, Inc. (j) | 1,890 | ||||||
| 10 | Spirit AeroSystems Holdings, Inc., Class A (a) | 448 | ||||||
|
| |||||||
| 4,575 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 14 | C.H. Robinson Worldwide, Inc. | 1,013 | ||||||
|
| |||||||
Airlines — 1.3% |
| |||||||
| 8 | Alaska Air Group, Inc. | 458 | ||||||
| 46 | Delta Air Lines, Inc. (j) | 1,685 | ||||||
| 10 | United Continental Holdings, Inc. (a) | 390 | ||||||
|
| |||||||
| 2,533 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 75 | Pitney Bowes, Inc. | 1,334 | ||||||
| 95 | R.R. Donnelley & Sons Co. | 1,601 | ||||||
|
| |||||||
| 2,935 | ||||||||
|
| |||||||
Construction & Engineering — 3.8% |
| |||||||
| 62 | AECOM (a) (j) | 1,984 | ||||||
| 14 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 498 | ||||||
| 18 | EMCOR Group, Inc. | 870 | ||||||
| 37 | Jacobs Engineering Group, Inc. (a) | 1,843 | ||||||
| 14 | Valmont Industries, Inc. | 1,921 | ||||||
|
| |||||||
| 7,116 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
| 33 | Regal Beloit Corp. | 1,799 | ||||||
|
| |||||||
Machinery — 3.9% |
| |||||||
| 18 | AGCO Corp. | 862 | ||||||
| 68 | Allison Transmission Holdings, Inc. (j) | 1,927 | ||||||
| 9 | Illinois Tool Works, Inc. (j) | 904 | ||||||
| 43 | Joy Global, Inc. | 906 | ||||||
| 30 | Kennametal, Inc. | 668 | ||||||
| 17 | Parker-Hannifin Corp. | 1,826 | ||||||
| 12 | Terex Corp. | 238 | ||||||
|
| |||||||
| 7,331 | ||||||||
|
| |||||||
Professional Services — 0.7% |
| |||||||
| 6 | Dun & Bradstreet Corp. (The) | 728 | ||||||
| 9 | ManpowerGroup, Inc. | 592 | ||||||
|
| |||||||
| 1,320 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 18 | Landstar System, Inc. | 1,256 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Trading Companies & Distributors — 1.3% |
| |||||||
| 9 | MSC Industrial Direct Co., Inc., Class A | 649 | ||||||
| 34 | WESCO International, Inc. (a) | 1,768 | ||||||
|
| |||||||
| 2,417 | ||||||||
|
| |||||||
Total Industrials | 32,295 | |||||||
|
| |||||||
Information Technology — 25.4% |
| |||||||
Communications Equipment — 1.3% |
| |||||||
| 80 | Brocade Communications Systems, Inc. | 737 | ||||||
| 32 | Cisco Systems, Inc. (j) | 909 | ||||||
| 37 | Juniper Networks, Inc. | 843 | ||||||
|
| |||||||
| 2,489 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 19 | SYNNEX Corp. (j) | 1,823 | ||||||
|
| |||||||
Internet Software & Services — 3.5% |
| |||||||
| 80 | eBay, Inc. (a) | 1,862 | ||||||
| 32 | GoDaddy, Inc., Class A (a) | 985 | ||||||
| 13 | IAC/InterActive Corp. | 709 | ||||||
| 16 | j2 Global, Inc. (j) | 996 | ||||||
| 23 | VeriSign, Inc. (a) (j) | 2,002 | ||||||
|
| |||||||
| 6,554 | ||||||||
|
| |||||||
IT Services — 6.6% |
| |||||||
| 25 | Amdocs Ltd. (j) | 1,446 | ||||||
| 42 | Computer Sciences Corp. | 2,062 | ||||||
| 39 | CoreLogic, Inc. (a) (j) | 1,496 | ||||||
| 13 | International Business Machines Corp. | 1,950 | ||||||
| 69 | Teradata Corp. (a) | 1,737 | ||||||
| 9 | Total System Services, Inc. | 485 | ||||||
| 24 | Vantiv, Inc., Class A (a) | 1,385 | ||||||
| 99 | Western Union Co. (The) | 1,890 | ||||||
|
| |||||||
| 12,451 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.6% |
| |||||||
| 17 | Lam Research Corp. | 1,463 | ||||||
| 42 | Marvell Technology Group Ltd., (Bermuda) | 401 | ||||||
| 9 | NVIDIA Corp. (j) | 444 | ||||||
| 16 | QUALCOMM, Inc. | 840 | ||||||
| 91 | Teradyne, Inc. | 1,798 | ||||||
|
| |||||||
| 4,946 | ||||||||
|
| |||||||
Software — 7.9% |
| |||||||
| 17 | Activision Blizzard, Inc. | 675 | ||||||
| 60 | CA, Inc. | 1,980 | ||||||
| 77 | Cadence Design Systems, Inc. (a) | 1,879 | ||||||
| 23 | Citrix Systems, Inc. (a) (j) | 1,854 | ||||||
| 38 | Microsoft Corp. | 1,932 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued | ||||||||
| 113 | Nuance Communications, Inc. (a) (j) | 1,773 | ||||||
| 17 | Oracle Corp. | 711 | ||||||
| 100 | Rovi Corp. (a) | 1,560 | ||||||
| 20 | Synopsys, Inc. (a) | 1,075 | ||||||
| 34 | Take-Two Interactive Software, Inc.(a) | 1,306 | ||||||
|
| |||||||
| 14,745 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.5% |
| |||||||
| 16 | 3D Systems Corp. (a) | 221 | ||||||
| 11 | Apple, Inc. (j) | 1,016 | ||||||
| 101 | HP, Inc. | 1,265 | ||||||
| 64 | NCR Corp. (a) | 1,779 | ||||||
| 19 | NetApp, Inc. | 457 | ||||||
|
| |||||||
| 4,738 | ||||||||
|
| |||||||
Total Information Technology | 47,746 | |||||||
|
| |||||||
Materials — 6.5% |
| |||||||
Chemicals — 2.1% |
| |||||||
| 42 | Cabot Corp. (j) | 1,929 | ||||||
| 26 | LyondellBasell Industries N.V., Class A | 1,939 | ||||||
|
| |||||||
| 3,868 | ||||||||
|
| |||||||
Containers & Packaging — 1.3% |
| |||||||
| 6 | Berry Plastics Group, Inc. (a) | 247 | ||||||
| 15 | Crown Holdings, Inc. (a) | 765 | ||||||
| 8 | International Paper Co. | 321 | ||||||
| 26 | Sealed Air Corp. (j) | 1,201 | ||||||
|
| |||||||
| 2,534 | ||||||||
|
| |||||||
Metals & Mining — 2.4% |
| |||||||
| 26 | Reliance Steel & Aluminum Co. | 1,978 | ||||||
| 80 | Steel Dynamics, Inc. | 1,963 | ||||||
| 31 | United States Steel Corp. | 524 | ||||||
|
| |||||||
| 4,465 | ||||||||
|
| |||||||
Paper & Forest Products — 0.7% |
| |||||||
| 39 | Domtar Corp. | 1,376 | ||||||
|
| |||||||
Total Materials | 12,243 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 66 | CenturyLink, Inc. | 1,926 | ||||||
| 18 | Verizon Communications, Inc. | 979 | ||||||
|
| |||||||
Total Telecommunication Services | 2,905 | |||||||
|
| |||||||
Utilities — 2.4% |
| |||||||
Electric Utilities — 1.1% |
| |||||||
| 25 | Entergy Corp. (j) | 2,018 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Gas Utilities — 1.0% |
| |||||||
| 44 | UGI Corp. (j) | 2,011 | ||||||
|
| |||||||
Multi-Utilities — 0.3% |
| |||||||
| 23 | MDU Resources Group, Inc. | 552 | ||||||
|
| |||||||
Total Utilities | 4,581 | |||||||
|
| |||||||
Total Common Stocks | 176,048 | |||||||
|
| |||||||
| Short-Term Investment — 12.2% |
| ||||||
Investment Company — 12.2% |
| |||||||
| 23,007 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $23,007) | 23,007 | ||||||
|
| |||||||
Total Investments —105.8% | 199,055 | |||||||
Liabilities in Excess of | (10,952 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 188,103 | ||||||
|
| |||||||
| Short Positions — 93.0% |
| ||||||
| Common Stocks — 93.0% |
| ||||||
Consumer Discretionary — 13.0% |
| |||||||
Auto Components — 0.5% |
| |||||||
| 28 | BorgWarner, Inc. | 839 | ||||||
|
| |||||||
Automobiles — 0.7% |
| |||||||
| 7 | Tesla Motors, Inc. (a) | 1,380 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% |
| |||||||
| 15 | Aramark | 505 | ||||||
| 4 | Chipotle Mexican Grill, Inc. (a) | 1,661 | ||||||
| 24 | Norwegian Cruise Line Holdings Ltd. (a) | 955 | ||||||
| 23 | Wynn Resorts Ltd. | 2,042 | ||||||
|
| |||||||
| 5,163 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
| 7 | Mohawk Industries, Inc. (a) | 1,248 | ||||||
| 26 | Newell Brands, Inc. | 1,240 | ||||||
|
| |||||||
| 2,488 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
| 7 | Netflix, Inc. (a) | 677 | ||||||
| 7 | TripAdvisor, Inc. (a) | 440 | ||||||
|
| |||||||
| 1,117 | ||||||||
|
| |||||||
Media — 0.8% |
| |||||||
| 8 | AMC Entertainment Holdings, Inc., Class A | 218 | ||||||
| 6 | Charter Communications, Inc., Class A (a) | 1,323 | ||||||
|
| |||||||
| 1,541 | ||||||||
|
| |||||||
Multiline Retail — 1.9% |
| |||||||
| 17 | Dollar Tree, Inc. (a) | 1,647 | ||||||
| 50 | Nordstrom, Inc. | 1,902 | ||||||
|
| |||||||
| 3,549 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 2.6% |
| |||||||
| 26 | CarMax, Inc. (a) | 1,286 | ||||||
| 31 | DSW, Inc., Class A | 654 | ||||||
| 4 | Signet Jewelers Ltd. | 319 | ||||||
| 8 | TJX Cos., Inc. (The) | 585 | ||||||
| 13 | Tractor Supply Co. | 1,194 | ||||||
| 3 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 773 | ||||||
|
| |||||||
| 4,811 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 12 | Columbia Sportswear Co. | 667 | ||||||
| 6 | lululemon athletica, Inc., (Canada) (a) | 451 | ||||||
| 47 | Under Armour, Inc., Class A (a) | 1,885 | ||||||
| 10 | V.F. Corp. | 632 | ||||||
|
| |||||||
| 3,635 | ||||||||
|
| |||||||
Total Consumer Discretionary | 24,523 | |||||||
|
| |||||||
Consumer Staples — 6.9% |
| |||||||
Beverages — 3.3% |
| |||||||
| 4 | Boston Beer Co., Inc. (The), Class A (a) | 680 | ||||||
| 11 | Brown-Forman Corp., Class B | 1,059 | ||||||
| 12 | Constellation Brands, Inc., Class A | 2,063 | ||||||
| 15 | Monster Beverage Corp. (a) | 2,366 | ||||||
|
| |||||||
| 6,168 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
| 9 | Costco Wholesale Corp. | 1,461 | ||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 44 | WhiteWave Foods Co. (The) (a) | 2,068 | ||||||
|
| |||||||
Household Products — 0.7% |
| |||||||
| 16 | Procter & Gamble Co. (The) | 1,337 | ||||||
|
| |||||||
Personal Products — 1.0% |
| |||||||
| 21 | Estee Lauder Cos., Inc. (The), Class A | 1,941 | ||||||
|
| |||||||
Total Consumer Staples | 12,975 | |||||||
|
| |||||||
Energy — 3.9% |
| |||||||
Energy Equipment & Services — 0.7% |
| |||||||
| 16 | Helmerich & Payne, Inc. | 1,052 | ||||||
| 29 | Noble Corp. plc, (United Kingdom) | 236 | ||||||
|
| |||||||
| 1,288 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.2% |
| |||||||
| 19 | Chevron Corp. | 2,000 | ||||||
| 9 | Concho Resources, Inc. (a) | 1,103 | ||||||
| 23 | CONSOL Energy, Inc. | 366 | ||||||
| 66 | Golar LNG Ltd., (Bermuda) | 1,017 | ||||||
| 132 | Kosmos Energy Ltd. (a) | 722 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued | �� | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 22 | Noble Energy, Inc. | 774 | ||||||
|
| |||||||
| 5,982 | ||||||||
|
| |||||||
Total Energy | 7,270 | |||||||
|
| |||||||
Financials — 3.4% |
| |||||||
Banks — 0.9% |
| |||||||
| 115 | People’s United Financial, Inc. | 1,684 | ||||||
|
| |||||||
Capital Markets — 0.7% |
| |||||||
| 14 | Artisan Partners Asset Management, Inc., Class A | 396 | ||||||
| 26 | Franklin Resources, Inc. | 854 | ||||||
|
| |||||||
| 1,250 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 21 | Navient Corp. | 250 | ||||||
| 15 | OneMain Holdings, Inc. (a) | 335 | ||||||
|
| |||||||
| 585 | ||||||||
|
| |||||||
Insurance — 0.5% |
| |||||||
| 1 | Markel Corp. (a) | 977 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
| 28 | Kilroy Realty Corp. | 1,854 | ||||||
|
| |||||||
Total Financials | 6,350 | |||||||
|
| |||||||
Health Care — 11.2% |
| |||||||
Biotechnology — 1.6% |
| |||||||
| 4 | Alexion Pharmaceuticals, Inc. (a) | 482 | ||||||
| 5 | Alnylam Pharmaceuticals, Inc. (a) | 279 | ||||||
| 5 | BioMarin Pharmaceutical, Inc. (a) | 405 | ||||||
| 8 | Bluebird Bio, Inc. (a) | 360 | ||||||
| 37 | OPKO Health, Inc. (a) | 341 | ||||||
| 9 | Puma Biotechnology, Inc. (a) | 269 | ||||||
| 1 | Regeneron Pharmaceuticals, Inc. (a) | 480 | ||||||
| 12 | Seattle Genetics, Inc. (a) | 496 | ||||||
|
| |||||||
| 3,112 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
| 2 | Dentsply Sirona, Inc. | 115 | ||||||
| 30 | DexCom, Inc. (a) | 2,354 | ||||||
|
| |||||||
| 2,469 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.0% |
| |||||||
| 35 | Acadia Healthcare Co., Inc. (a) | 1,933 | ||||||
| 53 | Envision Healthcare Holdings, Inc. (a) | 1,355 | ||||||
| 6 | Henry Schein, Inc. (a) | 1,109 | ||||||
| 46 | Patterson Cos., Inc. | 2,204 | ||||||
| 32 | Team Health Holdings, Inc. (a) | 1,319 | ||||||
| 11 | Universal Health Services, Inc., Class B | 1,432 | ||||||
|
| |||||||
| 9,352 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 0.4% |
| |||||||
| 39 | Inovalon Holdings, Inc., Class A (a) | 710 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
| 7 | Illumina, Inc. (a) | 937 | ||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
| 60 | Catalent, Inc. (a) | 1,388 | ||||||
| 15 | Eli Lilly & Co. | 1,158 | ||||||
| 42 | Zoetis, Inc. | 1,988 | ||||||
|
| |||||||
| 4,534 | ||||||||
|
| |||||||
Total Health Care | 21,114 | |||||||
|
| |||||||
Industrials — 18.0% |
| |||||||
Aerospace & Defense — 2.3% |
| |||||||
| 44 | Hexcel Corp. | 1,834 | ||||||
| 12 | Orbital ATK, Inc. | 1,035 | ||||||
| 4 | TransDigm Group, Inc. (a) | 963 | ||||||
| 16 | Triumph Group, Inc. | 565 | ||||||
|
| |||||||
| 4,397 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 28 | Spirit Airlines, Inc. (a) | 1,258 | ||||||
|
| |||||||
Building Products — 1.4% |
| |||||||
| 18 | Armstrong World Industries, Inc. (a) | 692 | ||||||
| 32 | Fortune Brands Home & Security, Inc. | 1,881 | ||||||
|
| |||||||
| 2,573 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.4% |
| |||||||
| 112 | Covanta Holding Corp. | 1,838 | ||||||
| 29 | Rollins, Inc. | 861 | ||||||
| 14 | Stericycle, Inc. (a) | 1,424 | ||||||
| 6 | Waste Connections, Inc., (Canada) | 426 | ||||||
|
| |||||||
| 4,549 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
| 8 | Acuity Brands, Inc. | 1,897 | ||||||
|
| |||||||
Machinery — 4.6% |
| |||||||
| 59 | Donaldson Co., Inc. | 2,022 | ||||||
| 20 | Graco, Inc. | 1,564 | ||||||
| 26 | ITT, Inc. | 838 | ||||||
| 16 | Middleby Corp. (The) (a) | 1,852 | ||||||
| 19 | Oshkosh Corp. | 890 | ||||||
| 5 | Snap-on, Inc. | 856 | ||||||
| 10 | Wabtec Corp. | 671 | ||||||
|
| |||||||
| 8,693 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 20 | Verisk Analytics, Inc. (a) | 1,626 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Road & Rail — 2.9% |
| |||||||
| 17 | Genesee & Wyoming, Inc., Class A (a) | 1,016 | ||||||
| 16 | Kansas City Southern | 1,473 | ||||||
| 28 | Old Dominion Freight Line, Inc. (a) | 1,699 | ||||||
| 21 | Ryder System, Inc. | 1,285 | ||||||
|
| |||||||
| 5,473 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.8% |
| |||||||
| 44 | Fastenal Co. | 1,931 | ||||||
| 7 | W.W. Grainger, Inc. | 1,557 | ||||||
|
| |||||||
| 3,488 | ||||||||
|
| |||||||
Total Industrials | 33,954 | |||||||
|
| |||||||
Information Technology — 25.6% |
| |||||||
Communications Equipment — 1.6% |
| |||||||
| 30 | CommScope Holding Co., Inc. (a) | 928 | ||||||
| 28 | ViaSat, Inc. (a) | 2,025 | ||||||
|
| |||||||
| 2,953 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.5% |
| |||||||
| 30 | Amphenol Corp., Class A | 1,700 | ||||||
| 41 | CDW Corp. | 1,646 | ||||||
| 3 | Dolby Laboratories, Inc., Class A | 166 | ||||||
| 31 | Jabil Circuit, Inc. | 564 | ||||||
| 21 | Keysight Technologies, Inc. (a) | 620 | ||||||
| 70 | National Instruments Corp. | 1,916 | ||||||
|
| |||||||
| 6,612 | ||||||||
|
| |||||||
Internet Software & Services — 5.5% |
| |||||||
| 15 | Akamai Technologies, Inc. (a) | 856 | ||||||
| 9 | CoStar Group, Inc. (a) | 1,886 | ||||||
| 6 | LinkedIn Corp., Class A (a) | 1,088 | ||||||
| 159 | Pandora Media, Inc. (a) | 1,978 | ||||||
| 21 | Rackspace Hosting, Inc. (a) | 435 | ||||||
| 116 | Twitter, Inc. (a) | 1,967 | ||||||
| 53 | Yelp, Inc. (a) | 1,611 | ||||||
| 13 | Zillow Group, Inc., Class C (a) | 483 | ||||||
|
| |||||||
| 10,304 | ||||||||
|
| |||||||
IT Services — 7.3% |
| |||||||
| 46 | Booz Allen Hamilton Holding Corp. | 1,365 | ||||||
| 23 | Broadridge Financial Solutions, Inc. | 1,506 | ||||||
| 17 | DST Systems, Inc. | 1,976 | ||||||
| 27 | EPAM Systems, Inc. (a) | 1,762 | ||||||
| 26 | Fidelity National Information Services, Inc. | 1,930 | ||||||
| 20 | Gartner, Inc. (a) | 1,917 | ||||||
| 37 | MAXIMUS, Inc. | 2,034 | ||||||
| 22 | Paychex, Inc. | 1,337 | ||||||
|
| |||||||
| 13,827 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 35 | Cavium, Inc. (a) | 1,340 | ||||||
| 183 | Cypress Semiconductor Corp. | 1,929 | ||||||
| 13 | Microsemi Corp. (a) | 420 | ||||||
|
| |||||||
| 3,689 | ||||||||
|
| |||||||
Software — 5.7% |
| |||||||
| 49 | FireEye, Inc. (a) | 809 | ||||||
| 24 | NetSuite, Inc. (a) | 1,770 | ||||||
| 34 | Splunk, Inc. (a) | 1,820 | ||||||
| 63 | SS&C Technologies Holdings, Inc. | 1,780 | ||||||
| 9 | Tableau Software, Inc., Class A (a) | 462 | ||||||
| 12 | Tyler Technologies, Inc. (a) | 1,955 | ||||||
| 9 | Ultimate Software Group, Inc. (The) (a) | 1,903 | ||||||
| 127 | Zynga, Inc., Class A (a) | 316 | ||||||
|
| |||||||
| 10,815 | ||||||||
|
| |||||||
Total Information Technology | 48,200 | |||||||
|
| |||||||
Materials — 6.7% |
| |||||||
Chemicals — 3.3% |
| |||||||
| 12 | Air Products & Chemicals, Inc. | 1,717 | ||||||
| 48 | CF Industries Holdings, Inc. | 1,152 | ||||||
| 42 | FMC Corp. | 1,925 | ||||||
| 13 | Praxair, Inc. | 1,410 | ||||||
|
| |||||||
| 6,204 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
| 8 | Ball Corp. | 594 | ||||||
|
| |||||||
Metals & Mining — 3.1% |
| |||||||
| 38 | Alcoa, Inc. | 348 | ||||||
| 24 | Compass Minerals International, Inc. | 1,755 | ||||||
| 48 | Freeport-McMoRan, Inc. | 535 | ||||||
| 62 | Southern Copper Corp., (Peru) | 1,664 | ||||||
| 107 | Tahoe Resources, Inc. | 1,594 | ||||||
|
| |||||||
| 5,896 | ||||||||
|
| |||||||
Total Materials | 12,694 | |||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
| 367 | Sprint Corp. (a) | 1,664 | ||||||
| 23 | Telephone & Data Systems, Inc. | 695 | ||||||
|
| |||||||
Total Telecommunication Services | 2,359 | |||||||
|
| |||||||
Utilities — 3.0% |
| |||||||
Gas Utilities — 0.4% |
| |||||||
| 8 | Atmos Energy Corp. | 663 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Multi-Utilities — 2.0% |
| |||||||
| 27 | Dominion Resources, Inc. | 2,073 | ||||||
| 15 | Sempra Energy | 1,659 | ||||||
|
| |||||||
| 3,732 | ||||||||
|
| |||||||
Water Utilities — 0.6% |
| |||||||
| 14 | American Water Works Co., Inc. | 1,210 | ||||||
|
| |||||||
Total Utilities | 5,605 | |||||||
|
| |||||||
Total Securities Sold Short | $175,044 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Short Futures Outstanding |
| |||||||||||||||||||
| (6 | ) | E-mini S&P 500 | 09/16/16 | USD | $ | (627 | ) | $ | (8 | ) | ||||||||||
| (8 | ) | S&P Mid Cap 400 | 09/16/16 | USD | (1,194 | ) | (22 | ) | ||||||||||||
|
| |||||||||||||||||||
| $ | (30 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.7% |
| ||||||
Consumer Discretionary — 15.6% |
| |||||||
Distributors — 1.3% |
| |||||||
| 1,240 | Genuine Parts Co. | 125,520 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
| 1,121 | Brinker International, Inc. | 51,044 | ||||||
| 1,602 | ClubCorp Holdings, Inc. | 20,832 | ||||||
| 3,252 | Hilton Worldwide Holdings, Inc. | 73,256 | ||||||
| 4,100 | La Quinta Holdings, Inc. (a) | 46,742 | ||||||
| 1,080 | Red Rock Resorts, Inc., Class A (a) | 23,745 | ||||||
|
| |||||||
| 215,619 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
| 873 | Newell Brands, Inc. | 42,411 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.8% |
| |||||||
| 705 | Expedia, Inc. | 74,888 | ||||||
|
| |||||||
Media — 4.8% |
| |||||||
| 1,199 | CBS Corp. (Non-Voting), Class B | 65,295 | ||||||
| 364 | Charter Communications, Inc., Class A (a) | 83,314 | ||||||
| 3,970 | Clear Channel Outdoor Holdings, Inc., Class A | 24,693 | ||||||
| 2,452 | DISH Network Corp., Class A (a) | 128,459 | ||||||
| 2,739 | Entercom Communications Corp., Class A | 37,175 | ||||||
| 3,084 | Media General, Inc. (a) | 53,017 | ||||||
| 499 | Nexstar Broadcasting Group, Inc., Class A | 23,733 | ||||||
| 903 | TEGNA, Inc. | 20,917 | ||||||
| 687 | Time Warner, Inc. | 50,544 | ||||||
|
| |||||||
| 487,147 | ||||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
| 2,949 | Kohl’s Corp. | 111,837 | ||||||
|
| |||||||
Specialty Retail — 4.2% |
| |||||||
| 100 | AutoZone, Inc. (a) | 79,082 | ||||||
| 1,637 | Bed Bath & Beyond, Inc. | 70,730 | ||||||
| 2,440 | Best Buy Co., Inc. | 74,649 | ||||||
| 2,538 | Gap, Inc. (The) | 53,865 | ||||||
| 498 | Home Depot, Inc. (The) | 63,527 | ||||||
| 1,388 | Tiffany & Co. | 84,150 | ||||||
|
| |||||||
| 426,003 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
| 863 | Columbia Sportswear Co. | 49,640 | ||||||
| 1,713 | Hanesbrands, Inc. | 43,050 | ||||||
|
| |||||||
| 92,690 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,576,115 | |||||||
|
| |||||||
Consumer Staples — 5.6% |
| |||||||
Beverages — 0.6% |
| |||||||
| 662 | Dr. Pepper Snapple Group, Inc. | 63,986 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 826 | CVS Health Corp. | 79,072 | ||||||
| 1,832 | Kroger Co. (The) | 67,403 | ||||||
|
| |||||||
| 146,475 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
| 1,870 | Amplify Snack Brands, Inc. (a) | 27,579 | ||||||
| 849 | Post Holdings, Inc. (a) | 70,188 | ||||||
| 740 | TreeHouse Foods, Inc. (a) | 75,990 | ||||||
|
| |||||||
| 173,757 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
| 979 | Energizer Holdings, Inc. | 50,411 | ||||||
| 1,563 | Procter & Gamble Co. (The) | 132,373 | ||||||
|
| |||||||
| 182,784 | ||||||||
|
| |||||||
Total Consumer Staples | 567,002 | |||||||
|
| |||||||
Energy — 7.5% |
| |||||||
Oil, Gas & Consumable Fuels — 7.5% |
| |||||||
| 1,291 | ConocoPhillips | 56,292 | ||||||
| 822 | EQT Corp. | 63,640 | ||||||
| 3,208 | Exxon Mobil Corp. | 300,690 | ||||||
| 2,270 | HollyFrontier Corp. | 53,963 | ||||||
| 4,898 | Kinder Morgan, Inc. | 91,698 | ||||||
| 1,843 | Marathon Petroleum Corp. | 69,968 | ||||||
| 1,881 | PBF Energy, Inc., Class A | 44,734 | ||||||
| 955 | Phillips 66 | 75,793 | ||||||
|
| |||||||
Total Energy | 756,778 | |||||||
|
| |||||||
Financials — 33.9% |
| |||||||
Banks — 13.5% |
| |||||||
| 12,739 | Bank of America Corp. | 169,052 | ||||||
| 814 | CIT Group, Inc. | 25,978 | ||||||
| 2,262 | Citigroup, Inc. | 95,896 | ||||||
| 4,118 | Citizens Financial Group, Inc. | 82,268 | ||||||
| 2,782 | Fifth Third Bancorp | 48,932 | ||||||
| 714 | First Republic Bank | 49,985 | ||||||
| 1,338 | M&T Bank Corp. | 158,221 | ||||||
| 779 | National Bank Holdings Corp., Class A | 15,864 | ||||||
| 1,497 | PNC Financial Services Group, Inc. (The) | 121,857 | ||||||
| 2,716 | SunTrust Banks, Inc. | 111,573 | ||||||
| 2,575 | U.S. Bancorp | 103,834 | ||||||
| 7,913 | Wells Fargo & Co. | 374,499 | ||||||
|
| |||||||
| 1,357,959 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 2,204 | Charles Schwab Corp. (The) | 55,778 | ||||||
| 2,653 | Morgan Stanley | 68,928 | ||||||
| 743 | Northern Trust Corp. | 49,239 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Capital Markets — continued | ||||||||
| 1,604 | T. Rowe Price Group, Inc. | 117,068 | ||||||
|
| |||||||
| 291,013 | ||||||||
|
| |||||||
Consumer Finance — 2.6% |
| |||||||
| 4,118 | Ally Financial, Inc. (a) | 70,291 | ||||||
| 3,051 | Capital One Financial Corp. | 193,737 | ||||||
|
| |||||||
| 264,028 | ||||||||
|
| |||||||
Insurance — 10.2% |
| |||||||
| 65 | Alleghany Corp. (a) | 35,802 | ||||||
| 1,646 | Allied World Assurance Co. Holdings AG, (Switzerland) | 57,826 | ||||||
| 2,864 | American International Group, Inc. | 151,472 | ||||||
| 687 | Chubb Ltd., (Switzerland) | 89,799 | ||||||
| 3,124 | CNO Financial Group, Inc. | 54,547 | ||||||
| 2,722 | Hartford Financial Services Group, Inc. (The) | 120,802 | ||||||
| 5,122 | Loews Corp. | 210,443 | ||||||
| 563 | Marsh & McLennan Cos., Inc. | 38,536 | ||||||
| 902 | Prudential Financial, Inc. | 64,349 | ||||||
| 1,052 | Travelers Cos., Inc. (The) | 125,242 | ||||||
| 2,421 | Unum Group | 76,957 | ||||||
|
| |||||||
| 1,025,775 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.7% |
| |||||||
| 4,110 | American Homes 4 Rent, Class A | 84,167 | ||||||
| 2,629 | Brixmor Property Group, Inc. | 69,566 | ||||||
| 702 | EastGroup Properties, Inc. | 48,354 | ||||||
| 876 | HCP, Inc. | 31,007 | ||||||
| 1,819 | Kimco Realty Corp. | 57,077 | ||||||
| 2,238 | Outfront Media, Inc. | 54,081 | ||||||
| 3,368 | Rayonier, Inc. | 88,367 | ||||||
| 1,556 | Weyerhaeuser Co. | 46,316 | ||||||
|
| |||||||
| 478,935 | ||||||||
|
| |||||||
Total Financials | 3,417,710 | |||||||
|
| |||||||
Health Care — 9.6% |
| |||||||
Health Care Providers & Services — 3.4% |
| |||||||
| 950 | Aetna, Inc. | 116,003 | ||||||
| 867 | HCA Holdings, Inc. (a) | 66,760 | ||||||
| 1,117 | UnitedHealth Group, Inc. | 157,777 | ||||||
|
| |||||||
| 340,540 | ||||||||
|
| |||||||
Pharmaceuticals — 6.2% |
| |||||||
| 1,518 | Johnson & Johnson | 184,097 | ||||||
| 2,750 | Merck & Co., Inc. | 158,410 | ||||||
| 8,184 | Pfizer, Inc. | 288,166 | ||||||
|
| |||||||
| 630,673 | ||||||||
|
| |||||||
Total Health Care | 971,213 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 7.2% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
| 768 | Honeywell International, Inc. | 89,287 | ||||||
| 1,204 | United Technologies Corp. | 123,440 | ||||||
|
| |||||||
| 212,727 | ||||||||
|
| |||||||
Airlines — 1.5% |
| |||||||
| 4,044 | Delta Air Lines, Inc. | 147,330 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 997 | Carlisle Cos., Inc. | 105,334 | ||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
| 1,467 | Dover Corp. | 101,699 | ||||||
| 805 | Illinois Tool Works, Inc. | 83,818 | ||||||
|
| |||||||
| 185,517 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
| 303 | W.W. Grainger, Inc. | 68,743 | ||||||
|
| |||||||
Total Industrials | 719,651 | |||||||
|
| |||||||
Information Technology — 7.5% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
| 3,929 | Cisco Systems, Inc. | 112,729 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
| 1,061 | Arrow Electronics, Inc. (a) | 65,646 | ||||||
|
| |||||||
IT Services — 0.5% |
| |||||||
| 1,377 | PayPal Holdings, Inc. (a) | 50,282 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 560 | Analog Devices, Inc. | 31,724 | ||||||
| 783 | KLA-Tencor Corp. | 57,354 | ||||||
| 1,937 | QUALCOMM, Inc. | 103,768 | ||||||
| 2,262 | Texas Instruments, Inc. | 141,702 | ||||||
|
| |||||||
| 334,548 | ||||||||
|
| |||||||
Software — 1.3% |
| |||||||
| 2,535 | Microsoft Corp. | 129,695 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
| 2,477 | Hewlett Packard Enterprise Co. | 45,256 | ||||||
| 1,545 | HP, Inc. | 19,386 | ||||||
|
| |||||||
| 64,642 | ||||||||
|
| |||||||
Total Information Technology | 757,542 | |||||||
|
| |||||||
Materials — 3.3% |
| |||||||
Construction Materials — 0.9% |
| |||||||
| 446 | Martin Marietta Materials, Inc. | 85,701 | ||||||
|
| |||||||
Containers & Packaging — 1.9% |
| |||||||
| 1,376 | Ball Corp. | 99,457 | ||||||
| 2,468 | WestRock Co. | 95,943 | ||||||
|
| |||||||
| 195,400 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Paper & Forest Products — 0.5% |
| |||||||
| 4,113 | KapStone Paper & Packaging Corp. | 53,506 | ||||||
|
| |||||||
Total Materials | 334,607 | |||||||
|
| |||||||
Telecommunication Services — 2.1% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 1,839 | Verizon Communications, Inc. | 102,663 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
| 2,477 | T-Mobile US, Inc. (a) | 107,184 | ||||||
|
| |||||||
Total Telecommunication Services | 209,847 | |||||||
|
| |||||||
Utilities — 7.4% |
| |||||||
Electric Utilities — 6.5% |
| |||||||
| 1,741 | American Electric Power Co., Inc. | 122,013 | ||||||
| 1,185 | Duke Energy Corp. | 101,652 | ||||||
| 1,120 | Edison International | 87,025 | ||||||
| 1,579 | Eversource Energy | 94,594 | ||||||
| 969 | NextEra Energy, Inc. | 126,305 | ||||||
| 2,749 | Xcel Energy, Inc. | 123,082 | ||||||
|
| |||||||
| 654,671 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 0.9% |
| |||||||
| 830 | Sempra Energy | 94,580 | ||||||
|
| |||||||
Total Utilities | 749,251 | |||||||
|
| |||||||
Total Common Stocks (Cost $8,657,129) | 10,059,716 | |||||||
|
| |||||||
| Short-Term Investment — 0.8% |
| ||||||
Investment Company — 0.8% |
| |||||||
| 80,433 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 80,433 | ||||||
|
| |||||||
Total Investments — 100.5% | 10,140,149 | |||||||
Liabilities in Excess of | (49,198 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,090,951 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
J.P. Morgan Mid Cap/Multi-Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (h) | — Amount rounds to less than 500 shares. | |
| (j) | — All or a portion of the security is segregated for short sales. | |
| (l) | — The rate shown is the current yield as of June 30, 2016. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(Amounts in thousands, except per share amounts)
Growth Advantage Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 5,812,837 | $ | 2,303,947 | $ | 2,773,712 | ||||||
Investments in affiliates, at value | 103,543 | 51,139 | 69,664 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 5,916,380 | 2,355,086 | 2,843,376 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 7,500 | 16,529 | 14,447 | |||||||||
Fund shares sold | 62,187 | 2,830 | 5,632 | |||||||||
Dividends from non-affiliates | 1,408 | 1,814 | 414 | |||||||||
Dividends from affiliates | 20 | 17 | 27 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 5,987,495 | 2,376,276 | 2,863,896 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 8,905 | 7,424 | 3,034 | |||||||||
Fund shares redeemed | 9,188 | 2,296 | 6,311 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,160 | 1,249 | 1,486 | |||||||||
Administration fees | 397 | 157 | 181 | |||||||||
Distribution fees | 712 | 86 | 271 | |||||||||
Shareholder servicing fees | 462 | 56 | 167 | |||||||||
Custodian and accounting fees | 31 | 18 | 19 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 10 | — | 2 | |||||||||
Sub-transfer agency fees | 582 | 371 | 641 | |||||||||
Other | 448 | 270 | 301 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 23,895 | 11,927 | 12,413 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 5,963,600 | $ | 2,364,349 | $ | 2,851,483 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 4,944,282 | $ | 1,807,531 | $ | 2,589,162 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (8,414 | ) | 3,375 | (4,220 | ) | |||||||
Accumulated net realized gains (losses) | (221,418 | ) | 21,696 | (43,445 | ) | |||||||
Net unrealized appreciation (depreciation) | 1,249,150 | 531,747 | 309,986 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 5,963,600 | $ | 2,364,349 | $ | 2,851,483 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,643,136 | $ | 335,424 | $ | 949,148 | ||||||
Class C | 594,190 | 32,045 | 96,729 | |||||||||
Class R2 | — | 688 | 32,092 | |||||||||
Class R5 | 82,358 | 2,840 | 224,498 | |||||||||
Class R6 | 2,720,935 | 1,370,912 | 619,527 | |||||||||
Select Class | 922,981 | 622,440 | 929,489 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 5,963,600 | $ | 2,364,349 | $ | 2,851,483 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 113,924 | 7,809 | 40,507 | |||||||||
Class C | 46,023 | 766 | 5,079 | |||||||||
Class R2 | — | 16 | 1,263 | |||||||||
Class R5 | 5,506 | 65 | 8,396 | |||||||||
Class R6 | 181,387 | 31,561 | 23,102 | |||||||||
Select Class | 62,568 | 14,338 | 35,043 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 14.42 | $ | 42.95 | $ | 23.43 | ||||||
Class C — Offering price per share (b) | 12.91 | 41.85 | 19.05 | |||||||||
Class R2 — Offering and redemption price per share | — | 42.75 | 25.41 | |||||||||
Class R5 — Offering and redemption price per share | 14.96 | 43.43 | 26.74 | |||||||||
Class R6 — Offering and redemption price per share | 15.00 | 43.44 | 26.82 | |||||||||
Select Class — Offering and redemption price per share | 14.75 | 43.41 | 26.52 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 15.22 | $ | 45.33 | $ | 24.73 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 4,563,687 | $ | 1,772,200 | $ | 2,463,726 | ||||||
Cost of investments in affiliates | 103,543 | 51,139 | 69,664 | |||||||||
| (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, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except per share amounts)
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 14,976,782 | $ | 176,048 | $ | 10,059,716 | ||||||
Investments in affiliates, at value | 522,537 | 23,007 | 80,433 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 15,499,319 | 199,055 | 10,140,149 | |||||||||
Restricted Cash | — | 7 | — | |||||||||
Cash | — | 123 | — | |||||||||
Deposits at broker for futures contracts | — | 100 | — | |||||||||
Deposits at broker for securities sold short | — | 165,230 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 130,573 | 25,101 | 27,924 | |||||||||
Fund shares sold | 37,661 | 5 | 18,726 | |||||||||
Dividends from non-affiliates | 21,347 | 146 | 10,250 | |||||||||
Dividends from affiliates | 184 | 6 | 38 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 15,689,084 | 389,773 | 10,197,087 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities sold short, at value | — | 175,044 | — | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 115 | — | |||||||||
Investment securities purchased | 84,651 | 26,258 | 26,718 | |||||||||
Interest expense to non-affiliates on securities sold short | — | 2 | — | |||||||||
Fund shares redeemed | 24,797 | 31 | 69,812 | |||||||||
Variation margin on futures contracts | — | 30 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 7,787 | 82 | 4,985 | |||||||||
Administration fees | 910 | — | 406 | |||||||||
Distribution fees | 832 | 5 | 870 | |||||||||
Shareholder servicing fees | 859 | 37 | 944 | |||||||||
Custodian and accounting fees | 61 | 9 | 52 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 34 | — | 20 | |||||||||
Sub-transfer agency fees | 4,114 | 7 | 1,843 | |||||||||
Other | 897 | 50 | 486 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 124,942 | 201,670 | 106,136 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 15,564,142 | $ | 188,103 | $ | 10,090,951 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 10,170,649 | $ | 184,419 | $ | 8,843,081 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 59,105 | (583 | ) | 73,682 | ||||||||
Accumulated net realized gains (losses) | 783,021 | (11,095 | ) | (228,399 | ) | |||||||
Net unrealized appreciation (depreciation) | 4,551,367 | 15,362 | 1,402,587 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 15,564,142 | $ | 188,103 | $ | 10,090,951 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 2,302,567 | $ | 6,608 | $ | 2,045,698 | ||||||
Class C | 549,619 | 6,147 | 728,800 | |||||||||
Class R2 | 66,167 | — | — | |||||||||
Institutional Class | 10,313,629 | — | 5,901,818 | |||||||||
Select Class | 2,332,160 | 175,348 | 1,414,635 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,564,142 | $ | 188,103 | $ | 10,090,951 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 65,021 | 668 | 71,375 | |||||||||
Class C | 16,085 | 662 | 25,552 | |||||||||
Class R2 | 1,938 | — | — | |||||||||
Institutional Class | 284,967 | — | 204,482 | |||||||||
Select Class | 65,154 | 17,312 | 49,012 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 35.41 | $ | 9.90 | $ | 28.66 | ||||||
Class C — Offering price per share (b) | 34.17 | 9.29 | 28.52 | |||||||||
Class R2 — Offering and redemption price per share | 34.14 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 36.19 | — | 28.86 | |||||||||
Select Class — Offering and redemption price per share | 35.79 | 10.13 | 28.86 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 37.37 | $ | 10.45 | $ | 30.25 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 10,425,415 | $ | 162,114 | $ | 8,657,129 | ||||||
Cost of investments in affiliates | 522,537 | 23,007 | 80,433 | |||||||||
Proceeds from securities sold short | — | 176,502 | — | |||||||||
| (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, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 39,681 | $ | 33,397 | $ | 18,310 | ||||||
Dividend income from affiliates | 256 | 145 | 208 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 39,937 | 33,542 | 18,518 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 37,786 | 18,521 | 18,910 | |||||||||
Administration fees | 4,766 | 2,335 | 2,384 | |||||||||
Distribution fees: | ||||||||||||
Class A | 3,839 | 664 | 2,420 | |||||||||
Class C | 3,769 | 202 | 696 | |||||||||
Class R2 | — | 4 | 123 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 3,839 | 664 | 2,420 | |||||||||
Class C | 1,256 | 67 | 232 | |||||||||
Class R2 | — | 2 | 62 | |||||||||
Class R5 | 37 | 2 | 97 | |||||||||
Select Class | 2,980 | 3,179 | 2,927 | |||||||||
Custodian and accounting fees | 169 | 86 | 101 | |||||||||
Professional fees | 117 | 64 | 74 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 55 | 27 | 28 | |||||||||
Printing and mailing costs | 443 | 500 | 262 | |||||||||
Registration and filing fees | 624 | 191 | 265 | |||||||||
Transfer agency fees (See Note 2.E.) | 216 | 52 | 438 | |||||||||
Sub-transfer agency fees (See Note 2.E.) | 2,720 | 2,806 | 2,699 | |||||||||
Other | 120 | 28 | 41 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 62,736 | 29,394 | 34,179 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (2,358 | ) | (4,159 | ) | (4,483 | ) | ||||||
Less expense reimbursements | (1 | ) | (529 | ) | (98 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 60,377 | 24,706 | 29,598 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (20,440 | ) | 8,836 | (11,080 | ) | |||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | (145,387 | ) | 58,144 | 181,344 | ||||||||
Change in net unrealized appreciation/depreciation on investments in non-affiliates | (181,585 | ) | (300,510 | ) | (478,421 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (326,972 | ) | (242,366 | ) | (297,077 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (347,412 | ) | $ | (233,530 | ) | $ | (308,157 | ) | |||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income from non-affiliates | $ | — | $ | 2 | $ | — | ||||||
Dividend income from non-affiliates | 266,931 | 3,738 | 238,953 | |||||||||
Dividend income from affiliates | 961 | 46 | 497 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 267,892 | 3,786 | 239,450 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 97,745 | 2,188 | 70,060 | |||||||||
Administration fees | 12,327 | 201 | 8,836 | |||||||||
Distribution fees: | ||||||||||||
Class A | 5,880 | 17 | 5,404 | |||||||||
Class C | 4,137 | 50 | 5,333 | |||||||||
Class R2 | 331 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 5,880 | 17 | 5,404 | |||||||||
Class C | 1,379 | 17 | 1,778 | |||||||||
Class R2 | 165 | — | — | |||||||||
Institutional Class | 9,864 | — | 6,155 | |||||||||
Select Class | 5,508 | 581 | 4,377 | |||||||||
Custodian and accounting fees | 328 | 42 | 285 | |||||||||
Interest expense to affiliates | — | 2 | — | |||||||||
Professional fees | 207 | 59 | 152 | |||||||||
Interest expense to non-affiliates | — | 1 | — | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 146 | 7 | 102 | |||||||||
Printing and mailing costs | 1,063 | 7 | 820 | |||||||||
Registration and filing fees | 299 | 38 | 496 | |||||||||
Transfer agency fees (See Note 2.E.) | 1,055 | 8 | 272 | |||||||||
Sub-transfer agency fees (See Note 2.E.) | 14,371 | 36 | 7,074 | |||||||||
Other | 207 | 7 | 96 | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 2,710 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 367 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 160,892 | 6,355 | 116,644 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (24,667 | ) | (694 | ) | (14,056 | ) | ||||||
Less earnings credits | — | (a) | — | — | ||||||||
Less expense reimbursements | (1,397 | ) | — | (a) | (336 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 134,828 | 5,661 | 102,252 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 133,064 | (1,875 | ) | 137,198 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 921,071 | 4,489 | (206,123 | ) | ||||||||
Futures | — | (4 | ) | — | ||||||||
Securities sold short | — | 26,467 | — | |||||||||
Foreign currency transactions | — | 1 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 921,071 | 30,953 | (206,123 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (753,064 | ) | (24,799 | ) | (248,822 | ) | ||||||
Futures | — | (66 | ) | — | ||||||||
Securities sold short | — | 750 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (753,064 | ) | (24,115 | ) | (248,822 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 168,007 | 6,838 | (454,945 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 301,071 | $ | 4,963 | $ | (317,747 | ) | |||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (20,440 | ) | $ | (17,194 | ) | $ | 8,836 | $ | 9,702 | ||||||
Net realized gain (loss) | (145,387 | ) | 172,792 | 58,144 | 165,578 | |||||||||||
Change in net unrealized appreciation/depreciation | (181,585 | ) | 461,167 | (300,510 | ) | 134,637 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (347,412 | ) | 616,765 | (233,530 | ) | 309,917 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (182 | ) | (81 | ) | ||||||||||
From net realized gains | (57,173 | ) | (32,469 | ) | (12,309 | ) | (8,089 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | — | (98 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net realized gains | (20,218 | ) | (7,969 | ) | (1,246 | ) | (990 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | — | — | ||||||||||||
From net realized gains | — | — | (39 | ) | (30 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (7 | ) | (2 | ) | ||||||||||
From net realized gains | (2,457 | ) | (1,758 | ) | (147 | ) | (26 | ) | ||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (3,761 | ) | (3,446 | ) | ||||||||||
From net realized gains | (86,200 | ) | (73,271 | ) | (61,528 | ) | (46,736 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (2,603 | ) | (3,414 | ) | ||||||||||
From net realized gains | (48,267 | ) | (39,626 | ) | (75,744 | ) | (80,115 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (214,315 | ) | (155,191 | ) | (157,566 | ) | (142,929 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,337,047 | 1,161,499 | (547,848 | ) | 363,135 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 775,320 | 1,623,073 | (938,944 | ) | 530,123 | |||||||||||
Beginning of period | 5,188,280 | 3,565,207 | 3,303,293 | 2,773,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,963,600 | $ | 5,188,280 | $ | 2,364,349 | $ | 3,303,293 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (8,414 | ) | $ | (10,303 | ) | $ | 3,375 | $ | (25 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (11,080 | ) | $ | (11,970 | ) | $ | 133,064 | $ | 137,103 | ||||||
Net realized gain (loss) | 181,344 | 173,141 | 921,071 | 1,096,684 | ||||||||||||
Change in net unrealized appreciation/depreciation | (478,421 | ) | 150,704 | (753,064 | ) | (12,168 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (308,157 | ) | 311,875 | 301,071 | 1,221,619 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (9,590 | ) | (15,287 | ) | ||||||||||
From net realized gains | (56,339 | ) | (80,615 | ) | (130,210 | ) | (197,218 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net realized gains | — | (608 | ) | — | (668 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | (1,024 | ) | |||||||||||
From net realized gains | (6,714 | ) | (6,222 | ) | (31,402 | ) | (45,175 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (113 | ) | (331 | ) | ||||||||||
From net realized gains | (1,533 | ) | (345 | ) | (3,769 | ) | (5,603 | ) | ||||||||
Class R5 | ||||||||||||||||
From net realized gains | (8,974 | ) | (3,427 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | (23,518 | ) | (7,943 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (89,774 | ) | (108,605 | ) | ||||||||||
From net realized gains | — | — | (526,794 | ) | (711,308 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (14,584 | ) | (19,269 | ) | ||||||||||
From net realized gains | (50,435 | ) | (119,065 | ) | (117,229 | ) | (172,337 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (147,513 | ) | (218,225 | ) | (923,465 | ) | (1,276,825 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 244,627 | 787,072 | 227,463 | 368,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (211,043 | ) | 880,722 | (394,931 | ) | 313,488 | ||||||||||
Beginning of period | 3,062,526 | 2,181,804 | 15,959,073 | 15,645,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,851,483 | $ | 3,062,526 | $ | 15,564,142 | $ | 15,959,073 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (4,220 | ) | $ | (7,971 | ) | $ | 59,105 | $ | 41,285 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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)
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (1,875 | ) | $ | (3,300 | ) | $ | 137,198 | $ | 87,727 | ||||||
Net realized gain (loss) | 30,953 | 2,998 | (206,123 | ) | 148,940 | |||||||||||
Change in net unrealized appreciation/depreciation | (24,115 | ) | 1,106 | (248,822 | ) | 322,296 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 4,963 | 804 | (317,747 | ) | 558,963 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (13,377 | ) | (18,586 | ) | ||||||||||
From net realized gains | — | — | (22,474 | ) | (49,085 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (1,450 | ) | (2,882 | ) | ||||||||||
From net realized gains | — | — | (7,412 | ) | (12,315 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (77,515 | ) | (51,909 | ) | ||||||||||
From net realized gains | — | — | (69,917 | ) | (93,724 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (9,572 | ) | (31,036 | ) | ||||||||||
From net realized gains | — | — | (14,779 | ) | (67,644 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (216,496 | ) | (327,181 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (107,540 | ) | (161,126 | ) | (669,313 | ) | 3,369,281 | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (102,577 | ) | (160,322 | ) | (1,203,556 | ) | 3,601,063 | |||||||||
Beginning of period | 290,680 | 451,002 | 11,294,507 | 7,693,444 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 188,103 | $ | 290,680 | $ | 10,090,951 | $ | 11,294,507 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (583 | ) | $ | (889 | ) | $ | 73,682 | $ | 39,348 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,090,924 | $ | 548,977 | $ | 174,026 | $ | 93,435 | ||||||||
Distributions reinvested | 56,255 | 31,822 | 12,454 | 8,101 | ||||||||||||
Cost of shares redeemed | (535,940 | ) | (222,820 | ) | (64,301 | ) | (35,536 | ) | ||||||||
Conversion from Class B Shares | — | 2,100 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 611,239 | $ | 360,079 | $ | 122,179 | $ | 66,000 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 225 | $ | — | $ | — | ||||||||
Distributions reinvested | — | 95 | — | — | ||||||||||||
Cost of shares redeemed | — | (865 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (2,100 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (2,645 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 406,222 | $ | 182,071 | $ | 12,272 | $ | 6,417 | ||||||||
Distributions reinvested | 18,351 | 6,954 | 1,246 | 990 | ||||||||||||
Cost of shares redeemed | (105,053 | ) | (32,956 | ) | (4,843 | ) | (2,929 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 319,520 | $ | 156,069 | $ | 8,675 | $ | 4,478 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 235 | $ | 336 | ||||||||
Distributions reinvested | — | — | 27 | 18 | ||||||||||||
Cost of shares redeemed | — | — | (320 | ) | (251 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (58 | ) | $ | 103 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 41,933 | $ | 77,457 | $ | 2,174 | $ | 1,637 | ||||||||
Distributions reinvested | 2,457 | 1,758 | 154 | 28 | ||||||||||||
Cost of shares redeemed | (15,257 | ) | (1,506,939 | ) | (861 | ) | (186 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 29,133 | $ | (1,427,724 | ) | $ | 1,467 | $ | 1,479 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 708,587 | $ | 1,928,585 | $ | 260,148 | $ | 369,933 | ||||||||
Distributions reinvested | 83,297 | 70,979 | 65,041 | 49,924 | ||||||||||||
Cost of shares redeemed | (290,712 | ) | (53,688 | ) | (112,907 | ) | (35,342 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 501,172 | $ | 1,945,876 | $ | 212,282 | $ | 384,515 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 709,570 | $ | 361,358 | $ | 250,507 | $ | 345,873 | ||||||||
Distributions reinvested | 31,907 | 23,846 | 64,677 | 60,746 | ||||||||||||
Cost of shares redeemed | (865,494 | ) | (255,360 | ) | (1,207,577 | ) | (500,059 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (124,017 | ) | $ | 129,844 | $ | (892,393 | ) | $ | (93,440 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,337,047 | $ | 1,161,499 | $ | (547,848 | ) | $ | 363,135 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 73,064 | 36,907 | 4,101 | 2,053 | ||||||||||||
Reinvested | 3,824 | 2,270 | 299 | 188 | ||||||||||||
Redeemed | (37,546 | ) | (15,105 | ) | (1,522 | ) | (784 | ) | ||||||||
Conversion from Class B Shares | — | 131 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 39,342 | 24,203 | 2,878 | 1,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 17 | — | — | ||||||||||||
Reinvested | — | 7 | — | — | ||||||||||||
Redeemed | — | (64 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (146 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (186 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 30,118 | 13,414 | 297 | 144 | ||||||||||||
Reinvested | 1,389 | 547 | 30 | 23 | ||||||||||||
Redeemed | (8,092 | ) | (2,464 | ) | (116 | ) | (65 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 23,415 | 11,497 | 211 | 102 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 6 | 7 | ||||||||||||
Reinvested | — | — | 1 | — | (b) | |||||||||||
Redeemed | — | — | (8 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (1 | ) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 2,743 | 5,216 | 47 | 35 | ||||||||||||
Reinvested | 161 | 122 | 4 | 1 | ||||||||||||
Redeemed | (1,010 | ) | (101,089 | ) | (20 | ) | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1,894 | (95,751 | ) | 31 | 32 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 47,326 | 128,407 | 6,062 | 8,126 | ||||||||||||
Reinvested | 5,459 | 4,909 | 1,544 | 1,145 | ||||||||||||
Redeemed | (19,751 | ) | (3,544 | ) | (2,766 | ) | (779 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 33,034 | 129,772 | 4,840 | 8,492 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 46,757 | 23,952 | 5,728 | 7,557 | ||||||||||||
Reinvested | 2,122 | 1,668 | 1,536 | 1,396 | ||||||||||||
Redeemed | (62,228 | ) | (16,966 | ) | (30,292 | ) | (10,866 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (13,349 | ) | 8,654 | (23,028 | ) | (1,913 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 297,295 | $ | 274,574 | $ | 358,763 | $ | 394,792 | ||||||||
Distributions reinvested | 54,215 | 76,907 | 127,887 | 195,292 | ||||||||||||
Cost of shares redeemed | (221,243 | ) | (162,077 | ) | (694,701 | ) | (1,360,678 | ) | ||||||||
Conversion from Class B Shares | — | 3,778 | — | 6,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 130,267 | $ | 193,182 | $ | (208,051 | ) | $ | (763,866 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 27 | $ | — | $ | 22 | ||||||||
Distributions reinvested | — | 593 | — | 639 | ||||||||||||
Cost of shares redeemed | — | (1,919 | ) | — | (4,670 | ) | ||||||||||
Conversion to Class A Shares | — | (3,778 | ) | — | (6,728 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (5,077 | ) | $ | — | $ | (10,737 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 56,492 | $ | 37,238 | $ | 28,896 | $ | 27,636 | ||||||||
Distributions reinvested | 5,744 | 5,274 | 25,199 | 36,724 | ||||||||||||
Cost of shares redeemed | (23,954 | ) | (8,786 | ) | (73,557 | ) | (72,861 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 38,282 | $ | 33,726 | $ | (19,462 | ) | $ | (8,501 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 31,035 | $ | 8,894 | $ | 14,006 | $ | 16,445 | ||||||||
Distributions reinvested | 1,494 | 345 | 3,715 | 5,637 | ||||||||||||
Cost of shares redeemed | (6,825 | ) | (1,635 | ) | (20,042 | ) | (21,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 25,704 | $ | 7,604 | $ | (2,321 | ) | $ | 373 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 120,489 | $ | 139,213 | $ | — | $ | — | ||||||||
Distributions reinvested | 8,974 | 3,427 | — | — | ||||||||||||
Cost of shares redeemed | (42,206 | ) | (10,062 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 87,257 | $ | 132,578 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 509,276 | $ | 185,884 | $ | — | $ | — | ||||||||
Distributions reinvested | 23,176 | 7,291 | — | — | ||||||||||||
Cost of shares redeemed | (120,874 | ) | (26,514 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 411,578 | $ | 166,661 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,148,891 | $ | 2,898,688 | ||||||||
Distributions reinvested | — | — | 515,077 | 686,825 | ||||||||||||
Cost of shares redeemed | — | — | (2,275,447 | ) | (1,786,837 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 388,521 | $ | 1,798,676 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 596,426 | $ | 427,509 | $ | 575,208 | $ | 1,046,215 | ||||||||
Distributions reinvested | 41,535 | 103,039 | 119,621 | 174,083 | ||||||||||||
Cost of shares redeemed | (484,304 | ) | (272,150 | ) | (626,053 | ) | (1,867,549 | ) | ||||||||
Redemptions in-kind (See Note 7) | (602,118 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (448,461 | ) | $ | 258,398 | $ | 68,776 | $ | (647,251 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 244,627 | $ | 787,072 | $ | 227,463 | $ | 368,694 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 11,900 | 10,468 | 10,465 | 10,652 | ||||||||||||
Reinvested | 2,266 | 3,166 | 3,881 | 5,494 | ||||||||||||
Redeemed | (9,178 | ) | (6,089 | ) | (20,274 | ) | (36,773 | ) | ||||||||
Conversion from Class B Shares | — | 136 | — | 178 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,988 | 7,681 | (5,928 | ) | (20,449 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 1 | — | 1 | ||||||||||||
Reinvested | — | 37 | — | 18 | ||||||||||||
Redeemed | — | (106 | ) | — | (128 | ) | ||||||||||
Conversion to Class A Shares | — | (202 | ) | — | (182 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (270 | ) | — | (291 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,722 | 1,668 | 877 | 779 | ||||||||||||
Reinvested | 295 | 262 | 794 | 1,070 | ||||||||||||
Redeemed | (1,230 | ) | (396 | ) | (2,221 | ) | (2,021 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,787 | 1,534 | (550 | ) | (172 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 1,143 | 310 | 421 | 458 | ||||||||||||
Reinvested | 57 | 13 | 117 | 164 | ||||||||||||
Redeemed | (266 | ) | (57 | ) | (606 | ) | (607 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 934 | 266 | (68 | ) | 15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 4,352 | 4,578 | — | — | ||||||||||||
Reinvested | 329 | 125 | — | — | ||||||||||||
Redeemed | (1,554 | ) | (334 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 3,127 | 4,369 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 18,275 | 6,285 | — | — | ||||||||||||
Reinvested | 849 | 266 | — | — | ||||||||||||
Redeemed | (4,509 | ) | (882 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 14,615 | 5,669 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 61,500 | 75,729 | ||||||||||||
Reinvested | — | — | 15,274 | 18,860 | ||||||||||||
Redeemed | — | — | (65,137 | ) | (47,177 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 11,637 | 47,412 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 21,225 | 14,507 | 16,809 | 27,961 | ||||||||||||
Reinvested | 1,536 | 3,790 | 3,589 | 4,839 | ||||||||||||
Redeemed | (17,722 | ) | (9,299 | ) | (18,078 | ) | (48,879 | ) | ||||||||
Redemptions in-kind (See Note 7) | (20,287 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (15,248 | ) | 8,998 | 2,320 | (16,079 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 3,218 | $ | 558 | $ | 696,311 | $ | 1,131,012 | ||||||||
Distributions reinvested | — | — | 34,339 | 63,610 | ||||||||||||
Cost of shares redeemed | (2,889 | ) | (4,659 | ) | (1,032,013 | ) | (503,182 | ) | ||||||||
Conversion from Class B Shares | — | 79 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 329 | $ | (4,022 | ) | $ | (301,363 | ) | $ | 691,440 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Cost of shares redeemed | — | (129 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (79 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (208 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,852 | $ | 522 | $ | 188,939 | $ | 341,265 | ||||||||
Distributions reinvested | — | — | 7,489 | 12,024 | ||||||||||||
Cost of shares redeemed | (2,446 | ) | (2,310 | ) | (140,118 | ) | (65,697 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (594 | ) | $ | (1,788 | ) | $ | 56,310 | $ | 287,592 | ||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,435,571 | $ | 2,416,260 | ||||||||
Distributions reinvested | — | — | 138,955 | 134,005 | ||||||||||||
Cost of shares redeemed | — | — | (2,438,224 | ) | (641,266 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 1,136,302 | $ | 1,908,999 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 4,346 | $ | 8,612 | $ | 675,086 | $ | 883,261 | ||||||||
Distributions reinvested | — | — | 17,378 | 87,369 | ||||||||||||
Cost of shares redeemed | (111,621 | ) | (163,720 | ) | (2,253,026 | ) | (489,380 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (107,275 | ) | $ | (155,108 | ) | $ | (1,560,562 | ) | $ | 481,250 | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (107,540 | ) | $ | (161,126 | ) | $ | (669,313 | ) | $ | 3,369,281 | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Multi-Cap Market Neutral Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 316 | 56 | 24,694 | 38,204 | ||||||||||||
Reinvested | — | — | 1,244 | 2,177 | ||||||||||||
Redeemed | (284 | ) | (468 | ) | (36,328 | ) | (16,986 | ) | ||||||||
Conversion from Class B Shares | — | 8 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 32 | (404 | ) | (10,390 | ) | 23,395 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Redeemed | — | (14 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (8 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (22 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 194 | 56 | 6,724 | 11,531 | ||||||||||||
Reinvested | — | — | 273 | 414 | ||||||||||||
Redeemed | (258 | ) | (245 | ) | (5,029 | ) | (2,215 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (64 | ) | (189 | ) | 1,968 | 9,730 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 120,136 | 81,240 | ||||||||||||
Reinvested | — | — | 5,004 | 4,545 | ||||||||||||
Redeemed | — | — | (88,948 | ) | (21,282 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 36,192 | 64,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 416 | 848 | 24,052 | 29,705 | ||||||||||||
Reinvested | — | — | 626 | 2,972 | ||||||||||||
Redeemed | (10,669 | ) | (16,074 | ) | (78,871 | ) | (16,492 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (10,253 | ) | (15,226 | ) | (54,193 | ) | 16,185 | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Multi-Cap Market Neutral Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 15.74 | $ | (0.08 | ) | $ | (0.71 | ) | $ | (0.79 | ) | $ | — | $ | (0.53 | ) | $ | (0.53 | ) | |||||||||
Year Ended June 30, 2015 | 14.24 | (0.10 | ) | 2.17 | 2.07 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 11.43 | (0.07 | ) | 3.52 | 3.45 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 9.49 | 0.01 | (g) | 1.97 | 1.98 | (0.01 | ) | (0.03 | ) | (0.04 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.28 | (0.03 | )(h) | 0.24 | 0.21 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.22 | (0.14 | ) | (0.64 | ) | (0.78 | ) | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 12.98 | (0.15 | ) | 1.96 | 1.81 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 10.51 | (0.12 | ) | 3.23 | 3.11 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 8.77 | (0.04 | )(g) | 1.81 | 1.77 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(h) | 0.23 | 0.16 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.25 | (0.03 | ) | (0.73 | ) | (0.76 | ) | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 14.63 | (0.04 | ) | 2.23 | 2.19 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 11.68 | (0.02 | ) | 3.61 | 3.59 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 9.69 | 0.06 | (g) | 2.01 | 2.07 | (0.05 | ) | (0.03 | ) | (0.08 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.44 | 0.01 | (h) | 0.24 | 0.25 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.27 | (0.01 | ) | (0.73 | ) | (0.74 | ) | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 14.64 | (0.03 | ) | 2.23 | 2.20 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
December 23, 2013 (i) through June 30, 2014 | 13.86 | (0.01 | ) | 0.79 | 0.78 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.06 | (0.06 | ) | (0.72 | ) | (0.78 | ) | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 14.50 | (0.07 | ) | 2.20 | 2.13 | — | (0.57 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 11.60 | (0.04 | ) | 3.58 | 3.54 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 9.63 | 0.04 | (g) | 1.98 | 2.02 | (0.02 | ) | (0.03 | ) | (0.05 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.39 | (0.02 | )(h) | 0.26 | 0.24 | — | — | — | ||||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 14.42 | (5.07 | )% | $ | 1,643,136 | 1.25 | % | (0.55 | )% | 1.35 | % | 46 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 12.91 | (5.55 | ) | 594,190 | 1.75 | (1.04 | ) | 1.85 | 46 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 14.96 | (4.72 | ) | 82,358 | 0.89 | (0.20 | ) | 0.90 | 46 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 15.00 | (4.59 | ) | 2,720,935 | 0.76 | (0.07 | ) | 0.76 | 46 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 14.75 | (4.91 | ) | 922,981 | 1.08 | (0.41 | ) | 1.09 | 46 | ||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 47.12 | $ | (0.01 | ) | $ | (2.02 | ) | $ | (2.03 | ) | $ | (0.03 | ) | $ | (2.11 | ) | $ | (2.14 | ) | ||||||||
Year Ended June 30, 2015 | 44.91 | (0.03 | ) | 4.32 | 4.29 | (0.02 | ) | (2.06 | ) | (2.08 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 38.10 | (0.04 | ) | 10.25 | 10.21 | (0.02 | ) | (3.38 | ) | (3.40 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 30.97 | 0.10 | (g) | 7.36 | 7.46 | (0.07 | ) | (0.26 | ) | (0.33 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.29 | 0.10 | (h) | (0.34 | ) | (0.24 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 46.16 | (0.23 | ) | (1.97 | ) | (2.20 | ) | — | (2.11 | ) | (2.11 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 44.21 | (0.25 | ) | 4.23 | 3.98 | — | (2.03 | ) | (2.03 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 37.71 | (0.24 | ) | 10.12 | 9.88 | — | (3.38 | ) | (3.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.75 | (0.07 | )(g) | 7.29 | 7.22 | — | (i) | (0.26 | ) | (0.26 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.16 | (0.05 | )(h) | (0.35 | ) | (0.40 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 46.98 | (0.13 | ) | (1.99 | ) | (2.12 | ) | — | (2.11 | ) | (2.11 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 44.87 | (0.14 | ) | 4.30 | 4.16 | — | (2.05 | ) | (2.05 | ) | ||||||||||||||||||
March 14, 2014 (j) through June 30, 2014 | 42.92 | (0.05 | ) | 2.01 | 1.96 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 47.49 | 0.18 | (2.03 | ) | (1.85 | ) | (0.10 | ) | (2.11 | ) | (2.21 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 45.15 | 0.20 | 4.33 | 4.53 | (0.13 | ) | (2.06 | ) | (2.19 | ) | ||||||||||||||||||
March 14, 2014 (j) through June 30, 2014 | 43.14 | 0.04 | 2.02 | 2.06 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 47.49 | 0.20 | (2.02 | ) | (1.82 | ) | (0.12 | ) | (2.11 | ) | (2.23 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 45.15 | 0.20 | 4.34 | 4.54 | (0.14 | ) | (2.06 | ) | (2.20 | ) | ||||||||||||||||||
March 14, 2014 (j) through June 30, 2014 | 43.14 | 0.04 | 2.02 | 2.06 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 47.47 | 0.11 | (1.99 | ) | (1.88 | ) | (0.07 | ) | (2.11 | ) | (2.18 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 45.15 | 0.13 | 4.34 | 4.47 | (0.09 | ) | (2.06 | ) | (2.15 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 38.22 | 0.11 | 10.30 | 10.41 | (0.10 | ) | (3.38 | ) | (3.48 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 31.05 | 0.20 | (g) | 7.40 | 7.60 | (0.17 | ) | (0.26 | ) | (0.43 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.36 | 0.19 | (h) | (0.33 | ) | (0.14 | ) | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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) | Amount rounds to less than $0.005. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 42.95 | (4.17 | )% | $ | 335,424 | 1.25 | % | (0.03 | )% | 1.43 | % | 39 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 41.85 | (4.64 | ) | 32,045 | 1.75 | (0.54 | ) | 1.96 | 39 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 42.75 | (4.38 | ) | 688 | 1.50 | (0.30 | ) | 1.81 | 39 | ||||||||||||||||||
| 46.98 | 9.71 | 823 | 1.49 | (0.31 | ) | 1.69 | 41 | |||||||||||||||||||
| 44.87 | 4.56 | 688 | 1.47 | (0.41 | ) | 1.60 | 47 | |||||||||||||||||||
| 43.43 | (3.73 | ) | 2,840 | 0.80 | 0.42 | 0.91 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 43.44 | (3.66 | ) | 1,370,912 | 0.74 | 0.46 | 0.77 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 43.41 | (3.81 | ) | 622,440 | 0.90 | 0.25 | 1.20 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 27.71 | $ | (0.15 | ) | $ | (2.67 | ) | $ | (2.82 | ) | $ | (1.46 | ) | ||||||
Year Ended June 30, 2015 | 27.49 | (0.18 | ) | 3.19 | 3.01 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 22.99 | (0.13 | )(g) | 7.42 | 7.29 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 19.52 | (0.04 | )(h) | 4.50 | 4.46 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 23.30 | (0.05 | )(i) | (1.72 | ) | (1.77 | ) | (2.01 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 22.93 | (0.22 | ) | (2.20 | ) | (2.42 | ) | (1.46 | ) | |||||||||||
Year Ended June 30, 2015 | 23.35 | (0.26 | ) | 2.63 | 2.37 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 19.97 | (0.22 | )(g) | 6.39 | 6.17 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 17.17 | (0.12 | )(h) | 3.91 | 3.79 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.88 | (0.13 | )(i) | (1.57 | ) | (1.70 | ) | (2.01 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2016 | 29.96 | (0.18 | ) | (2.91 | ) | (3.09 | ) | (1.46 | ) | |||||||||||
Year Ended June 30, 2015 | 29.54 | (0.24 | ) | 3.45 | 3.21 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 24.56 | (0.20 | )(g) | 7.97 | 7.77 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 20.83 | (0.07 | )(h) | 4.79 | 4.72 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.73 | (0.07 | )(i) | (1.82 | ) | (1.89 | ) | (2.01 | ) | |||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2016 | 31.26 | (0.03 | ) | (3.03 | ) | (3.06 | ) | (1.46 | ) | |||||||||||
Year Ended June 30, 2015 | 30.52 | (0.07 | ) | 3.60 | 3.53 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 25.15 | (0.02 | )(g) | 8.18 | 8.16 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.18 | 0.06 | (h) | 4.90 | 4.96 | (0.99 | ) | |||||||||||||
November 1, 2011(j) through June 30, 2012 | 21.75 | 0.04 | (i) | 1.40 | 1.44 | (2.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2016 | 31.33 | (0.02 | ) | (3.03 | ) | (3.05 | ) | (1.46 | ) | |||||||||||
Year Ended June 30, 2015 | 30.57 | (0.06 | ) | 3.61 | 3.55 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 25.17 | — | (g)(k) | 8.19 | 8.19 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.19 | 0.08 | (h) | 4.89 | 4.97 | (0.99 | ) | |||||||||||||
November 1, 2011(j) through June 30, 2012 | 21.75 | 0.08 | (i) | 1.37 | 1.45 | (2.01 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 31.06 | (0.09 | ) | (2.99 | ) | (3.08 | ) | (1.46 | ) | |||||||||||
Year Ended June 30, 2015 | 30.39 | (0.11 | ) | 3.57 | 3.46 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2014 | 25.08 | (0.06 | )(g) | 8.16 | 8.10 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.15 | 0.03 | (h) | 4.89 | 4.92 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.02 | (i) | (1.83 | ) | (1.81 | ) | (2.01 | ) | |||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 23.43 | (10.29 | )% | $ | 949,148 | 1.24 | % | (0.59 | )% | 1.40 | % | 56 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 19.05 | (10.70 | ) | 96,729 | 1.74 | (1.08 | ) | 1.90 | 56 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 25.41 | (10.42 | ) | 32,092 | 1.40 | (0.71 | ) | 1.71 | 56 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 26.74 | (9.87 | ) | 224,498 | 0.79 | (0.13 | ) | 0.91 | 56 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 26.82 | (9.82 | ) | 619,527 | 0.73 | (0.06 | ) | 0.77 | 56 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 26.52 | (10.01 | ) | 929,489 | 0.93 | (0.31 | ) | 1.13 | 56 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| (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 $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | Net realized (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, 2016 | $ | 36.98 | $ | 0.19 | $ | 0.33 | $ | 0.52 | $ | (0.14 | ) | $ | (1.95 | ) | $ | (2.09 | ) | |||||||||||
Year Ended June 30, 2015 | 37.25 | 0.20 | 2.52 | 2.72 | (0.20 | ) | (2.79 | ) | (2.99 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 31.68 | 0.15 | (e) | 7.02 | 7.17 | (0.15 | ) | (1.45 | ) | (1.60 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 25.80 | 0.19 | (f) | 6.20 | 6.39 | (0.29 | ) | (0.22 | ) | (0.51 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.76 | 0.20 | 1.00 | 1.20 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.79 | 0.01 | 0.32 | 0.33 | — | (1.95 | ) | (1.95 | ) | |||||||||||||||||||
Year Ended June 30, 2015 | 36.19 | 0.01 | 2.44 | 2.45 | (0.06 | ) | (2.79 | ) | (2.85 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 30.84 | (0.03 | )(e) | 6.83 | 6.80 | — | (g) | (1.45 | ) | (1.45 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 25.14 | 0.05 | (f) | 6.03 | 6.08 | (0.16 | ) | (0.22 | ) | (0.38 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | 0.98 | 1.05 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.73 | 0.10 | 0.32 | 0.42 | (0.06 | ) | (1.95 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 36.14 | 0.10 | 2.43 | 2.53 | (0.15 | ) | (2.79 | ) | (2.94 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 30.81 | 0.06 | (e) | 6.82 | 6.88 | (0.10 | ) | (1.45 | ) | (1.55 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 25.18 | 0.12 | (f) | 6.03 | 6.15 | (0.30 | ) | (0.22 | ) | (0.52 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.27 | 0.14 | 0.97 | 1.11 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.76 | 0.37 | 0.33 | 0.70 | (0.32 | ) | (1.95 | ) | (2.27 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 37.99 | 0.40 | 2.56 | 2.96 | (0.40 | ) | (2.79 | ) | (3.19 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 32.26 | 0.32 | (e) | 7.17 | 7.49 | (0.31 | ) | (1.45 | ) | (1.76 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 26.24 | 0.34 | (f) | 6.31 | 6.65 | (0.41 | ) | (0.22 | ) | (0.63 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 25.19 | 0.32 | 1.01 | 1.33 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.36 | 0.28 | 0.33 | 0.61 | (0.23 | ) | (1.95 | ) | (2.18 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 37.61 | 0.28 | 2.55 | 2.83 | (0.29 | ) | (2.79 | ) | (3.08 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 31.95 | 0.23 | (e) | 7.10 | 7.33 | (0.22 | ) | (1.45 | ) | (1.67 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 26.01 | 0.27 | (f) | 6.24 | 6.51 | (0.35 | ) | (0.22 | ) | (0.57 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.26 | 1.01 | 1.27 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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 $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | without waivers, reimbursements and | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 35.41 | 1.85 | % | $ | 2,302,567 | 1.24 | % | 0.54 | % | 1.41 | % | 20 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 34.17 | 1.35 | 549,619 | 1.75 | 0.03 | 1.83 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 34.14 | 1.61 | 66,167 | 1.50 | 0.29 | 1.75 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.19 | 2.35 | 10,313,629 | 0.75 | 1.04 | 0.94 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.79 | 2.11 | 2,332,160 | 0.99 | 0.80 | 1.11 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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 | ||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net asset value, end of period | ||||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2016 | $ | 9.87 | $ | (0.10 | ) | $ | 0.13 | $ | 0.03 | $ | 9.90 | |||||||||
Year Ended June 30, 2015 | 9.91 | (0.11 | ) | 0.07 | (0.04 | ) | 9.87 | |||||||||||||
Year Ended June 30, 2014 | 9.79 | (0.13 | ) | 0.25 | 0.12 | 9.91 | ||||||||||||||
Year Ended June 30, 2013 | 9.69 | (0.11 | )(f) | 0.21 | 0.10 | 9.79 | ||||||||||||||
Year Ended June 30, 2012 | 9.81 | (0.14 | ) | 0.02 | (0.12 | ) | 9.69 | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 9.31 | (0.14 | ) | 0.12 | (0.02 | ) | 9.29 | |||||||||||||
Year Ended June 30, 2015 | 9.40 | (0.15 | ) | 0.06 | (0.09 | ) | 9.31 | |||||||||||||
Year Ended June 30, 2014 | 9.33 | (0.17 | ) | 0.24 | 0.07 | 9.40 | ||||||||||||||
Year Ended June 30, 2013 | 9.30 | (0.17 | )(f) | 0.20 | 0.03 | 9.33 | ||||||||||||||
Year Ended June 30, 2012 | 9.48 | (0.20 | ) | 0.02 | (0.18 | ) | 9.30 | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 10.07 | (0.08 | ) | 0.14 | 0.06 | 10.13 | ||||||||||||||
Year Ended June 30, 2015 | 10.09 | (0.09 | ) | 0.07 | (0.02 | ) | 10.07 | |||||||||||||
Year Ended June 30, 2014 | 9.94 | (0.11 | ) | 0.26 | 0.15 | 10.09 | ||||||||||||||
Year Ended June 30, 2013 | 9.82 | (0.09 | )(f) | 0.21 | 0.12 | 9.94 | ||||||||||||||
Year Ended June 30, 2012 | 9.91 | (0.12 | ) | 0.03 | (0.09 | ) | 9.82 | |||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% or unless otherwise noted. |
| (d) | 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 1.27% and 1.69% for the year ended June 30, 2016, 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 the year ended June 30, 2012; for Class C are 1.77% and 2.20% for the year ended June 30, 2016, 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 the year ended June 30, 2012; for Select Class are 1.03% and 1.30% for the year ended June 30, 2016, 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 the year ended June 30, 2012, respectively. |
| (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) | 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.
| 64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (c)(d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (d) | Portfolio turnover rate (e) | Portfolio turnover rate (including short sales) (e) | ||||||||||||||||||||
| 0.30 | % | $ | 6,608 | 2.52 | % | (0.97 | )% | 2.94 | % | 111 | % | 258 | % | |||||||||||||
| (0.40 | ) | 6,273 | 2.68 | (1.14 | ) | 3.15 | 74 | 204 | ||||||||||||||||||
| 1.23 | 10,301 | 2.78 | (1.36 | ) | 3.20 | 106 | 227 | |||||||||||||||||||
| 1.03 | 14,101 | 3.04 | (1.13 | )(f) | 3.44 | 94 | 251 | |||||||||||||||||||
| (1.22 | ) | 19,759 | 2.86 | (1.42 | ) | 3.32 | 151 | 316 | ||||||||||||||||||
| (0.21 | ) | 6,147 | 3.02 | (1.47 | ) | 3.45 | 111 | 258 | ||||||||||||||||||
| (0.96 | ) | 6,760 | 3.18 | (1.62 | ) | 3.65 | 74 | 204 | ||||||||||||||||||
| 0.75 | 8,602 | 3.28 | (1.85 | ) | 3.70 | 106 | 227 | |||||||||||||||||||
| 0.32 | 11,181 | 3.69 | (1.81 | )(f) | 3.92 | 94 | 251 | |||||||||||||||||||
| (1.90 | ) | 15,677 | 3.61 | (2.17 | ) | 3.82 | 151 | 316 | ||||||||||||||||||
| 0.60 | 175,348 | 2.28 | (0.74 | ) | 2.55 | 111 | 258 | |||||||||||||||||||
| (0.20 | ) | 277,647 | 2.43 | (0.89 | ) | 2.84 | 74 | 204 | ||||||||||||||||||
| 1.51 | 431,890 | 2.52 | (1.07 | ) | 2.94 | 106 | 227 | |||||||||||||||||||
| 1.22 | 317,974 | 2.78 | (0.90 | )(f) | 3.18 | 94 | 251 | |||||||||||||||||||
| (0.91 | ) | 476,803 | 2.61 | (1.17 | ) | 3.07 | 151 | 316 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | 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 | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 29.84 | $ | 0.27 | $ | (0.99 | ) | $ | (0.72 | ) | $ | (0.17 | ) | $ | (0.29 | ) | $ | (0.46 | ) | |||||||||
Year Ended June 30, 2015 | 29.15 | 0.19 | 1.47 | 1.66 | (0.26 | ) | (0.71 | ) | (0.97 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 24.64 | 0.34 | 5.03 | 5.37 | (0.16 | ) | (0.70 | ) | (0.86 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 19.96 | 0.22 | 4.75 | 4.97 | (0.20 | ) | (0.09 | ) | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.07 | 0.25 | 0.84 | 1.09 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 29.72 | 0.14 | (0.99 | ) | (0.85 | ) | (0.06 | ) | (0.29 | ) | (0.35 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.08 | 0.04 | 1.47 | 1.51 | (0.16 | ) | (0.71 | ) | (0.87 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 24.61 | 0.20 | 5.02 | 5.22 | (0.05 | ) | (0.70 | ) | (0.75 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 19.91 | 0.11 | 4.74 | 4.85 | (0.06 | ) | (0.09 | ) | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.01 | 0.16 | 0.84 | 1.00 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 30.06 | 0.43 | (1.02 | ) | (0.59 | ) | (0.32 | ) | (0.29 | ) | (0.61 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.31 | 0.34 | 1.50 | 1.84 | (0.38 | ) | (0.71 | ) | (1.09 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 24.74 | 0.48 | 5.04 | 5.52 | (0.25 | ) | (0.70 | ) | (0.95 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 19.99 | 0.34 | 4.75 | 5.09 | (0.25 | ) | (0.09 | ) | (0.34 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.11 | 0.35 | 0.83 | 1.18 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 29.99 | 0.33 | (0.98 | ) | (0.65 | ) | (0.19 | ) | (0.29 | ) | (0.48 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.27 | 0.27 | 1.48 | 1.75 | (0.32 | ) | (0.71 | ) | (1.03 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 24.72 | 0.42 | 5.03 | 5.45 | (0.20 | ) | (0.70 | ) | (0.90 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 20.00 | 0.28 | 4.75 | 5.03 | (0.22 | ) | (0.09 | ) | (0.31 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.12 | 0.30 | 0.83 | 1.13 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
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| 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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 28.66 | (2.34 | )% | $ | 2,045,698 | 1.24 | % | 0.98 | % | 1.43 | % | 26 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 28.52 | (2.82 | ) | 728,800 | 1.74 | 0.49 | 1.85 | 26 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 28.86 | (1.87 | ) | 5,901,818 | 0.74 | 1.50 | 0.88 | 26 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 28.86 | (2.10 | ) | 1,414,635 | 0.99 | 1.16 | 1.05 | 26 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 67 | ||||||
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AS OF JUNE 30, 2016
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 (collectively, 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 |
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 Fund’s 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 Fund’s 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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
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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.
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 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 unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 5,916,380 | $ | — | $ | — | $ | 5,916,380 | ||||||||
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| Mid Cap Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 2,355,086 | $ | — | $ | — | $ | 2,355,086 | ||||||||
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| Mid Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 2,843,376 | $ | — | $ | — | $ | 2,843,376 | ||||||||
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| Mid Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 15,499,319 | $ | — | $ | — | $ | 15,499,319 | ||||||||
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| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 69 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| Multi-Cap Market Neutral Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 199,055 | $ | — | $ | — | $ | 199,055 | ||||||||
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Total Liabilities for Securities Sold Short (a) | $ | (175,044 | ) | $ | — | $ | — | $ | (175,044 | ) | ||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (30 | ) | $ | — | $ | — | $ | (30 | ) | ||||||
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| Value Advantage Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 10,140,149 | $ | — | $ | — | $ | 10,140,149 | ||||||||
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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, 2016.
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 Deposits at broker for securities sold short, while cash collateral deposited at the Fund’s custodian for the benefit of the broker is recorded as Restricted Cash 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, 2016, the Fund had outstanding short sales as listed on the SOI.
C. Futures Contracts — Multi-Cap Market Neutral Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to 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 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.
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The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade.
The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2016 (amounts in thousands):
| Multi-Cap Market Neutral Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Short | $ | 3,476 | ||
Ending Notional Balance Short | 1,821 | |||
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.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | Total | |||||||||||||||||||||||||
Growth Advantage Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 108 | $ | 43 | n/a | $ | 4 | $ | 20 | n/a | $ | 41 | $ | 216 | ||||||||||||||||||
Sub-transfer agency fees | 1,315 | 417 | n/a | 63 | — | n/a | 925 | 2,720 | ||||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 13 | 3 | $ | 1 | 1 | 9 | n/a | 25 | 52 | |||||||||||||||||||||||
Sub-transfer agency fees | 415 | 48 | 2 | 2 | — | n/a | 2,339 | 2,806 | ||||||||||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 347 | 16 | 6 | 5 | 29 | n/a | 35 | 438 | ||||||||||||||||||||||||
Sub-transfer agency fees | 970 | 109 | 43 | 184 | — | n/a | 1,393 | 2,699 | ||||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 159 | 27 | 9 | n/a | n/a | $ | 827 | 33 | 1,055 | |||||||||||||||||||||||
Sub-transfer agency fees | 3,547 | 390 | 156 | n/a | n/a | 7,934 | 2,344 | 14,371 | ||||||||||||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 4 | 1 | n/a | n/a | n/a | n/a | 3 | 8 | ||||||||||||||||||||||||
Sub-transfer agency fees | 8 | 10 | n/a | n/a | n/a | n/a | 18 | 36 | ||||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 108 | 52 | n/a | n/a | n/a | 78 | 34 | 272 | ||||||||||||||||||||||||
Sub-transfer agency fees | 3,716 | 648 | n/a | n/a | n/a | 1,958 | 752 | 7,074 | ||||||||||||||||||||||||
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 71 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
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, 2016, 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 in Excess of) Net Investment Income | Accumulated Net Realized Gains (Losses) | ||||||||||
Growth Advantage Fund | $ | (21,078 | ) | $ | 22,329 | $ | (1,251 | ) | ||||
Mid Cap Equity Fund | (1 | ) | 1,117 | (1,116 | ) | |||||||
Mid Cap Growth Fund | 186,073 | 14,831 | (200,904 | ) | ||||||||
Mid Cap Value Fund | — | (1,183 | ) | 1,183 | ||||||||
Multi-Cap Market Neutral | (18,155 | ) | 2,181 | 15,974 | ||||||||
Value Advantage Fund | — | (950 | ) | 950 | ||||||||
The reclassification for the Funds relate primarily to net operating losses, redesignation of distributions, investments in partnerships, investments in real estate investment trusts, adjustments to gain/loss due to redemptions in-kind, wash sale reversal disallowed and expiration of capital loss carryforward.
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 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* | 0.80 | |||
Value Advantage Fund | 0.65 |
| * | Prior to September 1, 2015, the investment advisory fee for Multi-Cap Market Neutral Fund was 1.25%. |
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 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, 2016, 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.
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The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, 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 C | Class R2 | ||||||||||
Growth Advantage Fund | 0.25 | % | 0.75 | % | n/a | |||||||
Mid Cap Equity Fund | 0.25 | 0.75 | 0.50 | % | ||||||||
Mid Cap Growth Fund | 0.25 | 0.75 | 0.50 | |||||||||
Mid Cap Value Fund | 0.25 | 0.75 | 0.50 | |||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.75 | n/a | |||||||||
Value Advantage Fund | 0.25 | 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 C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 1,292 | $ | 9 | ||||
Mid Cap Equity Fund | 372 | — | ||||||
Mid Cap Growth Fund | 205 | 2 | ||||||
Mid Cap Value Fund | 39 | — | (a) | |||||
Multi-Cap Market Neutral Fund | 1 | — | ||||||
Value Advantage Fund | 545 | 5 | ||||||
| (a) | Amount rounds to less than $500. |
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 charge a shareholder servicing fee. 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 C | Class R2 | Class R5 | Institutional Class | Select Class | |||||||||||||||||||
Growth Advantage Fund | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||
Mid Cap Equity Fund | 0.25 | 0.25 | 0.25 | % | 0.05 | n/a | 0.25 | |||||||||||||||||
Mid Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||
Mid Cap Value Fund | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | |||||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | ||||||||||||||||||
Value Advantage Fund | 0.25 | 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 performing 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
F. Waivers and Reimbursements — The Adviser, Administrator and/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||
Growth Advantage Fund | 1.25 | % | 1.75 | % | n/a | 0.90 | % | 0.85 | % | n/a | 1.10 | % | ||||||||||||||||
Mid Cap Equity Fund | 1.25 | 1.75 | 1.50 | % | 0.80 | 0.75 | n/a | 0.90 | ||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | 1.74 | 1.40 | 0.79 | 0.74 | n/a | 0.93 | |||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 1.50 | n/a | n/a | 0.75 | % | 0.99 | ||||||||||||||||||||
Multi-Cap Market Neutral Fund | 1.25 | * | 1.75 | * | n/a | n/a | n/a | n/a | 0.99 | * | ||||||||||||||||||
Value Advantage Fund | 1.25 | 1.75 | n/a | n/a | n/a | 0.75 | 1.00 | |||||||||||||||||||||
| * | Prior to September 1, 2015, the contractual expense limitation for Multi-Cap Market Neutral Fund was 1.50%, 2.00% and 1.25% for Class A, Class C and Select Class Shares, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least October 31, 2016.
For the year ended June 30, 2016, 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 | $ | — | $ | — | $ | 2,068 | $ | 2,068 | $ | 1 | ||||||||||
Mid Cap Equity Fund | 248 | 166 | 3,574 | 3,988 | 529 | |||||||||||||||
Mid Cap Growth Fund | 420 | 275 | 3,607 | 4,302 | 98 | |||||||||||||||
Mid Cap Value Fund | 6,459 | 4,307 | 13,122 | 23,888 | 1,397 | |||||||||||||||
Multi-Cap Market Neutral Fund | 427 | 201 | 20 | 648 | — | (a) | ||||||||||||||
Value Advantage Fund | 3,207 | 2,140 | 7,827 | 13,174 | 336 | |||||||||||||||
| (a) | Amount rounds to less than $500. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2016 was as follows (amounts in thousands):
Growth Advantage Fund | $ | 290 | ||
Mid Cap Equity Fund | 171 | |||
Mid Cap Growth Fund | 181 | |||
Mid Cap Value Fund | 779 | |||
Multi-Cap Market Neutral Fund | 46 | |||
Value Advantage Fund | 882 |
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, 2016, Mid Cap Equity Fund, Mid Cap Growth Fund, and Value Advantage Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
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The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):
Growth Advantage Fund | $ | 1 | ||
Mid Cap Equity Fund | 1 | |||
Mid Cap Growth Fund | 1 | |||
Mid Cap Value Fund | 4 | |||
Multi-Cap Market Neutral Fund | — | |||
Value Advantage Fund | 6 |
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, 2016, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Growth Advantage Fund | $ | 3,723,736 | $ | 2,627,585 | $ | — | $ | — | ||||||||
Mid Cap Equity Fund | 1,080,672 | 1,722,916 | — | — | ||||||||||||
Mid Cap Growth Fund | 2,283,074 | 1,590,427 | — | — | ||||||||||||
Mid Cap Value Fund | 2,951,413 | 3,478,583 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 246,302 | 301,225 | 276,056 | 324,536 | ||||||||||||
Value Advantage Fund | 2,970,727 | 2,685,629 | — | — | ||||||||||||
During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 4,729,668 | $ | 1,384,128 | $ | 197,416 | $ | 1,186,712 | ||||||||
Mid Cap Equity Fund | 1,858,089 | 581,116 | 84,119 | 496,997 | ||||||||||||
Mid Cap Growth Fund | 2,563,876 | 446,670 | 167,170 | 279,500 | ||||||||||||
Mid Cap Value Fund | 10,981,624 | 5,023,258 | 505,563 | 4,517,695 | ||||||||||||
Multi-Cap Market Neutral | 189,091 | 18,734 | 8,770 | 9,964 | ||||||||||||
Value Advantage Fund | 8,780,411 | 1,857,084 | 497,346 | 1,359,738 | ||||||||||||
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, 2016 was as follows (amounts in thousands):
| Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Growth Advantage Fund | $ | — | $ | 214,315 | $ | 214,315 | ||||||
Mid Cap Equity Fund | 27,480 | 130,086 | 157,566 | |||||||||
Mid Cap Growth Fund | 6,084 | 141,429 | 147,513 | |||||||||
Mid Cap Value Fund | 128,760 | 794,705 | 923,465 | |||||||||
Value Advantage Fund | 146,612 | 69,884 | 216,496 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
As of June 30, 2016, 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 | $ | — | $ | — | $ | — | $ | 1,186,712 | ||||||||
Mid Cap Equity Fund | 3,406 | 56,447 | — | 496,997 | ||||||||||||
Mid Cap Growth Fund | — | 717 | — | 279,500 | ||||||||||||
Mid Cap Value Fund | 59,424 | 835,601 | (14,734 | ) | 4,517,695 | |||||||||||
Multi-Cap Market Neutral Fund | — | — | (2,351 | ) | �� | 6,620 | ||||||||||
Value Advantage Fund | 73,745 | — | (49,224 | ) | 1,359,738 | |||||||||||
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, late year ordinary loss deferrals, loss deferrals on unsettled short sales 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.
At June 30, 2016, 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):
| 2018 | ||||
Mid Cap Value Fund | $ | 14,734 | * | |
| * | Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384. |
During the year ended June 30, 2016, the following Funds utilized net capital loss carryforwards as follows (amounts in thousands):
| Pre-Enactment Capital Loss Carryforwards Utilized | ||||
Mid Cap Value Fund | $ | 7,367 | ||
As of June 30, 2016, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
Multi-Cap Market Neutral Fund | $ | 2,351 | $ | — | ||||
Value Advantage Fund | 36,131 | 13,093 | ||||||
During the year ended June 30, 2016, the following Fund had expired capital loss carryforwards as follows (amounts in thousands):
Multi-Cap Market Neutral Fund | $ | 16,098 |
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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, 2016, 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 | Net Capital Losses | |||||||||||
| Short-Term | Long-Term | |||||||||||
Growth Advantage Fund | $ | 8,369 | $ | 172,276 | $ | (13,295 | ) | |||||
Mid Cap Growth Fund | 4,122 | 77,964 | (64,289 | ) | ||||||||
Mid Cap Value Fund | — | 4,171 | — | |||||||||
Multi-Cap Market Neutral Fund | 549 | — | — | |||||||||
Value Advantage Fund | — | 139,552 | (3,230 | ) | ||||||||
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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, or at any time during the year then ended.
7. Redemptions in-Kind
During the year ended June 30, 2016, certain Select Class shareholders sold their shares of Mid Cap Growth 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 the close of business on the date and at the market value listed below (amounts in thousands):
| November 6, 2015 | Value | Realized Gains (Losses) | Type | |||||||||
Select Class | $ | 602,118 | * | $ | 203,177 | Redemptions in-kind | ||||||
| * | This amount includes cash of approximately $25,788,000 associated with the redemption in-kind. |
8. 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.
As of June 30, 2016, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Growth Advantage Fund | n/a | 39.0 | % | |||||
Mid Cap Equity Fund | n/a | 50.7 | ||||||
Multi-Cap Market Neutral Fund | 88.4 | % | n/a | |||||
Value Advantage Fund | n/a | 22.1 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
As of June 30, 2016, the Funds had omnibus accounts which represented the percentage of each Fund’s net assets as follows:
| Number of Non-affiliated Omnibus Accounts | % of the Fund | |||||||
Mid Cap Equity Fund | 4 | 14.7 | % | |||||
Mid Cap Value Fund | 3 | 19.3 | ||||||
Value Advantage Fund | 4 | 16.3 | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
As of June 30, 2016, the Multi-Cap Market Neutral Fund pledged a significant portion 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.
9. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
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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, 2016, 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, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2016
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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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 152 | 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). | |||
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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) | ||||||
| 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 81 | ||||||
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(Unaudited)
| Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, INC (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| 82 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
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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, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 960.10 | $ | 6.09 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 958.40 | 8.52 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 962.10 | 4.44 | 0.91 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.34 | 4.57 | 0.91 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 962.80 | 3.71 | 0.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.82 | 0.76 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 960.90 | 5.31 | 1.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.44 | 5.47 | 1.09 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,015.10 | 6.21 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,012.80 | 8.71 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,014.20 | 7.46 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 83 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Equity Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.60 | $ | 3.96 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,017.80 | 3.71 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,017.10 | 4.51 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 964.60 | 6.01 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 962.60 | 8.44 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.26 | 8.67 | 1.73 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 963.60 | 6.79 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.97 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 966.70 | 3.81 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 967.20 | 3.57 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.23 | 3.67 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 966.10 | 4.50 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.29 | 4.62 | 0.92 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,062.70 | 6.31 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,060.20 | 8.91 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,061.60 | 7.64 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,065.40 | 3.80 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,063.90 | 5.03 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.99 | 4.92 | 0.98 | ||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 970.60 | 11.81 | 2.41 | ||||||||||||
Hypothetical | 1,000.00 | 1,012.88 | 12.06 | 2.41 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 967.70 | 14.19 | 2.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,010.44 | 14.50 | 2.90 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 972.20 | 10.30 | 2.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,014.42 | 10.52 | 2.10 | ||||||||||||
| 84 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
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| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.70 | $ | 6.31 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,028.20 | 8.82 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,033.40 | 3.79 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,031.90 | 5.05 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| JUNE 30, 2016 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 85 | ||||||
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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, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| 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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Growth Advantage Fund | $ | 214,315 | ||
Mid Cap Equity Fund | 130,086 | |||
Mid Cap Growth Fund | 141,429 | |||
Mid Cap Value Fund | 794,705 | |||
Value Advantage Fund | 69,884 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Mid Cap Equity Fund | $ | 27,480 | ||
Mid Cap Growth Fund | 6,084 | |||
Mid Cap Value Fund | 128,760 | |||
Value Advantage Fund | 146,612 | |||
| 86 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2016 | ||||
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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.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses 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., 2016. All rights reserved. June 2016. | AN-MC-616 |
Table of Contents
Annual Report
J.P. Morgan Large Cap Funds
June 30, 2016
JPMorgan Disciplined Equity Fund
JPMorgan Dynamic Growth Fund
JPMorgan Equity Focus Fund
JPMorgan Equity Income Fund
JPMorgan Growth and Income Fund
JPMorgan Hedged Equity Fund
JPMorgan Large Cap Growth Fund
JPMorgan Large Cap Value Fund
JPMorgan U.S. Equity Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| 13 | ||||
| 15 | ||||
| 17 | ||||
| 19 | ||||
| Schedules of Portfolio Investments | 21 | |||
| Financial Statements | 50 | |||
| Financial Highlights | 74 | |||
| Notes to Financial Statements | 92 | |||
| Report of Independent Registered Public Accounting Firm | 105 | |||
| Trustees | 106 | |||
| Officers | 108 | |||
| Schedule of Shareholder Expenses | 109 | |||
| 113 | ||||
| Privacy Policy — Located at back of this Annual Report | ||||
Investments in a Fund are not 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 a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
July 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
 |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the
end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Large Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.9% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a positive return for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices. For the twelve months ended June 30, 2016, the S&P 500 returned 3.99% and the Russell 1000 Index returned 2.93%.
| 2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | (3.94)% | |||
| S&P 500 Index | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 8,221,578 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Disciplined Equity Fund (the “Fund”) seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard & Poor’s 500 Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Institutional Class Shares underperformed the Benchmark for the twelve months ended June 30, 2016. The Fund’s security selection in the industrial cyclical sector and pharmaceutical/medical technology sector was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the energy and utilities sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Biogen Inc., Dish Network Corp. and Valeant Pharmaceuticals International Inc. Shares of Biogen, a drug maker, declined on investor concerns about both changes in management and the company’s weak pipeline of new drug candidates. Shares of Dish Network, a satellite television network operator not held in the Benchmark, fell on weakness in subscriptions and consumer trends toward online entertainment providers. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices.
Leading individual contributors to relative performance included the Fund’s underweight position in Walt Disney Co. and its overweight positions in Bristol-Myers Squibb Co. and Yum Brands Inc. Shares of Walt Disney, an entertainment and media company, declined amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Bristol-Myers, a drug maker, rose on revenue growth and strong demand for its cancer immunotherapy drug, Opdivo. Shares of Yum Brands, an owner and franchiser of fast food restaurants, rose after the company unveiled plans to spin off its China unit and raised its full-year 2016 earnings forecast.
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. | Microsoft Corp. | 3.1 | % | |||||
| 2. | Apple, Inc. | 2.8 | ||||||
| 3. | Alphabet, Inc., Class A | 2.6 | ||||||
| 4. | PepsiCo, Inc. | 2.0 | ||||||
| 5. | Facebook, Inc., Class A | 1.7 | ||||||
| 6. | Bristol-Myers Squibb Co. | 1.6 | ||||||
| 7. | Pfizer, Inc. | 1.6 | ||||||
| 8. | Amazon.com, Inc. | 1.5 | ||||||
| 9. | Lowe’s Cos., Inc. | 1.5 | ||||||
| 10. | AT&T, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 20.6 | % | ||
| Health Care | 15.0 | |||
| Financials | 14.7 | |||
| Consumer Discretionary | 12.5 | |||
| Consumer Staples | 9.6 | |||
| Industrials | 9.4 | |||
| Energy | 7.2 | |||
| Utilities | 3.5 | |||
| Materials | 3.0 | |||
| Telecommunication Services | 2.3 | |||
| Short-Term Investments | 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||
With Sales Charge* | (9.33 | )% | 9.81 | % | 6.56 | % | ||||||||
Without Sales Charge | (4.30 | ) | 11.00 | 7.14 | ||||||||||
CLASS R6 SHARES | March 24, 2003 | (3.83 | ) | 11.57 | 7.69 | |||||||||
INSTITUTIONAL CLASS SHARES | January 3, 1997 | (3.94 | ) | 11.45 | 7.58 | |||||||||
SELECT CLASS SHARES | September 10, 2001 | (4.08 | ) | 11.28 | 7.41 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual
fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (3.54)% | |||
| Russell 1000 Growth Index | 3.02% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 329,407 | ||
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’s Select Class Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight position in the health care sector and its security selection in the financial services sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the 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 Regeneron Pharmaceuticals Inc., Gilead Sciences Inc. and Charles Schwab Corp. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Charles Schwab, a financial services company, fell along with other financial sector companies on investor concerns about the impact of the U.K.’s “Brexit” vote.
Leading individual contributors to relative performance included the Fund’s overweight positions in Amazon.com Inc. and Facebook Inc. and its underweight position in Apple Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.
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. | Facebook, Inc., Class A | 6.6 | % | |||||
| 2. | Amazon.com, Inc. | 6.5 | ||||||
| 3. | Alphabet, Inc., Class A | 6.1 | ||||||
| 4. | MasterCard, Inc., Class A | 5.0 | ||||||
| 5. | Home Depot, Inc. (The) | 4.8 | ||||||
| 6. | Ulta Salon Cosmetics & Fragrance, Inc. | 4.0 | ||||||
| 7. | Gilead Sciences, Inc. | 3.8 | ||||||
| 8. | Broadcom Ltd., (Singapore) | 3.4 | ||||||
| 9. | Charles Schwab Corp. (The) | 3.3 | ||||||
| 10. | ARM Holdings plc, (United Kingdom), ADR | 3.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 33.9 | % | ||
| Consumer Discretionary | 25.9 | |||
| Health Care | 14.1 | |||
| Financials | 9.0 | |||
| Industrials | 7.1 | |||
| Materials | 3.0 | |||
| Energy | 2.2 | |||
| Consumer Staples | 1.2 | |||
| Short-Term Investment | 3.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Dynamic Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | November 30, 2007 | |||||||||||||
With Sales Charge* | (8.80 | )% | 8.67 | % | 5.36 | % | ||||||||
Without Sales Charge | (3.77 | ) | 9.86 | 6.02 | ||||||||||
CLASS C SHARES | November 30, 2007 | |||||||||||||
With CDSC** | (5.24 | ) | �� | 9.31 | 5.49 | |||||||||
Without CDSC | (4.24 | ) | 9.31 | 5.49 | ||||||||||
CLASS R5 SHARES | November 30, 2007 | (3.33 | ) | 10.36 | 6.50 | |||||||||
SELECT CLASS SHARES | November 30, 2007 | (3.54 | ) | 10.14 | 6.29 | |||||||||
| * | 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 6/30/16)
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, 2016. 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.
| 6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (1.37)% | |||
| S&P 500 Index | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 139,489 | ||
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, 2016. The Fund’s security selection in the health care sector and its security selection and overweight position in the financial services sector were leading detractors from performance relative to the Benchmark. 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 Gilead Sciences Inc., Regeneron Inc. and Kohl’s Corp. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth.
Leading individual contributors to relative performance included the Fund’s overweight positions in Amazon.com Inc., Facebook Inc. and Alphabet Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Facebook, a provider of social media, rose on continued growth in advertising revenue. Shares of Alphabet, parent company of Google, rose on continued strength in advertising and earnings.
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. | Amazon.com, Inc. | 5.8 | % | |||||
| 2. | Facebook, Inc., Class A | 5.7 | ||||||
| 3. | MasterCard, Inc., Class A | 4.8 | ||||||
| 4. | Alphabet, Inc., Class C | 4.7 | ||||||
| 5. | Loews Corp. | 4.6 | ||||||
| 6. | American International Group, Inc. | 4.6 | ||||||
| 7. | Gilead Sciences, Inc. | 3.8 | ||||||
| 8. | Wells Fargo & Co. | 3.7 | ||||||
| 9. | Capital One Financial Corp. | 3.7 | ||||||
| 10. | Priceline Group, Inc. (The) | 3.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 22.0 | % | ||
Financials | 22.0 | |||
Consumer Discretionary | 21.8 | |||
Health Care | 14.0 | |||
Energy | 5.6 | |||
Industrials | 5.4 | |||
Materials | 4.4 | |||
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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | July 29, 2011 | |||||||||||||
With Sales Charge* | (6.76 | )% | 7.42 | % | 9.83 | % | ||||||||
Without Sales Charge | (1.60 | ) | 9.36 | 11.03 | ||||||||||
CLASS C SHARES | July 29, 2011 | |||||||||||||
With CDSC** | (3.10 | ) | 8.83 | 10.48 | ||||||||||
Without CDSC | (2.10 | ) | 8.83 | 10.48 | ||||||||||
SELECT CLASS SHARES | July 29, 2011 | (1.37 | ) | 9.64 | 11.31 | |||||||||
| * | 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. |
LIFE OF FUND PERFORMANCE (7/29/11 TO 06/30/16)
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 Multi-Cap Growth Funds Index from July 29, 2011 to June 30, 2016. 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 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 S&P 500 Index is an unmanaged index
generally representative of the performance of large companies in the U.S. stock market. The Lipper Multi-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 31, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 4.75% | |||
| Russell 1000 Value Index | 2.86% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 12,066,321 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Income Fund (the “Fund”) seeks capital appreciation and current income.
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, 2016. The Fund’s security selection and overweight position in the consumer staples sector and its security selection in the financials sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the information technology sector and its overweight position in the consumer discretionary sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight position in Altria Group Inc., Airgas Inc. and Home Depot Inc. Shares of Altria, a tobacco company, rose on continued growth in electronic cigarette sales. Shares of Airgas, a provider of industrial gases, rose on news of a takeover offer by Air Liquide SA. Shares of Home Depot, a home improvement retailer, rose on continued revenue growth.
Leading individual detractors from relative performance included the Fund’s overweight position in Apple Inc. and Tiffany & Co. and its underweight position in General Electric Co. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Tiffany, a luxury jeweler, fell after reporting a sharp drop in sales. Shares of General Electric, an industrial manufacturer not held by the Fund, rose on overall strength in the industrials sector stocks.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at attractive valuations have the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with
above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.7 | % | |||||
| 2. | Exxon Mobil Corp. | 2.9 | ||||||
| 3. | Johnson & Johnson | 2.7 | ||||||
| 4. | Altria Group, Inc. | 2.3 | ||||||
| 5. | Pfizer, Inc. | 2.1 | ||||||
| 6. | Occidental Petroleum Corp. | 2.1 | ||||||
| 7. | Chevron Corp. | 2.0 | ||||||
| 8. | Travelers Cos., Inc. (The) | 2.0 | ||||||
| 9. | BlackRock, Inc. | 1.9 | ||||||
| 10. | Merck & Co., Inc. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 27.4 | % | ||
Health Care | 12.0 | |||
Consumer Staples | 9.4 | |||
Energy | 9.4 | |||
Information Technology | 9.3 | |||
Industrials | 9.1 | |||
Consumer Discretionary | 8.4 | |||
Utilities | 5.5 | |||
Materials | 3.4 | |||
Telecommunication Services | 1.7 | |||
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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | (1.01 | )% | 10.44 | % | 7.15 | % | ||||||||
Without Sales Charge | 4.45 | 11.64 | 7.73 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 3.01 | 11.09 | 7.18 | |||||||||||
Without CDSC | 4.01 | 11.09 | 7.18 | |||||||||||
CLASS R2 SHARES | February 28, 2011 | 4.20 | 11.37 | 7.53 | ||||||||||
CLASS R5 SHARES | February 28, 2011 | 4.96 | 12.15 | 8.14 | ||||||||||
CLASS R6 SHARES | January 31, 2012 | 4.98 | 12.19 | 8.16 | ||||||||||
SELECT CLASS SHARES | July 2, 1987 | 4.75 | 11.92 | 8.03 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| 10 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 1.04% | |||
| Russell 1000 Value Index | 2.86% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 487,820 | ||
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, underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financials sector and its underweight position in the utilities sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the consumer staples and materials sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Apple Inc. and Invesco Ltd. and its underweight position in AT&T Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Invesco, an investment management company, fell on investor concerns about the impact of the U.K.’s “Brexit” vote. Shares of AT&T, a telecommunications provider not held by the Fund, rose amid investor demand for stocks with relatively high dividends and on news of and end to a strike by the Communications Workers of America.
Leading individual contributors to relative performance included the Fund’s overweight positions in Molson Coors Brewing Co., Verizon Communications Inc. and Altria Group Inc. Shares of Molson Coors, a brewing company, rose on investor expectations that it would acquire control of valuable joint venture MillerCoors following the proposed acquisition of SABMiller by Anheuser Bush InBev. Shares of Verizon, a telecommunications provider, rose after earnings were hurt less than expected by a union strike. Shares of Altria, a tobacco company, rose on continued growth in electronic cigarette sales.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable franchises, strong management and the ability to grow their intrinsic
value per share. The portfolio managers employed a bottom-up approach to security selection and fundamental research. During the reporting period, the Fund’s largest overweight position relative to the Benchmark was in the consumer discretionary sector, while its largest underweight position was in the energy sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 2.8 | % | |||||
| 2. | Exxon Mobil Corp. | 2.7 | ||||||
| 3. | Bank of America Corp. | 2.7 | ||||||
| 4. | Wells Fargo & Co. | 2.5 | ||||||
| 5. | Chevron Corp. | 2.5 | ||||||
| 6. | Occidental Petroleum Corp. | 2.1 | ||||||
| 7. | General Electric Co. | 2.1 | ||||||
| 8. | Berkshire Hathaway, Inc., Class B | 2.1 | ||||||
| 9. | Apple, Inc. | 2.1 | ||||||
| 10. | Bristol-Myers Squibb Co. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 28.9 | % | ||
| Health Care | 12.8 | |||
| Information Technology | 11.8 | |||
| Energy | 10.7 | |||
| Industrials | 9.6 | |||
| Consumer Discretionary | 8.9 | |||
Consumer Staples | 6.7 | |||
| Utilities | 5.5 | |||
| Telecommunication Services | 2.6 | |||
| Materials | 0.9 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 23, 1987 | |||||||||||||
With Sales Charge* | (4.26 | )% | 10.56 | % | 5.80 | % | ||||||||
Without Sales Charge | 1.04 | 11.76 | 6.38 | |||||||||||
CLASS C SHARES | January 2, 1998 | |||||||||||||
With CDSC** | (0.46 | ) | 11.20 | 5.84 | ||||||||||
Without CDSC | 0.54 | 11.20 | 5.84 | |||||||||||
CLASS R2 SHARES | November 2, 2015 | 0.86 | 11.72 | 6.36 | ||||||||||
CLASS R5 SHARES | November 2, 2015 | 1.41 | 12.07 | 6.68 | ||||||||||
CLASS R6 SHARES | November 2, 2015 | 1.46 | 12.08 | 6.69 | ||||||||||
SELECT CLASS SHARES | January 25, 1996 | 1.28 | 12.04 | 6.67 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 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 than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.
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 and the Lipper Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. 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 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 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 Core Funds Index is an index 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.
| 12 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 0.01% | |||
| S&P 500 Index | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 240,203 | ||
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’s Select Class Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016.
The Fund’s options hedge allowed the Fund to generally perform as designed, delivering returns with less volatility than the Benchmark during the reporting period. The Fund provided a downside buffer throughout the particularly volatile market environment, exhibiting markedly less volatility than the Benchmark while capturing 57% of the market rebound from its trough in the first quarter of 2016.
The Fund’s security selection in the pharmaceutical/medical technology and industrial cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and utilities sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., Time Warner Inc. and 21st Century Fox Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of Time Warner and 21st Century Fox, both media and entertainment companies, fell on lower-than-expected advertising revenue amid a consumer trend away from cable TV and toward online entertainment providers.
Leading individual contributors to relative performance included the Fund’s underweight positions in Walt Disney Co. and its overweight positions in Accenture PLC and Chubb Ltd. Shares of Walt Disney, an entertainment and media company, declined amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Accenture, a technology consulting and outsourcing company, rose after the company reported revenue growth and increased demand. Shares of Chubb, a property insurer, rose after the company reported better than expected quarterly results and increased its quarterly dividend.
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. | 2.9 | % | |||||
| 2. | Microsoft Corp. | 2.9 | ||||||
| 3. | Wells Fargo & Co. | 1.8 | ||||||
| 4. | Facebook, Inc., Class A | 1.7 | ||||||
| 5. | Exxon Mobil Corp. | 1.7 | ||||||
| 6. | Amazon.com, Inc. | 1.6 | ||||||
| 7. | Pfizer, Inc. | 1.6 | ||||||
| 8. | PepsiCo, Inc. | 1.5 | ||||||
| 9. | Bristol-Myers Squibb Co. | 1.4 | ||||||
| 10. | Berkshire Hathaway, Inc., Class B | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 19.7 | % | ||
Financials | 15.2 | |||
Health Care | 15.1 | |||
Consumer Discretionary | 13.2 | |||
Consumer Staples | 9.7 | |||
Industrials | 9.6 | |||
Energy | 7.3 | |||
Utilities | 3.5 | |||
Materials | 2.8 | |||
Telecommunication Services | 1.9 | |||
Put Option | 1.5 | |||
Short-Term Investments | 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. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||
CLASS A SHARES | December 13, 2013 | |||||||||
With Sales Charge* | (5.47 | )% | 2.20 | % | ||||||
Without Sales Charge | (0.25 | ) | 4.39 | |||||||
CLASS C SHARES | December 13, 2013 | |||||||||
With CDSC** | (1.76 | ) | 3.85 | |||||||
Without CDSC | (0.76 | ) | 3.85 | |||||||
CLASS R5 SHARES | December 13, 2013 | 0.19 | 4.85 | |||||||
CLASS R6 SHARES | December 13, 2013 | 0.25 | 4.90 | |||||||
SELECT CLASS SHARES | December 13, 2013 | 0.01 | 4.64 | |||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (12/13/13 TO 06/30/16)
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, 2016. 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. The Lipper Alternative Long/Short Equity Funds Average is an average based on the total returns of all mutual funds within the funds designated category as determined by Lipper, Inc.
Select Class Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through May 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (6.29)% | |||
| Russell 1000 Growth Index | 3.02% | |||
| Net Assets as of 6/30/2016 (In Thousands | $ | 13,704,136 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Select Class Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight position in the health care sector and its security selection and underweight position in the consumer staples sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the 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 Valeant Pharmaceuticals International Ltd., Regeneron Inc. and Vertex Pharmaceuticals Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Vertex Pharmaceuticals, a drug maker, fell after the company posted lower than expected earnings and revenue.
Leading individual contributors to relative performance included the Fund’s overweight positions in Facebook Inc. and Amazon.com Inc. and its underweight position in Apple Inc. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong
fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Alphabet, Inc., Class C | 5.8 | % | |||||
| 2. | Amazon.com, Inc. | 5.0 | ||||||
| 3. | Home Depot, Inc. (The) | 5.0 | ||||||
| 4. | Facebook, Inc., Class A | 4.8 | ||||||
| 5. | Visa, Inc., Class A | 3.8 | ||||||
| 6. | Comcast Corp., Class A | 3.2 | ||||||
| 7. | MasterCard, Inc., Class A | 3.1 | ||||||
| 8. | Apple, Inc. | 2.3 | ||||||
| 9. | Honeywell International, Inc. | 2.3 | ||||||
| 10. | Reynolds American, Inc. | 2.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 38.0 | % | ||
| Consumer Discretionary | 21.6 | |||
| Health Care | 14.3 | |||
| Consumer Staples | 8.2 | |||
| Industrials | 7.6 | |||
| Materials | 5.7 | |||
| Financials | 2.4 | |||
| Energy | 0.4 | |||
| Short-Term Investment | 1.8 | |||
| * | 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 22, 1994 | |||||||||||||
With Sales Charge* | (11.36 | )% | 8.30 | % | 7.62 | % | ||||||||
Without Sales Charge | (6.45 | ) | 9.48 | 8.21 | ||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | (7.90 | ) | 8.94 | 7.65 | ||||||||||
Without CDSC | (6.90 | ) | 8.94 | 7.65 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (6.69 | ) | 9.21 | 7.94 | |||||||||
CLASS R5 SHARES | April 14, 2009 | (6.10 | ) | 9.89 | 8.58 | |||||||||
CLASS R6 SHARES | November 30, 2010 | (6.00 | ) | 9.97 | 8.62 | |||||||||
SELECT CLASS SHARES | February 28, 1992 | (6.29 | ) | 9.67 | 8.43 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 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, 2006 to June 30, 2016. 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.
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 LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (2.34)% | |||
| Russell 1000 Value Index | 2.86% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 709,946 | ||
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’s Select Class Shares underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight positions in both the automotive and transportation sector and the banks and brokerages sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection and underweight position in the energy sector and its security selection in the utilities sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in MetLife Inc. and Harman International Industries Inc. and its underweight position in Toll Brothers Inc. Shares of MetLife, a life insurer, fell as continued low interest rates hurt its ability to earn a return on invested assets. Shares of Harman International, an automotive technology maker, fell after reporting lower than expected quarterly earnings and revenue. Shares of Toll Brothers, a home builder, rose on better than expected revenue on growth in U.S. home sales.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Chubb Ltd. and Aetna Inc. and its underweight position in Kinder Morgan Inc. Shares of Chubb, a property insurer, rose after the company reported better than expected earnings and increased its quarterly dividend. Shares of Aetna, a health insurer, rose on news of a potential merger with Humana Inc. Shares of Kinder Morgan, an owner/operator of natural gas pipelines and terminals, declined amid continued weakness in energy prices.
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. | Citigroup, Inc. | 4.2 | % | |||||
| 2. | Pfizer, Inc. | 4.0 | ||||||
| 3. | Wells Fargo & Co. | 3.8 | ||||||
| 4. | Aetna, Inc. | 3.6 | ||||||
| 5. | General Motors Co. | 3.3 | ||||||
| 6. | Carnival Corp. | 3.2 | ||||||
| 7. | Delphi Automotive plc, (United Kingdom) | 2.6 | ||||||
| 8. | Royal Caribbean Cruises Ltd. | 2.5 | ||||||
| 9. | Bank of America Corp. | 2.4 | ||||||
| 10. | Chevron Corp. | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 26.3 | % | ||
Consumer Discretionary | 22.0 | |||
Health Care | 13.8 | |||
Energy | 9.4 | |||
Information Technology | 8.9 | |||
Industrials | 4.8 | |||
Consumer Staples | 2.9 | |||
Materials | 2.4 | |||
Telecommunication Services | 2.0 | |||
Utilities | 1.0 | |||
Short-Term Investment | 6.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||||
With Sales Charge* | (7.62 | )% | 9.06 | % | 5.04 | % | ||||||||||
Without Sales Charge | (2.51 | ) | 10.23 | 5.61 | ||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||
With CDSC** | (3.98 | ) | 9.69 | 5.07 | ||||||||||||
Without CDSC | (2.98 | ) | 9.69 | 5.07 | ||||||||||||
CLASS R2 SHARES | November 3, 2008 | (2.78 | ) | 9.96 | 5.32 | |||||||||||
CLASS R5 SHARES | May 15, 2006 | (2.15 | ) | 10.65 | 6.03 | |||||||||||
CLASS R6 SHARES | November 30, 2010 | (2.06 | ) | 10.69 | 6.05 | |||||||||||
SELECT CLASS SHARES | March 1, 1991 | (2.34 | ) | 10.42 | 5.80 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 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.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 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 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, 2006 to June 30, 2016. 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.
| 18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | (0.83)% | |||
| S&P 500 Index | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 12,382,487 | ||
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’s Institutional Class Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the pharmaceutical and medical technology sector and its security selection and overweight position in the banks and brokers sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the semiconductors and hardware sector and the software and services sector was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc. and 21st Century Fox Inc., and its underweight position in Johnson & Johnson. Shares of Valeant Pharmaceuticals, a drug maker, fell amid continuing investor concerns about its revenue accounting practices. Shares of 21st Century Fox, a media and entertainment company, fell amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Johnson & Johnson, a maker of consumer health products, rose on analysts’ expectations for continued revenue growth and profit margin expansion.
Leading individual contributors to relative performance included the Fund’s overweight positions in Broadcom Ltd., Chubb Ltd. and Lowe’s Cos. Shares of Broadcom, a semiconductor manufacturer, rose on better than expected earnings growth. Shares of Chubb, a property insurer, rose after the company reported better than expected quarterly results and increased its quarterly dividend. Shares of Lowe’s, a home improvement retail chain, rose on better than expected sales and an increase in the company’s quarterly dividend.
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’s largest average overweight positions relative to the Benchmark for the twelve months ended June 30, 2016 were in the insurance and media sectors, while the Fund’s largest underweight positions were in the consumer staples and real estate investment trust sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 3.1 | % | |||||
| 2. | Wells Fargo & Co. | 2.5 | ||||||
| 3. | Lowe’s Cos., Inc. | 2.2 | ||||||
| 4. | Apple, Inc. | 2.1 | ||||||
| 5. | Amazon.com, Inc. | 2.0 | ||||||
| 6. | Broadcom Ltd., (Singapore) | 2.0 | ||||||
| 7. | Chubb Ltd., (Switzerland) | 2.0 | ||||||
| 8. | Alphabet, Inc., Class C | 1.9 | ||||||
| 9. | Pfizer, Inc. | 1.9 | ||||||
| 10. | UnitedHealth Group, Inc. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 20.8 | % | ||
Consumer Discretionary | 15.8 | |||
Financials | 15.5 | |||
Health Care | 15.2 | |||
Industrials | 9.6 | |||
Energy | 7.3 | |||
Consumer Staples | 7.0 | |||
Materials | 3.0 | |||
Utilities | 2.7 | |||
Telecommunication Services | 2.0 | |||
Short-Term Investment | 1.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 10, 2001 | |||||||||||||
With Sales Charge* | (6.36 | )% | 10.05 | % | 7.56 | % | ||||||||
Without Sales Charge | (1.15 | ) | 11.24 | 8.15 | ||||||||||
CLASS C SHARES | September 10, 2001 | |||||||||||||
With CDSC** | (2.66 | ) | 10.69 | 7.60 | ||||||||||
Without CDSC | (1.66 | ) | 10.69 | 7.60 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (1.47 | ) | 10.95 | 7.94 | |||||||||
CLASS R5 SHARES | May 15, 2006 | (0.84 | ) | 11.64 | 8.59 | |||||||||
CLASS R6 SHARES | November 30, 2010 | (0.78 | ) | 11.73 | 8.63 | |||||||||
INSTITUTIONAL CLASS SHARES | September 17, 1993 | (0.83 | ) | 11.62 | 8.54 | |||||||||
SELECT CLASS SHARES | September 10, 2001 | (1.00 | ) | 11.45 | 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 (6/30/06 TO 6/30/16)
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 R6 Shares prior to their inception date are based on the performance of Class R5 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 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, 2006 to June 30, 2016. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% |
| ||||||
Consumer Discretionary — 12.6% |
| |||||||
Auto Components — 0.2% |
| |||||||
| 98 | Delphi Automotive plc, (United Kingdom) | 6,122 | ||||||
| 64 | Johnson Controls, Inc. | 2,815 | ||||||
| 106 | Magna International, Inc., (Canada) | 3,704 | ||||||
|
| |||||||
| 12,641 | ||||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
| 1,213 | Ford Motor Co. | 15,249 | ||||||
| 964 | General Motors Co. | 27,275 | ||||||
|
| |||||||
| 42,524 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 191 | Carnival Corp. | 8,424 | ||||||
| 675 | Royal Caribbean Cruises Ltd. | 45,293 | ||||||
| 812 | Starbucks Corp. | 46,376 | ||||||
| 534 | Yum! Brands, Inc. | 44,254 | ||||||
|
| |||||||
| 144,347 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
| 261 | D.R. Horton, Inc. | 8,219 | ||||||
| 189 | Harman International Industries, Inc. | 13,567 | ||||||
| 198 | PulteGroup, Inc. | 3,865 | ||||||
| 60 | Toll Brothers, Inc. (a) | 1,620 | ||||||
|
| |||||||
| 27,271 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 178 | Amazon.com, Inc. (a) | 127,166 | ||||||
|
| |||||||
Media — 3.8% |
| |||||||
| 178 | Charter Communications, Inc., Class A (a) | 40,721 | ||||||
| 870 | Comcast Corp., Class A | 56,728 | ||||||
| 706 | DISH Network Corp., Class A (a) | 37,010 | ||||||
| 3,924 | Sirius XM Holdings, Inc. (a) | 15,500 | ||||||
| 1,027 | Time Warner, Inc. | 75,518 | ||||||
| 3,345 | Twenty-First Century Fox, Inc., Class A | 90,493 | ||||||
|
| |||||||
| 315,970 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
| 361 | Dollar General Corp. | 33,896 | ||||||
| 111 | Target Corp. | 7,750 | ||||||
|
| |||||||
| 41,646 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
| 1,104 | Best Buy Co., Inc. | 33,779 | ||||||
| 439 | Home Depot, Inc. (The) | 56,018 | ||||||
| 1,545 | Lowe’s Cos., Inc. | 122,326 | ||||||
| 175 | O’Reilly Automotive, Inc. (a) | 47,497 | ||||||
| 609 | TJX Cos., Inc. (The) | 47,056 | ||||||
|
| |||||||
| 306,676 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
| 236 | V.F. Corp. | 14,487 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,032,728 | |||||||
|
| |||||||
Consumer Staples — 9.7% |
| |||||||
Beverages — 4.2% |
| |||||||
| 736 | Coca-Cola Co. (The) | 33,372 | ||||||
| 388 | Constellation Brands, Inc., Class A | 64,175 | ||||||
| 855 | Molson Coors Brewing Co., Class B | 86,436 | ||||||
| 1,531 | PepsiCo, Inc. | 162,141 | ||||||
|
| |||||||
| 346,124 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
| 296 | Costco Wholesale Corp. | 46,453 | ||||||
| 1,623 | Kroger Co. (The) | 59,725 | ||||||
| 316 | Walgreens Boots Alliance, Inc. | 26,288 | ||||||
|
| |||||||
| 132,466 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 168 | Hershey Co. (The) | 19,066 | ||||||
| 1,391 | Mondelez International, Inc., Class A | 63,309 | ||||||
|
| |||||||
| 82,375 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
| 604 | Kimberly-Clark Corp. | 83,066 | ||||||
| 728 | Procter & Gamble Co. (The) | 61,614 | ||||||
|
| |||||||
| 144,680 | ||||||||
|
| |||||||
Tobacco — 1.1% |
| |||||||
| 323 | Altria Group, Inc. | 22,260 | ||||||
| 693 | Philip Morris International, Inc. | 70,482 | ||||||
|
| |||||||
| 92,742 | ||||||||
|
| |||||||
Total Consumer Staples | 798,387 | |||||||
|
| |||||||
Energy — 7.3% |
| |||||||
Energy Equipment & Services — 0.5% |
| |||||||
| 512 | Halliburton Co. | 23,197 | ||||||
| 263 | Schlumberger Ltd. | 20,814 | ||||||
|
| |||||||
| 44,011 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.8% |
| |||||||
| 516 | Cabot Oil & Gas Corp. | 13,287 | ||||||
| 949 | Chevron Corp. | 99,442 | ||||||
| 67 | Concho Resources, Inc. (a) | 8,003 | ||||||
| 320 | ConocoPhillips | 13,952 | ||||||
| 366 | Diamondback Energy, Inc. | 33,401 | ||||||
| 518 | EOG Resources, Inc. | 43,228 | ||||||
| 529 | EQT Corp. | 40,976 | ||||||
| 1,176 | Exxon Mobil Corp. | 110,201 | ||||||
| 173 | Kinder Morgan, Inc. | 3,237 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 211 | Marathon Petroleum Corp. | 7,994 | ||||||
| 977 | Occidental Petroleum Corp. | 73,837 | ||||||
| 352 | Pioneer Natural Resources Co. | 53,211 | ||||||
| 430 | Plains GP Holdings LP, Class A | 4,486 | ||||||
| 40 | Tesoro Corp. | 2,959 | ||||||
| 330 | TransCanada Corp., (Canada) | 14,927 | ||||||
| 635 | Valero Energy Corp. | 32,406 | ||||||
|
| |||||||
| 555,547 | ||||||||
|
| |||||||
Total Energy | 599,558 | |||||||
|
| |||||||
Financials — 14.8% |
| |||||||
Banks — 4.4% |
| |||||||
| 6,783 | Bank of America Corp. | 90,009 | ||||||
| 2,342 | Citigroup, Inc. | 99,282 | ||||||
| 1,124 | Citizens Financial Group, Inc. | 22,459 | ||||||
| 1,371 | KeyCorp | 15,148 | ||||||
| 392 | Regions Financial Corp. | 3,332 | ||||||
| 2,341 | Wells Fargo & Co. | 110,800 | ||||||
| 934 | Zions Bancorporation | 23,469 | ||||||
|
| |||||||
| 364,499 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 51 | Ameriprise Financial, Inc. | 4,618 | ||||||
| 487 | Bank of New York Mellon Corp. (The) | 18,936 | ||||||
| 135 | BlackRock, Inc. | 46,070 | ||||||
| 1,439 | Charles Schwab Corp. (The) | 36,429 | ||||||
| 186 | Goldman Sachs Group, Inc. (The) | 27,606 | ||||||
| 509 | Invesco Ltd. | 12,987 | ||||||
| 2,492 | Morgan Stanley | 64,732 | ||||||
| 241 | State Street Corp. | 13,016 | ||||||
| 381 | TD Ameritrade Holding Corp. | 10,849 | ||||||
|
| |||||||
| 235,243 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
| 443 | Ally Financial, Inc. (a) | 7,563 | ||||||
| 27 | American Express Co. | 1,634 | ||||||
| 393 | Capital One Financial Corp. | 24,985 | ||||||
| 355 | Discover Financial Services | 19,014 | ||||||
| 798 | Synchrony Financial (a) | 20,166 | ||||||
|
| |||||||
| 73,362 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
| 650 | Berkshire Hathaway, Inc., Class B (a) | 94,056 | ||||||
| 137 | Intercontinental Exchange, Inc. | 35,041 | ||||||
| 15 | S&P Global, Inc. | 1,620 | ||||||
| 496 | Voya Financial, Inc. | 12,273 | ||||||
|
| |||||||
| 142,990 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 2.4% |
| |||||||
| 540 | American International Group, Inc. | 28,539 | ||||||
| 804 | Arthur J. Gallagher & Co. | 38,275 | ||||||
| 380 | Chubb Ltd., (Switzerland) | 49,696 | ||||||
| 52 | Everest Re Group Ltd., (Bermuda) | 9,481 | ||||||
| 1,720 | MetLife, Inc. | 68,496 | ||||||
| 48 | Prudential Financial, Inc. | 3,431 | ||||||
| 96 | XL Group plc, (Ireland) | 3,208 | ||||||
|
| |||||||
| 201,126 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
| 35 | American Tower Corp. | 4,022 | ||||||
| 37 | Apartment Investment & Management Co., Class A | 1,630 | ||||||
| 370 | AvalonBay Communities, Inc. | 66,744 | ||||||
| 32 | Boston Properties, Inc. | 4,168 | ||||||
| 237 | DiamondRock Hospitality Co. | 2,137 | ||||||
| 42 | Equinix, Inc. | 16,285 | ||||||
| 18 | Essex Property Trust, Inc. | 4,060 | ||||||
| 92 | HCP, Inc. | 3,259 | ||||||
| 728 | Kimco Realty Corp. | 22,857 | ||||||
| 41 | Liberty Property Trust | 1,632 | ||||||
| 19 | Macerich Co. (The) | 1,631 | ||||||
| 158 | Prologis, Inc. | 7,758 | ||||||
| 16 | Public Storage | 4,038 | ||||||
| 165 | Simon Property Group, Inc. | 35,723 | ||||||
| 97 | SL Green Realty Corp. | 10,338 | ||||||
| 522 | STORE Capital Corp. | 15,364 | ||||||
|
| |||||||
| 201,646 | ||||||||
|
| |||||||
Total Financials | 1,218,866 | |||||||
|
| |||||||
Health Care — 15.2% |
| |||||||
Biotechnology — 3.2% |
| |||||||
| 153 | Alexion Pharmaceuticals, Inc. (a) | 17,818 | ||||||
| 218 | Biogen, Inc. (a) | 52,813 | ||||||
| 743 | Celgene Corp. (a) | 73,243 | ||||||
| 1,154 | Gilead Sciences, Inc. | 96,283 | ||||||
| 228 | Vertex Pharmaceuticals, Inc. (a) | 19,570 | ||||||
|
| |||||||
| 259,727 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
| 1,250 | Abbott Laboratories | 49,145 | ||||||
| 1,998 | Boston Scientific Corp. (a) | 46,686 | ||||||
| 135 | Stryker Corp. | 16,213 | ||||||
|
| |||||||
| 112,044 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
| 638 | Aetna, Inc. | 77,907 | ||||||
| 114 | Anthem, Inc. | 15,012 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Providers & Services — continued |
| |||||||
| 145 | Cigna Corp. | 18,558 | ||||||
| 176 | Humana, Inc. | 31,677 | ||||||
| 374 | McKesson Corp. | 69,826 | ||||||
| 526 | UnitedHealth Group, Inc. | 74,243 | ||||||
|
| |||||||
| 287,223 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
| 109 | Agilent Technologies, Inc. | 4,822 | ||||||
| 121 | Illumina, Inc. (a) | 16,944 | ||||||
| 158 | Thermo Fisher Scientific, Inc. | 23,287 | ||||||
|
| |||||||
| 45,053 | ||||||||
|
| |||||||
Pharmaceuticals — 6.6% |
| |||||||
| 131 | AbbVie, Inc. | 8,098 | ||||||
| 237 | Allergan plc (a) | 54,699 | ||||||
| 1,775 | Bristol-Myers Squibb Co. | 130,544 | ||||||
| 1,239 | Eli Lilly & Co. | 97,587 | ||||||
| 709 | Johnson & Johnson | 86,026 | ||||||
| 513 | Merck & Co., Inc. | 29,560 | ||||||
| 162 | Mylan N.V. (a) | 6,987 | ||||||
| 3,665 | Pfizer, Inc. | 129,034 | ||||||
|
| |||||||
| 542,535 | ||||||||
|
| |||||||
Total Health Care | 1,246,582 | |||||||
|
| |||||||
Industrials — 9.5% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 189 | General Dynamics Corp. | 26,344 | ||||||
| 987 | Honeywell International, Inc. | 114,773 | ||||||
| 163 | L-3 Communications Holdings, Inc. | 23,940 | ||||||
| 100 | Northrop Grumman Corp. | 22,206 | ||||||
| 164 | Textron, Inc. | 5,977 | ||||||
| 581 | United Technologies Corp. | 59,551 | ||||||
|
| |||||||
| 252,791 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% (g) |
| |||||||
| 37 | United Parcel Service, Inc., Class B | 3,975 | ||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 895 | Delta Air Lines, Inc. | 32,612 | ||||||
| 650 | United Continental Holdings, Inc. (a) | 26,676 | ||||||
|
| |||||||
| 59,288 | ||||||||
|
| |||||||
Building Products — 0.7% |
| |||||||
| 448 | Allegion plc, (Ireland) | 31,084 | ||||||
| 59 | Lennox International, Inc. | 8,342 | ||||||
| 464 | Masco Corp. | 14,347 | ||||||
|
| |||||||
| 53,773 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 0.1% |
| |||||||
| 150 | Fluor Corp. | 7,407 | ||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
| 826 | Eaton Corp. plc | 49,307 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 355 | Danaher Corp. | 35,865 | ||||||
| 1,636 | General Electric Co. | 51,486 | ||||||
|
| |||||||
| 87,351 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
| 140 | Cummins, Inc. | 15,685 | ||||||
| 39 | Ingersoll-Rand plc | 2,471 | ||||||
| 715 | PACCAR, Inc. | 37,108 | ||||||
| 245 | Snap-on, Inc. | 38,634 | ||||||
| 811 | Stanley Black & Decker, Inc. | 90,211 | ||||||
|
| |||||||
| 184,109 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 123 | Canadian Pacific Railway Ltd., (Canada) | 15,828 | ||||||
| 781 | Union Pacific Corp. | 68,116 | ||||||
|
| |||||||
| 83,944 | ||||||||
|
| |||||||
Total Industrials | 781,945 | |||||||
|
| |||||||
Information Technology — 20.8% |
| |||||||
Communications Equipment — 0.4% |
| |||||||
| 1,085 | Cisco Systems, Inc. | 31,137 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
| 1,483 | TE Connectivity Ltd., (Switzerland) | 84,700 | ||||||
|
| |||||||
Internet Software & Services — 4.8% |
| |||||||
| 308 | Alphabet, Inc., Class A (a) | 216,546 | ||||||
| 53 | Alphabet, Inc., Class C (a) | 36,612 | ||||||
| 1,243 | Facebook, Inc., Class A (a) | 142,039 | ||||||
|
| |||||||
| 395,197 | ||||||||
|
| |||||||
IT Services — 3.8% |
| |||||||
| 978 | Accenture plc, (Ireland), Class A | 110,809 | ||||||
| 406 | Cognizant Technology Solutions Corp., Class A (a) | 23,217 | ||||||
| 770 | Fidelity National Information Services, Inc. | 56,748 | ||||||
| 34 | Global Payments, Inc. | 2,420 | ||||||
| 84 | MasterCard, Inc., Class A | 7,432 | ||||||
| 206 | PayPal Holdings, Inc. (a) | 7,528 | ||||||
| 508 | Vantiv, Inc., Class A (a) | 28,724 | ||||||
| 1,038 | Visa, Inc., Class A | 77,011 | ||||||
|
| |||||||
| 313,889 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
| 640 | Broadcom Ltd., (Singapore) | 99,456 | ||||||
| 1,021 | Lam Research Corp. | 85,792 | ||||||
| 303 | NXP Semiconductors N.V., (Netherlands) (a) | 23,706 | ||||||
| 24 | Skyworks Solutions, Inc. | 1,493 | ||||||
| 1,122 | Texas Instruments, Inc. | 70,306 | ||||||
|
| |||||||
| 280,753 | ||||||||
|
| |||||||
Software — 3.9% |
| |||||||
| 709 | Adobe Systems, Inc. (a) | 67,906 | ||||||
| 4,958 | Microsoft Corp. | 253,705 | ||||||
|
| |||||||
| 321,611 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.4% |
| |||||||
| 2,463 | Apple, Inc. | 235,482 | ||||||
| 1,755 | HP, Inc. | 22,025 | ||||||
| 468 | Western Digital Corp. | 22,123 | ||||||
|
| |||||||
| 279,630 | ||||||||
|
| |||||||
Total Information Technology | 1,706,917 | |||||||
|
| |||||||
Materials — 3.0% |
| |||||||
Chemicals — 2.2% |
| |||||||
| 752 | Dow Chemical Co. (The) | 37,367 | ||||||
| 884 | E.I. du Pont de Nemours & Co. | 57,264 | ||||||
| 876 | Eastman Chemical Co. | 59,487 | ||||||
| 947 | Mosaic Co. (The) | 24,779 | ||||||
|
| |||||||
| 178,897 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 726 | Crown Holdings, Inc. (a) | 36,797 | ||||||
| 512 | Sealed Air Corp. | 23,532 | ||||||
| 188 | WestRock Co. | 7,323 | ||||||
|
| |||||||
| 67,652 | ||||||||
|
| |||||||
Total Materials | 246,549 | |||||||
|
| |||||||
Telecommunication Services — 2.3% |
| |||||||
Diversified Telecommunication Services — 2.1% |
| |||||||
| 2,810 | AT&T, Inc. | 121,437 | ||||||
| 920 | Verizon Communications, Inc. | 51,384 | ||||||
|
| |||||||
| 172,821 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 491 | T-Mobile US, Inc. (a) | 21,259 | ||||||
|
| |||||||
Total Telecommunication Services | 194,080 | |||||||
|
| |||||||
Utilities — 3.5% |
| |||||||
Electric Utilities — 2.4% |
| |||||||
| 396 | Edison International | 30,742 | ||||||
| 52 | Entergy Corp. | 4,214 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — continued |
| |||||||
| 181 | Exelon Corp. | 6,581 | ||||||
| 602 | NextEra Energy, Inc. | 78,501 | ||||||
| 26 | PG&E Corp. | 1,636 | ||||||
| 1,648 | Xcel Energy, Inc. | 73,811 | ||||||
|
| |||||||
| 195,485 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 201 | UGI Corp. | 9,113 | ||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
| 1,001 | CMS Energy Corp. | 45,911 | ||||||
| 580 | Public Service Enterprise Group, Inc. | 27,043 | ||||||
| 110 | Sempra Energy | 12,542 | ||||||
|
| |||||||
| 85,496 | ||||||||
|
| |||||||
Total Utilities | 290,094 | |||||||
|
| |||||||
Total Common Stocks | 8,115,706 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 2.2% | |||||||
U.S. Treasury Obligation — 0.1% | ||||||||
| 8,046 | U.S. Treasury Bill, 0.484%, | 8,022 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 2.1% | ||||||||
| 174,657 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 174,657 | ||||||
|
| |||||||
Total Short-Term Investments | 182,679 | |||||||
|
| |||||||
Total Investments — 100.9% | 8,298,385 | |||||||
Liabilities in Excess of | (76,807 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 8,221,578 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Futures Outstanding | ||||||||||||||||||
| 981 | E-mini S&P 500 | 09/16/16 | USD | $ | 102,524 | $ | 1,452 | |||||||||||
|
| |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% |
| ||||||
Consumer Discretionary — 25.9% |
| |||||||
Hotels, Restaurants & Leisure — 4.8% |
| |||||||
| 155 | Las Vegas Sands Corp. | 6,743 | ||||||
| 158 | Starbucks Corp. | 9,017 | ||||||
|
| |||||||
| 15,760 | ||||||||
|
| |||||||
Internet & Catalog Retail — 10.8% |
| |||||||
| 30 | Amazon.com, Inc. (a) | 21,354 | ||||||
| 60 | Netflix, Inc. (a) | 5,445 | ||||||
| 7 | Priceline Group, Inc. (The) (a) | 8,789 | ||||||
|
| |||||||
| 35,588 | ||||||||
|
| |||||||
Specialty Retail — 10.3% |
| |||||||
| 123 | Home Depot, Inc. (The) | 15,728 | ||||||
| 94 | Ross Stores, Inc. | 5,322 | ||||||
| 54 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 13,041 | ||||||
|
| |||||||
| 34,091 | ||||||||
|
| |||||||
Total Consumer Discretionary | 85,439 | |||||||
|
| |||||||
Consumer Staples — 1.2% |
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 41 | CVS Health Corp. | 3,935 | ||||||
|
| |||||||
Energy — 2.2% |
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
| 49 | Pioneer Natural Resources Co. | 7,345 | ||||||
|
| |||||||
Financials — 9.1% |
| |||||||
Capital Markets — 3.3% |
| |||||||
| 429 | Charles Schwab Corp. (The) | 10,847 | ||||||
|
| |||||||
Diversified Financial Services — 2.5% |
| |||||||
| 32 | Intercontinental Exchange, Inc. | 8,210 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.3% |
| |||||||
| 28 | Equinix, Inc. | 10,769 | ||||||
|
| |||||||
Total Financials | 29,826 | |||||||
|
| |||||||
Health Care — 14.1% |
| |||||||
Biotechnology — 11.0% |
| |||||||
| 58 | BioMarin Pharmaceutical, Inc. (a) | 4,528 | ||||||
| 151 | Gilead Sciences, Inc. | 12,630 | ||||||
| 28 | Regeneron Pharmaceuticals, Inc. (a) | 9,944 | ||||||
| 107 | Vertex Pharmaceuticals, Inc. (a) | 9,170 | ||||||
|
| |||||||
| 36,272 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 3.1% |
| |||||||
| 73 | Illumina, Inc. (a) | 10,195 | ||||||
|
| |||||||
Total Health Care | 46,467 | |||||||
|
| |||||||
Industrials — 7.1% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
| 31 | TransDigm Group, Inc. (a) | 8,230 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 2.2% |
| |||||||
| 30 | Acuity Brands, Inc. | 7,339 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 86 | Kansas City Southern | 7,703 | ||||||
|
| |||||||
Total Industrials | 23,272 | |||||||
|
| |||||||
Information Technology — 33.9% |
| |||||||
Internet Software & Services — 12.7% |
| |||||||
| 29 | Alphabet, Inc., Class A (a) | 20,163 | ||||||
| 191 | Facebook, Inc., Class A (a) | 21,779 | ||||||
|
| |||||||
| 41,942 | ||||||||
|
| |||||||
IT Services — 7.8% |
| |||||||
| 189 | MasterCard, Inc., Class A | 16,668 | ||||||
| 245 | PayPal Holdings, Inc. (a) | 8,960 | ||||||
|
| |||||||
| 25,628 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.6% |
| |||||||
| 237 | ARM Holdings plc, (United Kingdom), ADR | 10,794 | ||||||
| 72 | Broadcom Ltd., (Singapore) | 11,142 | ||||||
|
| |||||||
| 21,936 | ||||||||
|
| |||||||
Software — 6.8% |
| |||||||
| 88 | Adobe Systems, Inc. (a) | 8,458 | ||||||
| 97 | salesforce.com, Inc. (a) | 7,693 | ||||||
| 92 | ServiceNow, Inc. (a) | 6,134 | ||||||
|
| |||||||
| 22,285 | ||||||||
|
| |||||||
Total Information Technology | 111,791 | |||||||
|
| |||||||
Materials — 3.0% |
| |||||||
Chemicals — 3.0% |
| |||||||
| 69 | Air Products & Chemicals, Inc. | 9,790 | ||||||
|
| |||||||
Total Common Stocks | 317,865 | |||||||
|
| |||||||
| Short-Term Investment — 3.6% | |||||||
Investment Company — 3.6% | ||||||||
| 11,878 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 11,878 | ||||||
|
| |||||||
Total Investments — 100.1% | 329,743 | |||||||
Liabilities in Excess of | (336 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 329,407 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% |
| ||||||
Consumer Discretionary — 22.1% |
| |||||||
Distributors — 2.2% |
| |||||||
| 30 | Genuine Parts Co. | 3,063 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
| 12 | Starbucks Corp. | 704 | ||||||
|
| |||||||
Internet & Catalog Retail — 9.2% |
| |||||||
| 11 | Amazon.com, Inc. (a) | 8,165 | ||||||
| 4 | Priceline Group, Inc. (The) (a) | 4,700 | ||||||
|
| |||||||
| 12,865 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 64 | DISH Network Corp., Class A (a) | 3,343 | ||||||
|
| |||||||
Multiline Retail — 2.2% |
| |||||||
| 79 | Kohl’s Corp. | 2,995 | ||||||
|
| |||||||
Specialty Retail — 5.6% |
| |||||||
| 75 | Best Buy Co., Inc. | 2,292 | ||||||
| 69 | Gap, Inc. (The) | 1,466 | ||||||
| 17 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 4,098 | ||||||
|
| |||||||
| 7,856 | ||||||||
|
| |||||||
Total Consumer Discretionary | 30,826 | |||||||
|
| |||||||
Energy — 5.7% |
| |||||||
Oil, Gas & Consumable Fuels — 5.7% |
| |||||||
| 155 | Kinder Morgan, Inc. | 2,893 | ||||||
| 55 | Marathon Petroleum Corp. | 2,071 | ||||||
| 20 | Pioneer Natural Resources Co. | 3,011 | ||||||
|
| |||||||
Total Energy | 7,975 | |||||||
|
| |||||||
Financials — 22.3% |
| |||||||
Banks — 3.8% |
| |||||||
| 111 | Wells Fargo & Co. | 5,234 | ||||||
|
| |||||||
Capital Markets — 1.7% |
| |||||||
| 33 | T. Rowe Price Group, Inc. | 2,432 | ||||||
|
| |||||||
Consumer Finance — 5.1% |
| |||||||
| 114 | Ally Financial, Inc. (a) | 1,937 | ||||||
| 81 | Capital One Financial Corp. | 5,158 | ||||||
|
| |||||||
| 7,095 | ||||||||
|
| |||||||
Insurance — 9.3% |
| |||||||
| 122 | American International Group, Inc. | 6,434 | ||||||
| 160 | Loews Corp. | 6,567 | ||||||
|
| |||||||
| 13,001 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
| 129 | Rayonier, Inc. | 3,382 | ||||||
|
| |||||||
Total Financials | 31,144 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 14.1% |
| |||||||
Biotechnology — 9.5% |
| |||||||
| 64 | Gilead Sciences, Inc. | 5,363 | ||||||
| 11 | Regeneron Pharmaceuticals, Inc. (a) | 3,915 | ||||||
| 46 | Vertex Pharmaceuticals, Inc. (a) | 3,922 | ||||||
|
| |||||||
| 13,200 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.5% |
| |||||||
| 25 | UnitedHealth Group, Inc. | 3,517 | ||||||
|
| |||||||
Life Sciences Tools & Services — 2.1% |
| |||||||
| 21 | Illumina, Inc. (a) | 3,007 | ||||||
|
| |||||||
Total Health Care | 19,724 | |||||||
|
| |||||||
Industrials — 5.5% |
| |||||||
Airlines — 2.5% |
| |||||||
| 97 | Delta Air Lines, Inc. | 3,522 | ||||||
|
| |||||||
Machinery — 1.7% |
| |||||||
| 35 | Dover Corp. | 2,412 | ||||||
|
| |||||||
Road & Rail — 1.3% |
| |||||||
| 19 | Kansas City Southern | 1,744 | ||||||
|
| |||||||
Total Industrials | 7,678 | |||||||
|
| |||||||
Information Technology — 22.4% |
| |||||||
Electronic Equipment, Instruments & Components — 1.4% |
| |||||||
| 31 | Arrow Electronics, Inc. (a) | 1,920 | ||||||
|
| |||||||
Internet Software & Services — 10.6% |
| |||||||
| 10 | Alphabet, Inc., Class C (a) | 6,658 | ||||||
| 71 | Facebook, Inc., Class A (a) | 8,115 | ||||||
|
| |||||||
| 14,773 | ||||||||
|
| |||||||
IT Services — 5.9% |
| |||||||
| 77 | MasterCard, Inc., Class A | 6,817 | ||||||
| 39 | PayPal Holdings, Inc. (a) | 1,425 | ||||||
|
| |||||||
| 8,242 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
| 53 | ARM Holdings plc, (United Kingdom), ADR | 2,429 | ||||||
|
| |||||||
Software — 2.7% |
| |||||||
| 48 | salesforce.com, Inc. (a) | 3,812 | ||||||
|
| |||||||
Total Information Technology | 31,176 | |||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Construction Materials — 2.1% |
| |||||||
| 15 | Martin Marietta Materials, Inc. | 2,889 | ||||||
|
| |||||||
Containers & Packaging — 2.3% |
| |||||||
| 85 | WestRock Co. | 3,287 | ||||||
|
| |||||||
Total Materials | 6,176 | |||||||
|
| |||||||
Total Common Stocks | 134,699 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.9% | |||||||
Investment Company — 4.9% | ||||||||
| 6,771 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 6,771 | ||||||
|
| |||||||
Total Investments — 101.4% | 141,470 | |||||||
Liabilities in Excess of | (1,981 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 139,489 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.5% |
| ||||||
Consumer Discretionary — 8.4% |
| |||||||
Distributors — 0.9% |
| |||||||
| 1,098 | Genuine Parts Co. | 111,204 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||
| 406 | Brinker International, Inc. | 18,475 | ||||||
| 1,062 | Wyndham Worldwide Corp. | 75,642 | ||||||
|
| |||||||
| 94,117 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 1,132 | Cinemark Holdings, Inc. | 41,258 | ||||||
| 1,702 | Comcast Corp., Class A | 110,974 | ||||||
| 1,887 | Time Warner, Inc. | 138,760 | ||||||
|
| |||||||
| 290,992 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
| 1,671 | Best Buy Co., Inc. | 51,120 | ||||||
| 1,362 | Home Depot, Inc. (The) | 173,960 | ||||||
| 1,535 | L Brands, Inc. | 103,058 | ||||||
| 1,219 | Tiffany & Co. | 73,947 | ||||||
|
| |||||||
| 402,085 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 1,889 | V.F. Corp. | 116,125 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,014,523 | |||||||
|
| |||||||
Consumer Staples — 9.4% |
| |||||||
Beverages — 2.7% |
| |||||||
| 1,589 | Coca-Cola Co. (The) | 72,023 | ||||||
| 1,056 | Dr. Pepper Snapple Group, Inc. | 102,070 | ||||||
| 842 | Molson Coors Brewing Co., Class B | 85,199 | ||||||
| 670 | PepsiCo, Inc. | 70,935 | ||||||
|
| |||||||
| 330,227 | ||||||||
|
| |||||||
Food Products — 1.3% |
| |||||||
| 340 | Kraft Heinz Co. (The) | 30,121 | ||||||
| 2,733 | Mondelez International, Inc., Class A | 124,401 | ||||||
|
| |||||||
| 154,522 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
| 1,007 | Kimberly-Clark Corp. | 138,438 | ||||||
| 824 | Procter & Gamble Co. (The) | 69,765 | ||||||
|
| |||||||
| 208,203 | ||||||||
|
| |||||||
Tobacco — 3.7% |
| |||||||
| 3,966 | Altria Group, Inc. | 273,466 | ||||||
| 1,007 | Philip Morris International, Inc. | 102,479 | ||||||
| 1,291 | Reynolds American, Inc. | 69,634 | ||||||
|
| |||||||
| 445,579 | ||||||||
|
| |||||||
Total Consumer Staples | 1,138,531 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 9.4% |
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
| 1,148 | Schlumberger Ltd. | 90,745 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.6% |
| |||||||
| 2,308 | Chevron Corp. | 241,975 | ||||||
| 3,812 | ConocoPhillips | 166,217 | ||||||
| 3,674 | Exxon Mobil Corp. | 344,359 | ||||||
| 3,290 | Occidental Petroleum Corp. | 248,624 | ||||||
| 702 | Valero Energy Corp. | 35,781 | ||||||
|
| |||||||
| 1,036,956 | ||||||||
|
| |||||||
Total Energy | 1,127,701 | |||||||
|
| |||||||
Financials — 27.3% |
| |||||||
Banks — 8.2% |
| |||||||
| 3,249 | BB&T Corp. | 115,701 | ||||||
| 820 | Cullen/Frost Bankers, Inc. | 52,289 | ||||||
| 431 | M&T Bank Corp. | 50,991 | ||||||
| 2,642 | PNC Financial Services Group, Inc. (The) | 215,004 | ||||||
| 2,972 | U.S. Bancorp | 119,872 | ||||||
| 9,336 | Wells Fargo & Co. | 441,860 | ||||||
|
| |||||||
| 995,717 | ||||||||
|
| |||||||
Capital Markets — 4.1% |
| |||||||
| 447 | Ameriprise Financial, Inc. | 40,156 | ||||||
| 684 | BlackRock, Inc. | 234,429 | ||||||
| 1,513 | Northern Trust Corp. | 100,235 | ||||||
| 1,696 | T. Rowe Price Group, Inc. | 123,722 | ||||||
|
| |||||||
| 498,542 | ||||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
| 1,235 | Capital One Financial Corp. | 78,412 | ||||||
| 1,104 | Discover Financial Services | 59,189 | ||||||
|
| |||||||
| 137,601 | ||||||||
|
| |||||||
Diversified Financial Services — 2.3% |
| |||||||
| 2,211 | CME Group, Inc. | 215,353 | ||||||
| 563 | S&P Global, Inc. | 60,366 | ||||||
|
| |||||||
| 275,719 | ||||||||
|
| |||||||
Insurance — 7.8% |
| |||||||
| 1,286 | Arthur J. Gallagher & Co. | 61,201 | ||||||
| 794 | Chubb Ltd., (Switzerland) | 103,771 | ||||||
| 767 | Cincinnati Financial Corp. | 57,461 | ||||||
| 3,811 | Hartford Financial Services Group, Inc. (The) | 169,132 | ||||||
| 3,560 | MetLife, Inc. | 141,795 | ||||||
| 1,347 | Progressive Corp. (The) | 45,119 | ||||||
| 1,308 | Prudential Financial, Inc. | 93,303 | ||||||
| 2,003 | Travelers Cos., Inc. (The) | 238,398 | ||||||
| 549 | Validus Holdings Ltd., (Bermuda) | 26,678 | ||||||
|
| |||||||
| 936,858 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — 3.8% |
| |||||||
| 451 | Alexandria Real Estate Equities, Inc. | 46,684 | ||||||
| 596 | AvalonBay Communities, Inc. | 107,472 | ||||||
| 576 | Boston Properties, Inc. | 75,981 | ||||||
| 1,843 | HCP, Inc. | 65,208 | ||||||
| 736 | Simon Property Group, Inc. | 159,539 | ||||||
|
| |||||||
| 454,884 | ||||||||
|
| |||||||
Total Financials | 3,299,321 | |||||||
|
| |||||||
Health Care — 12.0% |
| |||||||
Biotechnology — 0.4% |
| |||||||
| 528 | Gilead Sciences, Inc. | 44,012 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 2,260 | Abbott Laboratories | 88,825 | ||||||
| 1,070 | Becton, Dickinson and Co. | 181,441 | ||||||
|
| |||||||
| 270,266 | ||||||||
|
| |||||||
Pharmaceuticals — 9.4% |
| |||||||
| 619 | AbbVie, Inc. | 38,333 | ||||||
| 2,092 | Bristol-Myers Squibb Co. | 153,876 | ||||||
| 1,759 | Eli Lilly & Co. | 138,524 | ||||||
| 2,663 | Johnson & Johnson | 323,069 | ||||||
| 3,958 | Merck & Co., Inc. | 228,016 | ||||||
| 7,203 | Pfizer, Inc. | 253,632 | ||||||
|
| |||||||
| 1,135,450 | ||||||||
|
| |||||||
Total Health Care | 1,449,728 | |||||||
|
| |||||||
Industrials — 9.1% |
| |||||||
Aerospace & Defense — 2.7% |
| |||||||
| 653 | General Dynamics Corp. | 90,950 | ||||||
| 1,549 | Honeywell International, Inc. | 180,170 | ||||||
| 534 | United Technologies Corp. | 54,798 | ||||||
|
| |||||||
| 325,918 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 693 | United Parcel Service, Inc., Class B | 74,650 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
| 2,389 | Republic Services, Inc. | 122,604 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 807 | 3M Co. | 141,348 | ||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
| 1,623 | Illinois Tool Works, Inc. | 169,016 | ||||||
| 761 | PACCAR, Inc. | 39,463 | ||||||
| 164 | Snap-on, Inc. | 25,809 | ||||||
| 505 | Stanley Black & Decker, Inc. | 56,173 | ||||||
|
| |||||||
| 290,461 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 1.2% | ||||||||
| 824 | Norfolk Southern Corp. | 70,148 | ||||||
| 762 | Union Pacific Corp. | 66,506 | ||||||
|
| |||||||
| 136,654 | ||||||||
|
| |||||||
Total Industrials | 1,091,635 | |||||||
|
| |||||||
Information Technology — 9.3% |
| |||||||
IT Services — 2.4% |
| |||||||
| 669 | Accenture plc, (Ireland), Class A | 75,738 | ||||||
| 968 | Automatic Data Processing, Inc. | 88,884 | ||||||
| 1,741 | Fidelity National Information Services, Inc. | 128,287 | ||||||
|
| |||||||
| 292,909 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
| 1,858 | Analog Devices, Inc. | 105,259 | ||||||
| 1,275 | KLA-Tencor Corp. | 93,380 | ||||||
| 1,331 | QUALCOMM, Inc. | 71,310 | ||||||
| 2,569 | Texas Instruments, Inc. | 160,952 | ||||||
|
| |||||||
| 430,901 | ||||||||
|
| |||||||
Software — 1.6% |
| |||||||
| 3,859 | Microsoft Corp. | 197,489 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
| 2,142 | Apple, Inc. | 204,747 | ||||||
|
| |||||||
Total Information Technology | 1,126,046 | |||||||
|
| |||||||
Materials — 3.4% |
| |||||||
Chemicals — 3.2% |
| |||||||
| 1,354 | E.I. du Pont de Nemours & Co. | 87,718 | ||||||
| 280 | International Flavors & Fragrances, Inc. | 35,352 | ||||||
| 953 | PPG Industries, Inc. | 99,231 | ||||||
| 903 | Praxair, Inc. | 101,540 | ||||||
| 1,139 | RPM International, Inc. | 56,897 | ||||||
|
| |||||||
| 380,738 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
| 584 | WestRock Co. | 22,684 | ||||||
|
| |||||||
Total Materials | 403,422 | |||||||
|
| |||||||
Telecommunication Services — 1.7% |
| |||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
| 3,691 | Verizon Communications, Inc. | 206,103 | ||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 3.1% |
| |||||||
| 1,891 | Edison International | 146,872 | ||||||
| 771 | NextEra Energy, Inc. | 100,572 | ||||||
| 2,801 | Xcel Energy, Inc. | 125,451 | ||||||
|
| |||||||
| 372,895 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Multi-Utilities — 2.4% |
| |||||||
| 2,940 | CMS Energy Corp. | 134,823 | ||||||
| 204 | DTE Energy Co. | 20,218 | ||||||
| 2,927 | NiSource, Inc. | 77,613 | ||||||
| 485 | Sempra Energy | 55,290 | ||||||
|
| |||||||
| 287,944 | ||||||||
|
| |||||||
Total Utilities | 660,839 | |||||||
|
| |||||||
Total Common Stocks | 11,517,849 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.4% |
| ||||||
Investment Company — 4.4% |
| |||||||
| 533,390 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $533,390) | 533,390 | ||||||
|
| |||||||
Total Investments — 99.9% | 12,051,239 | |||||||
Other Assets in Excess of | 15,082 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,066,321 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.1% | |||||||
Consumer Discretionary — 8.9% | ||||||||
Household Durables — 0.6% | ||||||||
| 44 | Harman International Industries, Inc. | 3,124 | ||||||
|
| |||||||
Media — 2.2% | ||||||||
| 69 | DISH Network Corp., Class A (a) | 3,589 | ||||||
| 45 | Time Warner, Inc. | 3,317 | ||||||
| 40 | Walt Disney Co. (The) | 3,864 | ||||||
|
| |||||||
| 10,770 | ||||||||
|
| |||||||
Specialty Retail — 5.3% | ||||||||
| 6 | AutoZone, Inc. (a) | 4,850 | ||||||
| 163 | Best Buy Co., Inc. | 5,000 | ||||||
| 55 | Home Depot, Inc. (The) | 7,074 | ||||||
| 72 | L Brands, Inc. | 4,833 | ||||||
| 63 | Tiffany & Co. | 3,833 | ||||||
|
| |||||||
| 25,590 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
| 62 | V.F. Corp. | 3,831 | ||||||
|
| |||||||
Total Consumer Discretionary | 43,315 | |||||||
|
| |||||||
Consumer Staples — 6.7% | ||||||||
Beverages — 3.4% | ||||||||
| 49 | Dr. Pepper Snapple Group, Inc. | 4,774 | ||||||
| 90 | Molson Coors Brewing Co., Class B | 9,122 | ||||||
| 24 | PepsiCo, Inc. | 2,532 | ||||||
|
| |||||||
| 16,428 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% | ||||||||
| 50 | CVS Health Corp. | 4,787 | ||||||
|
| |||||||
Food Products — 0.6% | ||||||||
| 33 | Kraft Heinz Co. (The) | 2,911 | ||||||
|
| |||||||
Household Products — 0.6% | ||||||||
| 23 | Kimberly-Clark Corp. | 3,203 | ||||||
|
| |||||||
Tobacco — 1.1% | ||||||||
| 77 | Altria Group, Inc. | 5,310 | ||||||
|
| |||||||
Total Consumer Staples | 32,639 | |||||||
|
| |||||||
Energy — 10.6% | ||||||||
Energy Equipment & Services — 1.0% | ||||||||
| 64 | Schlumberger Ltd. | 5,022 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.6% | ||||||||
| 114 | Chevron Corp. | 11,930 | ||||||
| 75 | ConocoPhillips | 3,290 | ||||||
| 35 | EOG Resources, Inc. | 2,936 | ||||||
| 138 | Exxon Mobil Corp. | 12,944 | ||||||
| 137 | Occidental Petroleum Corp. | 10,337 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
| 40 | Phillips 66 | 3,158 | ||||||
| 47 | Valero Energy Corp. | 2,402 | ||||||
|
| |||||||
| 46,997 | ||||||||
|
| |||||||
Total Energy | 52,019 | |||||||
|
| |||||||
Financials — 28.8% | ||||||||
Banks — 11.9% | ||||||||
| 972 | Bank of America Corp. | 12,902 | ||||||
| 134 | BB&T Corp. | 4,772 | ||||||
| 135 | Citigroup, Inc. | 5,704 | ||||||
| 55 | Cullen/Frost Bankers, Inc. | 3,492 | ||||||
| 37 | M&T Bank Corp. | 4,339 | ||||||
| 58 | PNC Financial Services Group, Inc. (The) | 4,680 | ||||||
| 128 | SunTrust Banks, Inc. | 5,271 | ||||||
| 116 | U.S. Bancorp | 4,658 | ||||||
| 257 | Wells Fargo & Co. | 12,154 | ||||||
|
| |||||||
| 57,972 | ||||||||
|
| |||||||
Capital Markets — 5.3% | ||||||||
| 22 | Ameriprise Financial, Inc. | 1,959 | ||||||
| 23 | BlackRock, Inc. | 7,844 | ||||||
| 115 | Charles Schwab Corp. (The) | 2,903 | ||||||
| 141 | Invesco Ltd. | 3,601 | ||||||
| 113 | Morgan Stanley | 2,928 | ||||||
| 88 | T. Rowe Price Group, Inc. | 6,385 | ||||||
|
| |||||||
| 25,620 | ||||||||
|
| |||||||
Consumer Finance — 2.0% | ||||||||
| 41 | American Express Co. | 2,516 | ||||||
| 61 | Capital One Financial Corp. | 3,842 | ||||||
| 66 | Discover Financial Services | 3,553 | ||||||
|
| |||||||
| 9,911 | ||||||||
|
| |||||||
Diversified Financial Services — 2.4% | ||||||||
| 70 | Berkshire Hathaway, Inc., Class B (a) | 10,150 | ||||||
| 7 | Intercontinental Exchange, Inc. | 1,792 | ||||||
|
| |||||||
| 11,942 | ||||||||
|
| |||||||
Insurance — 3.9% | ||||||||
| 21 | Chubb Ltd., (Switzerland) | 2,754 | ||||||
| 169 | Hartford Financial Services Group, Inc. (The) | 7,513 | ||||||
| 52 | Loews Corp. | 2,116 | ||||||
| 76 | MetLife, Inc. | 3,019 | ||||||
| 49 | Prudential Financial, Inc. | 3,503 | ||||||
|
| |||||||
| 18,905 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.3% | ||||||||
| 16 | AvalonBay Communities, Inc. | 2,940 | ||||||
| 42 | General Growth Properties, Inc. | 1,250 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 54 | Macerich Co. (The) | 4,611 | ||||||
| 41 | Prologis, Inc. | 2,006 | ||||||
| 12 | Simon Property Group, Inc. | 2,646 | ||||||
| 26 | Vornado Realty Trust | 2,623 | ||||||
|
| |||||||
| 16,076 | ||||||||
|
| |||||||
Total Financials | 140,426 | |||||||
|
| |||||||
Health Care — 12.8% | ||||||||
Biotechnology — 0.7% | ||||||||
| 42 | Gilead Sciences, Inc. | 3,479 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% | ||||||||
| 26 | Becton, Dickinson and Co. | 4,375 | ||||||
|
| |||||||
Health Care Providers & Services — 3.0% | ||||||||
| 20 | Aetna, Inc. | 2,455 | ||||||
| 20 | Humana, Inc. | 3,634 | ||||||
| 27 | McKesson Corp. | 5,077 | ||||||
| 25 | UnitedHealth Group, Inc. | 3,459 | ||||||
|
| |||||||
| 14,625 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% | ||||||||
| 11 | Illumina, Inc. (a) | 1,600 | ||||||
|
| |||||||
Pharmaceuticals — 7.9% | ||||||||
| 134 | Bristol-Myers Squibb Co. | 9,870 | ||||||
| 60 | Eli Lilly & Co. | 4,749 | ||||||
| 76 | Johnson & Johnson | 9,195 | ||||||
| 101 | Merck & Co., Inc. | 5,834 | ||||||
| 245 | Pfizer, Inc. | 8,619 | ||||||
|
| |||||||
| 38,267 | ||||||||
|
| |||||||
Total Health Care | 62,346 | |||||||
|
| |||||||
Industrials — 9.6% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
| 80 | Honeywell International, Inc. | 9,329 | ||||||
| 45 | United Technologies Corp. | 4,635 | ||||||
|
| |||||||
| 13,964 | ||||||||
|
| |||||||
Building Products — 0.6% | ||||||||
| 96 | Masco Corp. | 2,967 | ||||||
|
| |||||||
Industrial Conglomerates — 3.6% | ||||||||
| 42 | 3M Co. | 7,408 | ||||||
| 327 | General Electric Co. | 10,297 | ||||||
|
| |||||||
| 17,705 | ||||||||
|
| |||||||
Machinery — 0.6% | ||||||||
| 61 | PACCAR, Inc. | 3,143 | ||||||
|
| |||||||
Road & Rail — 0.7% | ||||||||
| 133 | CSX Corp. | 3,458 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 1.2% | ||||||||
| 13 | W.W. Grainger, Inc. | 2,977 | ||||||
| 19 | Watsco, Inc. | 2,631 | ||||||
|
| |||||||
| 5,608 | ||||||||
|
| |||||||
Total Industrials | 46,845 | |||||||
|
| |||||||
Information Technology — 11.8% | ||||||||
Communications Equipment — 0.6% | ||||||||
| 97 | Cisco Systems, Inc. | 2,786 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 29 | TE Connectivity Ltd., (Switzerland) | 1,667 | ||||||
|
| |||||||
Internet Software & Services — 1.1% | ||||||||
| 7 | Alphabet, Inc., Class C (a) | 5,135 | ||||||
|
| |||||||
IT Services — 1.1% | ||||||||
| 47 | Fidelity National Information Services, Inc. | 3,448 | ||||||
| 23 | MasterCard, Inc., Class A | 1,999 | ||||||
|
| |||||||
| 5,447 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 239 | Applied Materials, Inc. | 5,739 | ||||||
| 52 | KLA-Tencor Corp. | 3,838 | ||||||
| 50 | QUALCOMM, Inc. | 2,673 | ||||||
| 59 | Texas Instruments, Inc. | 3,665 | ||||||
|
| |||||||
| 15,915 | ||||||||
|
| |||||||
Software — 2.8% | ||||||||
| 267 | Microsoft Corp. | 13,637 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% |
| |||||||
| 106 | Apple, Inc. | 10,095 | ||||||
| 221 | HP, Inc. | 2,774 | ||||||
|
| |||||||
| 12,869 | ||||||||
|
| |||||||
Total Information Technology | 57,456 | |||||||
|
| |||||||
Materials — 0.9% | ||||||||
Chemicals — 0.9% | ||||||||
| 70 | E.I. du Pont de Nemours & Co. | 4,510 | ||||||
|
| |||||||
Telecommunication Services — 2.5% | ||||||||
Diversified Telecommunication Services — 1.9% |
| |||||||
| 172 | Verizon Communications, Inc. | 9,594 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% | ||||||||
| 65 | T-Mobile US, Inc. (a) | 2,800 | ||||||
|
| |||||||
Total Telecommunication Services | 12,394 | |||||||
|
| |||||||
Utilities — 5.5% | ||||||||
Electric Utilities — 3.6% | ||||||||
| 79 | Edison International | 6,136 | ||||||
| 35 | NextEra Energy, Inc. | 4,525 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electric Utilities — continued | ||||||||
| 90 | PPL Corp. | 3,394 | ||||||
| 74 | Xcel Energy, Inc. | 3,300 | ||||||
|
| |||||||
| 17,355 | ||||||||
|
| |||||||
Multi-Utilities — 1.9% |
| |||||||
| 120 | CMS Energy Corp. | 5,508 | ||||||
| 34 | Sempra Energy | 3,876 | ||||||
|
| |||||||
| 9,384 | ||||||||
|
| |||||||
Total Utilities | 26,739 | |||||||
|
| |||||||
Total Common Stocks | 478,689 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.6% |
| ||||||
Investment Company — 1.6% | ||||||||
| 7,673 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 7,673 | ||||||
|
| |||||||
Total Investments — 99.7% | 486,362 | |||||||
Other Assets in Excess of | 1,458 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 487,820 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.0% | |||||||
Consumer Discretionary — 13.3% | ||||||||
Auto Components — 0.2% | ||||||||
| 5 | Delphi Automotive plc, (United Kingdom) | 287 | ||||||
| 3 | Johnson Controls, Inc. | 136 | ||||||
| 2 | Magna International, Inc., (Canada) | 87 | ||||||
|
| |||||||
| 510 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
| 37 | Ford Motor Co. | 467 | ||||||
| 12 | General Motors Co. (o) | 334 | ||||||
|
| |||||||
| 801 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
| 14 | Royal Caribbean Cruises Ltd. | 939 | ||||||
| 24 | Starbucks Corp. (o) | 1,347 | ||||||
| 9 | Yum! Brands, Inc. | 745 | ||||||
|
| |||||||
| 3,031 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
| 16 | D.R. Horton, Inc. | 515 | ||||||
| 8 | Harman International Industries, Inc. | 568 | ||||||
| 1 | Mohawk Industries, Inc. (a) | 138 | ||||||
| 3 | Newell Brands, Inc. | 143 | ||||||
| 24 | PulteGroup, Inc. | 462 | ||||||
| 7 | Toll Brothers, Inc. (a) | 185 | ||||||
|
| |||||||
| 2,011 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 6 | Amazon.com, Inc. (a) | 3,962 | ||||||
|
| |||||||
Media — 4.2% |
| |||||||
| 6 | CBS Corp. (Non-Voting), Class B (o) | 300 | ||||||
| 5 | Charter Communications, Inc., Class A (a) | 1,200 | ||||||
| 45 | Comcast Corp., Class A | 2,918 | ||||||
| 11 | DISH Network Corp., Class A (a) | 569 | ||||||
| 60 | Sirius XM Holdings, Inc. (a) | 236 | ||||||
| 36 | Time Warner, Inc. (o) | 2,633 | ||||||
| 83 | Twenty-First Century Fox, Inc., Class A (o) | 2,234 | ||||||
|
| |||||||
| 10,090 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 13 | Dollar General Corp. | 1,185 | ||||||
| 5 | Target Corp. | 381 | ||||||
|
| |||||||
| 1,566 | ||||||||
|
| |||||||
Specialty Retail — 3.6% |
| |||||||
| 2 | AutoNation, Inc. (a) | 85 | ||||||
| 14 | Best Buy Co., Inc. | 435 | ||||||
| 22 | Home Depot, Inc. (The) | 2,863 | ||||||
| 33 | Lowe’s Cos., Inc. (o) | 2,599 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued | ||||||||
| 3 | O’Reilly Automotive, Inc. (a) | 679 | ||||||
| 2 | Ross Stores, Inc. | 129 | ||||||
| 1 | Signet Jewelers Ltd. | 54 | ||||||
| 3 | Tiffany & Co. | 201 | ||||||
| 19 | TJX Cos., Inc. (The) (o) | 1,486 | ||||||
|
| |||||||
| 8,531 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 1 | lululemon athletica, Inc., (Canada) (a) | 106 | ||||||
| 1 | PVH Corp. | 102 | ||||||
| 4 | Ralph Lauren Corp. | 361 | ||||||
| 15 | V.F. Corp. (o) | 905 | ||||||
|
| |||||||
| 1,474 | ||||||||
|
| |||||||
Total Consumer Discretionary | 31,976 | |||||||
|
| |||||||
Consumer Staples — 9.8% |
| |||||||
Beverages — 3.7% |
| |||||||
| 1 | Boston Beer Co., Inc. (The), Class A (a) | 249 | ||||||
| 43 | Coca-Cola Co. (The) (o) | 1,931 | ||||||
| 7 | Constellation Brands, Inc., Class A (o) | 1,115 | ||||||
| 2 | Dr. Pepper Snapple Group, Inc. | 236 | ||||||
| 16 | Molson Coors Brewing Co., Class B (o) | 1,663 | ||||||
| 34 | PepsiCo, Inc. | 3,574 | ||||||
|
| |||||||
| 8,768 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.4% | ||||||||
| 10 | Costco Wholesale Corp. (o) | 1,543 | ||||||
| 30 | Kroger Co. (The) | 1,088 | ||||||
| 10 | Walgreens Boots Alliance, Inc. | 813 | ||||||
| — | (h) | Wal-Mart Stores, Inc. | 29 | |||||
|
| |||||||
| 3,473 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
| 5 | Archer-Daniels-Midland Co. (o) | 198 | ||||||
| 8 | Hershey Co. (The) | 947 | ||||||
| 52 | Mondelez International, Inc., Class A (o) | 2,357 | ||||||
|
| |||||||
| 3,502 | ||||||||
|
| |||||||
Household Products — 2.0% |
| |||||||
| 16 | Kimberly-Clark Corp. (o) | 2,251 | ||||||
| 30 | Procter & Gamble Co. (The) (o) | 2,535 | ||||||
|
| |||||||
| 4,786 | ||||||||
|
| |||||||
Tobacco — 1.2% |
| |||||||
| 29 | Philip Morris International, Inc. | 2,924 | ||||||
|
| |||||||
Total Consumer Staples | 23,453 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy — 7.3% |
| |||||||
Energy Equipment & Services — 0.8% | ||||||||
| 6 | Baker Hughes, Inc. | 265 | ||||||
| 20 | Halliburton Co. | 905 | ||||||
| 3 | National Oilwell Varco, Inc. | 109 | ||||||
| 7 | Schlumberger Ltd. (o) | 588 | ||||||
|
| |||||||
| 1,867 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.5% |
| |||||||
| 28 | Cabot Oil & Gas Corp. | 715 | ||||||
| — | (h) | California Resources Corp. | — | (h) | ||||
| 30 | Chevron Corp. (o) | 3,120 | ||||||
| 3 | Concho Resources, Inc. (a) | 390 | ||||||
| 19 | ConocoPhillips | 819 | ||||||
| 6 | Diamondback Energy, Inc. (a) | 537 | ||||||
| 12 | EOG Resources, Inc. | 996 | ||||||
| 11 | EQT Corp. | 832 | ||||||
| 44 | Exxon Mobil Corp. | 4,079 | ||||||
| 17 | Kinder Morgan, Inc. | 323 | ||||||
| 4 | Marathon Petroleum Corp. | 159 | ||||||
| 23 | Occidental Petroleum Corp. (o) | 1,752 | ||||||
| 9 | Pioneer Natural Resources Co. | 1,376 | ||||||
| 12 | Valero Energy Corp. | 623 | ||||||
|
| |||||||
| 15,721 | ||||||||
|
| |||||||
Total Energy | 17,588 | |||||||
|
| |||||||
Financials — 15.3% |
| |||||||
Banks — 4.7% |
| |||||||
| 202 | Bank of America Corp. (o) | 2,676 | ||||||
| 5 | BB&T Corp. | 186 | ||||||
| 71 | Citigroup, Inc. | 3,028 | ||||||
| 8 | Citizens Financial Group, Inc. | 156 | ||||||
| 4 | Comerica, Inc. | 157 | ||||||
| 32 | KeyCorp | 357 | ||||||
| 12 | Regions Financial Corp. | 105 | ||||||
| 2 | SVB Financial Group (a) | 188 | ||||||
| 90 | Wells Fargo & Co. | 4,281 | ||||||
| 4 | Zions Bancorporation | 108 | ||||||
|
| |||||||
| 11,242 | ||||||||
|
| |||||||
Capital Markets — 2.6% | ||||||||
| 1 | Ameriprise Financial, Inc. | 79 | ||||||
| 9 | Bank of New York Mellon Corp. (The) | 353 | ||||||
| 4 | BlackRock, Inc. | 1,428 | ||||||
| 42 | Charles Schwab Corp. (The) (o) | 1,070 | ||||||
| 4 | Goldman Sachs Group, Inc. (The) (o) | 535 | ||||||
| 9 | Invesco Ltd. (o) | 230 | ||||||
| 60 | Morgan Stanley (o) | 1,552 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — continued | ||||||||
| 15 | State Street Corp. (o) | 832 | ||||||
| 8 | TD Ameritrade Holding Corp. | 224 | ||||||
|
| |||||||
| 6,303 | ||||||||
|
| |||||||
Consumer Finance — 0.8% | ||||||||
| 3 | American Express Co. | 178 | ||||||
| 13 | Capital One Financial Corp. | 843 | ||||||
| 12 | Discover Financial Services | 670 | ||||||
| 10 | Synchrony Financial (a) (o) | 240 | ||||||
|
| |||||||
| 1,931 | ||||||||
|
| |||||||
Diversified Financial Services — 1.8% | ||||||||
| 23 | Berkshire Hathaway, Inc., Class B (a) | 3,347 | ||||||
| 3 | Intercontinental Exchange, Inc. (o) | 844 | ||||||
| 1 | S&P Global, Inc. | 119 | ||||||
| 8 | Voya Financial, Inc. | 191 | ||||||
|
| |||||||
| 4,501 | ||||||||
|
| |||||||
Insurance — 2.5% | ||||||||
| 21 | American International Group, Inc. (o) | 1,096 | ||||||
| 9 | Arthur J. Gallagher & Co. | 410 | ||||||
| 16 | Chubb Ltd., (Switzerland) | 2,050 | ||||||
| 1 | Everest Re Group Ltd., (Bermuda) | 110 | ||||||
| 43 | MetLife, Inc. (o) | 1,710 | ||||||
| 2 | Prudential Financial, Inc. | 110 | ||||||
| 14 | XL Group plc, (Ireland) | 470 | ||||||
|
| |||||||
| 5,956 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.9% | ||||||||
| 4 | American Tower Corp. | 504 | ||||||
| 3 | Apartment Investment & Management Co., Class A | 123 | ||||||
| 5 | AvalonBay Communities, Inc. | 983 | ||||||
| 1 | Boston Properties, Inc. | 178 | ||||||
| 14 | DiamondRock Hospitality Co. | 126 | ||||||
| 2 | Equinix, Inc. | 598 | ||||||
| 1 | Essex Property Trust, Inc. | 244 | ||||||
| 14 | HCP, Inc. | 478 | ||||||
| 20 | Kimco Realty Corp. | 636 | ||||||
| 9 | LaSalle Hotel Properties | 216 | ||||||
| 7 | Liberty Property Trust | 269 | ||||||
| 2 | Macerich Co. (The) | 133 | ||||||
| 12 | Prologis, Inc. | 575 | ||||||
| 1 | Public Storage | 291 | ||||||
| 5 | Simon Property Group, Inc. (o) | 1,073 | ||||||
| 3 | SL Green Realty Corp. | 365 | ||||||
| 4 | STORE Capital Corp. | 117 | ||||||
|
| |||||||
| 6,909 | ||||||||
|
| |||||||
Total Financials | 36,842 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care — 15.3% |
| |||||||
Biotechnology — 3.0% |
| |||||||
| 5 | Alexion Pharmaceuticals, Inc. (a) | 636 | ||||||
| 1 | Amgen, Inc. | 118 | ||||||
| 5 | Biogen, Inc. (a) (o) | 1,309 | ||||||
| 1 | BioMarin Pharmaceutical, Inc. (a) | 105 | ||||||
| 20 | Celgene Corp. (a) (o) | 2,018 | ||||||
| 29 | Gilead Sciences, Inc. | 2,417 | ||||||
| 7 | Vertex Pharmaceuticals, Inc. (a) | 642 | ||||||
|
| |||||||
| 7,245 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
| 44 | Abbott Laboratories (o) | 1,747 | ||||||
| 71 | Boston Scientific Corp. (a) (o) | 1,656 | ||||||
| 1 | Medtronic plc, (Ireland) | 126 | ||||||
| 5 | Stryker Corp. (o) | 659 | ||||||
|
| |||||||
| 4,188 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% | ||||||||
| 12 | Aetna, Inc. (o) | 1,452 | ||||||
| 1 | Anthem, Inc. | 191 | ||||||
| 3 | Cigna Corp. | 433 | ||||||
| 2 | HCA Holdings, Inc. (a) | 134 | ||||||
| 6 | Humana, Inc. | 997 | ||||||
| 13 | McKesson Corp. (o) | 2,379 | ||||||
| 2 | Quest Diagnostics, Inc. | 190 | ||||||
| 19 | UnitedHealth Group, Inc. (o) | 2,727 | ||||||
|
| |||||||
| 8,503 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% | ||||||||
| 4 | Agilent Technologies, Inc. | 188 | ||||||
| 4 | Illumina, Inc. (a) | 576 | ||||||
| 6 | Thermo Fisher Scientific, Inc. | 864 | ||||||
|
| |||||||
| 1,628 | ||||||||
|
| |||||||
Pharmaceuticals — 6.3% | ||||||||
| 7 | Allergan plc (a) (o) | 1,670 | ||||||
| 46 | Bristol-Myers Squibb Co. | 3,376 | ||||||
| 31 | Eli Lilly & Co. (o) | 2,453 | ||||||
| 22 | Johnson & Johnson (o) | 2,677 | ||||||
| 14 | Merck & Co., Inc. (o) | 798 | ||||||
| 5 | Mylan N.V. (a) | 218 | ||||||
| 111 | Pfizer, Inc. | 3,921 | ||||||
|
| |||||||
| 15,113 | ||||||||
|
| |||||||
Total Health Care | 36,677 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 9.7% | ||||||||
Aerospace & Defense — 3.1% | ||||||||
| 1 | General Dynamics Corp. | 137 | ||||||
| 23 | Honeywell International, Inc. (o) | 2,709 | ||||||
| 7 | L-3 Communications Holdings, Inc. | 1,089 | ||||||
| 4 | Northrop Grumman Corp. | 899 | ||||||
| 3 | Textron, Inc. | 118 | ||||||
| 24 | United Technologies Corp. (o) | 2,462 | ||||||
|
| |||||||
| 7,414 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
| 2 | United Parcel Service, Inc., Class B | 238 | ||||||
|
| |||||||
Airlines — 0.6% | ||||||||
| 16 | Delta Air Lines, Inc. | 588 | ||||||
| 20 | United Continental Holdings, Inc. (a) | 803 | ||||||
|
| |||||||
| 1,391 | ||||||||
|
| |||||||
Building Products — 0.5% | ||||||||
| 8 | Allegion plc, (Ireland) | 576 | ||||||
| 22 | Masco Corp. | 688 | ||||||
|
| |||||||
| 1,264 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% | ||||||||
| 12 | Fluor Corp. (o) | 594 | ||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
| 24 | Eaton Corp. plc (o) | 1,425 | ||||||
| 3 | Emerson Electric Co. | 144 | ||||||
|
| |||||||
| 1,569 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% | ||||||||
| 1 | 3M Co. | 123 | ||||||
| 4 | Danaher Corp. | 398 | ||||||
| 73 | General Electric Co. (o) | 2,309 | ||||||
|
| |||||||
| 2,830 | ||||||||
|
| |||||||
Machinery — 1.9% | ||||||||
| 2 | Caterpillar, Inc. | 121 | ||||||
| 8 | Cummins, Inc. (o) | 944 | ||||||
| 2 | Deere & Co. | 138 | ||||||
| 5 | Ingersoll-Rand plc | 336 | ||||||
| 24 | PACCAR, Inc. (o) | 1,236 | ||||||
| 2 | Parker-Hannifin Corp. (o) | 241 | ||||||
| 2 | Pentair plc, (United Kingdom) | 135 | ||||||
| 2 | Snap-on, Inc. | 356 | ||||||
| 10 | Stanley Black & Decker, Inc. | 1,121 | ||||||
|
| |||||||
| 4,628 | ||||||||
|
| |||||||
Professional Services — 0.0% (g) |
| |||||||
| 1 | Equifax, Inc. | 120 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures and Options contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Road & Rail — 1.4% |
| |||||||
| 6 | Canadian Pacific Railway Ltd., (Canada) | 742 | ||||||
| 12 | CSX Corp. (o) | 325 | ||||||
| 26 | Union Pacific Corp. | 2,275 | ||||||
|
| |||||||
| 3,342 | ||||||||
|
| |||||||
Total Industrials | 23,390 | |||||||
|
| |||||||
Information Technology — 19.9% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 40 | Cisco Systems, Inc. (o) | 1,138 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
| 2 | Amphenol Corp., Class A | 125 | ||||||
| 23 | TE Connectivity Ltd., (Switzerland) (o) | 1,316 | ||||||
|
| |||||||
| 1,441 | ||||||||
|
| |||||||
Internet Software & Services — 4.5% |
| |||||||
| 5 | Alphabet, Inc., Class A (a) | 3,310 | ||||||
| 5 | Alphabet, Inc., Class C (a) | 3,276 | ||||||
| 37 | Facebook, Inc., Class A (a) | 4,241 | ||||||
|
| |||||||
| 10,827 | ||||||||
|
| |||||||
IT Services — 3.6% |
| |||||||
| 28 | Accenture plc, (Ireland), Class A | 3,212 | ||||||
| 2 | Automatic Data Processing, Inc. | 139 | ||||||
| 19 | Cognizant Technology Solutions Corp., Class A (a) (o) | 1,097 | ||||||
| 16 | Fidelity National Information Services, Inc. | 1,199 | ||||||
| 2 | Global Payments, Inc. | 133 | ||||||
| 2 | MasterCard, Inc., Class A | 211 | ||||||
| 6 | PayPal Holdings, Inc. (a) | 228 | ||||||
| 6 | Vantiv, Inc., Class A (a) | 321 | ||||||
| 30 | Visa, Inc., Class A (o) | 2,205 | ||||||
|
| |||||||
| 8,745 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
| 18 | Broadcom Ltd., (Singapore) (o) | 2,756 | ||||||
| 2 | KLA-Tencor Corp. | 147 | ||||||
| 24 | Lam Research Corp. (o) | 1,978 | ||||||
| 8 | NXP Semiconductors N.V., (Netherlands) (a) | 608 | ||||||
| 2 | Qorvo, Inc. (a) | 86 | ||||||
| 33 | Texas Instruments, Inc. (o) | 2,056 | ||||||
|
| |||||||
| 7,631 | ||||||||
|
| |||||||
Software — 4.0% |
| |||||||
| 24 | Adobe Systems, Inc. (a) (o) | 2,308 | ||||||
| 135 | Microsoft Corp. | 6,910 | ||||||
| 9 | Oracle Corp. (o) | 368 | ||||||
|
| |||||||
| 9,586 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 3.5% |
| |||||||
| 75 | Apple, Inc. | 7,126 | ||||||
| 6 | Hewlett Packard Enterprise Co. | 109 | ||||||
| 58 | HP, Inc. | 728 | ||||||
| 11 | Western Digital Corp. | 531 | ||||||
|
| |||||||
| 8,494 | ||||||||
|
| |||||||
Total Information Technology | 47,862 | |||||||
|
| |||||||
Materials — 2.8% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 22 | Dow Chemical Co. (The) | 1,085 | ||||||
| 22 | E.I. du Pont de Nemours & Co. (o) | 1,401 | ||||||
| 15 | Eastman Chemical Co. | 988 | ||||||
| 3 | Monsanto Co. | 360 | ||||||
| 35 | Mosaic Co. (The) (o) | 917 | ||||||
|
| |||||||
| 4,751 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 2 | Martin Marietta Materials, Inc. (o) | 351 | ||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
| 16 | Crown Holdings, Inc. (a) | 788 | ||||||
| 3 | Sealed Air Corp. | 121 | ||||||
| 10 | WestRock Co. | 388 | ||||||
|
| |||||||
| 1,297 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
| 6 | Newmont Mining Corp. | 251 | ||||||
| 1 | United States Steel Corp. | 24 | ||||||
|
| |||||||
| 275 | ||||||||
|
| |||||||
Total Materials | 6,674 | |||||||
|
| |||||||
Telecommunication Services — 2.0% |
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
| 73 | AT&T, Inc. (o) | 3,164 | ||||||
| 21 | Verizon Communications, Inc. (o) | 1,177 | ||||||
|
| |||||||
| 4,341 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 9 | T-Mobile US, Inc. (a) | 376 | ||||||
|
| |||||||
Total Telecommunication Services | 4,717 | |||||||
|
| |||||||
Utilities — 3.6% | ||||||||
Electric Utilities — 2.3% | ||||||||
| 18 | Edison International (o) | 1,382 | ||||||
| 3 | Exelon Corp. | 123 | ||||||
| 16 | NextEra Energy, Inc. (o) | 2,090 | ||||||
| 4 | PG&E Corp. | 266 | ||||||
| 36 | Xcel Energy, Inc. (o) | �� | 1,604 | |||||
|
| |||||||
| 5,465 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Gas Utilities — 0.1% |
| |||||||
| 7 | UGI Corp. | 319 | ||||||
|
| |||||||
Multi-Utilities — 1.2% | ||||||||
| 20 | CMS Energy Corp. | 900 | ||||||
| 23 | Public Service Enterprise Group, Inc. | 1,075 | ||||||
| 7 | Sempra Energy | 780 | ||||||
|
| |||||||
| 2,755 | ||||||||
|
| |||||||
Total Utilities | 8,539 | |||||||
|
| |||||||
Total Common Stocks | 237,718 | |||||||
|
| |||||||
| NUMBER OF CONTRACTS | ||||||||
| Option Purchased — 1.5% |
| ||||||
Put Option Purchased — 1.5% |
| |||||||
| 1,141 | S&P 500 Index, Expiring 09/30/16 at $1,980.00, European Style | 3,617 | ||||||
|
| |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investments — 0.5% |
| ||||||
U.S. Treasury Obligation — 0.0% (g) |
| |||||||
| 60 | U.S. Treasury Bill, 0.470%, | 60 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 0.5% | ||||||||
| 1,122 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,122 | ||||||
|
| |||||||
Total Short-Term Investments | 1,182 | |||||||
|
| |||||||
Total Investments — 101.0% | 242,517 | |||||||
Liabilities in Excess of | (2,314 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 240,203 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 17 | E-mini S&P 500 | 09/16/16 | USD | $ | 1,777 | $ | 22 | |||||||||||||
|
| |||||||||||||||||||
OPTIONS WRITTEN
| Call Option Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $3,122) | $ | 2,150.000 | 9/30/16 | 1,141 | $ | (3,201 | ) | |||||||||
|
| |||||||||||||||
| Put Option Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $716) | $ | 1,675.000 | 9/30/16 | 1,141 | $ | (673 | ) | |||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.5% |
| ||||||
Consumer Discretionary — 21.7% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 1,562 | Delphi Automotive plc, (United Kingdom) | 97,756 | ||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
| 371 | Tesla Motors, Inc. (a) | 78,692 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% |
| |||||||
| 5,334 | Starbucks Corp. | 304,660 | ||||||
|
| |||||||
Internet & Catalog Retail — 7.2% |
| |||||||
| 970 | Amazon.com, Inc. (a) | 694,466 | ||||||
| 2,182 | Netflix, Inc. (a) | 199,646 | ||||||
| 76 | Priceline Group, Inc. (The) (a) | 94,380 | ||||||
|
| |||||||
| 988,492 | ||||||||
|
| |||||||
Media — 3.2% |
| |||||||
| 6,655 | Comcast Corp., Class A | 433,840 | ||||||
|
| |||||||
Specialty Retail — 7.8% |
| |||||||
| 5,405 | Home Depot, Inc. (The) | 690,113 | ||||||
| 2,234 | Ross Stores, Inc. | 126,628 | ||||||
| 1,019 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 248,367 | ||||||
|
| |||||||
| 1,065,108 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,968,548 | |||||||
|
| |||||||
Consumer Staples — 8.2% |
| |||||||
Beverages — 3.3% |
| |||||||
| 2,325 | Coca-Cola Co. (The) | 105,401 | ||||||
| 815 | Constellation Brands, Inc., Class A | 134,751 | ||||||
| 1,357 | Monster Beverage Corp. (a) | 218,132 | ||||||
|
| |||||||
| 458,284 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.6% |
| |||||||
| 513 | Costco Wholesale Corp. | 80,593 | ||||||
| 1,493 | Walgreens Boots Alliance, Inc. | 124,314 | ||||||
| 2,125 | Wal-Mart Stores, Inc. | 155,182 | ||||||
|
| |||||||
| 360,089 | ||||||||
|
| |||||||
Tobacco — 2.3% |
| |||||||
| 5,752 | Reynolds American, Inc. | 310,205 | ||||||
|
| |||||||
Total Consumer Staples | 1,128,578 | |||||||
|
| |||||||
Energy — 0.5% |
| |||||||
Oil, Gas & Consumable Fuels — 0.5% |
| |||||||
| 404 | Pioneer Natural Resources Co. | 61,119 | ||||||
|
| |||||||
Financials — 2.4% |
| |||||||
Capital Markets — 0.5% |
| |||||||
| 2,392 | Charles Schwab Corp. (The) | 60,534 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 1.9% |
| |||||||
| 402 | Intercontinental Exchange, Inc. | 102,793 | ||||||
| 1,713 | Moody’s Corp. | 160,563 | ||||||
|
| |||||||
| 263,356 | ||||||||
|
| |||||||
Total Financials | 323,890 | |||||||
|
| |||||||
Health Care — 14.3% |
| |||||||
Biotechnology — 5.5% |
| |||||||
| 68 | Alexion Pharmaceuticals, Inc. (a) | 7,986 | ||||||
| 32 | Biogen, Inc. (a) | 7,617 | ||||||
| 322 | BioMarin Pharmaceutical, Inc. (a) | 25,044 | ||||||
| 629 | Celgene Corp. (a) | 61,999 | ||||||
| 3,436 | Gilead Sciences, Inc. | 286,648 | ||||||
| 193 | Incyte Corp. (a) | 15,468 | ||||||
| 668 | Regeneron Pharmaceuticals, Inc. (a) | 233,111 | ||||||
| 1,340 | Vertex Pharmaceuticals, Inc. (a) | 115,233 | ||||||
|
| |||||||
| 753,106 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.2% |
| |||||||
| 850 | Becton, Dickinson and Co. | 144,185 | ||||||
| 7,231 | Boston Scientific Corp. (a) | 168,982 | ||||||
| 404 | Intuitive Surgical, Inc. (a) | 267,342 | ||||||
|
| |||||||
| 580,509 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.9% |
| |||||||
| 998 | Illumina, Inc. (a) | 140,029 | ||||||
| 802 | Thermo Fisher Scientific, Inc. | 118,503 | ||||||
|
| |||||||
| 258,532 | ||||||||
|
| |||||||
Pharmaceuticals — 2.7% |
| |||||||
| 3,235 | Bristol-Myers Squibb Co. | 237,964 | ||||||
| 1,119 | Johnson & Johnson | 135,674 | ||||||
|
| |||||||
| 373,638 | ||||||||
|
| |||||||
Total Health Care | 1,965,785 | |||||||
|
| |||||||
Industrials — 7.6% |
| |||||||
Aerospace & Defense — 3.5% |
| |||||||
| 2,682 | Honeywell International, Inc. | 311,912 | ||||||
| 728 | Northrop Grumman Corp. | 161,753 | ||||||
|
| |||||||
| 473,665 | ||||||||
|
| |||||||
Airlines — 1.9% |
| |||||||
| 7,112 | Delta Air Lines, Inc. | 259,101 | ||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
| 633 | Acuity Brands, Inc. | 156,959 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 896 | Roper Technologies, Inc. | 152,822 | ||||||
|
| |||||||
Total Industrials | 1,042,547 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Information Technology — 38.1% |
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 690 | Amphenol Corp., Class A | 39,541 | ||||||
|
| |||||||
Internet Software & Services — 11.8% |
| |||||||
| 1,159 | Alphabet, Inc., Class C (a) | 802,118 | ||||||
| 5,730 | Facebook, Inc., Class A (a) | 654,824 | ||||||
| 231 | LinkedIn Corp., Class A (a) | 43,792 | ||||||
| 1,367 | VeriSign, Inc. (a) | 118,200 | ||||||
|
| |||||||
| 1,618,934 | ||||||||
|
| |||||||
IT Services — 10.6% |
| |||||||
| 1,347 | Accenture plc, (Ireland), Class A | 152,613 | ||||||
| 1,809 | Cognizant Technology Solutions Corp., Class A (a) | 103,547 | ||||||
| 4,796 | MasterCard, Inc., Class A | 422,318 | ||||||
| 2,532 | PayPal Holdings, Inc. (a) | 92,432 | ||||||
| 2,817 | Vantiv, Inc., Class A (a) | 159,454 | ||||||
| 7,062 | Visa, Inc., Class A | 523,766 | ||||||
|
| |||||||
| 1,454,130 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.8% |
| |||||||
| 304 | ARM Holdings plc, (United Kingdom), ADR | 13,844 | ||||||
| 173 | ASML Holding N.V., (Netherlands) | 17,161 | ||||||
| 1,501 | Broadcom Ltd., (Singapore) | 233,302 | ||||||
| 2,959 | NVIDIA Corp. | 139,093 | ||||||
| 1,521 | NXP Semiconductors N.V., (Netherlands) (a) | 119,187 | ||||||
|
| |||||||
| 522,587 | ||||||||
|
| |||||||
Software — 9.3% |
| |||||||
| 4,665 | Activision Blizzard, Inc. | 184,886 | ||||||
| 2,994 | Adobe Systems, Inc. (a) | 286,833 | ||||||
| 5,574 | Microsoft Corp. | 285,222 | ||||||
| 3,565 | salesforce.com, Inc. (a) | 283,073 | ||||||
| 2,510 | ServiceNow, Inc. (a) | 166,684 | ||||||
| 1,255 | Splunk, Inc. (a) | 68,001 | ||||||
|
| |||||||
| 1,274,699 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 2.3% |
| |||||||
| 3,281 | Apple, Inc. | 313,701 | ||||||
|
| |||||||
Total Information Technology | 5,223,592 | |||||||
|
| |||||||
Materials — 5.7% |
| |||||||
Chemicals — 4.5% |
| |||||||
| 1,224 | Ecolab, Inc. | 145,143 | ||||||
| 1,523 | LyondellBasell Industries N.V., Class A | 113,305 | ||||||
| 584 | PPG Industries, Inc. | 60,782 | ||||||
| 1,002 | Sherwin-Williams Co. (The) | 294,345 | ||||||
|
| |||||||
| 613,575 | ||||||||
|
| |||||||
Construction Materials — 1.2% |
| |||||||
| 1,426 | Vulcan Materials Co. | 171,681 | ||||||
|
| |||||||
Total Materials | 785,256 | |||||||
|
| |||||||
Total Common Stocks | 13,499,315 | |||||||
|
| |||||||
| Short-Term Investment — 1.8% | |||||||
Investment Company — 1.8% |
| |||||||
| 247,515 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) | 247,515 | ||||||
|
| |||||||
Total Investments — 100.3% | 13,746,830 | |||||||
Liabilities in Excess of | (42,694 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 13,704,136 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 22.8% |
| |||||||
Auto Components — 2.7% |
| |||||||
| 311 | Delphi Automotive plc, (United Kingdom) | 19,456 | ||||||
|
| |||||||
Automobiles — 3.4% |
| |||||||
| 855 | General Motors Co. | 24,191 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 6.3% |
| |||||||
| 131 | Bloomin’ Brands, Inc. | 2,345 | ||||||
| 533 | Carnival Corp. | 23,563 | ||||||
| 281 | Royal Caribbean Cruises Ltd. | 18,842 | ||||||
|
| |||||||
| 44,750 | ||||||||
|
| |||||||
Household Durables — 6.0% |
| |||||||
| 98 | CalAtlantic Group, Inc. | 3,598 | ||||||
| 123 | Harman International Industries, Inc. | 8,820 | ||||||
| 265 | MDC Holdings, Inc. | 6,452 | ||||||
| 52 | Meritage Homes Corp. (a) | 1,959 | ||||||
| 36 | Newell Brands, Inc. | 1,749 | ||||||
| 498 | PulteGroup, Inc. | 9,698 | ||||||
| 69 | Taylor Morrison Home Corp., Class A (a) | 1,025 | ||||||
| 353 | Toll Brothers, Inc. (a) | 9,494 | ||||||
|
| |||||||
| 42,795 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
| 23 | Brunswick Corp. | 1,051 | ||||||
|
| |||||||
Media — 3.1% |
| |||||||
| 14 | Charter Communications, Inc., Class A (a) | 3,249 | ||||||
| 218 | DISH Network Corp., Class A (a) | 11,429 | ||||||
| 46 | Time Warner, Inc. | 3,361 | ||||||
| 136 | Twenty-First Century Fox, Inc., Class A | 3,673 | ||||||
|
| |||||||
| 21,712 | ||||||||
|
| |||||||
Specialty Retail — 0.8% |
| |||||||
| 135 | Best Buy Co., Inc. | 4,140 | ||||||
| 17 | Lithia Motors, Inc., Class A | 1,201 | ||||||
|
| |||||||
| 5,341 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 59 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 2,924 | ||||||
|
| |||||||
Total Consumer Discretionary | 162,220 | |||||||
|
| |||||||
Consumer Staples — 3.0% |
| |||||||
Beverages — 1.1% |
| |||||||
| 78 | Molson Coors Brewing Co., Class B | 7,919 | ||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
| 301 | Kroger Co. (The) | 11,070 | ||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
| 74 | Snyder’s-Lance, Inc. | 2,494 | ||||||
|
| |||||||
Total Consumer Staples | 21,483 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 9.8% |
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
| 52 | Schlumberger Ltd. | 4,081 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.2% |
| |||||||
| 157 | Chevron Corp. | 16,437 | ||||||
| 60 | Diamondback Energy, Inc. (a) | 5,491 | ||||||
| 77 | EOG Resources, Inc. | 6,457 | ||||||
| 91 | Exxon Mobil Corp. | 8,556 | ||||||
| 116 | Occidental Petroleum Corp. | 8,727 | ||||||
| 74 | Pioneer Natural Resources Co. | 11,129 | ||||||
| 165 | Valero Energy Corp. | 8,405 | ||||||
|
| |||||||
| 65,202 | ||||||||
|
| |||||||
Total Energy | 69,283 | |||||||
|
| |||||||
Financials — 27.4% |
| |||||||
Banks — 16.3% |
| |||||||
| 1,316 | Bank of America Corp. | 17,466 | ||||||
| 332 | BB&T Corp. | 11,815 | ||||||
| 740 | Citigroup, Inc. | 31,386 | ||||||
| 54 | East West Bancorp, Inc. | 1,859 | ||||||
| 795 | Huntington Bancshares, Inc. | 7,108 | ||||||
| 801 | KeyCorp | 8,856 | ||||||
| 32 | M&T Bank Corp. | 3,760 | ||||||
| 415 | Regions Financial Corp. | 3,527 | ||||||
| 20 | SVB Financial Group (a) | 1,856 | ||||||
| 591 | Wells Fargo & Co. | 27,971 | ||||||
|
| |||||||
| 115,604 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
| 269 | Charles Schwab Corp. (The) | 6,806 | ||||||
| 219 | WisdomTree Investments, Inc. | 2,144 | ||||||
|
| |||||||
| 8,950 | ||||||||
|
| |||||||
Consumer Finance — 2.4% |
| |||||||
| 163 | Ally Financial, Inc. (a) | 2,786 | ||||||
| 143 | Capital One Financial Corp. | 9,069 | ||||||
| 198 | Synchrony Financial (a) | 4,998 | ||||||
|
| |||||||
| 16,853 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
| 74 | Berkshire Hathaway, Inc., Class B (a) | 10,714 | ||||||
| 70 | Voya Financial, Inc. | 1,736 | ||||||
|
| |||||||
| 12,450 | ||||||||
|
| |||||||
Insurance — 4.5% |
| |||||||
| 52 | American International Group, Inc. | 2,771 | ||||||
| 119 | Arthur J. Gallagher & Co. | 5,679 | ||||||
| 274 | MetLife, Inc. | 10,898 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 92 | Principal Financial Group, Inc. | 3,778 | ||||||
| 76 | Travelers Cos., Inc. (The) | 9,071 | ||||||
|
| |||||||
| 32,197 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||
| 98 | Outfront Media, Inc. | 2,359 | ||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
| 76 | St. Joe Co. (The) (a) | 1,354 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.7% |
| |||||||
| 201 | BofI Holding, Inc. (a) | 3,558 | ||||||
| 204 | MGIC Investment Corp. (a) | 1,215 | ||||||
|
| |||||||
| 4,773 | ||||||||
|
| |||||||
Total Financials | 194,540 | |||||||
|
| |||||||
Health Care — 14.4% |
| |||||||
Biotechnology — 2.5% |
| |||||||
| 19 | Alexion Pharmaceuticals, Inc. (a) | 2,207 | ||||||
| 9 | Biogen, Inc. (a) | 2,128 | ||||||
| 30 | Celgene Corp. (a) | 2,949 | ||||||
| 36 | Gilead Sciences, Inc. | 3,036 | ||||||
| 84 | Vertex Pharmaceuticals, Inc. (a) | 7,200 | ||||||
|
| |||||||
| 17,520 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.8% |
| |||||||
| 215 | Aetna, Inc. | 26,258 | ||||||
| 29 | Cigna Corp. | 3,750 | ||||||
| 21 | Humana, Inc. | 3,783 | ||||||
| 59 | McKesson Corp. | 11,012 | ||||||
| 25 | UnitedHealth Group, Inc. | 3,516 | ||||||
|
| |||||||
| 48,319 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
| 44 | PAREXEL International Corp. (a) | 2,767 | ||||||
|
| |||||||
Pharmaceuticals — 4.7% |
| |||||||
| 17 | Allergan plc (a) | 3,929 | ||||||
| 840 | Pfizer, Inc. | 29,576 | ||||||
|
| |||||||
| 33,505 | ||||||||
|
| |||||||
Total Health Care | 102,111 | |||||||
|
| |||||||
Industrials — 5.0% |
| |||||||
Aerospace & Defense — 1.2% |
| |||||||
| 20 | General Dynamics Corp. | 2,743 | ||||||
| 152 | Textron, Inc. | 5,550 | ||||||
|
| |||||||
| 8,293 | ||||||||
|
| |||||||
Airlines — 2.5% |
| |||||||
| 82 | Delta Air Lines, Inc. | 2,994 | ||||||
| 179 | Southwest Airlines Co. | 7,007 | ||||||
| 179 | Spirit Airlines, Inc. (a) | 8,023 | ||||||
|
| |||||||
| 18,024 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 0.7% |
| |||||||
| 177 | Allison Transmission Holdings, Inc. | 4,988 | ||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
| 32 | Canadian Pacific Railway Ltd., (Canada) | 4,147 | ||||||
|
| |||||||
Total Industrials | 35,452 | |||||||
|
| |||||||
Information Technology — 9.2% |
| |||||||
Communications Equipment — 0.2% |
| |||||||
| 26 | Arista Networks, Inc. (a) | 1,687 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 56 | TE Connectivity Ltd., (Switzerland) | 3,170 | ||||||
|
| |||||||
Internet Software & Services — 0.7% |
| |||||||
| 96 | eBay, Inc. (a) | 2,257 | ||||||
| 68 | Yahoo!, Inc. (a) | 2,565 | ||||||
|
| |||||||
| 4,822 | ||||||||
|
| |||||||
IT Services — 1.1% |
| |||||||
| 36 | Fidelity National Information Services, Inc. | 2,638 | ||||||
| 450 | First Data Corp., Class A (a) | 4,983 | ||||||
|
| |||||||
| 7,621 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.5% |
| |||||||
| 83 | Broadcom Ltd., (Singapore) | 12,922 | ||||||
| 67 | Lam Research Corp. | 5,649 | ||||||
| 292 | Marvell Technology Group Ltd., (Bermuda) | 2,785 | ||||||
| 131 | NXP Semiconductors N.V., (Netherlands) (a) | 10,286 | ||||||
|
| |||||||
| 31,642 | ||||||||
|
| |||||||
Software — 0.4% |
| |||||||
| 48 | Synopsys, Inc. (a) | 2,607 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.9% |
| |||||||
| 39 | Apple, Inc. | 3,681 | ||||||
| 372 | EMC Corp. | 10,099 | ||||||
|
| |||||||
| 13,780 | ||||||||
|
| |||||||
Total Information Technology | 65,329 | |||||||
|
| |||||||
Materials — 2.5% |
| |||||||
Chemicals — 2.5% |
| |||||||
| 140 | Axiall Corp. | 4,579 | ||||||
| 60 | E.I. du Pont de Nemours & Co. | 3,901 | ||||||
| 76 | Eastman Chemical Co. | 5,140 | ||||||
| 44 | FMC Corp. | 2,015 | ||||||
| 84 | Mosaic Co. (The) | 2,210 | ||||||
|
| |||||||
Total Materials | 17,845 | |||||||
|
| |||||||
Telecommunication Services — 2.1% |
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
| 173 | AT&T, Inc. | 7,484 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Wireless Telecommunication Services — 1.0% |
| |||||||
| 172 | T-Mobile US, Inc. (a) | 7,435 | ||||||
|
| |||||||
Total Telecommunication Services | 14,919 | |||||||
|
| |||||||
Utilities — 1.1% |
| |||||||
Electric Utilities — 1.1% |
| |||||||
| 59 | NextEra Energy, Inc. | 7,681 | ||||||
|
| |||||||
Total Common Stocks | 690,863 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% | |||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 36 | Emergent Capital, Inc., expiring | — | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 6.8% |
| ||||||
Investment Company — 6.8% |
| |||||||
| 48,090 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) | 48,090 | ||||||
|
| |||||||
Total Investments — 104.1% | 738,953 | |||||||
Liabilities in Excess of | (29,007 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 709,946 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.6% |
| ||||||
Consumer Discretionary — 15.7% |
| |||||||
Auto Components — 0.6% |
| |||||||
| 1,209 | Delphi Automotive plc, (United Kingdom) | 75,703 | ||||||
|
| |||||||
Automobiles — 1.3% |
| |||||||
| 1,809 | Ford Motor Co. | 22,744 | ||||||
| 5,057 | General Motors Co. | 143,117 | ||||||
|
| |||||||
| 165,861 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
| 215 | Carnival Corp. | 9,490 | ||||||
| 28 | Chipotle Mexican Grill, Inc. (a) | 11,422 | ||||||
| 967 | Royal Caribbean Cruises Ltd. | 64,938 | ||||||
| 667 | Starbucks Corp. | 38,115 | ||||||
| 190 | Yum! Brands, Inc. | 15,772 | ||||||
|
| |||||||
| 139,737 | ||||||||
|
| |||||||
Household Durables — 1.6% |
| |||||||
| 1,647 | D.R. Horton, Inc. | 51,855 | ||||||
| 658 | Harman International Industries, Inc. | 47,278 | ||||||
| 177 | Mohawk Industries, Inc. (a) | 33,628 | ||||||
| 1,300 | PulteGroup, Inc. | 25,344 | ||||||
| 1,215 | Toll Brothers, Inc. (a) | 32,708 | ||||||
| 66 | Whirlpool Corp. | 11,054 | ||||||
|
| |||||||
| 201,867 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.0% |
| |||||||
| 343 | Amazon.com, Inc. (a) | 245,241 | ||||||
|
| |||||||
Media — 5.3% |
| |||||||
| 626 | CBS Corp. (Non-Voting), Class B | 34,072 | ||||||
| 313 | Charter Communications, Inc., Class A (a) | 71,632 | ||||||
| 1,148 | Comcast Corp., Class A | 74,852 | ||||||
| 1,385 | DISH Network Corp., Class A (a) | 72,550 | ||||||
| 2,645 | Time Warner, Inc. | 194,510 | ||||||
| 268 | Time, Inc. | 4,415 | ||||||
| 4,019 | Twenty-First Century Fox, Inc., Class A | 108,723 | ||||||
| 990 | Twenty-First Century Fox, Inc., Class B | 26,983 | ||||||
| 662 | Walt Disney Co. (The) | 64,771 | ||||||
|
| |||||||
| 652,508 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
| 925 | Best Buy Co., Inc. | 28,292 | ||||||
| 652 | Home Depot, Inc. (The) | 83,290 | ||||||
| 3,355 | Lowe’s Cos., Inc. | 265,588 | ||||||
| 14 | O’Reilly Automotive, Inc. (a) | 3,843 | ||||||
| 944 | TJX Cos., Inc. (The) | 72,917 | ||||||
|
| |||||||
| 453,930 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — 0.1% |
| |||||||
| 150 | V.F. Corp. | 9,210 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,944,057 | |||||||
|
| |||||||
Consumer Staples — 7.0% |
| |||||||
Beverages — 3.1% |
| |||||||
| 2,000 | Coca-Cola Co. (The) | 90,668 | ||||||
| 145 | Constellation Brands, Inc., Class A | 24,014 | ||||||
| 1,441 | Molson Coors Brewing Co., Class B | 145,774 | ||||||
| 1,152 | PepsiCo, Inc. | 122,045 | ||||||
|
| |||||||
| 382,501 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 389 | Costco Wholesale Corp. | 61,055 | ||||||
| 2,458 | Kroger Co. (The) | 90,425 | ||||||
|
| |||||||
| 151,480 | ||||||||
|
| |||||||
Food Products — 1.2% |
| |||||||
| 3,211 | Mondelez International, Inc., Class A | 146,129 | ||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
| 758 | Kimberly-Clark Corp. | 104,198 | ||||||
| 293 | Procter & Gamble Co. (The) | 24,789 | ||||||
|
| |||||||
| 128,987 | ||||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
| 585 | Philip Morris International, Inc. | 59,460 | ||||||
|
| |||||||
Total Consumer Staples | 868,557 | |||||||
|
| |||||||
Energy — 7.3% |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
| 112 | Halliburton Co. | 5,057 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.3% |
| |||||||
| 1,807 | Cabot Oil & Gas Corp. | 46,501 | ||||||
| 956 | Chevron Corp. | 100,243 | ||||||
| 285 | Concho Resources, Inc. (a) | 33,940 | ||||||
| 767 | Diamondback Energy, Inc. (a) | 69,985 | ||||||
| 168 | Energen Corp. | 8,110 | ||||||
| 2,031 | EOG Resources, Inc. | 169,418 | ||||||
| 1,067 | EQT Corp. | 82,643 | ||||||
| 705 | Marathon Petroleum Corp. | 26,748 | ||||||
| 2,528 | Occidental Petroleum Corp. | 191,041 | ||||||
| 934 | Pioneer Natural Resources Co. | 141,221 | ||||||
| 164 | RSP Permian, Inc. (a) | 5,728 | ||||||
| 148 | TransCanada Corp., (Canada) | 6,704 | ||||||
| 329 | Valero Energy Corp. | 16,773 | ||||||
|
| |||||||
| 899,055 | ||||||||
|
| |||||||
Total Energy | 904,112 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Financials — 15.5% |
| |||||||
Banks — 5.8% |
| |||||||
| 7,405 | Bank of America Corp. | 98,268 | ||||||
| 3,492 | Citigroup, Inc. | 148,031 | ||||||
| 236 | East West Bancorp, Inc. | 8,073 | ||||||
| 6,087 | KeyCorp | 67,260 | ||||||
| 1,949 | Regions Financial Corp. | 16,582 | ||||||
| 704 | SunTrust Banks, Inc. | 28,931 | ||||||
| 189 | SVB Financial Group (a) | 18,019 | ||||||
| 6,625 | Wells Fargo & Co. | 313,546 | ||||||
| 544 | Zions Bancorporation | 13,681 | ||||||
|
| |||||||
| 712,391 | ||||||||
|
| |||||||
Capital Markets — 2.8% |
| |||||||
| 28 | Ameriprise Financial, Inc. | 2,505 | ||||||
| 197 | BlackRock, Inc. | 67,534 | ||||||
| 2,419 | Charles Schwab Corp. (The) | 61,212 | ||||||
| 456 | Goldman Sachs Group, Inc. (The) | 67,727 | ||||||
| 225 | Invesco Ltd. | 5,754 | ||||||
| 5,174 | Morgan Stanley | 134,432 | ||||||
|
| |||||||
| 339,164 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
| 345 | Capital One Financial Corp. | 21,915 | ||||||
| 1,273 | Discover Financial Services | 68,198 | ||||||
|
| |||||||
| 90,113 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
| 231 | Intercontinental Exchange, Inc. | 59,092 | ||||||
|
| |||||||
Insurance — 5.0% |
| |||||||
| 1,576 | American International Group, Inc. | 83,333 | ||||||
| 967 | Arthur J. Gallagher & Co. | 46,009 | ||||||
| 1,846 | Chubb Ltd., (Switzerland) | 241,326 | ||||||
| 22 | Everest Re Group Ltd., (Bermuda) | 4,001 | ||||||
| 678 | Hartford Financial Services Group, Inc. (The) | 30,092 | ||||||
| 1,027 | Marsh & McLennan Cos., Inc. | 70,284 | ||||||
| 3,600 | MetLife, Inc. | 143,401 | ||||||
| 139 | XL Group plc, (Ireland) | 4,646 | ||||||
|
| |||||||
| 623,092 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.7% |
| |||||||
| 237 | AvalonBay Communities, Inc. | 42,719 | ||||||
| 772 | Kimco Realty Corp. | 24,233 | ||||||
| 429 | Prologis, Inc. | 21,052 | ||||||
| 30 | SL Green Realty Corp. | 3,157 | ||||||
|
| |||||||
| 91,161 | ||||||||
|
| |||||||
Total Financials | 1,915,013 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 15.2% |
| |||||||
Biotechnology — 3.6% |
| |||||||
| 503 | Alexion Pharmaceuticals, Inc. (a) | 58,701 | ||||||
| 253 | Biogen, Inc. (a) | 61,273 | ||||||
| 261 | BioMarin Pharmaceutical, Inc. (a) | 20,315 | ||||||
| 871 | Celgene Corp. (a) | 85,891 | ||||||
| 1,586 | Gilead Sciences, Inc. | 132,266 | ||||||
| 941 | Vertex Pharmaceuticals, Inc. (a) | 80,976 | ||||||
|
| |||||||
| 439,422 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 520 | Abbott Laboratories | 20,448 | ||||||
| 4,534 | Boston Scientific Corp. (a) | 105,952 | ||||||
|
| |||||||
| 126,400 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.4% |
| |||||||
| 1,190 | Aetna, Inc. | 145,381 | ||||||
| 37 | Anthem, Inc. | 4,850 | ||||||
| 124 | Cigna Corp. | 15,869 | ||||||
| 375 | Humana, Inc. | 67,508 | ||||||
| 441 | McKesson Corp. | 82,331 | ||||||
| 1,621 | UnitedHealth Group, Inc. | 228,824 | ||||||
|
| |||||||
| 544,763 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
| 400 | Agilent Technologies, Inc. | 17,727 | ||||||
| 376 | Illumina, Inc. (a) | 52,787 | ||||||
|
| |||||||
| 70,514 | ||||||||
|
| |||||||
Pharmaceuticals — 5.6% |
| |||||||
| 576 | Allergan plc (a) | 133,186 | ||||||
| 2,521 | Bristol-Myers Squibb Co. | 185,442 | ||||||
| 1,801 | Eli Lilly & Co. | 141,793 | ||||||
| 6,681 | Pfizer, Inc. | 235,244 | ||||||
|
| |||||||
| 695,665 | ||||||||
|
| |||||||
Total Health Care | 1,876,764 | |||||||
|
| |||||||
Industrials — 9.5% |
| |||||||
Aerospace & Defense — 2.9% |
| |||||||
| 1,402 | Honeywell International, Inc. | 163,064 | ||||||
| 158 | L-3 Communications Holdings, Inc. | 23,214 | ||||||
| 402 | Northrop Grumman Corp. | 89,275 | ||||||
| 832 | United Technologies Corp. | 85,293 | ||||||
|
| |||||||
| 360,846 | ||||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
| 1,714 | Delta Air Lines, Inc. | 62,437 | ||||||
| 91 | Spirit Airlines, Inc. (a) | 4,072 | ||||||
| 1,593 | United Continental Holdings, Inc. (a) | 65,361 | ||||||
|
| |||||||
| 131,870 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Building Products — 0.9% |
| |||||||
| 786 | Allegion plc, (Ireland) | 54,601 | ||||||
| 59 | Lennox International, Inc. | 8,463 | ||||||
| 1,603 | Masco Corp. | 49,595 | ||||||
|
| |||||||
| 112,659 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
| 47 | Tyco International plc | 2,010 | ||||||
| 51 | Waste Connections, Inc., (Canada) | 3,669 | ||||||
|
| |||||||
| 5,679 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% |
| |||||||
| 384 | Eaton Corp. plc | 22,912 | ||||||
| 455 | Sensata Technologies Holding N.V. (a) | 15,878 | ||||||
|
| |||||||
| 38,790 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.5% |
| |||||||
| 94 | Danaher Corp. | 9,490 | ||||||
| 5,580 | General Electric Co. | 175,651 | ||||||
|
| |||||||
| 185,141 | ||||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 223 | Deere & Co. | 18,104 | ||||||
| 110 | Ingersoll-Rand plc | 6,975 | ||||||
| 615 | PACCAR, Inc. | 31,892 | ||||||
| 65 | Snap-on, Inc. | 10,268 | ||||||
| 1,207 | Stanley Black & Decker, Inc. | 134,192 | ||||||
|
| |||||||
| 201,431 | ||||||||
|
| |||||||
Road & Rail — 1.2% |
| |||||||
| 299 | Canadian Pacific Railway Ltd., (Canada) | 38,534 | ||||||
| 1,185 | Union Pacific Corp. | 103,378 | ||||||
|
| |||||||
| 141,912 | ||||||||
|
| |||||||
Total Industrials | 1,178,328 | |||||||
|
| |||||||
Information Technology — 20.8% |
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 1,021 | TE Connectivity Ltd., (Switzerland) | 58,281 | ||||||
|
| |||||||
Internet Software & Services — 5.2% |
| |||||||
| 322 | Alphabet, Inc., Class A (a) | 226,313 | ||||||
| 340 | Alphabet, Inc., Class C (a) | 235,324 | ||||||
| 1,628 | Facebook, Inc., Class A (a) | 186,105 | ||||||
|
| |||||||
| 647,742 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 1,380 | Accenture plc, (Ireland), Class A | 156,384 | ||||||
| 1,235 | Fidelity National Information Services, Inc. | 91,029 | ||||||
| 379 | MasterCard, Inc., Class A | 33,403 | ||||||
| 121 | PayPal Holdings, Inc. (a) | 4,422 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — continued |
| |||||||
| 1,743 | Visa, Inc., Class A | 129,285 | ||||||
| 68 | WEX, Inc. (a) | 6,010 | ||||||
|
| |||||||
| 420,533 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
| 1,573 | Broadcom Ltd., (Singapore) | 244,451 | ||||||
| 1,973 | Lam Research Corp. | 165,819 | ||||||
| 488 | Marvell Technology Group Ltd., (Bermuda) | 4,650 | ||||||
| 1,222 | NXP Semiconductors N.V., (Netherlands) (a) | 95,732 | ||||||
| 2,447 | Texas Instruments, Inc. | 153,333 | ||||||
|
| |||||||
| 663,985 | ||||||||
|
| |||||||
Software — 4.1% |
| |||||||
| 1,052 | Adobe Systems, Inc. (a) | 100,728 | ||||||
| 7,390 | Microsoft Corp. | 378,137 | ||||||
| 388 | Workday, Inc., Class A (a) | 29,005 | ||||||
|
| |||||||
| 507,870 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.2% |
| |||||||
| 2,765 | Apple, Inc. | 264,314 | ||||||
| 821 | HP, Inc. | 10,310 | ||||||
|
| |||||||
| 274,624 | ||||||||
|
| |||||||
Total Information Technology | 2,573,035 | |||||||
|
| |||||||
Materials — 3.0% |
| |||||||
Chemicals — 1.7% |
| |||||||
| 16 | Albemarle Corp. | 1,277 | ||||||
| 710 | CF Industries Holdings, Inc. | 17,109 | ||||||
| 415 | Dow Chemical Co. (The) | 20,619 | ||||||
| 639 | E.I. du Pont de Nemours & Co. | 41,425 | ||||||
| 1,183 | Eastman Chemical Co. | 80,307 | ||||||
| 63 | Monsanto Co. | 6,555 | ||||||
| 1,318 | Mosaic Co. (The) | 34,500 | ||||||
| 79 | PPG Industries, Inc. | 8,263 | ||||||
|
| |||||||
| 210,055 | ||||||||
|
| |||||||
Construction Materials — 0.8% |
| |||||||
| 203 | Martin Marietta Materials, Inc. | 38,941 | ||||||
| 523 | Vulcan Materials Co. | 62,968 | ||||||
|
| |||||||
| 101,909 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
| 1,123 | Crown Holdings, Inc. (a) | 56,910 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) |
| |||||||
| 408 | United States Steel Corp. | 6,883 | ||||||
|
| |||||||
Total Materials | 375,757 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Telecommunication Services — 1.9% |
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
| 3,946 | AT&T, Inc. | 170,487 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 1,634 | T-Mobile US, Inc. (a) | 70,690 | ||||||
|
| |||||||
Total Telecommunication Services | 241,177 | |||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.8% |
| |||||||
| 759 | Edison International | 58,989 | ||||||
| 820 | NextEra Energy, Inc. | 106,971 | ||||||
| 33 | PG&E Corp. | 2,125 | ||||||
| 1,351 | Xcel Energy, Inc. | 60,503 | ||||||
|
| |||||||
| 228,588 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% |
| |||||||
| 948 | CMS Energy Corp. | 43,453 | ||||||
| 369 | Public Service Enterprise Group, Inc. | 17,222 | ||||||
| 397 | Sempra Energy | 45,307 | ||||||
|
| |||||||
| 105,982 | ||||||||
|
| |||||||
Total Utilities | 334,570 | |||||||
|
| |||||||
Total Common Stocks | 12,211,370 | |||||||
|
| |||||||
NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% |
| ||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
| 24 | Emergent Capital, Inc., expiring | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% |
| |||||||
| 134,343 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 134,343 | ||||||
|
| |||||||
Total Investments — 99.7% | 12,345,713 | |||||||
Other Assets in Excess of | 36,774 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,382,487 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 628 | E-mini S&P 500 | 09/16/16 | USD | $ | 65,632 | $ | 1,108 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| 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. | |
| (g) | — Amount rounds to less than 0.05%. | |
| (h) | — Amount rounds to less than 500 (shares or dollars). | |
| (k) | — All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| (l) | — The rate shown is the current yield as of June 30, 2016. | |
| (n) | — The rate shown is the effective yield at the date of purchase. | |
| (o) | — All or a portion of the security is segregated for options written. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(Amounts in thousands, except per share amounts)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 8,123,728 | $ | 317,865 | $ | 134,699 | ||||||
Investments in affiliates, at value | 174,657 | 11,878 | 6,771 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 8,298,385 | 329,743 | 141,470 | |||||||||
Cash | 10 | — | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 258,126 | — | 2,282 | |||||||||
Fund shares sold | 62,653 | 264 | 423 | |||||||||
Dividends from non-affiliates | 7,816 | 87 | 52 | |||||||||
Dividends from affiliates | 40 | 2 | 2 | |||||||||
Variation margin on futures contracts | 2,052 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 8,629,082 | 330,096 | 144,229 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 400,039 | — | 4,339 | |||||||||
Fund shares redeemed | 4,382 | 398 | 268 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,597 | 155 | 66 | |||||||||
Administration fees | 540 | 16 | 5 | |||||||||
Distribution fees | 103 | 19 | 1 | |||||||||
Shareholder servicing fees | 32 | 20 | 28 | |||||||||
Custodian and accounting fees | 38 | 5 | 8 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 21 | — | — | |||||||||
Sub-transfer agency fees | 511 | 36 | 3 | |||||||||
Other | 241 | 40 | 22 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 407,504 | 689 | 4,740 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 8,221,578 | $ | 329,407 | $ | 139,489 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 8,087,518 | $ | 273,600 | $ | 130,228 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 14,017 | (147 | ) | 185 | ||||||||
Accumulated net realized gains (losses) | (648,336 | ) | (13,764 | ) | (1,116 | ) | ||||||
Net unrealized appreciation (depreciation) | 768,379 | 69,718 | 10,192 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 8,221,578 | $ | 329,407 | $ | 139,489 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 497,934 | $ | 53,334 | $ | 1,937 | ||||||
Class C | — | 12,077 | 1,268 | |||||||||
Class R5 | — | 226,600 | — | |||||||||
Class R6 | 6,638,591 | — | — | |||||||||
Institutional Class | 824,559 | — | — | |||||||||
Select Class | 260,494 | 37,396 | 136,284 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,221,578 | $ | 329,407 | $ | 139,489 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 22,902 | 2,210 | 82 | |||||||||
Class C | — | 523 | 55 | |||||||||
Class R5 | — | 9,030 | — | |||||||||
Class R6 | 303,161 | — | — | |||||||||
Institutional Class | 37,663 | — | — | |||||||||
Select Class | 11,882 | 1,516 | 5,697 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 21.74 | $ | 24.13 | $ | 23.73 | ||||||
Class C — Offering price per share (b) | — | 23.10 | 23.18 | |||||||||
Class R5 — Offering and redemption price per share | — | 25.09 | — | |||||||||
Class R6 — Offering and redemption price per share | 21.90 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 21.89 | — | — | |||||||||
Select Class — Offering and redemption price per share | 21.92 | 24.66 | 23.92 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 22.94 | $ | 25.47 | $ | 25.04 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 7,356,801 | $ | 248,147 | $ | 124,507 | ||||||
Cost of investments in affiliates | 174,657 | 11,878 | 6,771 | |||||||||
| (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, 2016 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except per share amounts)
Equity | Growth and Income Fund | Hedged Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 11,517,849 | $ | 478,689 | $ | 241,395 | ||||||
Investments in affiliates, at value | 533,390 | 7,673 | 1,122 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 12,051,239 | 486,362 | 242,517 | |||||||||
Cash | — | — | 13 | |||||||||
Deposits at broker for futures contracts | — | — | 225 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 11,541 | 3,648 | 4,459 | |||||||||
Fund shares sold | 34,878 | 175 | 1,641 | |||||||||
Dividends from non-affiliates | 23,439 | 814 | 264 | |||||||||
Dividends from affiliates | 125 | 1 | 1 | |||||||||
Variation margin on futures contracts | — | — | 20 | |||||||||
Due from Adviser | — | — | 1 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 12,121,222 | 491,000 | 249,141 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 28,998 | 1,582 | 4,196 | |||||||||
Fund shares redeemed | 15,628 | 1,024 | 675 | |||||||||
Outstanding options written, at fair value | — | — | 3,874 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,825 | 144 | — | |||||||||
Administration fees | 783 | 23 | — | |||||||||
Distribution fees | 1,498 | 103 | 21 | |||||||||
Shareholder servicing fees | 1,668 | 89 | 35 | |||||||||
Custodian and accounting fees | 34 | 6 | 13 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 13 | — | (a) | — | (a) | |||||||
Sub-transfer agency fees | 1,895 | 58 | 55 | |||||||||
Other | 559 | 151 | 69 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 54,901 | 3,180 | 8,938 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 12,066,321 | $ | 487,820 | $ | 240,203 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
Equity | Growth and Income Fund | Hedged Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 10,072,586 | $ | 346,213 | $ | 236,464 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,930 | 251 | 476 | |||||||||
Accumulated net realized gains (losses) | (18,026 | ) | 11,411 | (19,120 | ) | |||||||
Net unrealized appreciation (depreciation) | 2,009,831 | 129,945 | 22,383 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 12,066,321 | $ | 487,820 | $ | 240,203 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 3,370,383 | $ | 422,151 | $ | 71,417 | ||||||
Class C | 1,304,007 | 25,541 | 9,867 | |||||||||
Class R2 | 77,230 | 20 | — | |||||||||
Class R5 | 722,424 | 20 | 25 | |||||||||
Class R6 | 1,913,077 | 20 | 74 | |||||||||
Select Class | 4,679,200 | 40,068 | 158,820 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 12,066,321 | $ | 487,820 | $ | 240,203 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 240,539 | 9,875 | 4,401 | |||||||||
Class C | 94,520 | 654 | 610 | |||||||||
Class R2 | 5,528 | 1 | — | |||||||||
Class R5 | 50,761 | — | (a) | 1 | ||||||||
Class R6 | 134,498 | — | (a) | 5 | ||||||||
Select Class | 328,898 | 895 | 9,767 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 14.01 | $ | 42.75 | $ | 16.23 | ||||||
Class C — Offering price per share (c) | 13.80 | 39.07 | 16.17 | |||||||||
Class R2 — Offering and redemption price per share | 13.97 | 42.94 | — | |||||||||
Class R5 — Offering and redemption price per share | 14.23 | 45.01 | 16.28 | |||||||||
Class R6 — Offering and redemption price per share | 14.22 | 45.01 | 16.28 | |||||||||
Select Class — Offering and redemption price per share | 14.23 | 44.77 | 16.26 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 14.79 | $ | 45.12 | $ | 17.13 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 9,508,018 | $ | 348,744 | $ | 218,998 | ||||||
Cost of investments in affiliates | 533,390 | 7,673 | 1,122 | |||||||||
Premiums received from options written | — | — | 3,838 | |||||||||
| (a) | Amount rounds to less than 500 shares. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016 (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 | $ | 13,499,315 | $ | 690,863 | $ | 12,211,370 | ||||||
Investments in affiliates, at value | 247,515 | 48,090 | 134,343 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 13,746,830 | 738,953 | 12,345,713 | |||||||||
Deposits at broker for futures contracts | — | — | 2,215 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 92,404 | 4,829 | 105,840 | |||||||||
Fund shares sold | 63,528 | 185 | 56,523 | |||||||||
Dividends from non-affiliates | 4,946 | 399 | 11,473 | |||||||||
Dividends from affiliates | 85 | 5 | 39 | |||||||||
Variation margin on futures contracts | — | — | 755 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 13,907,793 | 744,371 | 12,522,558 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | — | 93 | |||||||||
Investment securities purchased | 97,646 | 33,844 | 109,248 | |||||||||
Fund shares redeemed | 92,615 | 116 | 22,782 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 5,591 | 233 | 3,695 | |||||||||
Administration fees | 926 | 48 | 823 | |||||||||
Distribution fees | 1,315 | 32 | 568 | |||||||||
Shareholder servicing fees | 999 | 22 | 133 | |||||||||
Custodian and accounting fees | 90 | 9 | 69 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 17 | — | 25 | |||||||||
Sub-transfer agency fees | 3,621 | 20 | 2,042 | |||||||||
Other | 837 | 101 | 593 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 203,657 | 34,425 | 140,071 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 13,704,136 | $ | 709,946 | $ | 12,382,487 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 9,053,437 | $ | 656,092 | $ | 9,771,684 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (159 | ) | 258 | 7,505 | ||||||||
Accumulated net realized gains (losses) | 531,863 | 9,961 | (319,921 | ) | ||||||||
Net unrealized appreciation (depreciation) | 4,118,995 | 43,635 | 2,923,219 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 13,704,136 | $ | 709,946 | $ | 12,382,487 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 4,251,242 | $ | 96,373 | $ | 1,446,878 | ||||||
Class C | 559,238 | 17,041 | 294,744 | |||||||||
Class R2 | 192,560 | 3,462 | 205,224 | |||||||||
Class R5 | 1,209,521 | 4,155 | 910,033 | |||||||||
Class R6 | 3,330,565 | 565,542 | 4,755,359 | |||||||||
Institutional Class | — | — | 3,704,104 | |||||||||
Select Class | 4,161,010 | 23,373 | 1,066,145 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 13,704,136 | $ | 709,946 | $ | 12,382,487 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 129,086 | 7,581 | 105,151 | |||||||||
Class C | 19,870 | 1,386 | 21,977 | |||||||||
Class R2 | 5,959 | 274 | 15,019 | |||||||||
Class R5 | 36,152 | 329 | 65,921 | |||||||||
Class R6 | 99,194 | 45,040 | 344,017 | |||||||||
Institutional Class | — | — | 268,424 | |||||||||
Select Class | 125,795 | 1,865 | 77,323 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 32.93 | $ | 12.71 | $ | 13.76 | ||||||
Class C — Offering price per share (b) | 28.15 | 12.30 | 13.41 | |||||||||
Class R2 — Offering and redemption price per share | 32.31 | 12.64 | 13.66 | |||||||||
Class R5 — Offering and redemption price per share | 33.46 | 12.63 | 13.81 | |||||||||
Class R6 — Offering and redemption price per share | 33.58 | 12.56 | 13.82 | |||||||||
Institutional Class — Offering and redemption price per share | — | — | 13.80 | |||||||||
Select Class — Offering and redemption price per share | 33.08 | 12.53 | 13.79 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 34.75 | $ | 13.41 | $ | 14.52 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 9,380,320 | $ | 647,228 | $ | 9,289,259 | ||||||
Cost of investments in affiliates | 247,515 | 48,090 | 134,343 | |||||||||
| (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, 2016 | J.P. MORGAN LARGE CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 30 | $ | — | $ | — | ||||||
Dividend income from non-affiliates | 163,062 | 2,350 | 1,300 | |||||||||
Dividend income from affiliates | 292 | 27 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 163,384 | 2,377 | 1,314 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 20,084 | 2,099 | 694 | |||||||||
Administration fees | 6,586 | 287 | 88 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,322 | 127 | 4 | |||||||||
Class C | — | 84 | 8 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,322 | 127 | 4 | |||||||||
Class C | — | 28 | 3 | |||||||||
Class R5 | — | 75 | — | |||||||||
Institutional Class | 799 | — | — | |||||||||
Select Class | 695 | 341 | 260 | |||||||||
Custodian and accounting fees | 249 | 29 | 30 | |||||||||
Interest expense to affiliates | — | — | (a) | — | (a) | |||||||
Professional fees | 126 | 43 | 47 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 75 | 9 | 7 | |||||||||
Printing and mailing costs | 273 | 19 | 3 | |||||||||
Registration and filing fees | 310 | 63 | 36 | |||||||||
Transfer agency fees (See Note 2.E.) | 118 | 20 | 6 | |||||||||
Sub-transfer agency fees (See Note 2.E.) | 1,586 | 125 | 5 | |||||||||
Other | 62 | 8 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 33,607 | 3,484 | 1,201 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,829 | ) | (286 | ) | (129 | ) | ||||||
Less expense reimbursements | (70 | ) | — | — | (a) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 31,708 | 3,198 | 1,072 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 131,676 | (821 | ) | 242 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (587,619 | ) | (9,188 | ) | (650 | ) | ||||||
Futures | (4,402 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (592,021 | ) | (9,188 | ) | (650 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 149,794 | (1,272 | ) | 2,777 | ||||||||
Futures | 1,896 | — | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 151,690 | (1,272 | ) | 2,777 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (440,331 | ) | (10,460 | ) | 2,127 | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (308,655 | ) | $ | (11,281 | ) | $ | 2,369 | ||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
Equity | Growth and Income Fund | Hedged Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | 1 | ||||||
Dividend income from non-affiliates | 304,888 | 11,803 | 5,210 | |||||||||
Dividend income from affiliates | 686 | 20 | 9 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 305,574 | 11,823 | 5,220 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 42,662 | 1,942 | 613 | |||||||||
Administration fees | 8,744 | 398 | 201 | |||||||||
Distribution fees: | ||||||||||||
Class A | 7,712 | 1,063 | 196 | |||||||||
Class C | 8,842 | 186 | 58 | |||||||||
Class R2 | 323 | — | (a) | — | ||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 7,712 | 1,063 | 196 | |||||||||
Class C | 2,947 | 62 | 19 | |||||||||
Class R2 | 161 | — | (a) | — | ||||||||
Class R5 | 285 | — | (a) | — | (a) | |||||||
Select Class | 11,137 | 89 | 398 | |||||||||
Custodian and accounting fees | 267 | 35 | 68 | |||||||||
Professional fees | 162 | 50 | 79 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 80 | 9 | 7 | |||||||||
Printing and mailing costs | 776 | 52 | 23 | |||||||||
Registration and filing fees | 751 | 59 | 84 | |||||||||
Transfer agency fees (See Note 2.E.) | 344 | 218 | 17 | |||||||||
Sub-transfer agency fees (See Note 2.E.) | 7,118 | 263 | 185 | |||||||||
Other | 123 | 10 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 100,146 | 5,499 | 2,151 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (4,334 | ) | (331 | ) | (435 | ) | ||||||
Less expense reimbursements | (135 | ) | (1 | ) | (1 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 95,677 | 5,167 | 1,715 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 209,897 | 6,656 | 3,505 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 15,204 | 20,039 | (26,352 | ) | ||||||||
Futures | — | — | (180 | ) | ||||||||
Options written | — | — | 9,810 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 15,204 | 20,039 | (16,722 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 316,575 | (21,834 | ) | 14,819 | ||||||||
Futures | — | — | 42 | |||||||||
Options Written | — | — | (79 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 316,575 | (21,834 | ) | 14,782 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 331,779 | (1,795 | ) | (1,940 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 541,676 | $ | 4,861 | $ | 1,565 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016 (continued)
(Amounts in thousands)
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 128,229 | $ | 15,783 | $ | 224,979 | ||||||
Dividend income from affiliates | 1,443 | 40 | 298 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 129,672 | 15,823 | 225,277 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 74,845 | 2,886 | 50,345 | |||||||||
Administration fees | 12,271 | 591 | 10,318 | |||||||||
Distribution fees: | ||||||||||||
Class A | 11,278 | 230 | 3,540 | |||||||||
Class C | 4,512 | 114 | 2,053 | |||||||||
Class R2 | 1,097 | 12 | 960 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 11,278 | 230 | 3,540 | |||||||||
Class C | 1,504 | 38 | 684 | |||||||||
Class R2 | 549 | 6 | 480 | |||||||||
Class R5 | 673 | 2 | 392 | |||||||||
Institutional Class | — | — | 4,407 | |||||||||
Select Class | 12,206 | 571 | 3,817 | |||||||||
Custodian and accounting fees | 355 | 45 | 389 | |||||||||
Professional fees | 184 | 48 | 177 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 117 | 7 | 118 | |||||||||
Printing and mailing costs | 1,204 | 25 | 905 | |||||||||
Registration and filing fees | 703 | 85 | 357 | |||||||||
Transfer agency fees (See Note 2.E.) | 593 | 75 | 380 | |||||||||
Sub-transfer agency fees (See Note 2.E.) | 12,766 | 72 | 7,203 | |||||||||
Other | 173 | 15 | 147 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 146,308 | 5,052 | 90,212 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (13,955 | ) | (237 | ) | (7,754 | ) | ||||||
Less expense reimbursements | (113 | ) | (3 | ) | (413 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 132,240 | 4,812 | 82,045 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (2,568 | ) | 11,011 | 143,232 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 607,808 | 38,789 | 88,598 | |||||||||
Futures | — | 116 | (4,959 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 607,808 | 38,905 | 83,639 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (1,558,068 | ) | (67,018 | ) | (351,265 | ) | ||||||
Futures | — | — | 1,811 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (1,558,068 | ) | (67,018 | ) | (349,454 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (950,260 | ) | (28,113 | ) | (265,815 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (952,828 | ) | $ | (17,102 | ) | $ | (122,583 | ) | |||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 131,676 | $ | 73,373 | $ | (821 | ) | $ | (1,191 | ) | ||||||
Net realized gain (loss) | (592,021 | ) | 463,028 | (9,188 | ) | 211 | ||||||||||
Change in net unrealized appreciation/depreciation | 151,690 | (65,993 | ) | (1,272 | ) | 25,578 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (308,655 | ) | 470,408 | (11,281 | ) | 24,598 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (5,440 | ) | (2,861 | ) | — | — | ||||||||||
From net realized gains | (25,328 | ) | (19,848 | ) | (551 | ) | (413 | ) | ||||||||
Class C | ||||||||||||||||
From net realized gains | — | — | (123 | ) | (111 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net realized gains | — | — | (2,408 | ) | (1 | ) | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | (97,120 | ) | (59,604 | ) | — | — | ||||||||||
From net realized gains | (271,746 | ) | (266,822 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (11,148 | ) | (6,739 | ) | — | — | ||||||||||
From net realized gains | (34,112 | ) | (32,068 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,481 | ) | (2,632 | ) | — | — | ||||||||||
From net realized gains | (12,537 | ) | (15,846 | ) | (615 | ) | (4,260 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (460,912 | ) | (406,420 | ) | (3,697 | ) | (4,785 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,244,730 | 3,404,441 | 7,189 | 34,618 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 475,163 | 3,468,429 | (7,789 | ) | 54,431 | |||||||||||
Beginning of period | 7,746,415 | 4,277,986 | 337,196 | 282,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 8,221,578 | $ | 7,746,415 | $ | 329,407 | $ | 337,196 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 14,017 | $ | 975 | $ | (147 | ) | $ | (603 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 242 | $ | 116 | $ | 209,897 | $ | 175,624 | ||||||||
Net realized gain (loss) | (650 | ) | 2,395 | 15,204 | 136,057 | |||||||||||
Change in net unrealized appreciation/depreciation | 2,777 | 2,264 | 316,575 | 75,086 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,369 | 4,775 | 541,676 | 386,767 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | (a) | (1 | ) | (56,754 | ) | (50,416 | ) | ||||||||
From net realized gains | (47 | ) | (5 | ) | (23,970 | ) | (53,724 | ) | ||||||||
Class B (b) | ||||||||||||||||
From net investment income | — | — | — | (41 | ) | |||||||||||
From net realized gains | — | — | — | (67 | ) | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (17,909 | ) | (14,285 | ) | ||||||||||
From net realized gains | (26 | ) | (4 | ) | (9,204 | ) | (18,697 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (1,091 | ) | (708 | ) | ||||||||||
From net realized gains | — | — | (494 | ) | (817 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (12,835 | ) | (9,307 | ) | ||||||||||
From net realized gains | — | — | (4,311 | ) | (7,581 | ) | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (31,307 | ) | (16,393 | ) | ||||||||||
From net realized gains | — | — | (9,593 | ) | (13,082 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (122 | ) | (112 | ) | (89,550 | ) | (84,500 | ) | ||||||||
From net realized gains | (2,128 | ) | (492 | ) | (33,863 | ) | (77,081 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (2,323 | ) | (614 | ) | (290,881 | ) | (346,699 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 55,939 | 6,723 | 1,562,346 | 2,687,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 55,985 | 10,884 | 1,813,141 | 2,727,651 | ||||||||||||
Beginning of period | 83,504 | 72,620 | 10,253,180 | 7,525,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 139,489 | $ | 83,504 | $ | 12,066,321 | $ | 10,253,180 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 185 | $ | 65 | $ | 1,930 | $ | 1,513 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $500. |
| (b) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,656 | $ | 6,236 | $ | 3,505 | $ | 1,504 | ||||||||
Net realized gain (loss) | 20,039 | 32,555 | (16,722 | ) | (2,468 | ) | ||||||||||
Change in net unrealized appreciation/depreciation | (21,834 | ) | (14,988 | ) | 14,782 | 7,302 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 4,861 | 23,803 | 1,565 | 6,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (5,532 | ) | (5,313 | ) | (801 | ) | (594 | ) | ||||||||
From net realized gains | (23,586 | ) | (9,151 | ) | — | — | ||||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | (13 | ) | — | — | |||||||||||
From net realized gains | — | (53 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (248 | ) | (193 | ) | (53 | ) | (11 | ) | ||||||||
From net realized gains | (1,528 | ) | (427 | ) | — | — | ||||||||||
Class R2 (b) | ||||||||||||||||
From net investment income | — | (c) | — | — | — | |||||||||||
From net realized gains | (1 | ) | — | — | — | |||||||||||
Class R5 (b) | ||||||||||||||||
From net investment income | — | (c) | — | — | (c) | (5 | ) | |||||||||
From net realized gains | (1 | ) | — | — | — | |||||||||||
Class R6 (b) | ||||||||||||||||
From net investment income | — | (c) | — | (1 | ) | (5 | ) | |||||||||
From net realized gains | (1 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (547 | ) | (463 | ) | (2,096 | ) | (772 | ) | ||||||||
From net realized gains | (1,738 | ) | (660 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (33,182 | ) | (16,273 | ) | (2,951 | ) | (1,387 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 20,822 | 23,921 | 38,895 | 192,708 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (7,499 | ) | 31,451 | 37,509 | 197,659 | |||||||||||
Beginning of period | 495,319 | 463,868 | 202,694 | 5,035 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 487,820 | $ | 495,319 | $ | 240,203 | $ | 202,694 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 251 | $ | (33 | ) | $ | 476 | $ | 46 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth and Income Fund. |
| (b) | Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund. |
| (c) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 61 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,568 | ) | $ | (19,868 | ) | $ | 11,011 | $ | 9,696 | ||||||
Net realized gain (loss) | 607,808 | 827,611 | 38,905 | 102,268 | ||||||||||||
Change in net unrealized appreciation/depreciation | (1,558,068 | ) | 1,414,740 | (67,018 | ) | (49,217 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (952,828 | ) | 2,222,483 | (17,102 | ) | 62,747 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (1,101 | ) | (1,005 | ) | ||||||||||
From net realized gains | (204,092 | ) | (85,875 | ) | (10,979 | ) | (13,856 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | — | — | (6 | ) | |||||||||||
From net realized gains | — | (133 | ) | — | (230 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (116 | ) | (88 | ) | ||||||||||
From net realized gains | (31,708 | ) | (11,256 | ) | (1,856 | ) | (2,003 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (29 | ) | (7 | ) | ||||||||||
From net realized gains | (9,889 | ) | (3,964 | ) | (358 | ) | (87 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (36 | ) | (61 | ) | ||||||||||
From net realized gains | (55,775 | ) | (24,104 | ) | (267 | ) | (646 | ) | ||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (7,550 | ) | (341 | ) | ||||||||||
From net realized gains | (163,685 | ) | (50,817 | ) | (71,699 | ) | (6,003 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (1,784 | ) | (8,298 | ) | ||||||||||
From net realized gains | (220,849 | ) | (97,149 | ) | (2,301 | ) | (102,872 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (685,998 | ) | (273,298 | ) | (98,076 | ) | (135,503 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (300,688 | ) | (1,251,267 | ) | 73,776 | (343 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (1,939,514 | ) | 697,918 | (41,402 | ) | (73,099 | ) | |||||||||
Beginning of period | 15,643,650 | 14,945,732 | 751,348 | 824,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 13,704,136 | $ | 15,643,650 | $ | 709,946 | $ | 751,348 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (159 | ) | $ | (366 | ) | $ | 258 | $ | (27 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 143,232 | $ | 142,361 | ||||
Net realized gain (loss) | 83,639 | 943,140 | ||||||
Change in net unrealized appreciation/depreciation | (349,454 | ) | (31,749 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | (122,583 | ) | 1,053,752 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (10,975 | ) | (11,732 | ) | ||||
From net realized gains | (69,017 | ) | (101,441 | ) | ||||
Class B (a) | ||||||||
From net investment income | — | (15 | ) | |||||
From net realized gains | — | (335 | ) | |||||
Class C | ||||||||
From net investment income | (885 | ) | (1,049 | ) | ||||
From net realized gains | (13,589 | ) | (16,831 | ) | ||||
Class R2 | ||||||||
From net investment income | (1,056 | ) | (1,082 | ) | ||||
From net realized gains | (9,319 | ) | (12,128 | ) | ||||
Class R5 | ||||||||
From net investment income | (9,323 | ) | (6,071 | ) | ||||
From net realized gains | (44,668 | ) | (39,025 | ) | ||||
Class R6 | ||||||||
From net investment income | (50,265 | ) | (35,475 | ) | ||||
From net realized gains | (215,169 | ) | (207,916 | ) | ||||
Institutional Class | ||||||||
From net investment income | (46,200 | ) | (57,166 | ) | ||||
From net realized gains | (229,612 | ) | (373,132 | ) | ||||
Select Class | ||||||||
From net investment income | (12,647 | ) | (27,032 | ) | ||||
From net realized gains | (52,720 | ) | (194,871 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (765,445 | ) | (1,085,301 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 658,512 | 1,863,908 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (229,516 | ) | 1,832,359 | |||||
Beginning of period | 12,612,003 | 10,779,644 | ||||||
|
|
|
| |||||
End of period | $ | 12,382,487 | $ | 12,612,003 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 7,505 | $ | 1,266 | ||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 313,069 | $ | 358,585 | $ | 28,692 | $ | 26,887 | ||||||||
Distributions reinvested | 30,719 | 22,668 | 538 | 402 | ||||||||||||
Cost of shares redeemed | (274,502 | ) | (108,252 | ) | (12,209 | ) | (6,767 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 69,286 | $ | 273,001 | $ | 17,021 | $ | 20,522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 7,392 | $ | 5,474 | ||||||||
Distributions reinvested | — | — | 101 | 84 | ||||||||||||
Cost of shares redeemed | — | — | (3,617 | ) | (1,468 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | — | $ | — | $ | 3,876 | $ | 4,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 258,080 | $ | — | ||||||||
Distributions reinvested | — | — | 2,408 | 1 | ||||||||||||
Cost of shares redeemed | — | — | (12,547 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 247,941 | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 2,058,427 | $ | 2,411,314 | $ | — | $ | — | ||||||||
Distributions reinvested | 368,866 | 326,426 | — | — | ||||||||||||
Cost of shares redeemed | (1,381,896 | ) | (180,826 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 1,045,397 | $ | 2,556,914 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 276,620 | $ | 529,705 | $ | — | $ | — | ||||||||
Distributions reinvested | 34,689 | 35,134 | — | — | ||||||||||||
Cost of shares redeemed | (208,445 | ) | (160,633 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | 102,864 | $ | 404,206 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 117,175 | $ | 374,608 | $ | 41,622 | $ | 50,453 | ||||||||
Distributions reinvested | 15,046 | 7,520 | 177 | 3,771 | ||||||||||||
Cost of shares redeemed | (105,038 | ) | (211,808 | ) | (303,448 | ) | (44,219 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 27,183 | $ | 170,320 | $ | (261,649 | ) | $ | 10,005 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,244,730 | $ | 3,404,441 | $ | 7,189 | $ | 34,618 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 13,968 | 14,944 | 1,144 | 1,094 | ||||||||||||
Reinvested | 1,433 | 985 | 21 | 17 | ||||||||||||
Redeemed | (12,641 | ) | (4,497 | ) | (500 | ) | (276 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,760 | 11,432 | 665 | 835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | — | — | 309 | 232 | ||||||||||||
Reinvested | — | — | 4 | 4 | ||||||||||||
Redeemed | — | — | (155 | ) | (61 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | — | 158 | 175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 9,397 | — | ||||||||||||
Reinvested | — | — | 91 | — | (a) | |||||||||||
Redeemed | — | — | (460 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 9,028 | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 92,272 | 99,461 | — | — | ||||||||||||
Reinvested | 17,086 | 14,056 | — | — | ||||||||||||
Redeemed | (63,085 | ) | (7,497 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 46,273 | 106,020 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 12,447 | 21,787 | — | — | ||||||||||||
Reinvested | 1,607 | 1,514 | — | — | ||||||||||||
Redeemed | (9,387 | ) | (6,635 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 4,667 | 16,666 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,191 | 15,608 | 1,705 | 2,071 | ||||||||||||
Reinvested | 696 | 323 | 7 | 156 | ||||||||||||
Redeemed | (4,782 | ) | (8,625 | ) | (11,388 | ) | (1,772 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 1,105 | 7,306 | (9,676 | ) | 455 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 500 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,283 | $ | 1,181 | $ | 1,145,689 | $ | 1,420,165 | ||||||||
Distributions reinvested | 47 | 6 | 76,806 | 99,766 | ||||||||||||
Cost of shares redeemed | (756 | ) | (194 | ) | (929,480 | ) | (887,735 | ) | ||||||||
Conversion from Class B Shares | — | — | — | 2,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 574 | $ | 993 | $ | 293,015 | $ | 634,739 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 255 | ||||||||
Distributions reinvested | — | — | — | 101 | ||||||||||||
Cost of shares redeemed | — | — | — | (1,842 | ) | |||||||||||
Conversion to Class A Shares | — | — | — | (2,543 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | — | $ | (4,029 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 770 | $ | 782 | $ | 342,449 | $ | 469,144 | ||||||||
Distributions reinvested | 26 | 4 | 22,526 | 27,318 | ||||||||||||
Cost of shares redeemed | (358 | ) | (62 | ) | (243,691 | ) | (142,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 438 | $ | 724 | $ | 121,284 | $ | 353,703 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 33,036 | $ | 38,187 | ||||||||
Distributions reinvested | — | — | 1,417 | 1,483 | ||||||||||||
Cost of shares redeemed | — | — | (15,534 | ) | (11,830 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 18,919 | $ | 27,840 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 412,223 | $ | 289,715 | ||||||||
Distributions reinvested | — | — | 13,452 | 14,261 | ||||||||||||
Cost of shares redeemed | — | — | (240,758 | ) | (90,072 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 184,917 | $ | 213,904 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,204,396 | $ | 427,210 | ||||||||
Distributions reinvested | — | — | 37,570 | 26,378 | ||||||||||||
Cost of shares redeemed | — | — | (245,859 | ) | (143,972 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 996,107 | $ | 309,616 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 84,242 | $ | 19,248 | $ | 1,604,186 | $ | 1,995,707 | ||||||||
Distributions reinvested | 118 | 41 | 80,801 | 97,011 | ||||||||||||
Cost of shares redeemed | (29,433 | ) | (14,283 | ) | (1,736,883 | ) | (940,908 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 54,927 | $ | 5,006 | $ | (51,896 | ) | $ | 1,151,810 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 55,939 | $ | 6,723 | $ | 1,562,346 | $ | 2,687,583 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 53 | 49 | 85,185 | 102,541 | ||||||||||||
Reinvested | 2 | — | (b) | 5,747 | 7,191 | |||||||||||
Redeemed | (32 | ) | (8 | ) | (69,349 | ) | (63,788 | ) | ||||||||
Conversion from Class B Shares | — | — | — | 181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 23 | 41 | 21,583 | 46,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | — | — | 19 | ||||||||||||
Reinvested | — | — | — | 7 | ||||||||||||
Redeemed | — | — | — | (134 | ) | |||||||||||
Conversion to Class A Shares | — | — | — | (182 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | — | (290 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 33 | 33 | 25,820 | 34,111 | ||||||||||||
Reinvested | 1 | — | (b) | 1,712 | 1,997 | |||||||||||
Redeemed | (15 | ) | (3 | ) | (18,409 | ) | (10,411 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 19 | 30 | 9,123 | 25,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 2,472 | 2,750 | ||||||||||||
Reinvested | — | — | 106 | 107 | ||||||||||||
Redeemed | — | — | (1,164 | ) | (850 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 1,414 | 2,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 30,176 | 20,388 | ||||||||||||
Reinvested | — | — | 990 | 1,012 | ||||||||||||
Redeemed | — | — | (17,661 | ) | (6,358 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 13,505 | 15,042 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 88,149 | 30,221 | ||||||||||||
Reinvested | — | — | 2,760 | 1,872 | ||||||||||||
Redeemed | — | — | (18,113 | ) | (10,221 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 72,796 | 21,872 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,648 | 792 | 117,769 | 141,421 | ||||||||||||
Reinvested | 5 | 2 | 5,955 | 6,888 | ||||||||||||
Redeemed | (1,210 | ) | (584 | ) | (126,901 | ) | (66,629 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 2,443 | 210 | (3,177 | ) | 81,680 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund. |
| (b) | Amount rounds to less than 500 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Growth and Income Fund | Hedged Equity Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 60,769 | $ | 47,842 | $ | 53,101 | $ | 107,013 | ||||||||
Distributions reinvested | 28,009 | 13,884 | 801 | 594 | ||||||||||||
Cost of shares redeemed | (76,067 | ) | (55,510 | ) | (74,383 | ) | (17,993 | ) | ||||||||
Conversion from Class B Shares | — | 2,102 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 12,711 | $ | 8,318 | $ | (20,481 | ) | $ | 89,614 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 130 | $ | — | $ | — | ||||||||
Distributions reinvested | — | 65 | — | — | ||||||||||||
Cost of shares redeemed | — | (847 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (2,102 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (2,754 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 6,659 | $ | 12,911 | $ | 7,643 | $ | 3,979 | ||||||||
Distributions reinvested | 1,582 | 554 | 52 | 10 | ||||||||||||
Cost of shares redeemed | (5,693 | ) | (3,566 | ) | (1,302 | ) | (621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 2,548 | $ | 9,899 | $ | 6,393 | $ | 3,368 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 20 | $ | — | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 21 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 20 | $ | — | $ | 7 | $ | 374 | ||||||||
Distributions reinvested | 1 | — | — | (c) | 5 | |||||||||||
Cost of shares redeemed | — | — | (426 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 21 | $ | — | $ | (419 | ) | $ | 379 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 20 | $ | — | $ | 53 | $ | 374 | ||||||||
Distributions reinvested | 1 | — | 1 | 5 | ||||||||||||
Cost of shares redeemed | — | — | (424 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 21 | $ | — | $ | (370 | ) | $ | 379 | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 15,091 | $ | 11,721 | $ | 166,370 | $ | 125,592 | ||||||||
Distributions reinvested | 1,957 | 962 | 2,047 | 755 | ||||||||||||
Cost of shares redeemed | (11,548 | ) | (4,225 | ) | (114,645 | ) | (27,379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 5,500 | $ | 8,458 | $ | 53,772 | $ | 98,968 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 20,822 | $ | 23,921 | $ | 38,895 | $ | 192,708 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth and Income Fund. |
| (b) | Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund. |
| (c) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,429 | 1,044 | 3,349 | 6,659 | ||||||||||||
Reinvested | 676 | 308 | 51 | 36 | ||||||||||||
Redeemed | (1,790 | ) | (1,222 | ) | (4,647 | ) | (1,083 | ) | ||||||||
Conversion from Class B Shares | — | 45 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 315 | 175 | (1,247 | ) | 5,612 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 3 | — | — | ||||||||||||
Reinvested | — | 2 | — | — | ||||||||||||
Redeemed | — | (20 | ) | — | — | |||||||||||
Conversion to Class A Shares | — | (46 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (61 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 170 | 307 | 482 | 241 | ||||||||||||
Reinvested | 42 | 13 | 3 | 1 | ||||||||||||
Redeemed | (147 | ) | (85 | ) | (82 | ) | (38 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 65 | 235 | 403 | 204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Issued | 1 | — | — | — | ||||||||||||
Reinvested | — | (c) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 1 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Issued | — | (c) | — | — | (c) | 24 | ||||||||||
Reinvested | — | (c) | — | — | (c) | — | (c) | |||||||||
Redeemed | — | — | (26 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | (c) | — | (26 | ) | 24 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | — | (c) | — | 4 | 24 | |||||||||||
Reinvested | — | (c) | — | — | (c) | — | (c) | |||||||||
Redeemed | — | — | (26 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | (c) | — | (22 | ) | 24 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 345 | 248 | 10,436 | 7,719 | ||||||||||||
Reinvested | 45 | 20 | 130 | 46 | ||||||||||||
Redeemed | (256 | ) | (89 | ) | (7,186 | ) | (1,651 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 134 | 179 | 3,380 | 6,114 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund. |
| (c) | Amount rounds to less than 500 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 69 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,281,024 | $ | 1,015,188 | $ | 24,457 | $ | 12,794 | ||||||||
Distributions reinvested | 190,608 | 80,373 | 11,625 | 14,323 | ||||||||||||
Cost of shares redeemed | (1,392,513 | ) | (2,084,770 | ) | (17,824 | ) | (19,005 | ) | ||||||||
Conversion from Class B Shares | — | 6,138 | — | 1,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 79,119 | $ | (983,071 | ) | $ | 18,258 | $ | 9,223 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 125 | $ | — | $ | 31 | ||||||||
Distributions reinvested | — | 131 | — | 226 | ||||||||||||
Cost of shares redeemed | — | (2,472 | ) | — | (923 | ) | ||||||||||
Conversion to Class A Shares | — | (6,138 | ) | — | (1,111 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (8,354 | ) | $ | — | $ | (1,777 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 142,471 | $ | 110,881 | $ | 7,145 | $ | 4,828 | ||||||||
Distributions reinvested | 22,387 | 7,502 | 1,705 | 1,882 | ||||||||||||
Cost of shares redeemed | (130,104 | ) | (107,204 | ) | (3,753 | ) | (2,807 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 34,754 | $ | 11,179 | $ | 5,097 | $ | 3,903 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 67,268 | $ | 78,590 | $ | 3,183 | $ | 669 | ||||||||
Distributions reinvested | 7,704 | 3,119 | 237 | 64 | ||||||||||||
Cost of shares redeemed | (100,569 | ) | (89,755 | ) | (608 | ) | (60 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (25,597 | ) | $ | (8,046 | ) | $ | 2,812 | $ | 673 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 514,798 | $ | 337,438 | $ | 3,673 | $ | 717 | ||||||||
Distributions reinvested | 52,449 | 22,865 | 160 | 515 | ||||||||||||
Cost of shares redeemed | (607,179 | ) | (549,243 | ) | (3,493 | ) | (843 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (39,932 | ) | $ | (188,940 | ) | $ | 340 | $ | 389 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 1,387,654 | $ | 723,964 | $ | 617,794 | $ | 5,285 | ||||||||
Distributions reinvested | 156,166 | 48,411 | 79,246 | 6,344 | ||||||||||||
Cost of shares redeemed | (1,046,538 | ) | (639,517 | ) | (41,590 | ) | (55,097 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 497,282 | $ | 132,858 | $ | 655,450 | $ | (43,468 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,153,454 | $ | 1,342,590 | $ | 24,717 | $ | 35,937 | ||||||||
Distributions reinvested | 160,552 | 69,462 | 3,536 | 110,461 | ||||||||||||
Cost of shares redeemed | (2,160,320 | ) | (1,618,945 | ) | (636,434 | ) | (115,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (846,314 | ) | $ | (206,893 | ) | $ | (608,181 | ) | $ | 30,714 | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (300,688 | ) | $ | (1,251,267 | ) | $ | 73,776 | $ | (343 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Large Cap Growth Fund | �� | Large Cap Value Fund | ||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 37,172 | 29,011 | 1,832 | 805 | ||||||||||||
Reinvested | 5,482 | 2,374 | 924 | 989 | ||||||||||||
Redeemed | (40,416 | ) | (59,974 | ) | (1,372 | ) | (1,211 | ) | ||||||||
Conversion from Class B Shares | — | 165 | — | 72 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,238 | (28,424 | ) | 1,384 | 655 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 4 | — | 2 | ||||||||||||
Reinvested | — | 4 | — | 16 | ||||||||||||
Redeemed | — | (80 | ) | — | (60 | ) | ||||||||||
Conversion to Class A Shares | — | (189 | ) | — | (74 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (261 | ) | — | (116 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 4,722 | 3,633 | 563 | 319 | ||||||||||||
Reinvested | 751 | 255 | 140 | 134 | ||||||||||||
Redeemed | (4,450 | ) | (3,539 | ) | (297 | ) | (190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,023 | 349 | 406 | 263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 1,959 | 2,288 | 228 | 44 | ||||||||||||
Reinvested | 226 | 94 | 19 | 5 | ||||||||||||
Redeemed | (2,918 | ) | (2,626 | ) | (45 | ) | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (733 | ) | (244 | ) | 202 | 45 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 14,389 | 9,542 | 285 | 46 | ||||||||||||
Reinvested | 1,488 | 669 | 13 | 36 | ||||||||||||
Redeemed | (17,156 | ) | (15,538 | ) | (267 | ) | (52 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,279 | ) | (5,327 | ) | 31 | 30 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 38,341 | 20,459 | 41,745 | 338 | ||||||||||||
Reinvested | 4,416 | 1,413 | 6,381 | 442 | ||||||||||||
Redeemed | (29,799 | ) | (18,258 | ) | (3,365 | ) | (3,591 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 12,958 | 3,614 | 44,761 | (2,811 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 33,270 | 38,845 | 1,852 | 2,280 | ||||||||||||
Reinvested | 4,602 | 2,047 | 277 | 7,737 | ||||||||||||
Redeemed | (61,477 | ) | (46,403 | ) | (43,139 | ) | (7,526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (23,605 | ) | (5,511 | ) | (41,010 | ) | 2,491 | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 71 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 469,469 | $ | 467,436 | ||||
Distributions reinvested | 70,720 | 100,057 | ||||||
Cost of shares redeemed | (397,193 | ) | (335,025 | ) | ||||
Conversion from Class B Shares | — | 3,680 | ||||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 142,996 | $ | 236,148 | ||||
|
|
|
| |||||
Class B (a) | ||||||||
Proceeds from shares issued | $ | — | $ | 94 | ||||
Distributions reinvested | — | 331 | ||||||
Cost of shares redeemed | — | (1,044 | ) | |||||
Conversion to Class A Shares | — | (3,680 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (4,299 | ) | |||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 102,150 | $ | 100,381 | ||||
Distributions reinvested | 13,355 | 16,229 | ||||||
Cost of shares redeemed | (56,529 | ) | (35,992 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 58,976 | $ | 80,618 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 72,587 | $ | 73,014 | ||||
Distributions reinvested | 9,669 | 12,101 | ||||||
Cost of shares redeemed | (42,951 | ) | (31,851 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 39,305 | $ | 53,264 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 610,125 | $ | 154,746 | ||||
Distributions reinvested | 48,938 | 37,556 | ||||||
Cost of shares redeemed | (195,954 | ) | (134,896 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 463,109 | $ | 57,406 | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 2,370,357 | $ | 798,670 | ||||
Distributions reinvested | 263,145 | 239,312 | ||||||
Cost of shares redeemed | (553,912 | ) | (439,022 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 2,079,590 | $ | 598,960 | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 985,884 | $ | 1,523,300 | ||||
Distributions reinvested | 243,871 | 381,848 | ||||||
Cost of shares redeemed | (2,103,943 | ) | (1,111,795 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Institutional Class capital transactions | $ | (874,188 | ) | $ | 793,353 | |||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 368,200 | $ | 1,285,405 | ||||
Distributions reinvested | 57,766 | 209,185 | ||||||
Cost of shares redeemed | (1,677,242 | ) | (434,850 | ) | ||||
Redemptions in-kind (See Note 8) | — | (1,011,282 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | (1,251,276 | ) | $ | 48,458 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 658,512 | $ | 1,863,908 | ||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A |
| |||||||
Issued | 33,923 | 31,429 | ||||||
Reinvested | 5,214 | 7,040 | ||||||
Redeemed | (28,824 | ) | (22,457 | ) | ||||
Conversion from Class B Shares | — | 244 | ||||||
|
|
|
| |||||
Change in Class A Shares | 10,313 | 16,256 | ||||||
|
|
|
| |||||
Class B (a) | ||||||||
Issued | — | 6 | ||||||
Reinvested | — | 24 | ||||||
Redeemed | — | (71 | ) | |||||
Conversion to Class A Shares | — | (248 | ) | |||||
|
|
|
| |||||
Change in Class B Shares | — | (289 | ) | |||||
|
|
|
| |||||
Class C | ||||||||
Issued | 7,574 | 6,915 | ||||||
Reinvested | 1,010 | 1,173 | ||||||
Redeemed | (4,215 | ) | (2,474 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 4,369 | 5,614 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 5,242 | 4,931 | ||||||
Reinvested | 718 | 858 | ||||||
Redeemed | (3,104 | ) | (2,153 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 2,856 | 3,636 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 42,836 | 10,375 | ||||||
Reinvested | 3,593 | 2,629 | ||||||
Redeemed | (14,029 | ) | (9,000 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 32,400 | 4,004 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 164,015 | 53,558 | ||||||
Reinvested | 19,299 | 16,724 | ||||||
Redeemed | (40,193 | ) | (29,144 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 143,121 | 41,138 | ||||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 71,431 | 101,695 | ||||||
Reinvested | 17,924 | 26,755 | ||||||
Redeemed | (154,416 | ) | (74,335 | ) | ||||
|
|
|
| |||||
Change in Institutional Class Shares | (65,061 | ) | 54,115 | |||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 26,575 | 88,739 | ||||||
Reinvested | 4,256 | 14,687 | ||||||
Redeemed | (114,285 | ) | (29,025 | ) | ||||
Redemptions in-kind (See Note 8) | — | (66,840 | ) | |||||
|
|
|
| |||||
Change in Select Class Shares | (83,454 | ) | 7,561 | |||||
|
|
|
| |||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (a) | 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, 2016 | $ | 23.99 | $ | 0.26 | $ | (1.32 | ) | $ | (1.06 | ) | $ | (0.22 | ) | $ | (0.97 | ) | $ | (1.19 | ) | |||||||||
Year Ended June 30, 2015 | 23.73 | 0.20 | 1.85 | 2.05 | (0.19 | ) | (1.60 | ) | (1.79 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 20.27 | 0.23 | 4.79 | 5.02 | (0.21 | ) | (1.35 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 17.42 | 0.20 | 3.56 | 3.76 | (0.23 | ) | (0.68 | ) | (0.91 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.80 | 0.21 | 0.61 | 0.82 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 24.16 | 0.37 | (1.33 | ) | (0.96 | ) | (0.33 | ) | (0.97 | ) | (1.30 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 23.85 | 0.32 | 1.89 | 2.21 | (0.30 | ) | (1.60 | ) | (1.90 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 20.36 | 0.34 | 4.81 | 5.15 | (0.31 | ) | (1.35 | ) | (1.66 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 17.48 | 0.32 | 3.55 | 3.87 | (0.31 | ) | (0.68 | ) | (0.99 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.29 | 0.63 | 0.92 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 24.15 | 0.35 | (1.33 | ) | (0.98 | ) | (0.31 | ) | (0.97 | ) | (1.28 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 23.85 | 0.29 | 1.89 | 2.18 | (0.28 | ) | (1.60 | ) | (1.88 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 20.36 | 0.32 | 4.81 | 5.13 | (0.29 | ) | (1.35 | ) | (1.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 17.48 | 0.30 | 3.55 | 3.85 | (0.29 | ) | (0.68 | ) | (0.97 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.27 | 0.63 | 0.90 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 24.18 | 0.32 | (1.34 | ) | (1.02 | ) | (0.27 | ) | (0.97 | ) | (1.24 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 23.88 | 0.26 | 1.87 | 2.13 | (0.23 | ) | (1.60 | ) | (1.83 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 20.39 | 0.28 | 4.82 | 5.10 | (0.26 | ) | (1.35 | ) | (1.61 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 17.51 | 0.27 | 3.56 | 3.83 | (0.27 | ) | (0.68 | ) | (0.95 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.86 | 0.25 | 0.63 | 0.88 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 21.74 | (4.30 | )% | $ | 497,934 | 0.85 | % | 1.20 | % | 1.02 | % | 122 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 21.90 | (3.83 | ) | 6,638,591 | 0.34 | 1.69 | 0.35 | 122 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 21.89 | (3.94 | ) | 824,559 | 0.45 | 1.59 | 0.50 | 122 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 21.92 | (4.08 | ) | 260,494 | 0.60 | 1.45 | 0.69 | 122 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Dynamic Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2016 | $ | 25.34 | $ | (0.12 | )(d) | $ | (0.82 | ) | $ | (0.94 | ) | $ | (0.27 | ) | ||||||
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 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 24.39 | (0.24 | )(d) | (0.78 | ) | (1.02 | ) | (0.27 | ) | |||||||||||
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 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2016 | 26.22 | 0.01 | (d) | (0.87 | ) | (0.86 | ) | (0.27 | ) | |||||||||||
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 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 25.83 | (0.10 | )(d) | (0.80 | ) | (0.90 | ) | (0.27 | ) | |||||||||||
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 | — | ||||||||||||||
| (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 0.005% 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.
| 76 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | ||||||||||||||||||||
| $ | 24.13 | (3.77 | )% | $ | 53,334 | 1.19 | % | (0.50 | )% | 1.43 | % | 61 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 23.10 | (4.24 | ) | 12,077 | 1.69 | (0.99 | ) | 1.86 | 61 | ||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.09 | (3.33 | ) | 226,600 | 0.74 | 0.03 | 0.79 | 61 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.66 | (3.54 | ) | 37,396 | 0.94 | (0.37 | ) | 1.00 | 61 | ||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 77 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Equity Focus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 24.78 | $ | (0.01 | )(f) | $ | (0.38 | )(g) | $ | (0.39 | ) | $ | — | (h) | $ | (0.66 | ) | $ | (0.66 | ) | ||||||||
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 (j) through June 30, 2012 | 15.00 | 0.01 | 0.79 | 0.80 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 24.34 | (0.13 | )(f) | (0.37 | )(g) | (0.50 | ) | — | (0.66 | ) | (0.66 | ) | ||||||||||||||||
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 (j) through June 30, 2012 | 15.00 | (0.06 | ) | 0.79 | 0.73 | — | (h) | — | — | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 24.95 | 0.06 | (f) | (0.39 | )(g) | (0.33 | ) | (0.04 | ) | (0.66 | ) | (0.70 | ) | |||||||||||||||
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 | — | (h) | (0.46 | ) | (0.46 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 15.81 | 0.02 | 3.42 | 3.44 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
July 29, 2011 (j) 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 0.005% 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) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (h) | Amount rounds to less than $0.005. |
| (i) | 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. |
| (j) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | ||||||||||||||||||||
| $ | 23.73 | (1.60 | )% | $ | 1,937 | 1.24 | % | (0.03 | )% | 1.55 | % | 45 | % | |||||||||||||
| 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 | (i) | (0.13 | ) | 3.75 | (i) | 61 | |||||||||||||||||
| 15.79 | 5.37 | 53 | 1.25 | (i) | 0.04 | 5.09 | (i) | 71 | ||||||||||||||||||
| 23.18 | (2.10 | ) | 1,268 | 1.74 | (0.54 | ) | 1.96 | 45 | ||||||||||||||||||
| 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 | (i) | (0.63 | ) | 4.25 | (i) | 61 | |||||||||||||||||
| 15.73 | 4.87 | 52 | 1.75 | (i) | (0.46 | ) | 5.58 | (i) | 71 | |||||||||||||||||
| 23.92 | (1.37 | ) | 136,284 | 0.99 | 0.24 | 1.11 | 45 | |||||||||||||||||||
| 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 | (i) | 0.12 | 3.51 | (i) | 61 | ||||||||||||||||||
| 15.81 | 5.61 | 3,063 | 1.00 | (i) | 0.29 | 4.84 | (i) | 71 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 13.77 | $ | 0.25 | (f) | $ | 0.35 | $ | 0.60 | $ | (0.25 | ) | $ | (0.11 | ) | $ | (0.36 | ) | ||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 13.58 | 0.18 | (f) | 0.35 | 0.53 | (0.20 | ) | (0.11 | ) | (0.31 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 13.74 | 0.21 | (f) | 0.35 | 0.56 | (0.22 | ) | (0.11 | ) | (0.33 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 13.98 | 0.31 | (f) | 0.35 | 0.66 | (0.30 | ) | (0.11 | ) | (0.41 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 13.97 | 0.33 | (f) | 0.34 | 0.67 | (0.31 | ) | (0.11 | ) | (0.42 | ) | |||||||||||||||||
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, 2016 | 13.97 | 0.28 | (f) | 0.37 | 0.65 | (0.28 | ) | (0.11 | ) | (0.39 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
| (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 0.005% 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.
| 80 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | ||||||||||||||||||||
| $ | 14.01 | 4.45 | % | $ | 3,370,383 | 1.04 | % | 1.83 | % | 1.11 | % | 20 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 13.80 | 4.01 | 1,304,007 | 1.54 | 1.33 | 1.58 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.97 | 4.20 | 77,230 | 1.29 | 1.59 | 1.45 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.23 | 4.89 | 722,424 | 0.59 | 2.28 | 0.64 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.22 | 4.98 | 1,913,077 | 0.50 | 2.43 | 0.50 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.23 | 4.75 | 4,679,200 | 0.79 | 2.07 | 0.81 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 45.46 | $ | 0.59 | $ | (0.27 | ) | $ | 0.32 | $ | (0.55 | ) | $ | (2.48 | ) | $ | (3.03 | ) | ||||||||||
Year Ended June 30, 2015 | 44.70 | 0.59 | 1.72 | 2.31 | (0.56 | ) | (0.99 | ) | (1.55 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 36.53 | 0.47 | 8.17 | 8.64 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 29.43 | 0.40 | 7.11 | 7.51 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 28.26 | 0.35 | 1.16 | 1.51 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 41.83 | 0.35 | (0.25 | ) | 0.10 | (0.38 | ) | (2.48 | ) | (2.86 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 41.31 | 0.32 | 1.59 | 1.91 | (0.40 | ) | (0.99 | ) | (1.39 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 33.83 | 0.25 | 7.55 | 7.80 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 27.32 | 0.22 | 6.59 | 6.81 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 26.27 | 0.20 | 1.08 | 1.28 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
November 2, 2015 (g) through June 30, 2016 | 45.92 | 0.40 | (0.70 | ) | (0.30 | ) | (0.20 | ) | (2.48 | ) | (2.68 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
November 2, 2015 (g) through June 30, 2016 | 47.95 | 0.62 | (0.73 | ) | (0.11 | ) | (0.35 | ) | (2.48 | ) | (2.83 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
November 2, 2015 (g) through June 30, 2016 | 47.95 | 0.63 | (0.72 | ) | (0.09 | ) | (0.37 | ) | (2.48 | ) | (2.85 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 47.45 | 0.73 | (0.27 | ) | 0.46 | (0.66 | ) | (2.48 | ) | (3.14 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 46.58 | 0.73 | 1.79 | 2.52 | (0.66 | ) | (0.99 | ) | (1.65 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 38.03 | 0.58 | 8.52 | 9.10 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 30.63 | 0.51 | 7.40 | 7.91 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 29.39 | 0.45 | 1.21 | 1.66 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 42.75 | 1.02 | % | $ | 422,151 | 1.06 | % | 1.38 | % | 1.13 | % | 39 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 39.07 | 0.54 | 25,541 | 1.56 | 0.89 | 1.62 | 39 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 42.94 | (0.40 | ) | 20 | 1.28 | 1.44 | 3.72 | 39 | |||||||||||||||||||
| 45.01 | 0.05 | 20 | 0.59 | 2.14 | 3.02 | 39 | ||||||||||||||||||||
| 45.01 | 0.08 | 20 | 0.53 | 2.19 | 2.96 | 39 | ||||||||||||||||||||
| 44.77 | 1.28 | 40,068 | 0.81 | 1.64 | 0.86 | 39 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 83 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 16.47 | $ | 0.20 | (g) | $ | (0.28 | ) | $ | (0.08 | ) | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | |||||||||
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, 2016 | 16.43 | 0.13 | (g) | (0.29 | ) | (0.16 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||
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, 2016 | 16.51 | 0.24 | (g) | (0.24 | ) | — | (i) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
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, 2016 | 16.52 | 0.27 | (g) | (0.27 | ) | — | (i) | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||
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, 2016 | 16.50 | 0.25 | (g) | (0.28 | ) | (0.03 | ) | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||
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 0.005% 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. |
| (i) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | ||||||||||||||||||||
| $ | 16.23 | (0.43 | )% | $ | 71,417 | 0.85 | % | 1.27 | % | 1.11 | % | 57 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 16.17 | (0.95 | ) | 9,867 | 1.35 | 0.80 | 1.52 | 57 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.28 | 0.07 | 25 | 0.40 | 1.49 | 2.16 | 57 | ||||||||||||||||||||
| 16.51 | 5.86 | 442 | 0.40 | 1.58 | 0.82 | 42 | ||||||||||||||||||||
| 15.76 | 6.37 | 53 | 0.40 | 1.51 | 9.10 | 36 | ||||||||||||||||||||
| 16.28 | 0.07 | 74 | 0.35 | 1.66 | 1.40 | 57 | ||||||||||||||||||||
| 16.52 | 5.96 | 443 | 0.35 | 1.63 | 0.77 | 42 | ||||||||||||||||||||
| 15.76 | 6.39 | 53 | 0.35 | 1.56 | 9.05 | 36 | ||||||||||||||||||||
| 16.26 | (0.17 | ) | 158,820 | 0.60 | 1.54 | 0.74 | 57 | |||||||||||||||||||
| 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, 2016 | 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) (a) | 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, 2016 | $ | 36.82 | $ | (0.06 | ) | $ | (2.23 | ) | $ | (2.29 | ) | $ | — | $ | (1.60 | ) | $ | (1.60 | ) | |||||||||
Year Ended June 30, 2015 | 32.49 | (0.10 | ) | 5.05 | 4.95 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 26.01 | (0.10 | ) | 6.58 | 6.48 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.64 | 0.08 | (e) | 2.37 | 2.45 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.38 | (0.06 | ) | 1.32 | 1.26 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 31.86 | (0.20 | ) | (1.91 | ) | (2.11 | ) | — | (1.60 | ) | (1.60 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 28.33 | (0.24 | ) | 4.39 | 4.15 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 22.79 | (0.22 | ) | 5.76 | 5.54 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 20.79 | (0.04 | )(e) | 2.07 | 2.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.77 | (0.15 | ) | 1.17 | 1.02 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 36.24 | (0.15 | ) | (2.18 | ) | (2.33 | ) | — | (1.60 | ) | (1.60 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 32.07 | (0.18 | ) | 4.97 | 4.79 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 25.74 | (0.18 | ) | 6.51 | 6.33 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.44 | 0.01 | (e) | 2.36 | 2.37 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.24 | (0.12 | ) | 1.32 | 1.20 | — | (f) | — | — | (f) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.25 | 0.06 | (2.25 | ) | (2.19 | ) | — | (1.60 | ) | (1.60 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 32.75 | 0.03 | 5.09 | 5.12 | — | (0.62 | ) | (0.62 | ) | |||||||||||||||||||
Year Ended June 30, 2014 | 26.12 | 0.01 | 6.62 | 6.63 | — | — | — | |||||||||||||||||||||
Year Ended June 30, 2013 | 23.74 | 0.17 | (e) | 2.38 | 2.55 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.39 | 0.04 | 1.32 | 1.36 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.34 | 0.10 | (2.26 | ) | (2.16 | ) | — | (1.60 | ) | (1.60 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 32.80 | 0.06 | 5.10 | 5.16 | — | (0.62 | ) | (0.62 | ) | |||||||||||||||||||
Year Ended June 30, 2014 | 26.15 | 0.02 | 6.63 | 6.65 | — | — | — | |||||||||||||||||||||
Year Ended June 30, 2013 | 23.76 | 0.18 | (e) | 2.39 | 2.57 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.40 | 0.05 | 1.33 | 1.38 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 36.92 | (0.01 | ) | (2.23 | ) | (2.24 | ) | — | (1.60 | ) | (1.60 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 32.52 | (0.04 | ) | 5.06 | 5.02 | — | (0.62 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 25.99 | (0.05 | ) | 6.58 | 6.53 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2013 | 23.61 | 0.12 | (e) | 2.37 | 2.49 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 22.31 | (0.01 | ) | 1.31 | 1.30 | — | (f) | — | — | (f) | ||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 32.93 | (6.45 | )% | $ | 4,251,242 | 1.04 | % | (0.17 | )% | 1.27 | % | 43 | % | |||||||||||||
| 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 | (e) | 1.19 | 47 | |||||||||||||||||||
| 23.64 | 5.63 | 1,660,335 | 1.09 | (0.25 | ) | 1.15 | 28 | |||||||||||||||||||
| 28.15 | (6.90 | ) | 559,238 | 1.55 | (0.67 | ) | 1.69 | 43 | ||||||||||||||||||
| 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 | )(e) | 1.69 | 47 | |||||||||||||||||||
| 20.79 | 5.16 | 205,723 | 1.59 | (0.75 | ) | 1.65 | 28 | |||||||||||||||||||
| 32.31 | (6.67 | ) | 192,560 | 1.30 | (0.43 | ) | 1.55 | 43 | ||||||||||||||||||
| 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 | (e) | 1.45 | 47 | |||||||||||||||||||
| 23.44 | 5.41 | 85,913 | 1.34 | (0.50 | ) | 1.39 | 28 | |||||||||||||||||||
| 33.46 | (6.10 | ) | 1,209,521 | 0.69 | 0.17 | 0.73 | 43 | |||||||||||||||||||
| 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 | (e) | 0.75 | 47 | |||||||||||||||||||
| 23.74 | 6.10 | 584,866 | 0.69 | 0.16 | 0.70 | 28 | ||||||||||||||||||||
| 33.58 | (6.00 | ) | 3,330,565 | 0.60 | 0.28 | 0.60 | 43 | |||||||||||||||||||
| 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 | (e) | 0.70 | 47 | |||||||||||||||||||
| 23.76 | 6.15 | 1,047,184 | 0.63 | 0.20 | 0.64 | 28 | ||||||||||||||||||||
| 33.08 | (6.29 | ) | 4,161,010 | 0.89 | (0.04 | ) | 0.93 | 43 | ||||||||||||||||||
| 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 | (e) | 0.94 | 47 | |||||||||||||||||||
| 23.61 | 5.85 | 3,320,683 | 0.89 | (0.04 | ) | 0.90 | 28 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 15.02 | $ | 0.17 | $ | (0.59 | ) | $ | (0.42 | ) | $ | (0.16 | ) | $ | (1.73 | ) | $ | (1.89 | ) | |||||||||
Year Ended June 30, 2015 | 16.63 | 0.17 | 0.94 | 1.11 | (0.17 | ) | (2.55 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.99 | 0.17 | 3.16 | 3.33 | (0.18 | ) | (0.51 | ) | (0.69 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 11.02 | 0.14 | 2.97 | 3.11 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.45 | 0.11 | (0.43 | ) | (0.32 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.60 | 0.10 | (0.58 | ) | (0.48 | ) | (0.09 | ) | (1.73 | ) | (1.82 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.25 | 0.08 | 0.92 | 1.00 | (0.10 | ) | (2.55 | ) | (2.65 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.70 | 0.09 | 3.08 | 3.17 | (0.11 | ) | (0.51 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.80 | 0.08 | 2.91 | 2.99 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.22 | 0.05 | (0.41 | ) | (0.36 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.96 | 0.14 | (0.60 | ) | (0.46 | ) | (0.13 | ) | (1.73 | ) | (1.86 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.58 | 0.13 | 0.94 | 1.07 | (0.14 | ) | (2.55 | ) | (2.69 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.95 | 0.13 | 3.14 | 3.27 | (0.13 | ) | (0.51 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.99 | 0.11 | 2.96 | 3.07 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.42 | 0.08 | (0.42 | ) | (0.34 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.93 | 0.21 | (0.58 | ) | (0.37 | ) | (0.20 | ) | (1.73 | ) | (1.93 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.54 | 0.22 | 0.94 | 1.16 | (0.22 | ) | (2.55 | ) | (2.77 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.92 | 0.19 | 3.16 | 3.35 | (0.22 | ) | (0.51 | ) | (0.73 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.92 | 0.17 | 2.98 | 3.15 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.14 | (0.41 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.86 | 0.24 | (0.60 | ) | (0.36 | ) | (0.21 | ) | (1.73 | ) | (1.94 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.48 | 0.25 | 0.91 | 1.16 | (0.23 | ) | (2.55 | ) | (2.78 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.87 | 0.22 | 3.13 | 3.35 | (0.23 | ) | (0.51 | ) | (0.74 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.92 | 0.20 | 2.94 | 3.14 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.15 | (0.42 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.79 | 0.15 | (0.54 | ) | (0.39 | ) | (0.14 | ) | (1.73 | ) | (1.87 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.42 | 0.19 | 0.92 | 1.11 | (0.19 | ) | (2.55 | ) | (2.74 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 13.82 | 0.19 | 3.11 | 3.30 | (0.19 | ) | (0.51 | ) | (0.70 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.88 | 0.16 | 2.94 | 3.10 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 11.30 | 0.12 | (0.41 | ) | (0.29 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 12.71 | (2.51 | )% | $ | 96,373 | 0.93 | % | 1.27 | % | 1.12 | % | 219 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 12.30 | (2.98 | ) | 17,041 | 1.45 | 0.75 | 1.62 | 219 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 12.64 | (2.78 | ) | 3,462 | 1.20 | 1.05 | 1.57 | 219 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 12.63 | (2.15 | ) | 4,155 | 0.59 | 1.52 | 0.60 | 219 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 12.56 | (2.06 | ) | 565,542 | 0.51 | 1.90 | 0.52 | 219 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 12.53 | (2.34 | ) | 23,373 | 0.77 | 1.07 | 0.77 | 219 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 89 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 14.75 | $ | 0.12 | (d) | $ | (0.30 | ) | $ | (0.18 | ) | $ | (0.11 | ) | $ | (0.70 | ) | $ | (0.81 | ) | ||||||||
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 | (d) | 3.09 | 3.20 | (0.11 | ) | (0.97 | ) | (1.08 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.73 | 0.13 | (d) | 2.31 | 2.44 | (0.13 | ) | (0.24 | ) | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.65 | 0.10 | (d) | 0.13 | 0.23 | (0.09 | ) | (0.06 | ) | (0.15 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.40 | 0.05 | (d) | (0.30 | ) | (0.25 | ) | (0.04 | ) | (0.70 | ) | (0.74 | ) | |||||||||||||||
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 | (d) | 3.03 | 3.07 | (0.05 | ) | (0.97 | ) | (1.02 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.55 | 0.06 | (d) | 2.26 | 2.32 | (0.07 | ) | (0.24 | ) | (0.31 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.47 | 0.04 | (d) | 0.15 | 0.19 | (0.05 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.66 | 0.08 | (d) | (0.31 | ) | (0.23 | ) | (0.07 | ) | (0.70 | ) | (0.77 | ) | |||||||||||||||
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 | (d) | 3.08 | 3.15 | (0.08 | ) | (0.97 | ) | (1.05 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.69 | 0.10 | (d) | 2.29 | 2.39 | (0.10 | ) | (0.24 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.62 | 0.07 | (d) | 0.13 | 0.20 | (0.07 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.80 | 0.18 | (d) | (0.31 | ) | (0.13 | ) | (0.16 | ) | (0.70 | ) | (0.86 | ) | |||||||||||||||
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 | (d) | 3.11 | 3.27 | (0.16 | ) | (0.97 | ) | (1.13 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.75 | 0.17 | (d) | 2.31 | 2.48 | (0.17 | ) | (0.24 | ) | (0.41 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.66 | 0.14 | (d) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.82 | 0.18 | (d) | (0.31 | ) | (0.13 | ) | (0.17 | ) | (0.70 | ) | (0.87 | ) | |||||||||||||||
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 | (d) | 3.11 | 3.28 | (0.16 | ) | (0.97 | ) | (1.13 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.76 | 0.17 | (d) | 2.31 | 2.48 | (0.17 | ) | (0.24 | ) | (0.41 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.67 | 0.14 | (d) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.79 | 0.16 | (d) | (0.30 | ) | (0.14 | ) | (0.15 | ) | (0.70 | ) | (0.85 | ) | |||||||||||||||
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 | (d) | 3.10 | 3.26 | (0.15 | ) | (0.97 | ) | (1.12 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.75 | 0.16 | (d) | 2.31 | 2.47 | (0.16 | ) | (0.24 | ) | (0.40 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.66 | 0.13 | (d) | 0.14 | 0.27 | (0.12 | ) | (0.06 | ) | (0.18 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.78 | 0.13 | (d) | (0.29 | ) | (0.16 | ) | (0.13 | ) | (0.70 | ) | (0.83 | ) | |||||||||||||||
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 | (d) | 3.10 | 3.23 | (0.12 | ) | (0.97 | ) | (1.09 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.74 | 0.15 | (d) | 2.30 | 2.45 | (0.15 | ) | (0.24 | ) | (0.39 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.65 | 0.12 | (d) | 0.14 | 0.26 | (0.11 | ) | (0.06 | ) | (0.17 | ) | |||||||||||||||||
| (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 0.005% 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.
| 90 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 13.76 | (1.15 | )% | $ | 1,446,878 | 0.94 | % | 0.85 | % | 1.14 | % | 83 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 13.41 | (1.66 | ) | 294,744 | 1.44 | 0.35 | 1.59 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.66 | (1.47 | ) | 205,224 | 1.19 | 0.60 | 1.48 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.81 | (0.77 | ) | 910,033 | 0.56 | 1.27 | 0.63 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.82 | (0.78 | ) | 4,755,359 | 0.50 | 1.33 | 0.50 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.80 | (0.83 | ) | 3,704,104 | 0.61 | 1.18 | 0.68 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.79 | (1.00 | ) | 1,066,145 | 0.76 | 0.94 | 0.81 | 83 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 91 | ||||||
Table of Contents
AS OF JUNE 30, 2016
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, 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, Class R2*, Class R5*, Class R6* 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 |
| * | Class R2, Class R5 and Class R6 Shares commenced operation on November 2, 2015 for Growth and Income Fund. |
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.
The investment objective of Equity Income Fund is to seek capital appreciation and current income.
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.
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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
| 92 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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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 affiliated and unaffiliated 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.
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 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) | $ | 8,290,363 | $ | 8,022 | $ | — | $ | 8,298,385 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 1,452 | $ | — | $ | — | $ | 1,452 | ||||||||
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Dynamic Growth Fund
| Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 329,743 | $ | — | $ | — | $ | 329,743 | ||||||||
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| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 93 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| Equity Focus Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 141,470 | $ | — | $ | — | $ | 141,470 | ||||||||
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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) | $ | 12,051,239 | $ | — | $ | — | $ | 12,051,239 | ||||||||
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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) | $ | 486,362 | $ | — | $ | — | $ | 486,362 | ||||||||
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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) | $ | 242,457 | $ | 60 | $ | — | $ | 242,517 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Options Written | ||||||||||||||||
Call Option Written | $ | (3,201 | ) | $ | — | $ | — | $ | (3,201 | ) | ||||||
Put Option Written | (673 | ) | — | — | (673 | ) | ||||||||||
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Total Depreciation in Other Financial Instruments | $ | (3,874 | ) | $ | — | $ | — | $ | (3,874 | ) | ||||||
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| Large Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 13,746,830 | $ | — | $ | — | $ | 13,746,830 | ||||||||
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| Large Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 738,953 | $ | — | $ | — | (d) | $ | 738,953 | |||||||
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| U.S. Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 12,345,713 | $ | — | $ | — | (d) | $ | 12,345,713 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 1,108 | $ | — | $ | — | $ | 1,108 | ||||||||
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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 as initial margin for futures contracts. Please refer to the SOIs for industry specifics of portfolio holdings. |
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| (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) | All portfolio holdings designated as Level 1 and Level 3 are disclosed individually on the SOIs. Level 3 consists of a warrant. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (d) | Value is zero. |
There were no transfers among any levels during the year ended June 30, 2016.
B. Futures Contracts — Disciplined Equity Fund, Hedged Equity Fund, Large Cap Value Fund and U.S. Equity Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to 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, 2016 (amounts in thousands):
| Disciplined Equity Fund | Hedged Equity Fund | Large Cap Value Fund | U.S. Equity Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 117,326 | $ | 2,799 | $ | 4,103 | (a) | $ | 59,445 | |||||||
Ending Notional Balance Long | 102,524 | 1,777 | — | 65,632 | ||||||||||||
| (a) | Average for the period March 1, 2016 through March 31, 2016. |
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).
C. Options — Hedged Equity Fund purchased and sold (“wrote”) put and call options on indices 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 Statements 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.
Options Written — Premiums received by the Fund for options written are included on the Statements 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.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 95 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
The Fund pledges collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted on 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, 2016 were as follows (amounts in thousands except for number of contracts):
| Options | ||||||||
| Number of Contracts | Premiums Received | |||||||
Options outstanding at June 30, 2015 | 1,956 | $ | 3,319 | |||||
Options written | 10,975 | 18,259 | ||||||
Options expired | (8,496 | ) | (11,971 | ) | ||||
Options closed | (2,153 | ) | (5,769 | ) | ||||
|
|
|
| |||||
Options outstanding at June 30, 2016 | 2,282 | $ | 3,838 | |||||
|
|
|
| |||||
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).
The table below discloses the volume of the Fund’s options contracts activity during the year ended June 30, 2016:
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 1,202 | |||
Average Number of Contracts Written | 2,404 | |||
Ending Number of Contracts Purchased | 1,141 | |||
Ending Number of Contracts Written | 2,282 |
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.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | Total | |||||||||||||||||||||||||
Disciplined Equity Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 35 | n/a | n/a | n/a | $ | 57 | $ | 15 | $ | 11 | $ | 118 | |||||||||||||||||||
Sub-transfer agency fees | 904 | n/a | n/a | n/a | — | 429 | 253 | 1,586 | ||||||||||||||||||||||||
Dynamic Growth Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 8 | $ | 2 | n/a | $ | 4 | n/a | n/a | 6 | 20 | ||||||||||||||||||||||
Sub-transfer agency fees | 91 | 12 | n/a | 2 | n/a | n/a | 20 | 125 | ||||||||||||||||||||||||
Equity Focus Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 2 | 1 | n/a | n/a | n/a | n/a | 3 | 6 | ||||||||||||||||||||||||
Sub-transfer agency fees | 1 | — | (a) | n/a | n/a | n/a | n/a | 4 | 5 | |||||||||||||||||||||||
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| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | Total | |||||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 171 | $ | 69 | $ | 12 | $ | 12 | $ | 18 | n/a | $ | 62 | $ | 344 | |||||||||||||||||
Sub-transfer agency fees | 3,070 | 829 | 113 | 455 | — | n/a | 2,651 | 7,118 | ||||||||||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 207 | 5 | — | (a) | — | (a) | — | (a) | n/a | 6 | 218 | |||||||||||||||||||||
Sub-transfer agency fees | 221 | 18 | — | — | — | n/a | 24 | 263 | ||||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 5 | 2 | n/a | — | (a) | — | (a) | n/a | 10 | 17 | ||||||||||||||||||||||
Sub-transfer agency fees | 123 | 4 | n/a | — | (a) | — | n/a | 58 | 185 | |||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 402 | 36 | 16 | 22 | 47 | n/a | 70 | 593 | ||||||||||||||||||||||||
Sub-transfer agency fees | 7,301 | 508 | 409 | 991 | — | n/a | 3,557 | 12,766 | ||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 55 | 4 | 1 | 1 | 9 | n/a | 5 | 75 | ||||||||||||||||||||||||
Sub-transfer agency fees | 39 | 12 | 6 | — | (a) | — | n/a | 15 | 72 | |||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||||||
Transfer agency fees | 117 | 17 | 7 | 12 | 36 | $ | 155 | 36 | 380 | |||||||||||||||||||||||
Sub-transfer agency fees | 1,817 | 217 | 440 | 609 | — | 3,174 | 946 | 7,203 | ||||||||||||||||||||||||
| (a) | Amount rounds to less than $500. |
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, 2016, 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, 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:
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Disciplined Equity Fund | $ | — | $ | (1,445 | ) | $ | 1,445 | |||||
Dynamic Growth Fund | (1,339 | ) | 1,277 | 62 | ||||||||
Equity Focus Fund | — | (a) | — | (a) | — | (a) | ||||||
Equity Income Fund | — | (34 | ) | 34 | ||||||||
Growth and Income Fund | — | (a) | (45 | ) | 45 | |||||||
Hedged Equity Fund | — | (a) | (124 | ) | 124 | |||||||
Large Cap Growth Fund | (2,775 | ) | 2,775 | — | (a) | |||||||
Large Cap Value Fund | — | (a) | (110 | ) | 110 | |||||||
U.S. Equity Fund | 106 | (5,642 | ) | 5,536 | ||||||||
| (a) | Amount rounds to less than $500. |
The reclassifications for the Funds relate primarily to investments in real estate investment trusts, net operating losses and non-taxable dividends.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 97 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreements, the Adviser 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 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, 2016, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
Effective April 1, 2016, the Administrator merged into JPMIM, and JPMIM became the Funds’ administrator under the Administration Agreement.
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 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 C | Class R2 | ||||||||||
Disciplined Equity Fund | 0.25 | % | n/a | n/a | ||||||||
Dynamic Growth Fund | 0.25 | 0.75 | % | n/a | ||||||||
Equity Focus Fund | 0.25 | 0.75 | n/a | |||||||||
Equity Income Fund | 0.25 | 0.75 | 0.50 | % | ||||||||
Growth and Income Fund | 0.25 | 0.75 | 0.50 | |||||||||
Hedged Equity Fund | 0.25 | 0.75 | n/a | |||||||||
Large Cap Growth Fund | 0.25 | 0.75 | 0.50 | |||||||||
Large Cap Value Fund | 0.25 | 0.75 | 0.50 | |||||||||
U.S. Equity Fund | 0.25 | 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 C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Disciplined Equity Fund | $ | 13 | $ | — | ||||
Dynamic Growth Fund | 80 | 1 | ||||||
Equity Focus Fund | 2 | — | ||||||
Equity Income Fund | 1,093 | 7 | ||||||
Growth and Income Fund | 31 | — | (a) | |||||
Hedged Equity Fund | 5 | 1 | ||||||
Large Cap Growth Fund | 365 | 5 | ||||||
Large Cap Value Fund | 18 | — | (a) | |||||
U.S. Equity Fund | 176 | 1 | ||||||
| (a) | Amount rounds to less than $500. |
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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 charge a shareholder servicing fee. 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 C | Class R2 | Class R5 | Institutional Class | Select Class | |||||||||||||||||||
Disciplined Equity Fund | 0.25 | % | n/a | n/a | n/a | 0.10 | % | 0.25 | % | |||||||||||||||
Dynamic Growth Fund | 0.25 | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | ||||||||||||||||
Equity Focus Fund | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | ||||||||||||||||||
Equity Income Fund | 0.25 | 0.25 | 0.25 | % | 0.05 | n/a | 0.25 | |||||||||||||||||
Growth and Income Fund | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||
Hedged Equity Fund | 0.25 | 0.25 | n/a | 0.05 | n/a | 0.25 | ||||||||||||||||||
Large Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||
Large Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||
U.S. Equity Fund | 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 performing 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/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||
Disciplined Equity Fund | 0.85 | % | n/a | n/a | n/a | 0.35 | % | 0.45 | % | 0.60 | % | |||||||||||||||||
Dynamic Growth Fund | 1.19 | 1.69 | % | n/a | 0.74 | % | n/a | n/a | 0.94 | |||||||||||||||||||
Equity Focus Fund | 1.25 | 1.75 | n/a | n/a | n/a | n/a | 1.00 | |||||||||||||||||||||
Equity Income Fund | 1.04 | 1.54 | 1.29 | % | 0.59 | 0.54 | n/a | 0.79 | ||||||||||||||||||||
Growth and Income Fund | 1.04 | * | 1.54 | * | 1.29 | 0.59 | 0.54 | n/a | 0.79 | * | ||||||||||||||||||
Hedged Equity Fund | 0.85 | 1.35 | n/a | 0.40 | 0.35 | n/a | 0.60 | |||||||||||||||||||||
Large Cap Growth Fund | 1.05 | 1.55 | 1.30 | 0.70 | 0.65 | n/a | 0.90 | |||||||||||||||||||||
Large Cap Value Fund | 0.93 | 1.45 | 1.20 | 0.60 | 0.55 | n/a | 0.80 | |||||||||||||||||||||
U.S. Equity Fund | 0.94 | 1.44 | 1.19 | 0.56 | 0.51 | 0.61 | 0.76 | |||||||||||||||||||||
| * | Prior to November 1, 2015, the contractual expense limitation for Growth and Income Fund was 1.30%, 1.80%, and 0.90% for Class A, Class C and Select Class Shares respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least October 31, 2016.
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 99 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
For the year ended June 30, 2016, 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 | $ | 32 | $ | 21 | $ | 1,496 | $ | 1,549 | $ | 70 | ||||||||||
Dynamic Growth Fund | 99 | 66 | 121 | 286 | n/a | |||||||||||||||
Equity Focus Fund | 70 | 47 | 3 | 120 | — | (a) | ||||||||||||||
Equity Income Fund | 33 | — | 3,764 | 3,797 | 135 | |||||||||||||||
Growth and Income Fund | 27 | 18 | 267 | 312 | 1 | |||||||||||||||
Hedged Equity Fund | 186 | 107 | 134 | 427 | 1 | |||||||||||||||
Large Cap Growth Fund | 51 | — | 12,840 | 12,891 | 113 | |||||||||||||||
Large Cap Value Fund | 2 | — | 202 | 204 | 3 | |||||||||||||||
U.S. Equity Fund | 41 | — | 7,428 | 7,469 | 413 | |||||||||||||||
| (a) | Amount rounds to less than $500. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.
The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):
Disciplined Equity Fund | $ | 280 | ||
Dynamic Growth Fund | — | (a) | ||
Equity Focus Fund | 9 | |||
Equity Income Fund | 537 | |||
Growth and Income Fund | 19 | |||
Hedged Equity Fund | 8 | |||
Large Cap Growth Fund | 1,064 | |||
Large Cap Value Fund | 33 | |||
U.S. Equity Fund | 285 |
| (a) | Amount rounds to less than $500. |
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, 2016, Disciplined Equity Fund, Hedged Equity Fund, Large Cap Value Fund and U.S. Equity Fund 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, 2016, the Funds incurred brokerage commissions with broker dealers affiliated with the Adviser as follows (amounts in thousands):
Disciplined Equity Fund | $ | 3 | ||
Equity Income Fund | 1 | |||
Large Cap Growth Fund | 3 | |||
Large Cap Value Fund | 2 | |||
U.S. Equity Fund | 10 |
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.
| 100 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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4. Investment Transactions
During the year ended June 30, 2016, 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 | $ | 10,430,558 | $ | 9,581,262 | ||||
Dynamic Growth Fund | 210,473 | 205,974 | ||||||
Equity Focus Fund | 98,500 | 46,441 | ||||||
Equity Income Fund | 3,308,983 | 2,035,011 | ||||||
Growth and Income Fund | 188,389 | 197,507 | ||||||
Hedged Equity Fund | 169,588 | 137,694 | ||||||
Large Cap Growth Fund | 6,170,668 | 6,955,105 | ||||||
Large Cap Value Fund | 1,543,637 | 1,561,487 | ||||||
U.S. Equity Fund | 10,356,146 | 10,384,818 | ||||||
During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 7,663,769 | $ | 870,707 | $ | 236,091 | $ | 634,616 | ||||||||
Dynamic Growth Fund | 263,330 | 75,350 | 8,937 | 66,413 | ||||||||||||
Equity Focus Fund | 132,109 | 15,034 | 5,673 | 9,361 | ||||||||||||
Equity Income Fund | 10,065,937 | 2,281,338 | 296,036 | 1,985,302 | ||||||||||||
Growth and Income Fund | 358,371 | 140,546 | 12,555 | 127,991 | ||||||||||||
Hedged Equity Fund | 225,917 | 27,172 | 10,572 | 16,600 | ||||||||||||
Large Cap Growth Fund | 9,641,448 | 4,267,477 | 162,095 | 4,105,382 | ||||||||||||
Large Cap Value Fund | 707,404 | 56,619 | 25,070 | 31,549 | ||||||||||||
U.S. Equity Fund | 9,819,736 | 2,801,756 | 275,779 | 2,525,977 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, non-taxable dividends and mark to market of options.
The tax character of distributions paid during the year ended June 30, 2016 was as follows (amounts in thousands):
| Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Disciplined Equity Fund | $ | 306,286 | $ | 154,626 | $ | 460,912 | ||||||
Dynamic Growth Fund | — | 3,697 | 3,697 | |||||||||
Equity Focus Fund | 772 | 1,551 | 2,323 | |||||||||
Equity Income Fund | 209,446 | 81,435 | 290,881 | |||||||||
Growth and Income Fund | 8,227 | 24,955 | 33,182 | |||||||||
Hedged Equity Fund | 2,951 | — | 2,951 | |||||||||
Large Cap Growth Fund | — | 685,998 | 685,998 | |||||||||
Large Cap Value Fund | 32,026 | 66,050 | 98,076 | |||||||||
U.S. Equity Fund | 216,055 | 549,390 | 765,445 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
As of June 30, 2016, 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 | $ | 14,073 | $ | — | $ | (130,031 | ) | $ | 634,616 | |||||||
Dynamic Growth Fund | — | 62 | — | 66,413 | ||||||||||||
Equity Focus Fund | 186 | 4 | — | 9,361 | ||||||||||||
Equity Income Fund | 2,004 | 6,503 | — | 1,985,302 | ||||||||||||
Growth and Income Fund | 284 | 13,368 | — | 127,991 | ||||||||||||
Hedged Equity Fund | 476 | — | (13,305 | ) | 16,600 | |||||||||||
Large Cap Growth Fund | — | 545,478 | — | 4,105,382 | ||||||||||||
Large Cap Value Fund | 285 | 23,684 | (1,637 | ) | 31,549 | |||||||||||
U.S. Equity Fund | 7,656 | 77,322 | — | 2,525,977 | ||||||||||||
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, wash sale loss deferrals, non-taxable dividends and mark to market of options.
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, 2016, 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 | $ | 1,637 | $ | 1,637 | ||||
As of June 30, 2016, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):
| Post-enactment net capital loss | ||||||||
| Short-Term | Long-Term | |||||||
Disciplined Equity Fund | $ | 130,031 | $ | — | ||||
Hedged Equity Fund | 5,312 | 7,993 | ||||||
During the year ended June 30, 2016, the following Funds utilized pre-enactment capital loss carryforwards as follows (amounts in thousands):
Large Cap Value Fund | $ | 1,637 |
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Late year ordinary losses incurred after December 31 as well as net capital losses 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, 2016, the following Funds deferred to July 1, 2016 net capital losses and other late year loss of (amounts in thousands):
| Net Capital Loss | ||||||||||||
| Short-Term | Long-Term | Other late year loss | ||||||||||
Disciplined Equity Fund | $ | 277,217 | $ | 107,328 | $ | — | ||||||
Dynamic Growth Fund | 13,604 | (3,082 | ) | 144 | ||||||||
Equity Focus Fund | 830 | (543 | ) | — | ||||||||
Hedged Equity Fund | (82 | ) | 112 | — | ||||||||
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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016 or at any time during the year then ended. Average borrowings from the Facility for the year ended June 30, 2016, were as follows (amounts in thousands).
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Dynamic Growth Fund | $ | 9,300 | 0.31 | % | 1 | $ | — | (a) | ||||||||
| (a) | Amount rounds to less than $500. |
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.
As of June 30, 2016, the Funds had omnibus accounts which represented the following percentage of each Fund's net assets:
| Number of Affiliated Omnibus Accounts | % of the Fund | Number of Non-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Dynamic Growth Fund | — | n/a | 2 | 12.4 | % | |||||||||||
Equity Focus Fund | 4 | 64.4 | % | — | n/a | |||||||||||
Equity Income Fund | 1 | 10.7 | — | n/a | ||||||||||||
Growth and Income Fund | 2 | 23.2 | — | n/a | ||||||||||||
Hedged Equity Fund | — | n/a | 5 | 59.6 | ||||||||||||
Large Cap Growth Fund | — | n/a | 4 | 21.2 | ||||||||||||
U.S. Equity Fund | 3 | 16.2 | — | n/a | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
As of June 30, 2016, J.P. Morgan Access Funds, Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate shares representing more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Access Funds | J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | ||||||||||
Disciplined Equity Fund | n/a | n/a | 68.7 | % | ||||||||
Dynamic Growth Fund | n/a | 68.8 | % | n/a | ||||||||
Equity Focus Fund | 32.4 | % | n/a | n/a | ||||||||
Large Cap Value Fund | n/a | 79.0 | n/a | |||||||||
U.S. Equity Fund | n/a | n/a | 16.8 | |||||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
8. Redemptions 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 | Redemptions in-kind | ||||||
| * | This amount includes cash of approximately $15,300,000 associated with the redemption in-kind. |
9. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
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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, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2016
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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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 152 | 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). | |||
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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) | ||||||
| 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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 Trust (Since) | Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | 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, 2016 and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.10 | $ | 4.24 | 0.85 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,008.00 | 1.75 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.12 | 1.76 | 0.35 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,007.10 | 2.25 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.63 | 2.26 | 0.45 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,006.30 | 2.99 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Dynamic Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 930.60 | 5.71 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.95 | 5.97 | 1.19 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 928.10 | 8.10 | 1.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.46 | 8.47 | 1.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 932.70 | 3.56 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 931.60 | 4.56 | 0.95 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2016 | Ending Account Value | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Focus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 966.20 | $ | 6.06 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 963.40 | 8.49 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 967.20 | 4.84 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,056.60 | 5.32 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.22 | 1.04 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,055.00 | 7.87 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.21 | 7.72 | 1.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,055.90 | 6.59 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,059.20 | 3.02 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 2.97 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,059.60 | 2.56 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,058.90 | 3.99 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,027.30 | 5.19 | 1.03 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.74 | 5.17 | 1.03 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,025.00 | 7.70 | 1.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.26 | 7.67 | 1.53 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,026.30 | 6.45 | 1.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.50 | 6.42 | 1.28 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,029.60 | 2.98 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 2.97 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,029.90 | 2.67 | 0.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.23 | 2.66 | 0.53 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,028.90 | 3.93 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Hedged Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,019.20 | 4.27 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,016.50 | 6.77 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 6.77 | 1.35 | ||||||||||||
| 110 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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| Beginning Account Value January 1, 2016 | Ending Account Value | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Hedged Equity Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.50 | $ | 2.01 | 0.40 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.01 | 0.40 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,021.80 | 1.76 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.12 | 1.76 | 0.35 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,020.50 | 3.01 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 928.40 | 4.99 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.22 | 1.04 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 926.30 | 7.38 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.21 | 7.72 | 1.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 927.10 | 6.18 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 930.00 | 3.31 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.43 | 3.47 | 0.69 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 930.50 | 2.88 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 929.20 | 4.27 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.44 | 4.47 | 0.89 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,006.50 | 4.64 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.24 | 4.67 | 0.93 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,004.30 | 7.23 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,005.20 | 5.98 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,008.10 | 2.90 | 0.58 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.98 | 2.92 | 0.58 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,008.60 | 2.55 | 0.51 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.33 | 2.56 | 0.51 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,007.20 | 4.39 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.49 | 4.42 | 0.88 | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,003.50 | 4.68 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.19 | 4.72 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,000.50 | 7.16 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.70 | 7.22 | 1.44 | ||||||||||||
| JUNE 30, 2016 | 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, 2016 | Ending Account Value | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Equity Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.70 | $ | 5.92 | 1.19 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.95 | 5.97 | 1.19 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,005.40 | 2.79 | 0.56 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.08 | 2.82 | 0.56 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,005.00 | 2.49 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,005.10 | 3.04 | 0.61 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.83 | 3.07 | 0.61 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,004.50 | 3.79 | 0.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.82 | 0.76 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| 112 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2016 | ||||
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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, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| Dividends Received Deduction | ||||
Disciplined Equity Fund | 45.62 | % | ||
Equity Focus Fund | 100.00 | |||
Equity Income Fund | 100.00 | |||
Growth and Income Fund | 100.00 | |||
Hedged Equity Fund | 100.00 | |||
Large Cap Value Fund | 43.51 | |||
U.S. Equity Fund | 95.20 | |||
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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Disciplined Equity Fund | $ | 154,626 | ||
Dynamic Growth Fund | 3,697 | |||
Equity Focus Fund | 1,551 | |||
Equity Income Fund | 81,435 | |||
Growth and Income Fund | 24,955 | |||
Large Cap Growth Fund | 685,998 | |||
Large Cap Value Fund | 66,050 | |||
U.S. Equity Fund | 549,390 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Disciplined Equity Fund | $ | 163,274 | ||
Equity Focus Fund | 772 | |||
Equity Income Fund | 209,446 | |||
Growth and Income Fund | 8,227 | |||
Hedged Equity Fund | 2,951 | |||
Large Cap Value Fund | 15,990 | |||
U.S. Equity Fund | 216,055 | |||
| JUNE 30, 2016 | J.P. MORGAN LARGE CAP FUNDS | 113 | ||||||
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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 businesses 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., 2016. All rights reserved. June 2016. | AN-LCE-616 |
Table of Contents
Annual Report
J.P. Morgan Equity Funds
June 30, 2016
JPMorgan Equity Index Fund
JPMorgan Market Expansion Enhanced Index Fund
Table of Contents
Investments in a Fund are not 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 a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
July 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
 |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Index Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the S&P 500 down 3.94% in one day. In October, U.S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the Fed decided against raising interest rates. In June, the U.K. vote to leave the EU sparked the worst single day in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.
| 2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 3.81% | |||
| S&P 500 Index** | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $1,507,382 | |||
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”) (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Select Class Shares performed largely in line with the Benchmark for the twelve months ended June 30, 2016, before considering the effect of Fund fees and expenses. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.
Despite three sharp sell-offs in global equity markets in August, January and June, U.S. equities overall turned in a positive performance for the twelve month reporting period. The consumer staples, information technology and utilities sectors were the largest contributors to performance of both the Fund and the Benchmark, while the financials, health care and energy sectors were the larges detractors from performance.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Apple, Inc. | 2.9 | % | |||||
| 2. | Microsoft Corp. | 2.2 | ||||||
| 3. | Exxon Mobil Corp. | 2.1 | ||||||
| 4. | Johnson & Johnson | 1.8 | ||||||
| 5. | General Electric Co. | 1.6 | ||||||
| 6. | Amazon.com, Inc. | 1.5 | ||||||
| 7. | Berkshire Hathaway, Inc., Class B | 1.5 | ||||||
| 8. | AT&T, Inc. | 1.5 | ||||||
| 9. | Facebook, Inc., Class A | 1.4 | ||||||
| 10. | Verizon Communications, Inc. | 1.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 19.6 | % | ||
| Financials | 15.6 | |||
| Health Care | 14.6 | |||
| Consumer Discretionary | 12.2 | |||
| Consumer Staples | 10.5 | |||
| Industrials | 10.1 | |||
| Energy | 7.3 | |||
| Utilities | 3.6 | |||
| Telecommunication Services | 2.9 | |||
| Materials | 2.8 | |||
| Short-Term Investment | 0.8 | |||
| * | 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. |
| ** | “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. |
| *** | 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
Table of Contents
JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | (1.91 | )% | 10.39 | % | 6.39 | % | ||||||||
Without Sales Charge | 3.53 | 11.59 | 6.97 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 1.76 | 10.75 | 6.17 | |||||||||||
Without CDSC | 2.76 | 10.75 | 6.17 | |||||||||||
SELECT CLASS SHARES | July 2, 1991 | 3.81 | 11.86 | 7.23 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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 management fees. These expenses are not identical to the
expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper S&P 500 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 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.
| 4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 0.47% | |||
| S&P 1000 Index** | 0.93% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $935,358 | |||
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 underperformed the Standard & Poor’s 1000 Index (S&P 1000 Index) (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health services & systems sector and the real estate investment trust sector was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the software & services sector and the consumer staples sector was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Community Health Systems Inc., Jones Lang LaSalle Inc. and DiamondRock Hospitality Co. Shares of Community Health Systems, an operator of acute care hospitals, fell after the company reported lower than expected quarterly revenue and earnings. Shares of Jones Lang LaSalle, a real estate investment company, fell amid investor concerns that a strong U.S. dollar, an increase in interest rates and capital controls in China could hurt the company’s earnings. Shares of DiamondRock Hospitality, a lodging real estate investment trust, declined as investors expected the continued strength of the U.S. dollar would reduce foreign tourist traffic in the U.S.
Leading individual contributors to relative performance included the Fund’s overweight positions in Huntington Ingalls Industries Inc., Computer Sciences Co. and Insperity Inc. Shares of Huntington Ingalls, a maker and repairer of military ships, rose on growth in earnings and contracts. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Insperity, a provider of human resources services, rose after the company increased its quarterly dividend and reported better than expected quarterly earnings.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Ingredion, Inc. | 0.9 | % | |||||
| 2. | UGI Corp. | 0.8 | ||||||
| 3. | Atmos Energy Corp. | 0.8 | ||||||
| 4. | Synopsys, Inc. | 0.8 | ||||||
| 5. | Huntington Ingalls Industries, Inc. | 0.8 | ||||||
| 6. | Computer Sciences Corp. | 0.7 | ||||||
| 7. | Mid-America Apartment Communities, Inc. | 0.7 | ||||||
| 8. | Broadridge Financial Solutions, Inc. | 0.7 | ||||||
| 9. | Arrow Electronics, Inc. | 0.7 | ||||||
| 10. | Everest Re Group Ltd., (Bermuda) | 0.6 | ||||||
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Financials | 24.5 | % | ||
| Information Technology | 16.8 | |||
| Industrials | 15.3 | |||
| Consumer Discretionary | 10.6 | |||
| Health Care | 10.2 | |||
| Materials | 7.1 | |||
| Utilities | 5.8 | |||
| Consumer Staples | 3.7 | |||
| Energy | 3.3 | |||
| Telecommunication Services | 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. |
| ** | “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. |
| *** | 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, 2016. The Fund’s portfolio composition is subject to change. |
| 6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 31, 1998 | |||||||||||||
With Sales Charge* | (5.05 | )% | 9.32 | % | 7.12 | % | ||||||||
Without Sales Charge | 0.22 | 10.51 | 7.70 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | (1.43 | ) | 9.78 | 6.94 | ||||||||||
Without CDSC | (0.43 | ) | 9.78 | 6.94 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (0.05 | ) | 10.23 | 7.37 | |||||||||
SELECT CLASS SHARES | July 31, 1998 | 0.47 | 10.81 | 7.98 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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 $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.5% |
| ||||||
Consumer Discretionary — 12.2% |
| |||||||
Auto Components — 0.3% |
| |||||||
| 18 | BorgWarner, Inc. | 530 | ||||||
| 22 | Delphi Automotive plc, (United Kingdom) | 1,408 | ||||||
| 22 | Goodyear Tire & Rubber Co. (The) | 563 | ||||||
| 53 | Johnson Controls, Inc. | 2,365 | ||||||
|
| |||||||
| 4,866 | ||||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
| 322 | Ford Motor Co. | 4,043 | ||||||
| 115 | General Motors Co. | 3,268 | ||||||
| 15 | Harley-Davidson, Inc. | 676 | ||||||
|
| |||||||
| 7,987 | ||||||||
|
| |||||||
Distributors — 0.2% |
| |||||||
| 12 | Genuine Parts Co. | 1,249 | ||||||
| 25 | LKQ Corp. (a) | 801 | ||||||
|
| |||||||
| 2,050 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% (g) |
| |||||||
| 18 | H&R Block, Inc. | 425 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
| 36 | Carnival Corp. | 1,597 | ||||||
| 2 | Chipotle Mexican Grill, Inc. (a) | 970 | ||||||
| 9 | Darden Restaurants, Inc. | 595 | ||||||
| 16 | Marriott International, Inc., Class A | 1,045 | ||||||
| 72 | McDonald’s Corp. | 8,707 | ||||||
| 14 | Royal Caribbean Cruises Ltd. | 929 | ||||||
| 121 | Starbucks Corp. | 6,897 | ||||||
| 14 | Starwood Hotels & Resorts Worldwide, Inc. | 1,027 | ||||||
| 9 | Wyndham Worldwide Corp. | 657 | ||||||
| 7 | Wynn Resorts Ltd. | 608 | ||||||
| 34 | Yum! Brands, Inc. | 2,785 | ||||||
|
| |||||||
| 25,817 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 27 | D.R. Horton, Inc. | 856 | ||||||
| 10 | Garmin Ltd., (Switzerland) | 410 | ||||||
| 6 | Harman International Industries, Inc. | 418 | ||||||
| 11 | Leggett & Platt, Inc. | 566 | ||||||
| 15 | Lennar Corp., Class A | 697 | ||||||
| 5 | Mohawk Industries, Inc. (a) | 997 | ||||||
| 38 | Newell Brands, Inc. | 1,828 | ||||||
| 26 | PulteGroup, Inc. | 506 | ||||||
| 6 | Whirlpool Corp. | 1,043 | ||||||
|
| |||||||
| 7,321 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.2% |
| |||||||
| 32 | Amazon.com, Inc. (a) | 22,821 | ||||||
| 10 | Expedia, Inc. | 1,027 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — continued | ||||||||
| 35 | Netflix, Inc. (a) | 3,229 | ||||||
| 4 | Priceline Group, Inc. (The) (a) | 5,107 | ||||||
| 9 | TripAdvisor, Inc. (a) | 606 | ||||||
|
| |||||||
| 32,790 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
| 9 | Hasbro, Inc. | 777 | ||||||
| 28 | Mattel, Inc. | 878 | ||||||
|
| |||||||
| 1,655 | ||||||||
|
| |||||||
Media — 2.7% |
| |||||||
| 34 | CBS Corp. (Non-Voting), Class B | 1,864 | ||||||
| 199 | Comcast Corp., Class A | 12,991 | ||||||
| 12 | Discovery Communications, Inc., Class A (a) | 313 | ||||||
| 20 | Discovery Communications, Inc., Class C (a) | 469 | ||||||
| 33 | Interpublic Group of Cos., Inc. (The) | 766 | ||||||
| 31 | News Corp., Class A | 356 | ||||||
| 9 | News Corp., Class B | 104 | ||||||
| 20 | Omnicom Group, Inc. | 1,597 | ||||||
| 8 | Scripps Networks Interactive, Inc., Class A | 488 | ||||||
| 18 | TEGNA, Inc. | 415 | ||||||
| 65 | Time Warner, Inc. | 4,767 | ||||||
| 90 | Twenty-First Century Fox, Inc., Class A | 2,443 | ||||||
| 36 | Twenty-First Century Fox, Inc., Class B | 968 | ||||||
| 29 | Viacom, Inc., Class B | 1,185 | ||||||
| 123 | Walt Disney Co. (The) | 12,034 | ||||||
|
| |||||||
| 40,760 | ||||||||
|
| |||||||
Multiline Retail — 0.6% |
| |||||||
| 23 | Dollar General Corp. | 2,199 | ||||||
| 19 | Dollar Tree, Inc. (a) | 1,830 | ||||||
| 15 | Kohl’s Corp. | 574 | ||||||
| 25 | Macy’s, Inc. | 854 | ||||||
| 11 | Nordstrom, Inc. | 402 | ||||||
| 49 | Target Corp. | 3,391 | ||||||
|
| |||||||
| 9,250 | ||||||||
|
| |||||||
Specialty Retail — 2.6% |
| |||||||
| 6 | Advance Auto Parts, Inc. | 980 | ||||||
| 6 | AutoNation, Inc. (a) | 276 | ||||||
| 2 | AutoZone, Inc. (a) | 1,954 | ||||||
| 13 | Bed Bath & Beyond, Inc. | 550 | ||||||
| 23 | Best Buy Co., Inc. | 711 | ||||||
| 16 | CarMax, Inc. (a) | 783 | ||||||
| 11 | Foot Locker, Inc. | 615 | ||||||
| 19 | Gap, Inc. (The) | 397 | ||||||
| 103 | Home Depot, Inc. (The) | 13,093 | ||||||
| 21 | L Brands, Inc. | 1,400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
Specialty Retail — continued | ||||||||
| 73 | Lowe’s Cos., Inc. | 5,782 | ||||||
| 8 | O’Reilly Automotive, Inc. (a) | 2,155 | ||||||
| 33 | Ross Stores, Inc. | 1,877 | ||||||
| 6 | Signet Jewelers Ltd. | 530 | ||||||
| 53 | Staples, Inc. | 459 | ||||||
| 9 | Tiffany & Co. | 548 | ||||||
| 54 | TJX Cos., Inc. (The) | 4,208 | ||||||
| 11 | Tractor Supply Co. | 1,003 | ||||||
| 5 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 1,254 | ||||||
| 7 | Urban Outfitters, Inc. (a) | 196 | ||||||
|
| |||||||
| 38,771 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
| 23 | Coach, Inc. | 933 | ||||||
| 31 | Hanesbrands, Inc. | 782 | ||||||
| 15 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 720 | ||||||
| 110 | NIKE, Inc., Class B | 6,058 | ||||||
| 7 | PVH Corp. | 629 | ||||||
| 5 | Ralph Lauren Corp. | 421 | ||||||
| 15 | Under Armour, Inc., Class A (a) | 606 | ||||||
| 15 | Under Armour, Inc., Class C (a) | 552 | ||||||
| 27 | V.F. Corp. | 1,691 | ||||||
|
| |||||||
| 12,392 | ||||||||
|
| |||||||
Total Consumer Discretionary | 184,084 | |||||||
|
| |||||||
Consumer Staples — 10.5% |
| |||||||
Beverages — 2.3% |
| |||||||
| 8 | Brown-Forman Corp., Class B | 826 | ||||||
| 321 | Coca-Cola Co. (The) | 14,547 | ||||||
| 15 | Constellation Brands, Inc., Class A | 2,405 | ||||||
| 15 | Dr. Pepper Snapple Group, Inc. | 1,480 | ||||||
| 15 | Molson Coors Brewing Co., Class B | 1,535 | ||||||
| 12 | Monster Beverage Corp. (a) | 1,865 | ||||||
| 119 | PepsiCo, Inc. | 12,612 | ||||||
|
| |||||||
| 35,270 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% |
| |||||||
| 36 | Costco Wholesale Corp. | 5,670 | ||||||
| 89 | CVS Health Corp. | 8,475 | ||||||
| 79 | Kroger Co. (The) | 2,892 | ||||||
| 43 | Sysco Corp. | 2,192 | ||||||
| 71 | Walgreens Boots Alliance, Inc. | 5,931 | ||||||
| 126 | Wal-Mart Stores, Inc. | 9,191 | ||||||
| 26 | Whole Foods Market, Inc. | 848 | ||||||
|
| |||||||
| 35,199 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 1.9% |
| |||||||
| 48 | Archer-Daniels-Midland Co. | 2,077 | ||||||
| 15 | Campbell Soup Co. | 983 | ||||||
| 36 | ConAgra Foods, Inc. | 1,720 | ||||||
| 49 | General Mills, Inc. | 3,494 | ||||||
| 12 | Hershey Co. (The) | 1,315 | ||||||
| 22 | Hormel Foods Corp. | 815 | ||||||
| 10 | JM Smucker Co. (The) | 1,503 | ||||||
| 21 | Kellogg Co. | 1,696 | ||||||
| 49 | Kraft Heinz Co. (The) | 4,345 | ||||||
| 10 | McCormick & Co., Inc. (Non-Voting) | 1,014 | ||||||
| 15 | Mead Johnson Nutrition Co. | 1,396 | ||||||
| 128 | Mondelez International, Inc., Class A | 5,822 | ||||||
| 25 | Tyson Foods, Inc., Class A | 1,654 | ||||||
|
| |||||||
| 27,834 | ||||||||
|
| |||||||
Household Products — 2.0% |
| |||||||
| 11 | Church & Dwight Co., Inc. | 1,088 | ||||||
| 11 | Clorox Co. (The) | 1,475 | ||||||
| 74 | Colgate-Palmolive Co. | 5,388 | ||||||
| 30 | Kimberly-Clark Corp. | 4,081 | ||||||
| 219 | Procter & Gamble Co. (The) | 18,576 | ||||||
|
| |||||||
| 30,608 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 18 | Estee Lauder Cos., Inc. (The), Class A | 1,670 | ||||||
|
| |||||||
Tobacco — 1.9% |
| |||||||
| 161 | Altria Group, Inc. | 11,120 | ||||||
| 128 | Philip Morris International, Inc. | 13,005 | ||||||
| 68 | Reynolds American, Inc. | 3,680 | ||||||
|
| |||||||
| 27,805 | ||||||||
|
| |||||||
Total Consumer Staples | 158,386 | |||||||
|
| |||||||
Energy — 7.3% |
| |||||||
Energy Equipment & Services — 1.1% |
| |||||||
| 36 | Baker Hughes, Inc. | 1,629 | ||||||
| 5 | Diamond Offshore Drilling, Inc. | 129 | ||||||
| 19 | FMC Technologies, Inc. (a) | 498 | ||||||
| 71 | Halliburton Co. | 3,207 | ||||||
| 9 | Helmerich & Payne, Inc. | 598 | ||||||
| 31 | National Oilwell Varco, Inc. | 1,046 | ||||||
| 115 | Schlumberger Ltd. | 9,057 | ||||||
| 28 | Transocean Ltd., (Switzerland) | 336 | ||||||
|
| |||||||
| 16,500 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.2% |
| |||||||
| 42 | Anadarko Petroleum Corp. | 2,240 | ||||||
| 31 | Apache Corp. | 1,737 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Oil, Gas & Consumable Fuels — continued | ||||||||
| 38 | Cabot Oil & Gas Corp. | 987 | ||||||
| 48 | Chesapeake Energy Corp. (a) | 206 | ||||||
| 155 | Chevron Corp. | 16,284 | ||||||
| 8 | Cimarex Energy Co. | 932 | ||||||
| 33 | Columbia Pipeline Group, Inc. | 840 | ||||||
| 11 | Concho Resources, Inc. (a) | 1,281 | ||||||
| 102 | ConocoPhillips | 4,450 | ||||||
| 43 | Devon Energy Corp. | 1,566 | ||||||
| 45 | EOG Resources, Inc. | 3,784 | ||||||
| 14 | EQT Corp. | 1,102 | ||||||
| 342 | Exxon Mobil Corp. | 32,037 | ||||||
| 22 | Hess Corp. | 1,306 | ||||||
| 151 | Kinder Morgan, Inc. | 2,823 | ||||||
| 70 | Marathon Oil Corp. | 1,049 | ||||||
| 44 | Marathon Petroleum Corp. | 1,658 | ||||||
| 13 | Murphy Oil Corp. | 424 | ||||||
| 16 | Newfield Exploration Co. (a) | 716 | ||||||
| 35 | Noble Energy, Inc. | 1,267 | ||||||
| 63 | Occidental Petroleum Corp. | 4,756 | ||||||
| 17 | ONEOK, Inc. | 822 | ||||||
| 39 | Phillips 66 | 3,059 | ||||||
| 13 | Pioneer Natural Resources Co. | 2,038 | ||||||
| 14 | Range Resources Corp. | 604 | ||||||
| 39 | Southwestern Energy Co. (a) | 491 | ||||||
| 56 | Spectra Energy Corp. | 2,066 | ||||||
| 10 | Tesoro Corp. | 741 | ||||||
| 39 | Valero Energy Corp. | 1,975 | ||||||
| 56 | Williams Cos., Inc. (The) | 1,218 | ||||||
|
| |||||||
| 94,459 | ||||||||
|
| |||||||
Total Energy | 110,959 | |||||||
|
| |||||||
Financials — 15.7% |
| |||||||
Banks — 5.2% |
| |||||||
| 847 | Bank of America Corp. | 11,235 | ||||||
| 68 | BB&T Corp. | 2,409 | ||||||
| 242 | Citigroup, Inc. | 10,254 | ||||||
| 43 | Citizens Financial Group, Inc. | 866 | ||||||
| 14 | Comerica, Inc. | 594 | ||||||
| 63 | Fifth Third Bancorp | 1,113 | ||||||
| 66 | Huntington Bancshares, Inc. | 589 | ||||||
| 301 | JPMorgan Chase & Co. (q) | 18,728 | ||||||
| 69 | KeyCorp | 767 | ||||||
| 13 | M&T Bank Corp. | 1,544 | ||||||
| 26 | People’s United Financial, Inc. | 376 | ||||||
| 41 | PNC Financial Services Group, Inc. (The) | 3,349 | ||||||
| 104 | Regions Financial Corp. | 888 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Banks — continued | ||||||||
| 41 | SunTrust Banks, Inc. | 1,697 | ||||||
| 134 | U.S. Bancorp | 5,394 | ||||||
| 381 | Wells Fargo & Co. | 18,023 | ||||||
| 17 | Zions Bancorporation | 424 | ||||||
|
| |||||||
| 78,250 | ||||||||
|
| |||||||
Capital Markets — 1.8% |
| |||||||
| 4 | Affiliated Managers Group, Inc. (a) | 624 | ||||||
| 14 | Ameriprise Financial, Inc. | 1,228 | ||||||
| 89 | Bank of New York Mellon Corp. (The) | 3,449 | ||||||
| 10 | BlackRock, Inc. | 3,551 | ||||||
| 99 | Charles Schwab Corp. (The) | 2,509 | ||||||
| 23 | E*TRADE Financial Corp. (a) | 540 | ||||||
| 30 | Franklin Resources, Inc. | 1,014 | ||||||
| 32 | Goldman Sachs Group, Inc. (The) | 4,731 | ||||||
| 34 | Invesco Ltd. | 878 | ||||||
| 9 | Legg Mason, Inc. | 256 | ||||||
| 125 | Morgan Stanley | 3,235 | ||||||
| 18 | Northern Trust Corp. | 1,171 | ||||||
| 33 | State Street Corp. | 1,760 | ||||||
| 20 | T. Rowe Price Group, Inc. | 1,493 | ||||||
|
| |||||||
| 26,439 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
| 67 | American Express Co. | 4,048 | ||||||
| 42 | Capital One Financial Corp. | 2,681 | ||||||
| 34 | Discover Financial Services | 1,821 | ||||||
| 27 | Navient Corp. | 325 | ||||||
| 69 | Synchrony Financial (a) | 1,738 | ||||||
|
| |||||||
| 10,613 | ||||||||
|
| |||||||
Diversified Financial Services — 2.1% |
| |||||||
| 154 | Berkshire Hathaway, Inc., Class B (a) | 22,362 | ||||||
| 28 | CME Group, Inc. | 2,719 | ||||||
| 10 | Intercontinental Exchange, Inc. | 2,511 | ||||||
| 27 | Leucadia National Corp. | 476 | ||||||
| 14 | Moody’s Corp. | 1,306 | ||||||
| 9 | Nasdaq, Inc. | 614 | ||||||
| 22 | S&P Global, Inc. | 2,339 | ||||||
|
| |||||||
| 32,327 | ||||||||
|
| |||||||
Insurance — 2.7% |
| |||||||
| 34 | Aflac, Inc. | 2,462 | ||||||
| 31 | Allstate Corp. (The) | 2,158 | ||||||
| 92 | American International Group, Inc. | 4,878 | ||||||
| 22 | Aon plc, (United Kingdom) | 2,385 | ||||||
| 15 | Arthur J. Gallagher & Co. | 695 | ||||||
| 5 | Assurant, Inc. | 441 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Insurance — continued | ||||||||
| 38 | Chubb Ltd., (Switzerland) | 5,004 | ||||||
| 12 | Cincinnati Financial Corp. | 913 | ||||||
| 32 | Hartford Financial Services Group, Inc. (The) | 1,439 | ||||||
| 20 | Lincoln National Corp. | 764 | ||||||
| 22 | Loews Corp. | 907 | ||||||
| 43 | Marsh & McLennan Cos., Inc. | 2,941 | ||||||
| 91 | MetLife, Inc. | 3,607 | ||||||
| 22 | Principal Financial Group, Inc. | 913 | ||||||
| 48 | Progressive Corp. (The) | 1,610 | ||||||
| 36 | Prudential Financial, Inc. | 2,599 | ||||||
| 9 | Torchmark Corp. | 572 | ||||||
| 24 | Travelers Cos., Inc. (The) | 2,869 | ||||||
| 20 | Unum Group | 623 | ||||||
| 11 | Willis Towers Watson plc, (United Kingdom) | 1,418 | ||||||
| 23 | XL Group plc, (Ireland) | 781 | ||||||
|
| |||||||
| 39,979 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.2% |
| |||||||
| 35 | American Tower Corp. | 3,976 | ||||||
| 13 | Apartment Investment & Management Co., Class A | 570 | ||||||
| 11 | AvalonBay Communities, Inc. | 2,039 | ||||||
| 13 | Boston Properties, Inc. | 1,670 | ||||||
| 28 | Crown Castle International Corp. | 2,816 | ||||||
| 12 | Digital Realty Trust, Inc. | 1,319 | ||||||
| 6 | Equinix, Inc. | 2,219 | ||||||
| 30 | Equity Residential | 2,075 | ||||||
| 5 | Essex Property Trust, Inc. | 1,230 | ||||||
| 10 | Extra Space Storage, Inc. | 955 | ||||||
| 6 | Federal Realty Investment Trust | 968 | ||||||
| 48 | General Growth Properties, Inc. | 1,433 | ||||||
| 38 | HCP, Inc. | 1,362 | ||||||
| 62 | Host Hotels & Resorts, Inc. | 998 | ||||||
| 20 | Iron Mountain, Inc. | 785 | ||||||
| 35 | Kimco Realty Corp. | 1,085 | ||||||
| 10 | Macerich Co. (The) | 888 | ||||||
| 43 | Prologis, Inc. | 2,124 | ||||||
| 12 | Public Storage | 3,105 | ||||||
| 21 | Realty Income Corp. | 1,473 | ||||||
| 26 | Simon Property Group, Inc. | 5,531 | ||||||
| 8 | SL Green Realty Corp. | 880 | ||||||
| 22 | UDR, Inc. | 813 | ||||||
| 28 | Ventas, Inc. | 2,029 | ||||||
| 15 | Vornado Realty Trust | 1,464 | ||||||
| 29 | Welltower, Inc. | 2,241 | ||||||
| 62 | Weyerhaeuser Co. | 1,833 | ||||||
|
| |||||||
| 47,881 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
| 24 | CBRE Group, Inc., Class A (a) | 637 | ||||||
|
| |||||||
Total Financials | 236,126 | |||||||
|
| |||||||
Health Care — 14.6% |
| |||||||
Biotechnology — 2.3% |
| |||||||
| 18 | Alexion Pharmaceuticals, Inc. (a) | 2,156 | ||||||
| 62 | Amgen, Inc. | 9,420 | ||||||
| 18 | Biogen, Inc. (a) | 4,366 | ||||||
| 64 | Celgene Corp. (a) | 6,297 | ||||||
| 110 | Gilead Sciences, Inc. | 9,157 | ||||||
| 6 | Regeneron Pharmaceuticals, Inc. (a) | 2,245 | ||||||
| 20 | Vertex Pharmaceuticals, Inc. (a) | 1,754 | ||||||
|
| |||||||
| 35,395 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
| 121 | Abbott Laboratories | 4,760 | ||||||
| 46 | Baxter International, Inc. | 2,058 | ||||||
| 17 | Becton, Dickinson and Co. | 2,966 | ||||||
| 112 | Boston Scientific Corp. (a) | 2,614 | ||||||
| 6 | C.R. Bard, Inc. | 1,421 | ||||||
| 19 | Dentsply Sirona, Inc. | 1,198 | ||||||
| 17 | Edwards Lifesciences Corp. (a) | 1,741 | ||||||
| 20 | Hologic, Inc. (a) | 692 | ||||||
| 3 | Intuitive Surgical, Inc. (a) | 2,075 | ||||||
| 116 | Medtronic plc, (Ireland) | 10,056 | ||||||
| 23 | St. Jude Medical, Inc. | 1,828 | ||||||
| 26 | Stryker Corp. | 3,103 | ||||||
| 8 | Varian Medical Systems, Inc. (a) | 645 | ||||||
| 16 | Zimmer Biomet Holdings, Inc. | 1,976 | ||||||
|
| |||||||
| 37,133 | ||||||||
|
| |||||||
Health Care Providers & Services �� 2.8% |
| |||||||
| 29 | Aetna, Inc. | 3,529 | ||||||
| 15 | AmerisourceBergen Corp. | 1,199 | ||||||
| 22 | Anthem, Inc. | 2,847 | ||||||
| 27 | Cardinal Health, Inc. | 2,095 | ||||||
| 14 | Centene Corp. (a) | 1,003 | ||||||
| 21 | Cigna Corp. | 2,706 | ||||||
| 13 | DaVita HealthCare Partners, Inc. (a) | 1,040 | ||||||
| 52 | Express Scripts Holding Co. (a) | 3,953 | ||||||
| 25 | HCA Holdings, Inc. (a) | 1,911 | ||||||
| 7 | Henry Schein, Inc. (a) | 1,196 | ||||||
| 12 | Humana, Inc. | 2,210 | ||||||
| 8 | Laboratory Corp. of America Holdings (a) | 1,099 | ||||||
| 19 | McKesson Corp. | 3,462 | ||||||
| 7 | Patterson Cos., Inc. | 329 | ||||||
| 12 | Quest Diagnostics, Inc. | 949 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Health Care Providers & Services — continued | ||||||||
| 78 | UnitedHealth Group, Inc. | 11,065 | ||||||
| 7 | Universal Health Services, Inc., Class B | 992 | ||||||
|
| |||||||
| 41,585 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 25 | Cerner Corp. (a) | 1,453 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
| 27 | Agilent Technologies, Inc. | 1,198 | ||||||
| 12 | Illumina, Inc. (a) | 1,703 | ||||||
| 9 | PerkinElmer, Inc. | 471 | ||||||
| 32 | Thermo Fisher Scientific, Inc. | 4,793 | ||||||
| 7 | Waters Corp. (a) | 938 | ||||||
|
| |||||||
| 9,103 | ||||||||
|
| |||||||
Pharmaceuticals — 6.3% |
| |||||||
| 133 | AbbVie, Inc. | 8,253 | ||||||
| 33 | Allergan plc (a) | 7,534 | ||||||
| 138 | Bristol-Myers Squibb Co. | 10,119 | ||||||
| 80 | Eli Lilly & Co. | 6,305 | ||||||
| 17 | Endo International plc, (Ireland) (a) | 263 | ||||||
| 227 | Johnson & Johnson | 27,500 | ||||||
| 9 | Mallinckrodt plc (a) | 548 | ||||||
| 228 | Merck & Co., Inc. | 13,143 | ||||||
| 35 | Mylan N.V. (a) | 1,522 | ||||||
| 12 | Perrigo Co. plc, (Ireland) | 1,070 | ||||||
| 500 | Pfizer, Inc. | 17,601 | ||||||
| 38 | Zoetis, Inc. | 1,786 | ||||||
|
| |||||||
| 95,644 | ||||||||
|
| |||||||
Total Health Care | 220,313 | |||||||
|
| |||||||
Industrials — 10.1% |
| |||||||
Aerospace & Defense — 2.6% |
| |||||||
| 49 | Boeing Co. (The) | 6,409 | ||||||
| 24 | General Dynamics Corp. | 3,297 | ||||||
| 63 | Honeywell International, Inc. | 7,307 | ||||||
| 6 | L-3 Communications Holdings, Inc. | 930 | ||||||
| 22 | Lockheed Martin Corp. | 5,355 | ||||||
| 15 | Northrop Grumman Corp. | 3,306 | ||||||
| 24 | Raytheon Co. | 3,328 | ||||||
| 11 | Rockwell Collins, Inc. | 914 | ||||||
| 22 | Textron, Inc. | 810 | ||||||
| 4 | TransDigm Group, Inc. (a) | 1,152 | ||||||
| 64 | United Technologies Corp. | 6,578 | ||||||
|
| |||||||
| 39,386 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
| 12 | C.H. Robinson Worldwide, Inc. | 874 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Air Freight & Logistics — continued | ||||||||
| 15 | Expeditors International of Washington, Inc. | 736 | ||||||
| 21 | FedEx Corp. | 3,123 | ||||||
| 57 | United Parcel Service, Inc., Class B | 6,130 | ||||||
|
| |||||||
| 10,863 | ||||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
| 10 | Alaska Air Group, Inc. | 592 | ||||||
| 48 | American Airlines Group, Inc. | 1,349 | ||||||
| 64 | Delta Air Lines, Inc. | 2,317 | ||||||
| 53 | Southwest Airlines Co. | 2,064 | ||||||
| 28 | United Continental Holdings, Inc. (a) | 1,136 | ||||||
|
| |||||||
| 7,458 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
| 8 | Allegion plc, (Ireland) | 548 | ||||||
| 13 | Fortune Brands Home & Security, Inc. | 733 | ||||||
| 27 | Masco Corp. | 848 | ||||||
|
| |||||||
| 2,129 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 7 | Cintas Corp. | 701 | ||||||
| 16 | Pitney Bowes, Inc. | 277 | ||||||
| 20 | Republic Services, Inc. | 1,003 | ||||||
| 7 | Stericycle, Inc. (a) | 729 | ||||||
| 35 | Tyco International plc | 1,494 | ||||||
| 34 | Waste Management, Inc. | 2,257 | ||||||
|
| |||||||
| 6,461 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
| 11 | Fluor Corp. | 565 | ||||||
| 10 | Jacobs Engineering Group, Inc. (a) | 501 | ||||||
| 12 | Quanta Services, Inc. (a) | 288 | ||||||
|
| |||||||
| 1,354 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 4 | Acuity Brands, Inc. | 896 | ||||||
| 19 | AMETEK, Inc. | 889 | ||||||
| 38 | Eaton Corp. plc | 2,255 | ||||||
| 53 | Emerson Electric Co. | 2,766 | ||||||
| 11 | Rockwell Automation, Inc. | 1,232 | ||||||
|
| |||||||
| 8,038 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.6% |
| |||||||
| 50 | 3M Co. | 8,754 | ||||||
| 49 | Danaher Corp. | 4,988 | ||||||
| 758 | General Electric Co. (k) | 23,859 | ||||||
| 8 | Roper Technologies, Inc. | 1,423 | ||||||
|
| |||||||
| 39,024 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
Machinery — 1.3% |
| |||||||
| 48 | Caterpillar, Inc. | 3,648 | ||||||
| 13 | Cummins, Inc. | 1,468 | ||||||
| 25 | Deere & Co. | 1,994 | ||||||
| 13 | Dover Corp. | 887 | ||||||
| 11 | Flowserve Corp. | 485 | ||||||
| 27 | Illinois Tool Works, Inc. | 2,777 | ||||||
| 21 | Ingersoll-Rand plc | 1,351 | ||||||
| 29 | PACCAR, Inc. | 1,498 | ||||||
| 11 | Parker-Hannifin Corp. | 1,200 | ||||||
| 15 | Pentair plc, (United Kingdom) | 868 | ||||||
| 5 | Snap-on, Inc. | 756 | ||||||
| 12 | Stanley Black & Decker, Inc. | 1,376 | ||||||
| 15 | Xylem, Inc. | 659 | ||||||
|
| |||||||
| 18,967 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
| 3 | Dun & Bradstreet Corp. (The) | 364 | ||||||
| 10 | Equifax, Inc. | 1,259 | ||||||
| 30 | Nielsen Holdings plc | 1,546 | ||||||
| 11 | Robert Half International, Inc. | 413 | ||||||
| 13 | Verisk Analytics, Inc. (a) | 1,034 | ||||||
|
| |||||||
| 4,616 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 79 | CSX Corp. | 2,055 | ||||||
| 7 | J.B. Hunt Transport Services, Inc. | 594 | ||||||
| 9 | Kansas City Southern | 802 | ||||||
| 24 | Norfolk Southern Corp. | 2,075 | ||||||
| 4 | Ryder System, Inc. | 270 | ||||||
| 69 | Union Pacific Corp. | 6,048 | ||||||
|
| |||||||
| 11,844 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
| 24 | Fastenal Co. | 1,057 | ||||||
| 7 | United Rentals, Inc. (a) | 489 | ||||||
| 5 | W.W. Grainger, Inc. | 1,057 | ||||||
|
| |||||||
| 2,603 | ||||||||
|
| |||||||
Total Industrials | 152,743 | |||||||
|
| |||||||
Information Technology — 19.7% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 415 | Cisco Systems, Inc. | 11,894 | ||||||
| 6 | F5 Networks, Inc. (a) | 628 | ||||||
| 10 | Harris Corp. | 858 | ||||||
| 29 | Juniper Networks, Inc. | 655 | ||||||
| 13 | Motorola Solutions, Inc. | 864 | ||||||
|
| |||||||
| 14,899 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 25 | Amphenol Corp., Class A | 1,455 | ||||||
| 89 | Corning, Inc. | 1,815 | ||||||
| 11 | FLIR Systems, Inc. | 351 | ||||||
| 29 | TE Connectivity Ltd., (Switzerland) | 1,684 | ||||||
|
| |||||||
| 5,305 | ||||||||
|
| |||||||
Internet Software & Services — 4.1% |
| |||||||
| 14 | Akamai Technologies, Inc. (a) | 810 | ||||||
| 24 | Alphabet, Inc., Class A (a) | 17,029 | ||||||
| 24 | Alphabet, Inc., Class C (a) | 16,849 | ||||||
| 87 | eBay, Inc. (a) | 2,039 | ||||||
| 191 | Facebook, Inc., Class A (a) | 21,776 | ||||||
| 8 | VeriSign, Inc. (a) | 680 | ||||||
| 72 | Yahoo!, Inc. (a) | 2,705 | ||||||
|
| |||||||
| 61,888 | ||||||||
|
| |||||||
IT Services — 3.7% |
| |||||||
| 51 | Accenture plc, (Ireland), Class A | 5,825 | ||||||
| 5 | Alliance Data Systems Corp. (a) | 952 | ||||||
| 38 | Automatic Data Processing, Inc. | 3,449 | ||||||
| 50 | Cognizant Technology Solutions Corp., Class A (a) | 2,858 | ||||||
| 11 | CSRA, Inc. | 265 | ||||||
| 23 | Fidelity National Information Services, Inc. | 1,685 | ||||||
| 18 | Fiserv, Inc. (a) | 1,993 | ||||||
| 13 | Global Payments, Inc. | 906 | ||||||
| 73 | International Business Machines Corp. | 11,048 | ||||||
| 80 | MasterCard, Inc., Class A | 7,046 | ||||||
| 26 | Paychex, Inc. | 1,572 | ||||||
| 91 | PayPal Holdings, Inc. (a) | 3,319 | ||||||
| 11 | Teradata Corp. (a) | 269 | ||||||
| 14 | Total System Services, Inc. | 739 | ||||||
| 157 | Visa, Inc., Class A | 11,644 | ||||||
| 40 | Western Union Co. (The) | 776 | ||||||
| 78 | Xerox Corp. | 745 | ||||||
|
| |||||||
| 55,091 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 25 | Analog Devices, Inc. | 1,435 | ||||||
| 90 | Applied Materials, Inc. | 2,152 | ||||||
| 31 | Broadcom Ltd., (Singapore) | 4,751 | ||||||
| 6 | First Solar, Inc. (a) | 306 | ||||||
| 389 | Intel Corp. | 12,765 | ||||||
| 13 | KLA-Tencor Corp. | 940 | ||||||
| 13 | Lam Research Corp. | 1,106 | ||||||
| 20 | Linear Technology Corp. | 917 | ||||||
| 18 | Microchip Technology, Inc. | 899 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Semiconductors & Semiconductor Equipment — continued | ||||||||
| 85 | Micron Technology, Inc. (a) | 1,176 | ||||||
| 42 | NVIDIA Corp. | 1,966 | ||||||
| 11 | Qorvo, Inc. (a) | 581 | ||||||
| 121 | QUALCOMM, Inc. | 6,486 | ||||||
| 16 | Skyworks Solutions, Inc. | 992 | ||||||
| 83 | Texas Instruments, Inc. | 5,185 | ||||||
| 21 | Xilinx, Inc. | 965 | ||||||
|
| |||||||
| 42,622 | ||||||||
|
| |||||||
Software — 4.2% |
| |||||||
| 42 | Activision Blizzard, Inc. | 1,664 | ||||||
| 41 | Adobe Systems, Inc. (a) | 3,949 | ||||||
| 19 | Autodesk, Inc. (a) | 1,002 | ||||||
| 24 | CA, Inc. | 801 | ||||||
| 13 | Citrix Systems, Inc. (a) | 1,024 | ||||||
| 25 | Electronic Arts, Inc. (a) | 1,883 | ||||||
| 21 | Intuit, Inc. | 2,354 | ||||||
| 648 | Microsoft Corp. | 33,151 | ||||||
| 257 | Oracle Corp. | 10,500 | ||||||
| 15 | Red Hat, Inc. (a) | 1,086 | ||||||
| 52 | salesforce.com, Inc. (a) | 4,168 | ||||||
| 50 | Symantec Corp. | 1,036 | ||||||
|
| |||||||
| 62,618 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.6% |
| |||||||
| 451 | Apple, Inc. | 43,159 | ||||||
| 161 | EMC Corp. | 4,374 | ||||||
| 137 | Hewlett Packard Enterprise Co. | 2,502 | ||||||
| 141 | HP, Inc. | 1,770 | ||||||
| 24 | NetApp, Inc. | 586 | ||||||
| 25 | Seagate Technology plc | 599 | ||||||
| 23 | Western Digital Corp. | 1,096 | ||||||
|
| |||||||
| 54,086 | ||||||||
|
| |||||||
Total Information Technology | 296,509 | |||||||
|
| |||||||
Materials — 2.9% |
| |||||||
Chemicals — 2.1% |
| |||||||
| 16 | Air Products & Chemicals, Inc. | 2,277 | ||||||
| 9 | Albemarle Corp. | 734 | ||||||
| 19 | CF Industries Holdings, Inc. | 463 | ||||||
| 93 | Dow Chemical Co. (The) | 4,600 | ||||||
| 72 | E.I. du Pont de Nemours & Co. | 4,665 | ||||||
| 12 | Eastman Chemical Co. | 832 | ||||||
| 22 | Ecolab, Inc. | 2,580 | ||||||
| 11 | FMC Corp. | 511 | ||||||
| 7 | International Flavors & Fragrances, Inc. | 828 | ||||||
| 28 | LyondellBasell Industries N.V., Class A | 2,094 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Chemicals — continued | ||||||||
| 36 | Monsanto Co. | 3,723 | ||||||
| 29 | Mosaic Co. (The) | 755 | ||||||
| 22 | PPG Industries, Inc. | 2,284 | ||||||
| 24 | Praxair, Inc. | 2,643 | ||||||
| 6 | Sherwin-Williams Co. (The) | 1,903 | ||||||
|
| |||||||
| 30,892 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 5 | Martin Marietta Materials, Inc. | 1,005 | ||||||
| 11 | Vulcan Materials Co. | 1,322 | ||||||
|
| |||||||
| 2,327 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
| 7 | Avery Dennison Corp. | 550 | ||||||
| 14 | Ball Corp. | 1,037 | ||||||
| 34 | International Paper Co. | 1,436 | ||||||
| 13 | Owens-Illinois, Inc. (a) | 240 | ||||||
| 16 | Sealed Air Corp. | 747 | ||||||
| 21 | WestRock Co. | 809 | ||||||
|
| |||||||
| 4,819 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
| 108 | Alcoa, Inc. | 1,005 | ||||||
| 103 | Freeport-McMoRan, Inc. | 1,150 | ||||||
| 44 | Newmont Mining Corp. | 1,710 | ||||||
| 26 | Nucor Corp. | 1,295 | ||||||
|
| |||||||
| 5,160 | ||||||||
|
| |||||||
Total Materials | 43,198 | |||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
Diversified Telecommunication Services — 2.9% |
| |||||||
| 507 | AT&T, Inc. | 21,924 | ||||||
| 45 | CenturyLink, Inc. | 1,305 | ||||||
| 97 | Frontier Communications Corp. | 478 | ||||||
| 24 | Level 3 Communications, Inc. (a) | 1,230 | ||||||
| 336 | Verizon Communications, Inc. | 18,761 | ||||||
|
| |||||||
Total Telecommunication Services | 43,698 | |||||||
|
| |||||||
Utilities — 3.6% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| 40 | American Electric Power Co., Inc. | 2,838 | ||||||
| 57 | Duke Energy Corp. | 4,871 | ||||||
| 27 | Edison International | 2,086 | ||||||
| 15 | Entergy Corp. | 1,198 | ||||||
| 26 | Eversource Energy | 1,566 | ||||||
| 76 | Exelon Corp. | 2,762 | ||||||
| 35 | FirstEnergy Corp. | 1,222 | ||||||
| 38 | NextEra Energy, Inc. | 4,960 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Electric Utilities — continued | ||||||||
| 41 | PG&E Corp. | 2,613 | ||||||
| 9 | Pinnacle West Capital Corp. | 743 | ||||||
| 56 | PPL Corp. | 2,106 | ||||||
| 77 | Southern Co. (The) | 4,149 | ||||||
| 42 | Xcel Energy, Inc. | 1,875 | ||||||
|
| |||||||
| 32,989 | ||||||||
|
| |||||||
Gas Utilities — 0.0% (g) |
| |||||||
| 10 | AGL Resources, Inc. | 656 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
| 54 | AES Corp. | 678 | ||||||
| 26 | NRG Energy, Inc. | 389 | ||||||
|
| |||||||
| 1,067 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 20 | Ameren Corp. | 1,071 | ||||||
| 35 | CenterPoint Energy, Inc. | 852 | ||||||
| 23 | CMS Energy Corp. | 1,055 | ||||||
| 25 | Consolidated Edison, Inc. | 2,017 | ||||||
| 51 | Dominion Resources, Inc. | 3,958 | ||||||
| 15 | DTE Energy Co. | 1,466 | ||||||
| 27 | NiSource, Inc. | 703 | ||||||
| 42 | Public Service Enterprise Group, Inc. | 1,944 | ||||||
| 12 | SCANA Corp. | 891 | ||||||
| 20 | Sempra Energy | 2,227 | ||||||
| 19 | TECO Energy, Inc. | 537 | ||||||
| 26 | WEC Energy Group, Inc. | 1,699 | ||||||
|
| |||||||
| 18,420 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Water Utilities — 0.1% |
| |||||||
| 15 | American Water Works Co., Inc. | 1,238 | ||||||
|
| |||||||
Total Utilities | 54,370 | |||||||
|
| |||||||
Total Common Stocks | 1,500,386 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) | |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food & Staples Retailing — 0.0% (g) | ||||||||
| 25 | Safeway, Inc., PDC CVR, expiring 01/30/17 (a) | 1 | ||||||
| 25 | Safeway, Inc., PDC CVR, expiring 01/30/18 (a) | 2 | ||||||
|
| |||||||
Total Rights | 3 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 0.8% | |||||||
Investment Company — 0.8% | ||||||||
| 11,729 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $11,729) | 11,729 | ||||||
|
| |||||||
Total Investments — 100.3% | 1,512,118 | |||||||
Liabilities in Excess of | (4,736 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,507,382 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
| Long Futures Outstanding | ||||||||||||||||||||||
| 103 | E-mini S&P 500 | 09/16/16 | USD | $ | 10,765 | $ | 99 | |||||||||||||||
|
| |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.8% |
| ||||||
Consumer Discretionary — 10.5% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 218 | Dana Holding Corp. | 2,302 | ||||||
| 11 | Drew Industries, Inc. | 916 | ||||||
| 9 | Gentherm, Inc. (a) | 302 | ||||||
| 12 | Standard Motor Products, Inc. | 485 | ||||||
|
| |||||||
| 4,005 | ||||||||
|
| |||||||
Automobiles — 0.2% |
| |||||||
| 19 | Thor Industries, Inc. | 1,233 | ||||||
| 14 | Winnebago Industries, Inc. | 309 | ||||||
|
| |||||||
| 1,542 | ||||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
| 7 | Core-Mark Holding Co., Inc. | 338 | ||||||
| 132 | LKQ Corp. (a) | 4,181 | ||||||
|
| |||||||
| 4,519 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
| 7 | Capella Education Co. | 345 | ||||||
| 2 | Graham Holdings Co., Class B | 979 | ||||||
| 5 | Strayer Education, Inc. (a) | 241 | ||||||
|
| |||||||
| 1,565 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
| 10 | BJ’s Restaurants, Inc. (a) | 421 | ||||||
| 38 | Boyd Gaming Corp. (a) | 692 | ||||||
| 69 | Brinker International, Inc. | 3,145 | ||||||
| 6 | Buffalo Wild Wings, Inc. (a) | 834 | ||||||
| 38 | Cheesecake Factory, Inc. (The) | 1,805 | ||||||
| 13 | Cracker Barrel Old Country Store, Inc. | 2,233 | ||||||
| 3 | Domino’s Pizza, Inc. | 355 | ||||||
| 16 | Jack in the Box, Inc. | 1,357 | ||||||
| 12 | Marriott Vacations Worldwide Corp. | 838 | ||||||
| 21 | Panera Bread Co., Class A (a) | 4,387 | ||||||
| 6 | Red Robin Gourmet Burgers, Inc. (a) | 275 | ||||||
| 27 | Ruby Tuesday, Inc. (a) | 98 | ||||||
| 26 | Texas Roadhouse, Inc. | 1,202 | ||||||
|
| |||||||
| 17,642 | ||||||||
|
| |||||||
Household Durables — 1.6% |
| |||||||
| 14 | Helen of Troy Ltd. (a) | 1,407 | ||||||
| 22 | La-Z-Boy, Inc. | 617 | ||||||
| 16 | Meritage Homes Corp. (a) | 601 | ||||||
| 3 | NVR, Inc. (a) | 5,144 | ||||||
| 26 | Tempur Sealy International, Inc. (a) | 1,416 | ||||||
| 66 | Toll Brothers, Inc. (a) | 1,784 | ||||||
| 77 | TopBuild Corp. (a) | 2,798 | ||||||
| 22 | Tupperware Brands Corp. | 1,264 | ||||||
|
| |||||||
| 15,031 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 6 | Blue Nile, Inc. | 160 | ||||||
| 13 | HSN, Inc. | 656 | ||||||
| 10 | Nutrisystem, Inc. | 261 | ||||||
|
| |||||||
| 1,077 | ||||||||
|
| |||||||
Leisure Products — 0.7% |
| |||||||
| 41 | Brunswick Corp. | 1,840 | ||||||
| 259 | Callaway Golf Co. | 2,649 | ||||||
| 9 | Polaris Industries, Inc. | 750 | ||||||
| 7 | Sturm Ruger & Co., Inc. | 467 | ||||||
| 27 | Vista Outdoor, Inc. (a) | 1,275 | ||||||
|
| |||||||
| 6,981 | ||||||||
|
| |||||||
Media — 0.8% |
| |||||||
| 37 | AMC Networks, Inc., Class A (a) | 2,260 | ||||||
| 1 | Cable One, Inc. | 409 | ||||||
| 47 | Cinemark Holdings, Inc. | 1,695 | ||||||
| 62 | Live Nation Entertainment, Inc. (a) | 1,468 | ||||||
| 16 | Meredith Corp. | 818 | ||||||
| 46 | Time, Inc. | 760 | ||||||
|
| |||||||
| 7,410 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
| 25 | Big Lots, Inc. | 1,259 | ||||||
| 116 | J.C. Penney Co., Inc. (a) | 1,032 | ||||||
|
| |||||||
| 2,291 | ||||||||
|
| |||||||
Specialty Retail — 2.7% |
| |||||||
| 123 | Aaron’s, Inc. | 2,685 | ||||||
| 39 | Abercrombie & Fitch Co., Class A | 696 | ||||||
| 73 | American Eagle Outfitters, Inc. | 1,166 | ||||||
| 57 | Ascena Retail Group, Inc. (a) | 397 | ||||||
| 53 | Caleres, Inc. | 1,271 | ||||||
| 74 | Cato Corp. (The), Class A | 2,809 | ||||||
| 69 | Chico’s FAS, Inc. | 739 | ||||||
| 40 | Children’s Place, Inc. (The) | 3,178 | ||||||
| 30 | CST Brands, Inc. | 1,301 | ||||||
| 41 | Dick’s Sporting Goods, Inc. | 1,835 | ||||||
| 33 | Express, Inc. (a) | 472 | ||||||
| 22 | Finish Line, Inc. (The), Class A | 446 | ||||||
| 10 | Group 1 Automotive, Inc. | 501 | ||||||
| 123 | Guess?, Inc. | 1,847 | ||||||
| 8 | Haverty Furniture Cos., Inc. | 136 | ||||||
| 14 | Kirkland’s, Inc. (a) | 205 | ||||||
| 25 | Lithia Motors, Inc., Class A | 1,785 | ||||||
| 30 | Murphy USA, Inc. (a) | 2,232 | ||||||
| 359 | Office Depot, Inc. (a) | 1,189 | ||||||
| 7 | Outerwall, Inc. | 294 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Specialty Retail — continued | ||||||||
| 22 | Select Comfort Corp. (a) | 475 | ||||||
|
| |||||||
| 25,659 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
| 31 | Carter’s, Inc. | 3,301 | ||||||
| 31 | Crocs, Inc. (a) | 354 | ||||||
| 12 | Deckers Outdoor Corp. (a) | 696 | ||||||
| 17 | Fossil Group, Inc. (a) | 471 | ||||||
| 57 | Kate Spade & Co. (a) | 1,171 | ||||||
| 8 | Movado Group, Inc. | 163 | ||||||
| 6 | Oxford Industries, Inc. | 334 | ||||||
| 44 | Perry Ellis International, Inc. (a) | 887 | ||||||
| 61 | Skechers U.S.A., Inc., Class A (a) | 1,823 | ||||||
| 25 | Steven Madden Ltd. (a) | 849 | ||||||
| 39 | Wolverine World Wide, Inc. | 786 | ||||||
|
| |||||||
| 10,835 | ||||||||
|
| |||||||
Total Consumer Discretionary | 98,557 | |||||||
|
| |||||||
Consumer Staples — 3.7% |
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
| 17 | Casey’s General Stores, Inc. | 2,270 | ||||||
| 75 | SpartanNash Co. | 2,283 | ||||||
| 9 | Sprouts Farmers Market, Inc. (a) | 208 | ||||||
| 201 | SUPERVALU, Inc. (a) | 950 | ||||||
|
| |||||||
| 5,711 | ||||||||
|
| |||||||
Food Products — 2.5% |
| |||||||
| 26 | B&G Foods, Inc. | 1,232 | ||||||
| 71 | Darling Ingredients, Inc. (a) | 1,053 | ||||||
| 154 | Dean Foods Co. | 2,777 | ||||||
| 80 | Flowers Foods, Inc. | 1,508 | ||||||
| 31 | Hain Celestial Group, Inc. (The) (a) | 1,526 | ||||||
| 62 | Ingredion, Inc. | 8,032 | ||||||
| 6 | J&J Snack Foods Corp. | 715 | ||||||
| 51 | Post Holdings, Inc. (a) | 4,184 | ||||||
| 9 | Sanderson Farms, Inc. | 747 | ||||||
| 13 | Seneca Foods Corp., Class A (a) | 487 | ||||||
| 19 | WhiteWave Foods Co. (The) (a) | 887 | ||||||
|
| |||||||
| 23,148 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
| 57 | Central Garden & Pet Co. (a) | 1,308 | ||||||
| 91 | Central Garden & Pet Co., Class A (a) | 1,965 | ||||||
| 28 | Energizer Holdings, Inc. | 1,418 | ||||||
|
| |||||||
| 4,691 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.1% |
| |||||||
| 174 | Avon Products, Inc. | 658 | ||||||
| 6 | Medifast, Inc. | 194 | ||||||
|
| |||||||
| 852 | ||||||||
|
| |||||||
Tobacco — 0.0% (g) |
| |||||||
| 10 | Universal Corp. | 554 | ||||||
|
| |||||||
Total Consumer Staples | 34,956 | |||||||
|
| |||||||
Energy — 3.3% |
| |||||||
Energy Equipment & Services — 1.5% |
| |||||||
| 179 | Archrock, Inc. | 1,684 | ||||||
| 24 | Atwood Oceanics, Inc. | 296 | ||||||
| 46 | Bristow Group, Inc. | 523 | ||||||
| 17 | Dril-Quip, Inc. (a) | 994 | ||||||
| 123 | Ensco plc, (United Kingdom), Class A | 1,193 | ||||||
| 14 | Exterran Corp. (a) | 175 | ||||||
| 49 | Gulf Island Fabrication, Inc. | 341 | ||||||
| 173 | Helix Energy Solutions Group, Inc. (a) | 1,172 | ||||||
| 120 | Nabors Industries Ltd. | 1,208 | ||||||
| 105 | Noble Corp. plc, (United Kingdom) | 864 | ||||||
| 20 | Oil States International, Inc. (a) | 670 | ||||||
| 65 | Patterson-UTI Energy, Inc. | 1,391 | ||||||
| 25 | Pioneer Energy Services Corp. (a) | 115 | ||||||
| 54 | Rowan Cos. plc, Class A | 945 | ||||||
| 135 | Superior Energy Services, Inc. | 2,483 | ||||||
| 13 | Tesco Corp. | 86 | ||||||
|
| |||||||
| 14,140 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.8% |
| |||||||
| 19 | Bill Barrett Corp. (a) | 124 | ||||||
| 6 | Contango Oil & Gas Co. (a) | 71 | ||||||
| 162 | Denbury Resources, Inc. | 583 | ||||||
| 42 | Energen Corp. | 2,035 | ||||||
| 17 | Green Plains, Inc. | 325 | ||||||
| 53 | Gulfport Energy Corp. (a) | 1,663 | ||||||
| 139 | HollyFrontier Corp. | 3,308 | ||||||
| 5 | PDC Energy, Inc. (a) | 311 | ||||||
| 108 | QEP Resources, Inc. | 1,895 | ||||||
| 3 | REX American Resources Corp. (a) | 191 | ||||||
| 29 | SM Energy Co. | 786 | ||||||
| 78 | Synergy Resources Corp. (a) | 520 | ||||||
| 29 | Western Refining, Inc. | 594 | ||||||
| 37 | World Fuel Services Corp. | 1,765 | ||||||
| 234 | WPX Energy, Inc. (a) | 2,182 | ||||||
|
| |||||||
| 16,353 | ||||||||
|
| |||||||
Total Energy | 30,493 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
Financials — 24.5% |
| |||||||
Banks — 6.3% |
| |||||||
| 142 | Associated Banc-Corp. | 2,438 | ||||||
| 19 | Banc of California, Inc. | 338 | ||||||
| 48 | BancorpSouth, Inc. | 1,085 | ||||||
| 29 | Bank of Hawaii Corp. | 1,991 | ||||||
| 24 | Bank of the Ozarks, Inc. | 913 | ||||||
| 7 | Banner Corp. | 316 | ||||||
| 34 | BBCN Bancorp, Inc. | 503 | ||||||
| 34 | Boston Private Financial Holdings, Inc. | 402 | ||||||
| 32 | Brookline Bancorp, Inc. | 356 | ||||||
| 35 | Cathay General Bancorp | 994 | ||||||
| 28 | Columbia Banking System, Inc. | 781 | ||||||
| 2 | Commerce Bancshares, Inc. | 96 | ||||||
| 18 | Community Bank System, Inc. | 755 | ||||||
| 38 | CVB Financial Corp. | 617 | ||||||
| 138 | East West Bancorp, Inc. | 4,722 | ||||||
| 49 | First BanCorp, (Puerto Rico) (a) | 196 | ||||||
| 23 | First Financial Bancorp | 438 | ||||||
| 55 | First Horizon National Corp. | 761 | ||||||
| 164 | First Midwest Bancorp, Inc. | 2,876 | ||||||
| 8 | First NBC Bank Holding Co. (a) | 131 | ||||||
| 91 | Fulton Financial Corp. | 1,232 | ||||||
| 35 | Hancock Holding Co. | 911 | ||||||
| 62 | Hanmi Financial Corp. | 1,460 | ||||||
| 37 | Home BancShares, Inc. | 734 | ||||||
| 13 | Independent Bank Corp. | 593 | ||||||
| 17 | LegacyTexas Financial Group, Inc. | 447 | ||||||
| 24 | MB Financial, Inc. | 873 | ||||||
| 15 | NBT Bancorp, Inc. | 439 | ||||||
| 103 | PacWest Bancorp | 4,098 | ||||||
| 15 | Pinnacle Financial Partners, Inc. | 730 | ||||||
| 28 | PrivateBancorp, Inc. | 1,241 | ||||||
| 20 | Signature Bank (a) | 2,448 | ||||||
| 16 | Simmons First National Corp., Class A | 744 | ||||||
| 187 | Sterling Bancorp | 2,936 | ||||||
| 26 | SVB Financial Group (a) | 2,484 | ||||||
| 136 | Synovus Financial Corp. | 3,949 | ||||||
| 263 | TCF Financial Corp. | 3,324 | ||||||
| 19 | Texas Capital Bancshares, Inc. (a) | 870 | ||||||
| 35 | Trustmark Corp. | 865 | ||||||
| 17 | UMB Financial Corp. | 878 | ||||||
| 133 | Umpqua Holdings Corp. | 2,052 | ||||||
| 152 | United Community Banks, Inc. | 2,778 | ||||||
| 38 | Webster Financial Corp. | 1,275 | ||||||
| 24 | Wilshire Bancorp, Inc. | 252 | ||||||
| 20 | Wintrust Financial Corp. | 1,026 | ||||||
|
| |||||||
| 59,348 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — 1.9% |
| |||||||
| 22 | Eaton Vance Corp. | 784 | ||||||
| 61 | Evercore Partners, Inc., Class A | 2,704 | ||||||
| 21 | Federated Investors, Inc., Class B | 607 | ||||||
| 8 | INTL. FCStone, Inc. (a) | 205 | ||||||
| 59 | Janus Capital Group, Inc. | 827 | ||||||
| 6 | Piper Jaffray Cos. (a) | 242 | ||||||
| 101 | Raymond James Financial, Inc. | 5,003 | ||||||
| 116 | SEI Investments Co. | 5,578 | ||||||
| 26 | Stifel Financial Corp. (a) | 803 | ||||||
| 36 | Waddell & Reed Financial, Inc., Class A | 615 | ||||||
|
| |||||||
| 17,368 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 24 | Cash America International, Inc. | 1,021 | ||||||
| 9 | Encore Capital Group, Inc. (a) | 216 | ||||||
| 18 | Green Dot Corp., Class A (a) | 414 | ||||||
| 174 | SLM Corp. (a) | 1,073 | ||||||
|
| |||||||
| 2,724 | ||||||||
|
| |||||||
Diversified Financial Services — 0.9% |
| |||||||
| 3 | CBOE Holdings, Inc. | 177 | ||||||
| 18 | FactSet Research Systems, Inc. | 2,889 | ||||||
| 16 | MarketAxess Holdings, Inc. | 2,268 | ||||||
| 39 | MSCI, Inc. | 2,969 | ||||||
|
| |||||||
| 8,303 | ||||||||
|
| |||||||
Insurance — 4.6% |
| |||||||
| 7 | Alleghany Corp. (a) | 3,717 | ||||||
| 63 | American Financial Group, Inc. | 4,626 | ||||||
| 8 | AMERISAFE, Inc. | 472 | ||||||
| 70 | Aspen Insurance Holdings Ltd., (Bermuda) | 3,262 | ||||||
| 39 | Brown & Brown, Inc. | 1,459 | ||||||
| 6 | eHealth, Inc. (a) | 88 | ||||||
| 31 | Everest Re Group Ltd., (Bermuda) | 5,748 | ||||||
| 114 | First American Financial Corp. | 4,565 | ||||||
| 59 | Hanover Insurance Group, Inc. (The) | 4,970 | ||||||
| 3 | Navigators Group, Inc. (The) | 298 | ||||||
| 225 | Old Republic International Corp. | 4,336 | ||||||
| 55 | Reinsurance Group of America, Inc. | 5,364 | ||||||
| 24 | Selective Insurance Group, Inc. | 912 | ||||||
| 12 | Stewart Information Services Corp. | 478 | ||||||
| 17 | United Fire Group, Inc. | 700 | ||||||
| 39 | W.R. Berkley Corp. | 2,347 | ||||||
|
| |||||||
| 43,342 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 9.4% |
| |||||||
| 19 | Acadia Realty Trust | 676 | ||||||
| 27 | Alexandria Real Estate Equities, Inc. | 2,789 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Real Estate Investment Trusts (REITs) — continued | ||||||||
| 16 | American Assets Trust, Inc. | 658 | ||||||
| 56 | American Campus Communities, Inc. | 2,953 | ||||||
| 10 | Camden Property Trust | 916 | ||||||
| 64 | Care Capital Properties, Inc. | 1,672 | ||||||
| 30 | Cedar Realty Trust, Inc. | 226 | ||||||
| 23 | Chesapeake Lodging Trust | 528 | ||||||
| 54 | Communications Sales & Leasing, Inc. | 1,558 | ||||||
| 16 | CoreSite Realty Corp. | 1,384 | ||||||
| 121 | Corporate Office Properties Trust | 3,573 | ||||||
| 56 | Corrections Corp. of America | 1,955 | ||||||
| 106 | Cousins Properties, Inc. | 1,107 | ||||||
| 299 | DiamondRock Hospitality Co. | 2,696 | ||||||
| 80 | Douglas Emmett, Inc. | 2,838 | ||||||
| 136 | Duke Realty Corp. | 3,623 | ||||||
| 4 | EastGroup Properties, Inc. | 279 | ||||||
| 20 | EPR Properties | 1,631 | ||||||
| 11 | Equity One, Inc. | 347 | ||||||
| 31 | Franklin Street Properties Corp. | 381 | ||||||
| 29 | GEO Group, Inc. (The) | 1,002 | ||||||
| 11 | Getty Realty Corp. | 246 | ||||||
| 17 | Government Properties Income Trust | 384 | ||||||
| 57 | Highwoods Properties, Inc. | 2,984 | ||||||
| 62 | Hospitality Properties Trust | 1,790 | ||||||
| 41 | Kilroy Realty Corp. | 2,708 | ||||||
| 129 | Kite Realty Group Trust | 3,628 | ||||||
| 49 | Liberty Property Trust | 1,954 | ||||||
| 38 | Mack-Cali Realty Corp. | 1,020 | ||||||
| 104 | Medical Properties Trust, Inc. | 1,588 | ||||||
| 64 | Mid-America Apartment Communities, Inc. | 6,802 | ||||||
| 9 | Parkway Properties, Inc. | 155 | ||||||
| 47 | Post Properties, Inc. | 2,887 | ||||||
| 15 | PS Business Parks, Inc. | 1,640 | ||||||
| 142 | Rayonier, Inc. | 3,731 | ||||||
| 39 | Regency Centers Corp. | 3,244 | ||||||
| 42 | Retail Opportunity Investments Corp. | 917 | ||||||
| 5 | Saul Centers, Inc. | 314 | ||||||
| 158 | Senior Housing Properties Trust | 3,285 | ||||||
| 13 | Sovran Self Storage, Inc. | 1,393 | ||||||
| 248 | Summit Hotel Properties, Inc. | 3,282 | ||||||
| 40 | Tanger Factory Outlet Centers, Inc. | 1,619 | ||||||
| 58 | Taubman Centers, Inc. | 4,273 | ||||||
| 10 | Urstadt Biddle Properties, Inc., Class A | 248 | ||||||
| 52 | Weingarten Realty Investors | 2,138 | ||||||
| 217 | WP Glimcher, Inc. | 2,425 | ||||||
|
| |||||||
| 87,447 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Management & Development — 0.7% |
| |||||||
| 21 | Alexander & Baldwin, Inc. | 742 | ||||||
| 14 | Forestar Group, Inc. (a) | 163 | ||||||
| 49 | HFF, Inc., Class A | 1,408 | ||||||
| 40 | Jones Lang LaSalle, Inc. | 3,902 | ||||||
| 8 | RE/MAX Holdings, Inc., Class A | 306 | ||||||
|
| |||||||
| 6,521 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 30 | BofI Holding, Inc. (a) | 528 | ||||||
| 101 | Dime Community Bancshares, Inc. | 1,709 | ||||||
| 37 | New York Community Bancorp, Inc. | 551 | ||||||
| 23 | Provident Financial Services, Inc. | 451 | ||||||
| 39 | TrustCo Bank Corp. | 249 | ||||||
| 13 | Walker & Dunlop, Inc. (a) | 294 | ||||||
|
| |||||||
| 3,782 | ||||||||
|
| |||||||
Total Financials | 228,835 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 0.9% |
| |||||||
| 62 | Acorda Therapeutics, Inc. (a) | 1,576 | ||||||
| 8 | Emergent BioSolutions, Inc. (a) | 236 | ||||||
| 243 | Momenta Pharmaceuticals, Inc. (a) | 2,620 | ||||||
| 37 | United Therapeutics Corp. (a) | 3,885 | ||||||
|
| |||||||
| 8,317 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.6% |
| |||||||
| 16 | ABIOMED, Inc. (a) | 1,781 | ||||||
| 34 | Align Technology, Inc. (a) | 2,739 | ||||||
| 47 | AngioDynamics, Inc. (a) | 680 | ||||||
| 12 | CONMED Corp. | 578 | ||||||
| 22 | Cooper Cos., Inc. (The) | 3,757 | ||||||
| 9 | Cynosure, Inc., Class A (a) | 423 | ||||||
| 22 | Haemonetics Corp. (a) | 626 | ||||||
| 72 | Hill-Rom Holdings, Inc. | 3,612 | ||||||
| 6 | ICU Medical, Inc. (a) | 710 | ||||||
| 20 | IDEXX Laboratories, Inc. (a) | 1,839 | ||||||
| 12 | LivaNova plc, (United Kingdom) (a) | 598 | ||||||
| 66 | Masimo Corp. (a) | 3,482 | ||||||
| 61 | Natus Medical, Inc. (a) | 2,313 | ||||||
| 22 | NuVasive, Inc. (a) | 1,302 | ||||||
| 62 | ResMed, Inc. | 3,889 | ||||||
| 38 | STERIS plc, (United Kingdom) | 2,585 | ||||||
| 12 | Teleflex, Inc. | 2,146 | ||||||
| 4 | West Pharmaceutical Services, Inc. | 273 | ||||||
|
| |||||||
| 33,333 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
Health Care Providers & Services — 3.5% |
| |||||||
| 7 | Amedisys, Inc. (a) | 353 | ||||||
| 17 | AMN Healthcare Services, Inc. (a) | 674 | ||||||
| 23 | Amsurg Corp. (a) | 1,802 | ||||||
| 86 | Community Health Systems, Inc. (a) | 1,041 | ||||||
| 33 | Cross Country Healthcare, Inc. (a) | 465 | ||||||
| 14 | Ensign Group, Inc. (The) | 287 | ||||||
| 18 | Healthways, Inc. (a) | 202 | ||||||
| 61 | Kindred Healthcare, Inc. | 689 | ||||||
| 51 | LifePoint Health, Inc. (a) | 3,314 | ||||||
| 43 | Magellan Health, Inc. (a) | 2,859 | ||||||
| 40 | MEDNAX, Inc. (a) | 2,918 | ||||||
| 52 | Molina Healthcare, Inc. (a) | 2,584 | ||||||
| 84 | Owens & Minor, Inc. | 3,144 | ||||||
| 67 | PharMerica Corp. (a) | 1,655 | ||||||
| 4 | Providence Service Corp. (The) (a) | 180 | ||||||
| 22 | Quorum Health Corp. (a) | 231 | ||||||
| 42 | Tenet Healthcare Corp. (a) | 1,166 | ||||||
| 85 | VCA, Inc. (a) | 5,724 | ||||||
| 33 | WellCare Health Plans, Inc. (a) | 3,519 | ||||||
|
| |||||||
| 32,807 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 186 | Allscripts Healthcare Solutions, Inc. (a) | 2,356 | ||||||
| 40 | HMS Holdings Corp. (a) | 703 | ||||||
| 14 | Omnicell, Inc. (a) | 489 | ||||||
| 19 | Quality Systems, Inc. | 220 | ||||||
|
| |||||||
| 3,768 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 12 | Albany Molecular Research, Inc. (a) | 165 | ||||||
| 9 | Bio-Rad Laboratories, Inc., Class A (a) | 1,287 | ||||||
| 14 | Cambrex Corp. (a) | 719 | ||||||
| 25 | Charles River Laboratories International, Inc. (a) | 2,020 | ||||||
| 9 | Luminex Corp. (a) | 184 | ||||||
| 12 | Mettler-Toledo International, Inc. (a) | 4,452 | ||||||
| 25 | PAREXEL International Corp. (a) | 1,562 | ||||||
|
| |||||||
| 10,389 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% |
| |||||||
| 81 | Akorn, Inc. (a) | 2,313 | ||||||
| 11 | Catalent, Inc. (a) | 246 | ||||||
| 21 | Depomed, Inc. (a) | 414 | ||||||
| 21 | Impax Laboratories, Inc. (a) | 596 | ||||||
| 65 | Medicines Co. (The) (a) | 2,176 | ||||||
| 22 | Prestige Brands Holdings, Inc. (a) | 1,201 | ||||||
|
| |||||||
| 6,946 | ||||||||
|
| |||||||
Total Health Care | 95,560 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 15.3% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
| 13 | AAR Corp. | 294 | ||||||
| 28 | Aerojet Rocketdyne Holdings, Inc. (a) | 503 | ||||||
| 3 | B/E Aerospace, Inc. | 145 | ||||||
| 19 | Curtiss-Wright Corp. | 1,634 | ||||||
| 9 | Engility Holdings, Inc. (a) | 181 | ||||||
| 42 | Huntington Ingalls Industries, Inc. | 7,050 | ||||||
| 26 | Moog, Inc., Class A (a) | 1,379 | ||||||
| 26 | Orbital ATK, Inc. | 2,180 | ||||||
|
| |||||||
| 13,366 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 58 | Atlas Air Worldwide Holdings, Inc. (a) | 2,402 | ||||||
| 85 | Hub Group, Inc., Class A (a) | 3,256 | ||||||
|
| |||||||
| 5,658 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 67 | Hawaiian Holdings, Inc. (a) | 2,547 | ||||||
| 189 | JetBlue Airways Corp. (a) | 3,133 | ||||||
| 31 | SkyWest, Inc. | 813 | ||||||
|
| |||||||
| 6,493 | ||||||||
|
| |||||||
Building Products — 1.7% |
| |||||||
| 56 | A.O. Smith Corp. | 4,891 | ||||||
| 31 | American Woodmark Corp. (a) | 2,031 | ||||||
| 36 | Fortune Brands Home & Security, Inc. | 2,081 | ||||||
| 14 | Gibraltar Industries, Inc. (a) | 442 | ||||||
| 23 | Lennox International, Inc. | 3,274 | ||||||
| 30 | Universal Forest Products, Inc. | 2,751 | ||||||
|
| |||||||
| 15,470 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.2% |
| |||||||
| 25 | ABM Industries, Inc. | 900 | ||||||
| 81 | Brink’s Co. (The) | 2,299 | ||||||
| 91 | Essendant, Inc. | 2,777 | ||||||
| 26 | Herman Miller, Inc. | 767 | ||||||
| 18 | HNI Corp. | 849 | ||||||
| 65 | Interface, Inc. | 990 | ||||||
| 12 | Matthews International Corp., Class A | 688 | ||||||
| 257 | R.R. Donnelley & Sons Co. | 4,349 | ||||||
| 116 | Tetra Tech, Inc. | 3,554 | ||||||
| 10 | US Ecology, Inc. | 464 | ||||||
| 83 | Viad Corp. | 2,587 | ||||||
|
| |||||||
| 20,224 | ||||||||
|
| |||||||
Construction & Engineering — 1.4% |
| |||||||
| 134 | AECOM (a) | 4,266 | ||||||
| 99 | Aegion Corp. (a) | 1,923 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Construction & Engineering — continued | ||||||||
| 16 | Comfort Systems USA, Inc. | 509 | ||||||
| 61 | EMCOR Group, Inc. | 2,993 | ||||||
| 176 | KBR, Inc. | 2,329 | ||||||
| 10 | Valmont Industries, Inc. | 1,312 | ||||||
|
| |||||||
| 13,332 | ||||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
| 11 | AZZ, Inc. | 636 | ||||||
| 63 | EnerSys | 3,748 | ||||||
| 131 | General Cable Corp. | 1,667 | ||||||
| 23 | Hubbell, Inc. | 2,434 | ||||||
| 5 | Powell Industries, Inc. | 201 | ||||||
| 60 | Regal Beloit Corp. | 3,278 | ||||||
|
| |||||||
| 11,964 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.6% |
| |||||||
| 53 | Carlisle Cos., Inc. | 5,551 | ||||||
|
| |||||||
Machinery — 3.0% |
| |||||||
| 36 | AGCO Corp. | 1,684 | ||||||
| 12 | Albany International Corp., Class A | 475 | ||||||
| 80 | Barnes Group, Inc. | 2,657 | ||||||
| 18 | Briggs & Stratton Corp. | 385 | ||||||
| 69 | Crane Co. | 3,892 | ||||||
| 26 | Federal Signal Corp. | 339 | ||||||
| 64 | Greenbrier Cos., Inc. (The) | 1,858 | ||||||
| 27 | IDEX Corp. | 2,258 | ||||||
| 90 | ITT, Inc. | 2,888 | ||||||
| 44 | Joy Global, Inc. | 934 | ||||||
| 34 | Kennametal, Inc. | 741 | ||||||
| 12 | Lincoln Electric Holdings, Inc. | 721 | ||||||
| 7 | Lydall, Inc. (a) | 263 | ||||||
| 25 | Mueller Industries, Inc. | 794 | ||||||
| 4 | Oshkosh Corp. | 191 | ||||||
| 17 | SPX Corp. (a) | 246 | ||||||
| 87 | SPX FLOW, Inc. (a) | 2,263 | ||||||
| 6 | Standex International Corp. | 463 | ||||||
| 81 | Terex Corp. | 1,645 | ||||||
| 34 | Timken Co. (The) | 1,053 | ||||||
| 8 | Toro Co. (The) | 661 | ||||||
| 67 | Trinity Industries, Inc. | 1,240 | ||||||
| 9 | Wabtec Corp. | 627 | ||||||
| 5 | Watts Water Technologies, Inc., Class A | 280 | ||||||
|
| |||||||
| 28,558 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
| 20 | Matson, Inc. | 643 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Professional Services — 1.3% |
| |||||||
| 13 | CEB, Inc. | 831 | ||||||
| 16 | FTI Consulting, Inc. (a) | 637 | ||||||
| 46 | Insperity, Inc. | 3,568 | ||||||
| 60 | Korn/Ferry International | 1,247 | ||||||
| 62 | ManpowerGroup, Inc. | 3,975 | ||||||
| 18 | On Assignment, Inc. (a) | 661 | ||||||
| 53 | Resources Connection, Inc. | 781 | ||||||
| 18 | TrueBlue, Inc. (a) | 349 | ||||||
| 7 | WageWorks, Inc. (a) | 389 | ||||||
|
| |||||||
| 12,438 | ||||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
| 134 | ArcBest Corp. | 2,171 | ||||||
| 19 | Landstar System, Inc. | 1,302 | ||||||
| 10 | Saia, Inc. (a) | 247 | ||||||
|
| |||||||
| 3,720 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
| 18 | Applied Industrial Technologies, Inc. | 808 | ||||||
| 21 | MSC Industrial Direct Co., Inc., Class A | 1,468 | ||||||
| 47 | NOW, Inc. (a) | 860 | ||||||
| 31 | Veritiv Corp. (a) | 1,161 | ||||||
| 11 | Watsco, Inc. | 1,576 | ||||||
|
| |||||||
| 5,873 | ||||||||
|
| |||||||
Total Industrials | 143,290 | |||||||
|
| |||||||
Information Technology — 16.7% |
| |||||||
Communications Equipment — 0.8% |
| |||||||
| 76 | ARRIS International plc (a) | 1,601 | ||||||
| 23 | Bel Fuse, Inc., Class B | 404 | ||||||
| 14 | Black Box Corp. | 188 | ||||||
| 51 | Ciena Corp. (a) | 960 | ||||||
| 6 | Comtech Telecommunications Corp. | 76 | ||||||
| 61 | Digi International, Inc. (a) | 657 | ||||||
| 15 | InterDigital, Inc. | 807 | ||||||
| 21 | Ixia (a) | 203 | ||||||
| 19 | Lumentum Holdings, Inc. (a) | 450 | ||||||
| 15 | NETGEAR, Inc. (a) | 715 | ||||||
| 99 | Polycom, Inc. (a) | 1,109 | ||||||
| 108 | Viavi Solutions, Inc. (a) | 717 | ||||||
|
| |||||||
| 7,887 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.7% |
| |||||||
| 12 | Anixter International, Inc. (a) | 629 | ||||||
| 103 | Arrow Electronics, Inc. (a) | 6,385 | ||||||
| 128 | Avnet, Inc. | 5,195 | ||||||
| 18 | Belden, Inc. | 1,064 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Electronic Equipment, Instruments & Components — continued | ||||||||
| 23 | Benchmark Electronics, Inc. (a) | 485 | ||||||
| 10 | Coherent, Inc. (a) | 945 | ||||||
| 6 | DTS, Inc. (a) | 156 | ||||||
| 105 | Electro Scientific Industries, Inc. (a) | 612 | ||||||
| 61 | Fabrinet, (Thailand) (a) | 2,249 | ||||||
| 8 | FARO Technologies, Inc. (a) | 274 | ||||||
| 6 | II-VI, Inc. (a) | 119 | ||||||
| 67 | Ingram Micro, Inc., Class A | 2,343 | ||||||
| 87 | Insight Enterprises, Inc. (a) | 2,254 | ||||||
| 17 | Itron, Inc. (a) | 737 | ||||||
| 83 | Jabil Circuit, Inc. | 1,531 | ||||||
| 122 | Keysight Technologies, Inc. (a) | 3,549 | ||||||
| 9 | Littelfuse, Inc. | 1,112 | ||||||
| 74 | Methode Electronics, Inc. | 2,527 | ||||||
| 9 | Park Electrochemical Corp. | 131 | ||||||
| 14 | Plexus Corp. (a) | 587 | ||||||
| 35 | QLogic Corp. (a) | 511 | ||||||
| 12 | Rofin-Sinar Technologies, Inc. (a) | 391 | ||||||
| 7 | Rogers Corp. (a) | 422 | ||||||
| 67 | Sanmina Corp. (a) | 1,807 | ||||||
| 19 | SYNNEX Corp. | 1,773 | ||||||
| 44 | Tech Data Corp. (a) | 3,190 | ||||||
| 90 | Trimble Navigation Ltd. (a) | 2,201 | ||||||
| 24 | VeriFone Systems, Inc. (a) | 438 | ||||||
| 61 | Vishay Intertechnology, Inc. | 752 | ||||||
|
| |||||||
| 44,369 | ||||||||
|
| |||||||
Internet Software & Services — 0.7% |
| |||||||
| 18 | Blucora, Inc. (a) | 188 | ||||||
| 52 | comScore, Inc. (a) | 1,237 | ||||||
| 12 | j2 Global, Inc. | 752 | ||||||
| 102 | Liquidity Services, Inc. (a) | 803 | ||||||
| 11 | LogMeIn, Inc. (a) | 679 | ||||||
| 32 | Monster Worldwide, Inc. (a) | 75 | ||||||
| 25 | NIC, Inc. | 540 | ||||||
| 35 | Rackspace Hosting, Inc. (a) | 738 | ||||||
| 7 | Stamps.com, Inc. (a) | 586 | ||||||
| 17 | WebMD Health Corp. (a) | 965 | ||||||
|
| |||||||
| 6,563 | ||||||||
|
| |||||||
IT Services — 3.9% |
| |||||||
| 99 | Broadridge Financial Solutions, Inc. | 6,442 | ||||||
| 32 | CACI International, Inc., Class A (a) | 2,903 | ||||||
| 16 | Cardtronics, Inc. (a) | 640 | ||||||
| 139 | Computer Sciences Corp. | 6,901 | ||||||
| 42 | Convergys Corp. | 1,042 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| IT Services — continued | ||||||||
| 98 | CoreLogic, Inc. (a) | 3,760 | ||||||
| 13 | DST Systems, Inc. | 1,560 | ||||||
| 42 | ExlService Holdings, Inc. (a) | 2,199 | ||||||
| 71 | Leidos Holdings, Inc. | 3,394 | ||||||
| 10 | ManTech International Corp., Class A | 393 | ||||||
| 10 | MAXIMUS, Inc. | 577 | ||||||
| 23 | NeuStar, Inc., Class A (a) | 548 | ||||||
| 13 | Perficient, Inc. (a) | 272 | ||||||
| 19 | Science Applications International Corp. | 1,080 | ||||||
| 91 | Sykes Enterprises, Inc. (a) | 2,631 | ||||||
| 7 | TeleTech Holdings, Inc. | 182 | ||||||
| 17 | WEX, Inc. (a) | 1,463 | ||||||
|
| |||||||
| 35,987 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 19 | Advanced Energy Industries, Inc. (a) | 714 | ||||||
| 269 | Advanced Micro Devices, Inc. (a) | 1,381 | ||||||
| 10 | Cabot Microelectronics Corp. | 425 | ||||||
| 28 | Cirrus Logic, Inc. (a) | 1,068 | ||||||
| 75 | Cohu, Inc. | 809 | ||||||
| 61 | Integrated Device Technology, Inc. (a) | 1,226 | ||||||
| 220 | Kulicke & Soffa Industries, Inc., (Singapore) (a) | 2,673 | ||||||
| 59 | Microsemi Corp. (a) | 1,915 | ||||||
| 27 | MKS Instruments, Inc. | 1,157 | ||||||
| 50 | Nanometrics, Inc. (a) | 1,032 | ||||||
| 15 | Rudolph Technologies, Inc. (a) | 228 | ||||||
| 42 | Semtech Corp. (a) | 1,002 | ||||||
| 16 | Synaptics, Inc. (a) | 844 | ||||||
| 197 | Teradyne, Inc. | 3,881 | ||||||
| 11 | Ultratech, Inc. (a) | 264 | ||||||
|
| |||||||
| 18,619 | ||||||||
|
| |||||||
Software — 3.9% |
| |||||||
| 54 | ACI Worldwide, Inc. (a) | 1,050 | ||||||
| 13 | ANSYS, Inc. (a) | 1,207 | ||||||
| 14 | Bottomline Technologies de, Inc. (a) | 297 | ||||||
| 145 | Cadence Design Systems, Inc. (a) | 3,534 | ||||||
| 21 | CDK Global, Inc. | 1,176 | ||||||
| 18 | CommVault Systems, Inc. (a) | 773 | ||||||
| 16 | Fair Isaac Corp. | 1,769 | ||||||
| 74 | Fortinet, Inc. (a) | 2,347 | ||||||
| 84 | Mentor Graphics Corp. | 1,796 | ||||||
| 4 | MicroStrategy, Inc., Class A (a) | 745 | ||||||
| 90 | Progress Software Corp. (a) | 2,471 | ||||||
| 115 | PTC, Inc. (a) | 4,311 | ||||||
| 10 | Qualys, Inc. (a) | 307 | ||||||
| 85 | Rovi Corp. (a) | 1,331 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Software — continued | ||||||||
| 29 | Synchronoss Technologies, Inc. (a) | 927 | ||||||
| 134 | Synopsys, Inc. (a) | 7,259 | ||||||
| 100 | Take-Two Interactive Software, Inc. (a) | 3,787 | ||||||
| 8 | Tyler Technologies, Inc. (a) | 1,400 | ||||||
| 11 | VASCO Data Security International, Inc. (a) | 177 | ||||||
|
| |||||||
| 36,664 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
| 48 | 3D Systems Corp. (a) | 663 | ||||||
| 48 | Lexmark International, Inc., Class A | 1,806 | ||||||
| 148 | NCR Corp. (a) | 4,110 | ||||||
|
| |||||||
| 6,579 | ||||||||
|
| |||||||
Total Information Technology | 156,668 | |||||||
|
| |||||||
Materials — 7.1% |
| |||||||
Chemicals — 3.5% |
| |||||||
| 16 | Albemarle Corp. | 1,238 | ||||||
| 13 | American Vanguard Corp. | 198 | ||||||
| 29 | Ashland, Inc. | 3,326 | ||||||
| 77 | Cabot Corp. | 3,495 | ||||||
| 48 | FutureFuel Corp. | 519 | ||||||
| 22 | H.B. Fuller Co. | 985 | ||||||
| 65 | Innophos Holdings, Inc. | 2,756 | ||||||
| 55 | Innospec, Inc. | 2,516 | ||||||
| 50 | Koppers Holdings, Inc. (a) | 1,543 | ||||||
| 17 | Minerals Technologies, Inc. | 962 | ||||||
| 8 | Olin Corp. | 210 | ||||||
| 38 | PolyOne Corp. | 1,325 | ||||||
| 6 | Quaker Chemical Corp. | 492 | ||||||
| 18 | Rayonier Advanced Materials, Inc. | 241 | ||||||
| 97 | RPM International, Inc. | 4,840 | ||||||
| 58 | Scotts Miracle-Gro Co. (The), Class A | 4,083 | ||||||
| 39 | Stepan Co. | 2,326 | ||||||
| 15 | Valspar Corp. (The) | 1,594 | ||||||
|
| |||||||
| 32,649 | ||||||||
|
| |||||||
Construction Materials — 0.3% |
| |||||||
| 21 | Eagle Materials, Inc. | 1,636 | ||||||
| 31 | Headwaters, Inc. (a) | 563 | ||||||
| 6 | U.S. Concrete, Inc. (a) | 341 | ||||||
|
| |||||||
| 2,540 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 27 | AptarGroup, Inc. | 2,097 | ||||||
| 23 | Bemis Co., Inc. | 1,174 | ||||||
| 42 | Packaging Corp. of America | 2,828 | ||||||
| 27 | Sonoco Products Co. | 1,335 | ||||||
|
| |||||||
| 7,434 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 1.9% |
| |||||||
| 111 | AK Steel Holding Corp. (a) | 515 | ||||||
| 182 | Commercial Metals Co. | 3,084 | ||||||
| 36 | Kaiser Aluminum Corp. | 3,251 | ||||||
| 9 | Olympic Steel, Inc. | 238 | ||||||
| 47 | Reliance Steel & Aluminum Co. | 3,613 | ||||||
| 14 | Royal Gold, Inc. | 994 | ||||||
| 222 | Steel Dynamics, Inc. | 5,435 | ||||||
| 21 | Worthington Industries, Inc. | 881 | ||||||
|
| |||||||
| 18,011 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
| 54 | Boise Cascade Co. (a) | 1,240 | ||||||
| 27 | Domtar Corp. | 958 | ||||||
| 20 | KapStone Paper & Packaging Corp. | 259 | ||||||
| 8 | Neenah Paper, Inc. | 579 | ||||||
| 18 | PH Glatfelter Co. | 360 | ||||||
| 68 | Schweitzer-Mauduit International, Inc. | 2,411 | ||||||
|
| |||||||
| 5,807 | ||||||||
|
| |||||||
Total Materials | 66,441 | |||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
| 37 | 8x8, Inc. (a) | 533 | ||||||
| 5 | ATN International, Inc. | 366 | ||||||
| 77 | General Communication, Inc., Class A (a) | 1,220 | ||||||
|
| |||||||
| 2,119 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 39 | Spok Holdings, Inc. | 755 | ||||||
| 117 | Telephone & Data Systems, Inc. | 3,473 | ||||||
|
| |||||||
| 4,228 | ||||||||
|
| |||||||
Total Telecommunication Services | 6,347 | |||||||
|
| |||||||
Utilities — 5.8% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
| 141 | Alliant Energy Corp. | 5,602 | ||||||
| 37 | El Paso Electric Co. | 1,730 | ||||||
| 130 | Great Plains Energy, Inc. | 3,948 | ||||||
| 85 | Hawaiian Electric Industries, Inc. | 2,794 | ||||||
| 38 | IDACORP, Inc. | 3,129 | ||||||
| 167 | OGE Energy Corp. | 5,470 | ||||||
| 12 | Westar Energy, Inc. | 662 | ||||||
|
| |||||||
| 23,335 | ||||||||
|
| |||||||
Gas Utilities — 2.1% |
| |||||||
| 89 | Atmos Energy Corp. | 7,275 | ||||||
| 19 | National Fuel Gas Co. | 1,083 | ||||||
| 38 | New Jersey Resources Corp. | 1,462 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | ||||||||
| Gas Utilities — continued | ||||||||
| 22 | Southwest Gas Corp. | 1,744 | ||||||
| 3 | Spire, Inc. | 191 | ||||||
| 163 | UGI Corp. | 7,388 | ||||||
| 4 | WGL Holdings, Inc. | 276 | ||||||
|
| |||||||
| 19,419 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.2% |
| |||||||
| 145 | Talen Energy Corp. (a) | 1,970 | ||||||
|
| |||||||
Multi-Utilities — 0.9% |
| |||||||
| 39 | Avista Corp. | 1,748 | ||||||
| 58 | MDU Resources Group, Inc. | 1,390 | ||||||
| 20 | NorthWestern Corp. | 1,232 | ||||||
| 82 | Vectren Corp. | 4,339 | ||||||
|
| |||||||
| 8,709 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 17 | American States Water Co. | 734 | ||||||
|
| |||||||
Total Utilities | 54,167 | |||||||
|
| |||||||
Total Common Stocks | 915,314 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | VALUE($) | |||||||
| Right — 0.0% (g) | |||||||
Information Technology — 0.0% (g) |
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (g) |
| |||||||
| 18 | Gerber Scientific, Inc. (a) | — | (h) | |||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.0% | |||||||
Investment Company — 2.0% | ||||||||
| 18,310 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) | 18,310 | ||||||
|
| |||||||
Total Investments — 99.8% | 933,624 | |||||||
Other Assets in Excess of | 1,734 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 935,358 | ||||||
|
| |||||||
| Futures Contracts | ||||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED | |||||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||||
| 45 | E-mini Russell 2000 | 09/16/16 | USD | $ | 5,163 | $ | 16 | |||||||||||||||
| 103 | S&P Mid Cap 400 | 09/16/16 | USD | 15,378 | 193 | |||||||||||||||||
|
| |||||||||||||||||||||
| $ | 209 | |||||||||||||||||||||
|
| |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| CVR | — Contingent Value Rights | |
| PDC | — Property Development Center | |
| USD | — United States Dollar | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market 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 0.05%. | |
| (h) | — Amount rounds to less than five hundred dollars. | |
| (k) | — All or a portion of this security is deposited with the broker as initial margin for future contracts. | |
| (l) | — The rate shown is the current yield as of June 30, 2016. | |
| (q) | — Investment in affiliate which is a security in the Fund’s index. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(Amounts in thousands, except per share amounts)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 1,481,661 | $ | 915,314 | ||||
Investments in affiliates, at value | 30,457 | 18,310 | ||||||
|
|
|
| |||||
Total investment securities, at value | 1,512,118 | 933,624 | ||||||
Cash | 5 | — | ||||||
Deposits at broker for futures contracts | — | 1,117 | ||||||
Receivables: | ||||||||
Fund shares sold | 1,630 | 467 | ||||||
Dividends from non-affiliates | 1,695 | 848 | ||||||
Dividends from affiliates | 3 | 7 | ||||||
Variation margin on futures contracts | 111 | 376 | ||||||
|
|
|
| |||||
Total Assets | 1,515,562 | 936,439 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Due to custodian | — | — | (a) | |||||
Investment securities purchased | 1,019 | — | ||||||
Fund shares redeemed | 6,420 | 594 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 141 | 138 | ||||||
Administration fees | — | 30 | ||||||
Distribution fees | 176 | 40 | ||||||
Shareholder servicing fees | 43 | 93 | ||||||
Custodian and accounting fees | 17 | 37 | ||||||
Sub-transfer agency fees | 208 | 59 | ||||||
Other | 156 | 90 | ||||||
|
|
|
| |||||
Total Liabilities | 8,180 | 1,081 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,507,382 | $ | 935,358 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 419,586 | $ | 641,664 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 1,108 | 462 | ||||||
Accumulated net realized gains (losses) | 72,112 | 66,606 | ||||||
Net unrealized appreciation (depreciation) | 1,014,576 | 226,626 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,507,382 | $ | 935,358 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 598,815 | $ | 99,397 | ||||
Class C | 89,104 | 24,343 | ||||||
Class R2 | — | 11,536 | ||||||
Select Class | 819,463 | 800,082 | ||||||
|
|
|
| |||||
Total | $ | 1,507,382 | $ | 935,358 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 16,935 | 9,338 | ||||||
Class C | 2,540 | 2,627 | ||||||
Class R2 | — | 1,096 | ||||||
Select Class | 23,156 | 74,437 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 35.36 | $ | 10.64 | ||||
Class C — Offering price per share (b) | 35.09 | 9.27 | ||||||
Class R2 — Offering and redemption price per share | — | 10.52 | ||||||
Select Class — Offering and redemption price per share | 35.39 | 10.75 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 37.32 | $ | 11.23 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 479,327 | $ | 688,897 | ||||
Cost of investments in affiliates | 18,314 | 18,310 | ||||||
| (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, 2016 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividend income from non-affiliates | $ | 37,663 | $ | 16,283 | ||||
Dividend income from affiliates | 619 | 52 | ||||||
Interest income from non-affiliates | — | 1 | ||||||
|
|
|
| |||||
Total investment income | 38,282 | 16,336 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 4,035 | 2,760 | ||||||
Administration fees | 1,323 | 905 | ||||||
Distribution fees: | ||||||||
Class A | 1,515 | 250 | ||||||
Class C | 665 | 174 | ||||||
Class R2 | — | 50 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 1,515 | 250 | ||||||
Class C | 222 | 58 | ||||||
Class R2 | — | 25 | ||||||
Select Class | 2,298 | 2,427 | ||||||
Custodian and accounting fees | 83 | 108 | ||||||
Interest expense to affiliates | — | (a) | — | |||||
Professional fees | 60 | 60 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 17 | 14 | ||||||
Printing and mailing costs | 120 | 38 | ||||||
Registration and filing fees | 76 | 71 | ||||||
Transfer agency fees (See Note 2.E) | 257 | 55 | ||||||
Sub-transfer agency fees (See Note 2.E) | 866 | 265 | ||||||
Other | 27 | 24 | ||||||
|
|
|
| |||||
Total expenses | 13,079 | 7,534 | ||||||
|
|
|
| |||||
Less fees waived | (7,337 | ) | (2,195 | ) | ||||
Less expense reimbursements | (129 | ) | (10 | ) | ||||
|
|
|
| |||||
Net expenses | 5,613 | 5,329 | ||||||
|
|
|
| |||||
Net investment income (loss) | 32,669 | 11,007 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 260,553 | 102,390 | ||||||
Investments in affiliates | 3,080 | — | ||||||
Futures | 854 | (3,669 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 264,487 | 98,721 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | (247,607 | ) | (140,783 | ) | ||||
Investments in affiliates | (5,145 | ) | — | |||||
Futures | 238 | 1,169 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (252,514 | ) | (139,614 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 11,973 | (40,893 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 44,642 | $ | (29,886 | ) | |||
|
|
|
| |||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 32,669 | $ | 33,964 | $ | 11,007 | $ | 14,127 | ||||||||
Net realized gain (loss) | 264,487 | 110,392 | 98,721 | 242,784 | ||||||||||||
Change in net unrealized appreciation/depreciation | (252,514 | ) | (9,524 | ) | (139,614 | ) | (155,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 44,642 | 134,832 | (29,886 | ) | 101,784 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (11,254 | ) | (11,348 | ) | (779 | ) | (844 | ) | ||||||||
From net realized gains | (93,301 | ) | (50,028 | ) | (17,264 | ) | (12,480 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | (49 | ) | — | (2 | ) | ||||||||||
From net realized gains | — | (558 | ) | — | (117 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (998 | ) | (769 | ) | (66 | ) | (56 | ) | ||||||||
From net realized gains | (13,966 | ) | (5,873 | ) | (4,521 | ) | (2,944 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (62 | ) | (52 | ) | ||||||||||
From net realized gains | — | — | (1,808 | ) | (1,023 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (18,999 | ) | (20,780 | ) | (9,512 | ) | (12,714 | ) | ||||||||
From net realized gains | (137,624 | ) | (78,050 | ) | (180,035 | ) | (154,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (276,142 | ) | (167,455 | ) | (214,047 | ) | (184,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (154,024 | ) | 22,791 | (168,034 | ) | (134,019 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (385,524 | ) | (9,832 | ) | (411,967 | ) | (216,703 | ) | ||||||||
Beginning of period | 1,892,906 | 1,902,738 | 1,347,325 | 1,564,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,507,382 | $ | 1,892,906 | $ | 935,358 | $ | 1,347,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,109 | $ | 704 | $ | 462 | $ | 145 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 104,909 | $ | 158,207 | $ | 22,263 | $ | 25,488 | ||||||||
Distributions reinvested | 103,545 | 60,975 | 14,941 | 11,511 | ||||||||||||
Cost of shares redeemed | (214,499 | ) | (219,378 | ) | (29,714 | ) | (38,207 | ) | ||||||||
Conversion from Class B Shares | — | 6,841 | — | 777 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (6,045 | ) | $ | 6,645 | $ | 7,490 | $ | (431 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 17 | $ | — | $ | 7 | ||||||||
Distributions reinvested | — | 596 | — | 112 | ||||||||||||
Cost of shares redeemed | — | (3,758 | ) | — | (588 | ) | ||||||||||
Conversion to Class A Shares | — | (6,841 | ) | — | (777 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (9,986 | ) | $ | — | $ | (1,246 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 29,257 | $ | 24,847 | $ | 7,199 | $ | 4,923 | ||||||||
Distributions reinvested | 11,459 | 4,994 | 3,945 | 2,477 | ||||||||||||
Cost of shares redeemed | (28,073 | ) | (17,097 | ) | (5,823 | ) | (5,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 12,643 | $ | 12,744 | $ | 5,321 | $ | 2,044 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 5,044 | $ | 3,758 | ||||||||
Distributions reinvested | — | — | 1,499 | 811 | ||||||||||||
Cost of shares redeemed | — | — | (3,100 | ) | (2,943 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 3,443 | $ | 1,626 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 185,825 | $ | 251,960 | $ | 104,489 | $ | 132,492 | ||||||||
Distributions reinvested | 127,967 | 81,977 | 122,247 | 85,971 | ||||||||||||
Cost of shares redeemed | (474,414 | ) | (320,549 | ) | (411,024 | ) | (354,475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (160,622 | ) | $ | 13,388 | $ | (184,288 | ) | $ | (136,012 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (154,024 | ) | $ | 22,791 | $ | (168,034 | ) | $ | (134,019 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 2,869 | 3,776 | 2,064 | 1,951 | ||||||||||||
Reinvested | 3,030 | 1,513 | 1,486 | 951 | ||||||||||||
Redeemed | (5,724 | ) | (5,261 | ) | (2,695 | ) | (2,908 | ) | ||||||||
Conversion from Class B Shares | — | 162 | — | 58 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 175 | 190 | 855 | 52 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | — | (b) | — | 1 | |||||||||||
Reinvested | — | 15 | — | 9 | ||||||||||||
Redeemed | — | (90 | ) | — | (46 | ) | ||||||||||
Conversion to Class A Shares | — | (163 | ) | — | (62 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (238 | ) | — | (98 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 809 | 599 | 746 | 419 | ||||||||||||
Reinvested | 339 | 125 | 451 | 229 | ||||||||||||
Redeemed | (782 | ) | (411 | ) | (610 | ) | (456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 366 | 313 | 587 | 192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 457 | 289 | ||||||||||||
Reinvested | — | — | 151 | 68 | ||||||||||||
Redeemed | — | — | (285 | ) | (226 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 323 | 131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,129 | 6,036 | 9,599 | 10,188 | ||||||||||||
Reinvested | 3,737 | 2,029 | 12,030 | 7,034 | ||||||||||||
Redeemed | (12,808 | ) | (7,663 | ) | (39,168 | ) | (26,696 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (3,942 | ) | 402 | (17,539 | ) | (9,474 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
| (b) | Amount rounds to less than 500 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 41.12 | $ | 0.71 | $ | 0.38 | $ | 1.09 | $ | (0.67 | ) | $ | (6.18 | ) | $ | (6.85 | ) | |||||||||||
Year Ended June 30, 2015 | 41.94 | 0.68 | 2.11 | 2.79 | (0.66 | ) | (2.95 | ) | (3.61 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 36.43 | 0.64 | 7.78 | 8.42 | (0.63 | ) | (2.28 | ) | (2.91 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.92 | 0.63 | 5.52 | 6.15 | (0.64 | ) | — | (0.64 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 29.96 | 0.51 | 0.96 | 1.47 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 40.86 | 0.43 | 0.38 | 0.81 | (0.40 | ) | (6.18 | ) | (6.58 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 41.72 | 0.37 | 2.09 | 2.46 | (0.37 | ) | (2.95 | ) | (3.32 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 36.28 | 0.35 | 7.73 | 8.08 | (0.36 | ) | (2.28 | ) | (2.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.81 | 0.37 | 5.50 | 5.87 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 29.87 | 0.29 | 0.94 | 1.23 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 41.14 | 0.81 | 0.38 | 1.19 | (0.76 | ) | (6.18 | ) | (6.94 | ) | ||||||||||||||||||
Year Ended June 30, 2015 | 41.96 | 0.79 | 2.10 | 2.89 | (0.76 | ) | (2.95 | ) | (3.71 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 36.44 | 0.74 | 7.79 | 8.53 | (0.73 | ) | (2.28 | ) | (3.01 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.92 | 0.71 | 5.53 | 6.24 | (0.72 | ) | — | (0.72 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 29.97 | 0.58 | 0.95 | 1.53 | (0.58 | ) | — | (0.58 | ) | |||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 35.36 | 3.53 | % | $ | 598,815 | 0.45 | % | 1.93 | % | 0.94 | % | 4 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 35.09 | 2.76 | 89,104 | 1.20 | 1.19 | 1.43 | 4 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.39 | 3.81 | 819,463 | 0.20 | 2.17 | 0.67 | 4 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 12.98 | $ | 0.09 | $ | (0.21 | ) | $ | (0.12 | ) | $ | (0.08 | ) | $ | (2.14 | ) | $ | (2.22 | ) | |||||||||
Year Ended June 30, 2015 | 13.85 | 0.10 | 0.72 | 0.82 | (0.10 | ) | (1.59 | ) | (1.69 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 12.17 | 0.09 | (e) | 2.81 | 2.90 | (0.08 | ) | (1.14 | ) | (1.22 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.32 | 0.11 | (f) | 2.45 | 2.56 | (0.11 | ) | (0.60 | ) | (0.71 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.52 | 0.07 | (0.42 | ) | (0.35 | ) | (0.07 | ) | (0.78 | ) | (0.85 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 11.62 | 0.01 | (0.19 | ) | (0.18 | ) | (0.03 | ) | (2.14 | ) | (2.17 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 12.58 | 0.01 | 0.65 | 0.66 | (0.03 | ) | (1.59 | ) | (1.62 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 11.18 | — | (e)(g) | 2.56 | 2.56 | (0.02 | ) | (1.14 | ) | (1.16 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.55 | 0.03 | (f) | 2.25 | 2.28 | (0.05 | ) | (0.60 | ) | (0.65 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.74 | (0.01 | ) | (0.39 | ) | (0.40 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 12.87 | 0.07 | (0.22 | ) | (0.15 | ) | (0.06 | ) | (2.14 | ) | (2.20 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 13.74 | 0.07 | 0.72 | 0.79 | (0.07 | ) | (1.59 | ) | (1.66 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 12.09 | 0.06 | (e) | 2.78 | 2.84 | (0.05 | ) | (1.14 | ) | (1.19 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.25 | 0.08 | (f) | 2.44 | 2.52 | (0.08 | ) | (0.60 | ) | (0.68 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.46 | 0.03 | (0.42 | ) | (0.39 | ) | (0.04 | ) | (0.78 | ) | (0.82 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 13.09 | 0.12 | (0.21 | ) | (0.09 | ) | (0.11 | ) | (2.14 | ) | (2.25 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 13.94 | 0.13 | 0.74 | 0.87 | (0.13 | ) | (1.59 | ) | (1.72 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 12.24 | 0.12 | (e) | 2.83 | 2.95 | (0.11 | ) | (1.14 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.37 | 0.14 | (f) | 2.46 | 2.60 | (0.13 | ) | (0.60 | ) | (0.73 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.57 | 0.09 | (0.42 | ) | (0.33 | ) | (0.09 | ) | (0.78 | ) | (0.87 | ) | ||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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 $0.005. |
| (h) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 10.64 | 0.22 | % | $ | 99,397 | 0.69 | % | 0.81 | % | 0.98 | % | 39 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 9.27 | (0.43 | ) | 24,343 | 1.39 | 0.12 | 1.52 | 39 | |||||||||||||||||||
| 11.62 | 6.25 | 23,705 | 1.38 | 0.06 | 1.44 | 39 | ||||||||||||||||||||
| 12.58 | 24.03 | 23,248 | 1.37 | 0.00 | (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 | ||||||||||||||||||
| 10.52 | (0.05 | ) | 11,536 | 0.92 | 0.60 | 1.40 | 39 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 10.75 | 0.47 | 800,082 | 0.44 | 1.04 | 0.63 | 39 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
Table of Contents
AS OF JUNE 30, 2016
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, Class R6* and Select Class | Diversified | ||
| Market Expansion Enhanced Index Fund | Class A, Class C, Class R2 and Select Class | Diversified |
| * | Class R6 is expected to commence operations on September 1, 2016 for the Equity Index Fund. |
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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
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 affiliated and unaffiliated 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.
| 36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
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 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 observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,512,115 | $ | — | $ | 3 | $ | 1,512,118 | ||||||||
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| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 99 | $ | — | $ | — | $ | 99 | ||||||||
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| |||||||||
| Market Expansion Enhanced Index Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 933,624 | $ | — | $ | — | (b) | $ | 933,624 | |||||||
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| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 209 | $ | — | $ | — | $ | 209 | ||||||||
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| |||||||||
| (a) | All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Value is zero. |
There were no transfers among any levels during the year ended June 30, 2016.
B. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to their respective indices, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to 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.
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2016 (amounts in thousands):
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 9,108 | $ | 30,107 | ||||
Ending Notional Balance Long | 10,765 | 20,541 | ||||||
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).
C. 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 issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below (amounts in thousands).
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. (common stock)* | $ | 25,944 | $ | 72 | $ | 5,223 | $ | 3,080 | $ | 597 | 301 | $ | 18,728 | |||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 9,361 | 197,060 | 194,692 | — | 22 | 11,729 | 11,729 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 35,305 | $ | 3,080 | $ | 619 | $ | 30,457 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | $ | 42,800 | $ | 291,749 | $ | 316,239 | $ | — | $ | 52 | 18,310 | $ | 18,310 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 42,800 | $ | — | $ | 52 | $ | 18,310 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| * | Investment in affiliate which is a security in the Fund’s Index. |
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 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.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Class R2 | Select Class | Total | ||||||||||||||||
Equity Index Fund | ||||||||||||||||||||
Transfer agency fees | $ | 229 | $ | 8 | n/a | $ | 20 | $ | 257 | |||||||||||
Sub-transfer agency fees | 292 | 54 | n/a | 520 | 866 | |||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||
Transfer agency fees | 27 | 7 | $ | 4 | 17 | 55 | ||||||||||||||
Sub-transfer agency fees | 93 | 29 | 24 | 119 | 265 | |||||||||||||||
| 38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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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, 2016, 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 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 net investment income | Accumulated net realized gains (losses) | ||||||||||
Equity Index Fund | $ | — | $ | (1,014 | ) | $ | 1,014 | |||||
Market Expansion Enhanced Index Fund | (1 | ) | (271 | ) | 272 | |||||||
The reclassifications for the Funds relate primarily to investments in real estate investment trusts and redesignation of distributions.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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.
Effective September 1, 2016, the fee for JPMorgan Equity Index Fund will change to 0.04% of the Fund’s respective average daily net assets.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee 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, 2016, the effective annualized 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 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 C | Class R2 | ||||||||||
Equity Index Fund | 0.25 | % | 0.75 | % | n/a | |||||||
Market Expansion Enhanced Index Fund | 0.25 | 0.75 | 0.50 | % | ||||||||
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 38 | $ | — | (a) | |||
Market Expansion Enhanced Index Fund | 15 | — | (a) | |||||
| (a) | Amount rounds to less than $500. |
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 performing 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/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Select Class | |||||||||||||
Equity Index Fund | 0.45 | % | 1.20 | % | n/a | 0.20 | % | |||||||||
Market Expansion Enhanced Index Fund | 0.69 | 1.39 | 0.92 | 0.44 | ||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2016 and are in place until at least October 31, 2016.
For the year ended June 30, 2016, 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 | $ | 2,314 | $ | 1,323 | $ | 3,683 | $ | 7,320 | $ | 129 | ||||||||||
Market Expansion Enhanced Index Fund | 822 | 545 | 781 | 2,148 | 10 | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or the Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the respective Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2016 was as follows (amounts in thousands):
Equity Index Fund | $ | 17 | ||
Market Expansion Enhanced Index Fund | 47 |
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.
| 40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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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.
The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands).
Equity Index Fund | $ | — | ||
Market Expansion Enhanced Index Fund | — | (a) |
| (a) | Amount rounds to less than $500. |
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, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Equity Index Fund | $ | 70,278 | $ | 460,320 | ||||
Market Expansion Enhanced Index Fund | 418,869 | 766,131 | ||||||
During the year ended June 30, 2016, 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, 2016 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 533,609 | $ | 997,900 | $ | 19,391 | $ | 978,509 | ||||||||
Market Expansion Enhanced Index Fund | 713,620 | 267,109 | 47,105 | 220,004 | ||||||||||||
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, 2016 was as follows (amounts in thousands):
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 31,553 | $ | 244,589 | $ | 276,142 | ||||||
Market Expansion Enhanced Index Fund | 10,904 | 203,143 | 214,047 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
As of June 30, 2016, 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 (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Equity Index Fund | $ | 1,608 | $ | 107,743 | $ | 978,509 | ||||||
Market Expansion Enhanced Index Fund | 494 | 73,227 | 220,004 | |||||||||
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
For the Funds, the cumulative timing differences primarily consist of non-taxable dividends and wash sale loss deferrals.
As of June 30, 2016, the Funds did not have any net capital loss carryforwards.
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely 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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016. Average borrowings from the Facility for the year ended June 30, 2016, were as follows (amounts in thousands):
Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Equity Index Fund | $ | 14,450 | 0.31 | % | 2 | $ | — | (a) | ||||||||
| (a) | Amount rounds to less than $500. |
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.
As of June 30, 2016, the Equity Index Fund had two affiliated omnibus accounts, which represent 13.0% of the Fund’s net assets.
As of June 30, 2016, the J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate shares representing 58.0% of the net assets of Market Expansion Enhanced Index Fund.
Significant shareholder transactions by these shareholders may impact each Fund’s performance.
Because the Funds may invest a 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.
8. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
| 42 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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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, 2016, 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, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2016
| JUNE 30, 2016 | J.P. MORGAN EQUITY 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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 152 | 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). | |||
| 44 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
Table of Contents
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) | ||||||
| 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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, 2016 | J.P. MORGAN EQUITY FUNDS | 45 | ||||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
| 46 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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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, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.10 | $ | 2.28 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.63 | 2.26 | 0.45 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,032.20 | 6.06 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,037.30 | 1.01 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.87 | 1.01 | 0.20 | ||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.00 | $ | 3.53 | 0.69 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.43 | 3.47 | 0.69 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,054.30 | 7.10 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.97 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,056.70 | 4.70 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.29 | 4.62 | 0.92 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,059.70 | 2.25 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.21 | 0.44 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| JUNE 30, 2016 | J.P. MORGAN EQUITY FUNDS | 47 | ||||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| Dividends Received Deduction | ||||
Equity Index Fund | 100.00 | % | ||
Market Expansion Enhanced 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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Equity Index Fund | $ | 244,589 | ||
Market Expansion Enhanced Index Fund | 203,143 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Equity Index Fund | $ | 31,553 | ||
Market Expansion Enhanced Index Fund | 10,904 | |||
| 48 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2016 | ||||
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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 businesses 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., 2016. All rights reserved. June 2016. | AN-INDEX-616 |
Table of Contents
Annual Report
J.P. Morgan Investor Funds
June 30, 2016
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
Table of Contents
Investments in a Fund are not 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 a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
July 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
[PHOTO] |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Fund | Fund Return (With sale charge)* | Fund Return (Without sale charge)* | 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, 2016 (in thousands) | ||||||||||||||||||
JPMorgan Investor Balanced Fund, Class A | (4.87 | )% | (0.40 | )% | 4.36 | % | 2.14 | % | 3.51 | %** | $ | 5,400,935 | ||||||||||||
| JPMorgan Investor Conservative Growth Fund, Class A | (3.56 | )% | 0.97 | % | 4.36 | % | 2.14 | % | 3.92 | %*** | $ | 4,288,056 | ||||||||||||
JPMorgan Investor Growth Fund, Class A | (7.89 | )% | (3.54 | )% | 4.36 | % | 2.14 | % | 2.45 | %**** | $ | 2,446,931 | ||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A | (6.45 | )% | (2.06 | )% | 4.36 | % | 2.14 | % | 3.03 | %***** | $ | 3,141,963 | ||||||||||||
Portfolio Composition by Asset Class******
Investor Balanced Fund | ||||
| Fixed Income | 44.6 | % | ||
| U.S. Equity | 36.0 | |||
| International Equity | 14.0 | |||
| Alternative Assets | 4.6 | |||
| Money Market | 0.8 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 64.2 | % | ||
| U.S. Equity | 21.9 | |||
| International Equity | 8.0 | |||
| Alternative Assets | 5.0 | |||
| Money Market | 0.9 | |||
Investor Growth Fund | ||||
| U.S. Equity | 66.6 | % | ||
| International Equity | 20.8 | |||
| Fixed Income | 10.0 | |||
| Alternative Assets | 1.6 | |||
| Money Market | 1.0 | |||
Investor Growth & Income Fund | ||||
| U.S. Equity | 49.3 | % | ||
| Fixed Income | 28.4 | |||
| International Equity | 17.4 | |||
| Alternative Assets | 4.0 | |||
| Money Market | 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 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, 2016. The Funds’ portfolio composition is subject to change. |
| 2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (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?
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in recent global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period and closed just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as
investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.
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, 2016, each of the Investor Funds underperformed the Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark. Each of the Investor Funds also underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to the Investor Funds’ positions in non-U.S. developed market equity, emerging market equity and U.S. high yield (also known as “junk bonds”) and leveraged loan credit, none of which were held in the Benchmark and generally underperformed other asset classes.
Each Investor Fund’s performance is also compared to composite benchmarks, which are constructed of different percentages of the Investor Funds’ broad based fixed income and equity benchmarks. These composite benchmarks correspond to each Investor Fund’s 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, and U.S. high yield and leveraged loan credit 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 Fund’s composite benchmark, fixed income benchmark and equity benchmark.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 3 | ||||||
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
During the reporting period, the Investor Funds’ portfolio managers — through their investments in underlying funds — slightly increased their allocation to high yield debt and reduced their allocation to U.S. equity, particularly large
capitalization stocks, amid rising equity prices. The managers also maintained their overweight position in international equity.
| * | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
| 4 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
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JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | (4.87 | )% | 4.61 | % | 4.89 | % | ||||||||
Without Sales Charge | (0.40 | ) | 5.57 | 5.37 | ||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | (1.95 | ) | 5.02 | 4.81 | ||||||||||
Without CDSC | (0.95 | ) | 5.02 | 4.81 | ||||||||||
SELECT CLASS SHARES | December 10, 1996 | (0.15 | ) | 5.82 | 5.64 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 5 | ||||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | �� | ||||||||||||
With Sales Charge* | (3.56 | )% | 3.44 | % | 4.35 | % | ||||||||
Without Sales Charge | 0.97 | 4.40 | 4.83 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | (0.66 | ) | 3.86 | 4.26 | ||||||||||
Without CDSC | 0.34 | 3.86 | 4.26 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 1.22 | 4.66 | 5.09 | ||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| 6 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | (7.89 | )% | 6.76 | % | 5.23 | % | ||||||||
Without Sales Charge | (3.54 | ) | 7.76 | 5.72 | ||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | (5.05 | ) | 7.19 | 5.13 | ||||||||||
Without CDSC | (4.05 | ) | 7.19 | 5.13 | ||||||||||
SELECT CLASS SHARES | December 10, 1996 | (3.28 | ) | 8.05 | 5.99 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
Table of Contents
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||
With Sales Charge* | (6.45 | )% | 5.48 | % | 4.99 | % | ||||||||||
Without Sales Charge | (2.06 | ) | 6.46 | 5.48 | ||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||
With CDSC** | (3.63 | ) | 5.89 | 4.90 | ||||||||||||
Without CDSC | (2.63 | ) | 5.89 | 4.90 | ||||||||||||
SELECT CLASS SHARES | December 10, 1996 | (1.82 | ) | 6.73 | 5.75 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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, 2006 to June 30, 2016. 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 $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) |
| ||||||
Alternative Assets — 4.6% |
| |||||||
| 667 | JPMorgan Commodities Strategy Fund, Class R6 Shares (a) | 6,200 | ||||||
| 6,738 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 68,256 | ||||||
| 5,951 | JPMorgan Research Market Neutral Fund, Institutional Class Shares (a) | 85,390 | ||||||
| 5,958 | JPMorgan Systematic Alpha Fund, Class R6 Shares | 89,078 | ||||||
|
| |||||||
Total Alternative Assets | 248,924 | |||||||
|
| |||||||
Fixed Income — 44.6% |
| |||||||
| 78,172 | JPMorgan Core Bond Fund, Class R6 Shares | 938,847 | ||||||
| 65,097 | JPMorgan Core Plus Bond Fund, Class R6 Shares | 546,164 | ||||||
| 6,911 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 56,669 | ||||||
| 19,543 | JPMorgan Floating Rate Income Fund, Class R6 Shares | 180,386 | ||||||
| 1,147 | JPMorgan Government Bond Fund, Select Class Shares | 12,611 | ||||||
| 38,094 | JPMorgan High Yield Fund, Class R6 Shares | 271,608 | ||||||
| 7,681 | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | 79,493 | ||||||
| 21,592 | JPMorgan Limited Duration Bond Fund, Class R6 Shares | 216,563 | ||||||
| 7,778 | JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | 88,278 | ||||||
| 1,919 | JPMorgan Unconstrained Debt Fund, Class R6 Shares | 19,002 | ||||||
|
| |||||||
Total Fixed Income | 2,409,621 | |||||||
|
| |||||||
International Equity — 14.0% |
| |||||||
| 5,110 | JPMorgan Emerging Economies Fund, Class R6 Shares | 54,574 | ||||||
| 2,701 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 55,746 | ||||||
| 9,910 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 176,802 | ||||||
| 6,706 | JPMorgan International Equity Fund, Class R6 Shares | 91,267 | ||||||
| 17,322 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 259,490 | ||||||
| 4,602 | JPMorgan Intrepid European Fund, Institutional Class Shares | 100,729 | ||||||
| 1,377 | JPMorgan Latin America Fund, Class R6 Shares | 17,757 | ||||||
|
| |||||||
Total International Equity | 756,365 | |||||||
|
| |||||||
Money Market — 0.8% |
| |||||||
| 43,539 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l) | 43,539 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — 36.0% |
| |||||||
| 4,405 | JPMorgan Dynamic Growth Fund, Class R5 Shares (a) | 110,509 | ||||||
| 6,180 | JPMorgan Equity Income Fund, Class R6 Shares | 87,879 | ||||||
| 8,841 | JPMorgan Intrepid America Fund, Class R6 Shares | 309,701 | ||||||
| 3,958 | JPMorgan Intrepid Growth Fund, Class R6 Shares | 160,300 | ||||||
| 5,980 | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | 122,104 | ||||||
| 1,720 | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | 57,760 | ||||||
| 10,602 | JPMorgan Large Cap Value Fund, Class R6 Shares | 133,167 | ||||||
| 19,263 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 207,074 | ||||||
| 172 | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | 4,612 | ||||||
| 722 | JPMorgan Small Cap Value Fund, Class R6 Shares | 18,771 | ||||||
| 2,462 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 41,714 | ||||||
| 31,318 | JPMorgan U.S. Equity Fund, Class R6 Shares | 432,819 | ||||||
| 6,247 | JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | 165,163 | ||||||
| 3,241 | JPMorgan Value Advantage Fund, Institutional Class Shares | 93,526 | ||||||
|
| |||||||
Total U.S. Equity | 1,945,099 | |||||||
|
| |||||||
Total Investments — 100.0% | 5,403,548 | |||||||
Liabilities in Excess of | (2,613 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,400,935 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 9 | ||||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) |
| ||||||
Alternative Assets — 5.0% |
| |||||||
| 555 | JPMorgan Commodities Strategy Fund, Class R6 Shares (a) | 5,157 | ||||||
| 5,936 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 60,135 | ||||||
| 4,703 | JPMorgan Research Market Neutral Fund, Institutional Class Shares (a) | 67,488 | ||||||
| 5,551 | JPMorgan Systematic Alpha Fund, Class R6 Shares | 82,983 | ||||||
|
| |||||||
Total Alternative Assets | 215,763 | |||||||
|
| |||||||
Fixed Income — 64.2% |
| |||||||
| 96,083 | JPMorgan Core Bond Fund, Class R6 Shares | 1,153,962 | ||||||
| 67,025 | JPMorgan Core Plus Bond Fund, Class R6 Shares | 562,340 | ||||||
| 4,990 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 40,915 | ||||||
| 17,842 | JPMorgan Floating Rate Income Fund, Class R6 Shares | 164,685 | ||||||
| 3,178 | JPMorgan Government Bond Fund, Select Class Shares | 34,923 | ||||||
| 33,169 | JPMorgan High Yield Fund, Class R6 Shares | 236,495 | ||||||
| 9,600 | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | 99,359 | ||||||
| 34,406 | JPMorgan Limited Duration Bond Fund, Class R6 Shares | 345,089 | ||||||
| 8,560 | JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | 97,157 | ||||||
| 1,775 | JPMorgan Unconstrained Debt Fund, Class R6 Shares | 17,575 | ||||||
|
| |||||||
Total Fixed Income | 2,752,500 | |||||||
|
| |||||||
International Equity — 8.0% |
| |||||||
| 2,333 | JPMorgan Emerging Economies Fund, Class R6 Shares | 24,918 | ||||||
| 1,267 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 26,155 | ||||||
| 2,717 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 48,469 | ||||||
| 3,095 | JPMorgan International Equity Fund, Class R6 Shares | 42,123 | ||||||
| 9,735 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 145,828 | ||||||
| 2,106 | JPMorgan Intrepid European Fund, Institutional Class Shares | 46,091 | ||||||
| 886 | JPMorgan Latin America Fund, Class R6 Shares | 11,426 | ||||||
|
| |||||||
Total International Equity | 345,010 | |||||||
|
| |||||||
Money Market — 0.9% |
| |||||||
| 38,258 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l) | 38,258 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — 21.9% |
| |||||||
| 1,868 | JPMorgan Dynamic Growth Fund, Class R5 Shares (a) | 46,874 | ||||||
| 4,938 | JPMorgan Equity Income Fund, Class R6 Shares | 70,211 | ||||||
| 5,211 | JPMorgan Intrepid America Fund, Class R6 Shares | 182,553 | ||||||
| 2,518 | JPMorgan Intrepid Growth Fund, Class R6 Shares | 101,993 | ||||||
| 2,475 | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | 50,538 | ||||||
| 1,541 | JPMorgan Large Cap Value Fund, Class R6 Shares | 19,358 | ||||||
| 5,599 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 60,194 | ||||||
| 1,435 | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | 38,493 | ||||||
| 1,250 | JPMorgan Small Cap Value Fund, Class R6 Shares | 32,495 | ||||||
| 1,222 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 20,696 | ||||||
| 12,950 | JPMorgan U.S. Equity Fund, Class R6 Shares | 178,973 | ||||||
| 2,611 | JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | 69,024 | ||||||
| 2,330 | JPMorgan Value Advantage Fund, Institutional Class Shares | 67,250 | ||||||
|
| |||||||
Total U.S. Equity | 938,652 | |||||||
|
| |||||||
Total Investments — 100.0% | 4,290,183 | |||||||
Liabilities in Excess of | (2,127 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,288,056 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.1% (b) |
| ||||||
Alternative Assets — 1.6% |
| |||||||
| 771 | JPMorgan Commodities Strategy Fund, Class R6 Shares (a) | 7,169 | ||||||
| 582 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 5,895 | ||||||
| 431 | JPMorgan Research Market Neutral Fund, Institutional Class Shares (a) | 6,185 | ||||||
| 1,420 | JPMorgan Systematic Alpha Fund, Class R6 Shares | 21,225 | ||||||
|
| |||||||
Total Alternative Assets | 40,474 | |||||||
|
| |||||||
Fixed Income — 10.0% |
| |||||||
| 6,781 | JPMorgan Core Bond Fund, Class R6 Shares | 81,438 | ||||||
| 3,405 | JPMorgan Core Plus Bond Fund, Class R6 Shares | 28,568 | ||||||
| 1,356 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 11,118 | ||||||
| 2,335 | JPMorgan Floating Rate Income Fund, Class R6 Shares | 21,553 | ||||||
| 11,354 | JPMorgan High Yield Fund, Class R6 Shares | 80,953 | ||||||
| 1,103 | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | 11,421 | ||||||
| 420 | JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | 4,771 | ||||||
| 405 | JPMorgan Unconstrained Debt Fund, Class R6 Shares | 4,006 | ||||||
|
| |||||||
Total Fixed Income | 243,828 | |||||||
|
| |||||||
International Equity — 20.8% |
| |||||||
| 4,010 | JPMorgan Emerging Economies Fund, Class R6 Shares | 42,824 | ||||||
| 2,174 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 44,876 | ||||||
| 3,617 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 64,521 | ||||||
| 7,257 | JPMorgan International Equity Fund, Class R6 Shares | 98,774 | ||||||
| 8,628 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 129,244 | ||||||
| 3,097 | JPMorgan International Unconstrained Equity Fund, Class R6 Shares | 51,818 | ||||||
| 2,998 | JPMorgan Intrepid European Fund, Institutional Class Shares | 65,631 | ||||||
| 826 | JPMorgan Latin America Fund, Class R6 Shares | 10,654 | ||||||
|
| |||||||
Total International Equity | 508,342 | |||||||
|
| |||||||
Money Market — 1.0% |
| |||||||
| 24,355 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l) | 24,355 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — 66.7% |
| |||||||
| 982 | JPMorgan Dynamic Growth Fund, Class R5 Shares (a) | 24,640 | ||||||
| 2,644 | JPMorgan Equity Income Fund, Class R6 Shares | 37,598 | ||||||
| 7,605 | JPMorgan Intrepid America Fund, Class R6 Shares | 266,407 | ||||||
| 3,074 | JPMorgan Intrepid Growth Fund, Class R6 Shares | 124,488 | ||||||
| 4,058 | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | 82,866 | ||||||
| 5,425 | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | 182,188 | ||||||
| 18,625 | JPMorgan Large Cap Value Fund, Class R6 Shares | 233,933 | ||||||
| 13,461 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 144,700 | ||||||
| 1,153 | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | 30,919 | ||||||
| 1,757 | JPMorgan Small Cap Value Fund, Class R6 Shares | 45,661 | ||||||
| 1,295 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 21,943 | ||||||
| 22,296 | JPMorgan U.S. Equity Fund, Class R6 Shares | 308,126 | ||||||
| 3,295 | JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | 87,118 | ||||||
| 1,439 | JPMorgan Value Advantage Fund, Institutional Class Shares | 41,521 | ||||||
|
| |||||||
Total U.S. Equity | 1,632,108 | |||||||
|
| |||||||
Total Investments — 100.1% | 2,449,107 | |||||||
Liabilities in Excess of | (2,176 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,446,931 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.1% (b) |
| ||||||
Alternative Assets — 4.0% |
| |||||||
| 1,126 | JPMorgan Commodities Strategy Fund, Class R6 Shares (a) | 10,475 | ||||||
| 3,170 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 32,110 | ||||||
| 2,579 | JPMorgan Research Market Neutral Fund, Institutional Class Shares (a) | 37,009 | ||||||
| 3,059 | JPMorgan Systematic Alpha Fund, Class R6 Shares | 45,731 | ||||||
|
| |||||||
Total Alternative Assets | 125,325 | |||||||
|
| |||||||
Fixed Income — 28.4% |
| |||||||
| 24,367 | JPMorgan Core Bond Fund, Class R6 Shares | 292,649 | ||||||
| 23,988 | JPMorgan Core Plus Bond Fund, Class R6 Shares | 201,262 | ||||||
| 2,240 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 18,372 | ||||||
| 12,646 | JPMorgan Floating Rate Income Fund, Class R6 Shares | 116,720 | ||||||
| 1,058 | JPMorgan Government Bond Fund, Select Class Shares | 11,627 | ||||||
| 21,576 | JPMorgan High Yield Fund, Class R6 Shares | 153,834 | ||||||
| 3,891 | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | 40,274 | ||||||
| 2,371 | JPMorgan Limited Duration Bond Fund, Class R6 Shares | 23,785 | ||||||
| 2,000 | JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | 22,696 | ||||||
| 1,121 | JPMorgan Unconstrained Debt Fund, Class R6 Shares | 11,095 | ||||||
|
| |||||||
Total Fixed Income | 892,314 | |||||||
|
| |||||||
International Equity — 17.5% |
| |||||||
| 4,332 | JPMorgan Emerging Economies Fund, Class R6 Shares | 46,267 | ||||||
| 2,127 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 43,901 | ||||||
| 6,386 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 113,931 | ||||||
| 7,583 | JPMorgan International Equity Fund, Class R6 Shares | 103,204 | ||||||
| 9,622 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 144,143 | ||||||
| 645 | JPMorgan International Unconstrained Equity Fund, Class R6 Shares | 10,786 | ||||||
| 3,557 | JPMorgan Intrepid European Fund, Institutional Class Shares | 77,853 | ||||||
| 677 | JPMorgan Latin America Fund, Class R6 Shares | 8,737 | ||||||
|
| |||||||
Total International Equity | 548,822 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Money Market — 0.9% |
| |||||||
| 27,170 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l) | 27,170 | ||||||
|
| |||||||
U.S. Equity — 49.3% |
| |||||||
| 1,775 | JPMorgan Dynamic Growth Fund, Class R5 Shares (a) | 44,525 | ||||||
| 3,597 | JPMorgan Equity Income Fund, Class R6 Shares | 51,155 | ||||||
| 8,519 | JPMorgan Intrepid America Fund, Class R6 Shares | 298,418 | ||||||
| 2,330 | JPMorgan Intrepid Growth Fund, Class R6 Shares | 94,346 | ||||||
| 2,405 | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | 49,102 | ||||||
| 4,880 | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | 163,865 | ||||||
| 13,913 | JPMorgan Large Cap Value Fund, Class R6 Shares | 174,743 | ||||||
| 12,172 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 130,847 | ||||||
| 1,019 | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | 27,325 | ||||||
| 1,739 | JPMorgan Small Cap Value Fund, Class R6 Shares | 45,192 | ||||||
| 1,744 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 29,546 | ||||||
| 21,338 | JPMorgan U.S. Equity Fund, Class R6 Shares | 294,894 | ||||||
| 3,475 | JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | 91,877 | ||||||
| 1,905 | JPMorgan Value Advantage Fund, Institutional Class Shares | 54,967 | ||||||
|
| |||||||
Total U.S. Equity | 1,550,802 | |||||||
|
| |||||||
Total Investments — 100.1% | 3,144,433 | |||||||
Liabilities in Excess of | (2,470 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,141,963 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
J.P. Morgan Investor Funds
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| (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 0.05%. | |
| (l) | — The rate shown is the current yield as of June 30, 2016. |
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.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in affiliates, at value | $ | 5,403,548 | $ | 4,290,183 | $ | 2,449,107 | $ | 3,144,433 | ||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 7,489 | 5,316 | 1,763 | 2,309 | ||||||||||||
Dividends from affiliates | 16 | 13 | 9 | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 5,411,053 | 4,295,512 | 2,450,879 | 3,146,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Distributions | 1,167 | 121 | 431 | 505 | ||||||||||||
Fund shares redeemed | 5,562 | 4,264 | 1,926 | 2,303 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 157 | 118 | 6 | 53 | ||||||||||||
Administration fees | 226 | 180 | 79 | 118 | ||||||||||||
Distribution fees | 1,506 | 1,568 | 558 | 771 | ||||||||||||
Shareholder servicing fees | 657 | 621 | 340 | 419 | ||||||||||||
Custodian and accounting fees | 3 | 10 | 6 | 5 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | 1 | — | (a) | — | (a) | ||||||||||
Sub-transfer agency fees | 462 | 315 | 286 | 308 | ||||||||||||
Other | 375 | 258 | 316 | 307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 10,118 | 7,456 | 3,948 | 4,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 5,400,935 | $ | 4,288,056 | $ | 2,446,931 | $ | 3,141,963 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 4,784,336 | $ | 3,923,650 | $ | 1,953,201 | $ | 2,675,119 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 298 | (143 | ) | 64 | 126 | |||||||||||
Accumulated net realized gains (losses) | 7,447 | 20,959 | 32,667 | (18,511 | ) | |||||||||||
Net unrealized appreciation (depreciation) | 608,854 | 343,590 | 460,999 | 485,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 5,400,935 | $ | 4,288,056 | $ | 2,446,931 | $ | 3,141,963 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 3,836,242 | $ | 2,411,763 | $ | 1,893,308 | $ | 2,489,097 | ||||||||
Class C | 1,155,896 | 1,740,461 | 270,007 | 414,439 | ||||||||||||
Select Class | 408,797 | 135,832 | 283,616 | 238,427 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,400,935 | $ | 4,288,056 | $ | 2,446,931 | $ | 3,141,963 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 267,771 | 195,141 | 104,923 | 157,644 | ||||||||||||
Class C | 81,830 | 141,450 | 15,787 | 26,927 | ||||||||||||
Select Class | 28,488 | 10,935 | 15,435 | 15,315 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 14.33 | $ | 12.36 | $ | 18.04 | $ | 15.79 | ||||||||
Class C — Offering price per share (b) | 14.13 | 12.30 | 17.10 | 15.39 | ||||||||||||
Select Class — Offering and redemption price per share | 14.35 | 12.42 | 18.37 | 15.57 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 15.01 | $ | 12.94 | $ | 18.89 | $ | 16.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | 4,794,694 | 3,946,593 | 1,988,108 | 2,659,204 | ||||||||||||
| (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, 2016 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from affiliates | $ | 109,620 | $ | 96,154 | $ | 34,397 | $ | 57,330 | ||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,722 | 2,164 | 1,225 | 1,595 | ||||||||||||
Administration fees | 3,104 | 2,543 | 1,603 | 1,964 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 9,649 | 6,060 | 4,741 | 6,316 | ||||||||||||
Class C | 8,890 | 13,320 | 2,033 | 3,188 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 9,649 | 6,060 | 4,741 | 6,316 | ||||||||||||
Class C | 2,963 | 4,440 | 678 | 1,063 | ||||||||||||
Select Class | 1,000 | 320 | 708 | 597 | ||||||||||||
Custodian and accounting fees | 9 | 29 | 24 | 30 | ||||||||||||
Professional fees | 90 | 80 | 57 | 64 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 42 | 34 | 21 | 26 | ||||||||||||
Printing and mailing costs | 433 | 326 | 282 | 304 | ||||||||||||
Registration and filing fees | 291 | 203 | 151 | 179 | ||||||||||||
Transfer agency fees (See Note 2.D.) | 420 | 246 | 608 | 485 | ||||||||||||
Sub-transfer agency fees (See Note 2.D.) | 1,690 | 1,255 | 1,106 | 1,176 | ||||||||||||
Other | 62 | 50 | 30 | 36 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 41,014 | 37,130 | 18,008 | 23,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (10,383 | ) | (7,671 | ) | (5,757 | ) | (6,822 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 30,631 | 29,459 | 12,251 | 16,517 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 78,989 | 66,695 | 22,146 | 40,813 | ||||||||||||
|
|
|
| �� |
|
|
|
| ||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | (34,987 | ) | (4,763 | ) | (3,929 | ) | (15,996 | ) | ||||||||
Distributions of capital gains received from investment company affiliates | 138,678 | 59,009 | 113,224 | 108,419 | ||||||||||||
Change in net unrealized appreciation/depreciation on investments in affiliates | (220,812 | ) | (94,409 | ) | (223,185 | ) | (207,721 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | (117,121 | ) | (40,163 | ) | (113,890 | ) | (115,298 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | (38,132 | ) | $ | 26,532 | $ | (91,744 | ) | $ | (74,485 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 78,989 | $ | 63,224 | $ | 66,695 | $ | 57,076 | ||||||||
Net realized gain (loss) on investments in affiliates | (34,987 | ) | 23,374 | (4,763 | ) | 24,012 | ||||||||||
Distributions of capital gains received from investment company affiliates | 138,678 | 184,349 | 59,009 | 97,101 | ||||||||||||
Change in net unrealized appreciation/depreciation on investments in affiliates | (220,812 | ) | (123,577 | ) | (94,409 | ) | (104,466 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (38,132 | ) | 147,370 | 26,532 | 73,723 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (66,366 | ) | (72,271 | ) | (44,516 | ) | (44,383 | ) | ||||||||
From net realized gains | (121,890 | ) | (69,634 | ) | (58,389 | ) | (46,254 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | (982 | ) | — | (478 | ) | ||||||||||
From net realized gains | — | (1,403 | ) | — | (733 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (14,208 | ) | (15,495 | ) | (23,185 | ) | (22,098 | ) | ||||||||
From net realized gains | (38,413 | ) | (19,719 | ) | (43,262 | ) | (31,039 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (7,936 | ) | (6,916 | ) | (2,667 | ) | (2,449 | ) | ||||||||
From net realized gains | (12,696 | ) | (5,776 | ) | (3,008 | ) | (2,228 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (261,509 | ) | (192,196 | ) | (175,027 | ) | (149,662 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 133,100 | 447,233 | (79,747 | ) | 329,699 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (166,541 | ) | 402,407 | (228,242 | ) | 253,760 | ||||||||||
Beginning of period | 5,567,476 | 5,165,069 | 4,516,298 | 4,262,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,400,935 | $ | 5,567,476 | $ | 4,288,056 | $ | 4,516,298 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 298 | $ | (404 | ) | $ | (143 | ) | $ | (87 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 17 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 22,146 | $ | 16,763 | $ | 40,813 | $ | 34,157 | ||||||||
Net realized gain (loss) on investments in affiliates | (3,929 | ) | 15,831 | (15,996 | ) | 12,333 | ||||||||||
Distributions of capital gains received from investment company affiliates | 113,224 | 139,253 | 108,419 | 136,056 | ||||||||||||
Change in net unrealized appreciation/depreciation on investments in affiliates | (223,185 | ) | (45,878 | ) | (207,721 | ) | (63,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (91,744 | ) | 125,969 | (74,485 | ) | 118,697 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (24,859 | ) | (36,765 | ) | (39,844 | ) | (48,758 | ) | ||||||||
From net realized gains | (94,493 | ) | (28,153 | ) | (94,772 | ) | (56,378 | ) | ||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | (1,355 | ) | — | (1,146 | ) | ||||||||||
From net realized gains | — | (1,177 | ) | — | (1,807 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (2,839 | ) | (4,447 | ) | (4,619 | ) | (6,023 | ) | ||||||||
From net realized gains | (14,281 | ) | (3,829 | ) | (16,453 | ) | (8,812 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (4,447 | ) | (4,648 | ) | (4,452 | ) | (5,072 | ) | ||||||||
From net realized gains | (14,030 | ) | (3,065 | ) | (9,016 | ) | (5,055 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (154,949 | ) | (83,439 | ) | (169,156 | ) | (133,051 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 170,465 | 192,247 | 51,972 | 253,188 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (76,228 | ) | 234,777 | (191,669 | ) | 238,834 | ||||||||||
Beginning of period | 2,523,159 | 2,288,382 | 3,333,632 | 3,094,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,446,931 | $ | 2,523,159 | $ | 3,141,963 | $ | 3,333,632 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 64 | $ | (175 | ) | $ | 126 | $ | (245 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (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, 2016 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 521,159 | $ | 761,516 | $ | 334,682 | $ | 477,274 | ||||||||
Distributions reinvested | 187,721 | 141,568 | 102,662 | 90,426 | ||||||||||||
Cost of shares redeemed | (679,873 | ) | (663,757 | ) | (496,753 | ) | (517,879 | ) | ||||||||
Conversion from Class B Shares | — | 61,738 | — | 31,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 29,007 | $ | 301,065 | $ | (59,409 | ) | $ | 81,411 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 1,320 | $ | — | $ | 547 | ||||||||
Distributions reinvested | — | 2,376 | — | 1,206 | ||||||||||||
Cost of shares redeemed | — | (32,334 | ) | — | (16,017 | ) | ||||||||||
Conversion to Class A Shares | — | (61,738 | ) | — | (31,590 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (90,376 | ) | $ | — | $ | (45,854 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 265,536 | $ | 377,453 | $ | 376,818 | $ | 557,723 | ||||||||
Distributions reinvested | 52,283 | 34,950 | 66,197 | 52,950 | ||||||||||||
Cost of shares redeemed | (291,673 | ) | (202,286 | ) | (472,504 | ) | (329,481 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 26,146 | $ | 210,117 | $ | (29,489 | ) | $ | 281,192 | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 153,889 | $ | 105,111 | $ | 43,901 | $ | 36,634 | ||||||||
Distributions reinvested | 4,656 | 3,676 | 2,793 | 2,086 | ||||||||||||
Cost of shares redeemed | (80,598 | ) | (82,360 | ) | (37,543 | ) | (25,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 77,947 | $ | 26,427 | $ | 9,151 | $ | 12,950 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 133,100 | $ | 447,233 | $ | (79,747 | ) | $ | 329,699 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 36,108 | 49,957 | 27,128 | 36,878 | ||||||||||||
Reinvested | 13,251 | 9,426 | 8,416 | 7,072 | ||||||||||||
Redeemed | (47,331 | ) | (43,567 | ) | (40,276 | ) | (40,057 | ) | ||||||||
Conversion from Class B Shares | — | 4,026 | — | 2,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,028 | 19,842 | (4,732 | ) | 6,342 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 86 | — | 43 | ||||||||||||
Reinvested | — | 159 | — | 94 | ||||||||||||
Redeemed | — | (2,125 | ) | — | (1,239 | ) | ||||||||||
Conversion to Class A Shares | — | (4,029 | ) | — | (2,447 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (5,909 | ) | — | (3,549 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 18,572 | 25,100 | 30,610 | 43,317 | ||||||||||||
Reinvested | 3,748 | 2,362 | 5,462 | 4,164 | ||||||||||||
Redeemed | (20,642 | ) | (13,486 | ) | (38,552 | ) | (25,614 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,678 | 13,976 | (2,480 | ) | 21,867 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 10,448 | 6,901 | 3,548 | 2,824 | ||||||||||||
Reinvested | 328 | 244 | 228 | 162 | ||||||||||||
Redeemed | (5,624 | ) | (5,390 | ) | (3,004 | ) | (1,986 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 5,152 | 1,755 | 772 | 1,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 209,821 | $ | 288,677 | $ | 250,438 | $ | 441,133 | ||||||||
Distributions reinvested | 118,749 | 64,605 | 134,109 | 104,781 | ||||||||||||
Cost of shares redeemed | (240,399 | ) | (243,613 | ) | (362,157 | ) | (369,117 | ) | ||||||||
Conversion from Class B Shares | — | 61,221 | — | 62,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 88,171 | $ | 170,890 | $ | 22,390 | $ | 238,990 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 289 | $ | — | $ | 664 | ||||||||
Distributions reinvested | — | 2,519 | — | 2,945 | ||||||||||||
Cost of shares redeemed | — | (32,144 | ) | — | (37,395 | ) | ||||||||||
Conversion to Class A Shares | — | (61,221 | ) | — | (62,193 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | (90,557 | ) | $ | — | $ | (95,979 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 69,494 | $ | 71,520 | $ | 94,978 | $ | 128,515 | ||||||||
Distributions reinvested | 16,602 | 7,842 | 20,410 | 14,248 | ||||||||||||
Cost of shares redeemed | (56,521 | ) | (40,872 | ) | (98,007 | ) | (68,902 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 29,575 | $ | 38,490 | $ | 17,381 | $ | 73,861 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 111,442 | $ | 101,289 | $ | 55,582 | $ | 74,597 | ||||||||
Distributions reinvested | 3,969 | 2,044 | 4,742 | 4,325 | ||||||||||||
Cost of shares redeemed | (62,692 | ) | (29,909 | ) | (48,123 | ) | (42,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 52,719 | $ | 73,424 | $ | 12,201 | $ | 36,316 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 170,465 | $ | 192,247 | $ | 51,972 | $ | 253,188 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 11,358 | 14,546 | 15,592 | 25,797 | ||||||||||||
Reinvested | 6,595 | 3,310 | 8,537 | 6,245 | ||||||||||||
Redeemed | (13,034 | ) | (12,286 | ) | (22,696 | ) | (21,582 | ) | ||||||||
Conversion from Class B Shares | — | 3,017 | — | 3,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,919 | 8,587 | 1,433 | 14,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | 15 | — | 40 | ||||||||||||
Reinvested | — | 133 | — | 176 | ||||||||||||
Redeemed | — | (1,666 | ) | — | (2,198 | ) | ||||||||||
Conversion to Class A Shares | — | (3,109 | ) | — | (3,617 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | (4,627 | ) | — | (5,599 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,961 | 3,770 | 6,045 | 7,695 | ||||||||||||
Reinvested | 972 | 421 | 1,335 | 870 | ||||||||||||
Redeemed | (3,257 | ) | (2,156 | ) | (6,328 | ) | (4,129 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,676 | 2,035 | 1,052 | 4,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,783 | 5,035 | 3,529 | 4,439 | ||||||||||||
Reinvested | 217 | 103 | 306 | 261 | ||||||||||||
Redeemed | (3,386 | ) | (1,477 | ) | (3,063 | ) | (2,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 2,614 | 3,661 | 772 | 2,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 23 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | $ | 15.12 | $ | 0.22 | (f) | $ | (0.29 | ) | $ | (0.07 | ) | $ | (0.25 | ) | $ | (0.47 | ) | $ | (0.72 | ) | ||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 14.92 | 0.14 | (f) | (0.29 | ) | (0.15 | ) | (0.17 | ) | (0.47 | ) | (0.64 | ) | |||||||||||||||
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 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 15.14 | 0.26 | (f) | (0.30 | ) | (0.04 | ) | (0.28 | ) | (0.47 | ) | (0.75 | ) | |||||||||||||||
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 | ) | |||||||||||||||||
| (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 0.005% 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, 2016 | ||||
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 | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 14.33 | (0.40 | )% | $ | 3,836,242 | 0.46 | % | 1.55 | % | 0.67 | % | 12 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 14.13 | (0.95 | ) | 1,155,896 | 1.01 | 1.00 | 1.16 | 12 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.35 | (0.15 | ) | 408,797 | 0.20 | 1.83 | 0.39 | 12 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | $ | 12.78 | $ | 0.22 | (f) | $ | (0.11 | ) | $ | 0.11 | $ | (0.23 | ) | $ | (0.30 | ) | $ | (0.53 | ) | |||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 12.73 | 0.15 | (f) | (0.12 | ) | 0.03 | (0.16 | ) | (0.30 | ) | (0.46 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 12.84 | 0.25 | (f) | (0.11 | ) | 0.14 | (0.26 | ) | (0.30 | ) | (0.56 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
| (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 0.005% 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, 2016 | ||||
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 | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 12.36 | 0.97 | % | $ | 2,411,763 | 0.46 | % | 1.76 | % | 0.66 | % | 12 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 12.30 | 0.34 | 1,740,461 | 1.01 | 1.21 | 1.16 | 12 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 12.42 | 1.22 | 135,832 | 0.21 | 2.02 | 0.41 | 12 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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)(b) | 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, 2016 | $ | 19.95 | $ | 0.17 | $ | (0.89 | ) | $ | (0.72 | ) | $ | (0.24 | ) | $ | (0.95 | ) | $ | (1.19 | ) | |||||||||
Year Ended June 30, 2015 | 19.59 | 0.15 | 0.91 | 1.06 | (0.39 | ) | (0.31 | ) | (0.70 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 16.25 | 0.11 | 3.45 | 3.56 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 13.88 | 0.14 | 2.38 | 2.52 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 14.14 | 0.10 | (0.25 | ) | (0.15 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 19.01 | 0.07 | (0.85 | ) | (0.78 | ) | (0.18 | ) | (0.95 | ) | (1.13 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 18.75 | 0.05 | 0.87 | 0.92 | (0.35 | ) | (0.31 | ) | (0.66 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 15.60 | 0.01 | 3.30 | 3.31 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 13.34 | 0.05 | 2.30 | 2.35 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 13.61 | 0.02 | (0.24 | ) | (0.22 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 20.29 | 0.23 | (0.91 | ) | (0.68 | ) | (0.29 | ) | (0.95 | ) | (1.24 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 19.91 | 0.20 | 0.93 | 1.13 | (0.44 | ) | (0.31 | ) | (0.75 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 16.51 | 0.16 | 3.50 | 3.66 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 14.09 | 0.17 | 2.44 | 2.61 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 14.35 | 0.14 | (0.26 | ) | (0.12 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | Calculated based upon average shares outstanding. |
| (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) | Does not include expenses of Underlying Funds. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c) | Net assets, end of period (000’s) | Net expenses (d)(e) | Net investment income (loss) (a) | Expenses | Portfolio turnover rate (f) | ||||||||||||||||||||
| $ | 18.04 | (3.54 | )% | $ | 1,893,308 | 0.47 | % | 0.93 | % | 0.72 | % | 8 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 17.10 | (4.05 | ) | 270,007 | 1.02 | 0.39 | 1.21 | 8 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 18.37 | (3.28 | ) | 283,616 | 0.20 | 1.21 | 0.40 | 8 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
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)(b) | 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, 2016 | $ | 17.02 | $ | 0.21 | $ | (0.58 | ) | $ | (0.37 | ) | $ | (0.25 | ) | $ | (0.61 | ) | $ | (0.86 | ) | |||||||||
Year Ended June 30, 2015 | 17.11 | 0.19 | 0.44 | 0.63 | (0.33 | ) | (0.39 | ) | (0.72 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 14.78 | 0.16 | 2.40 | 2.56 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 13.17 | 0.18 | 1.64 | 1.82 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 13.28 | 0.17 | (0.10 | ) | 0.07 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.62 | 0.12 | (0.57 | ) | (0.45 | ) | (0.17 | ) | (0.61 | ) | (0.78 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.72 | 0.11 | 0.44 | 0.55 | (0.26 | ) | (0.39 | ) | (0.65 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 14.46 | 0.07 | 2.34 | 2.41 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 12.89 | 0.10 | 1.61 | 1.71 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 13.01 | 0.10 | (0.11 | ) | (0.01 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.80 | 0.25 | (0.58 | ) | (0.33 | ) | (0.29 | ) | (0.61 | ) | (0.90 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 16.89 | 0.23 | 0.44 | 0.67 | (0.37 | ) | (0.39 | ) | (0.76 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 14.59 | 0.19 | 2.38 | 2.57 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 13.00 | 0.21 | 1.63 | 1.84 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 13.12 | 0.20 | (0.11 | ) | 0.09 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | Calculated based upon average shares outstanding. |
| (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) | Does not include expenses of Underlying Funds. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | Amount rounds to less than 0.005% |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c) | Net assets, end of period (000’s) | Net expenses (d)(e) | Net investment income (loss) (a) | Expenses | Portfolio turnover rate (f) | ||||||||||||||||||||
| $ | 15.79 | (2.06 | )% | $ | 2,489,097 | 0.46 | % | 1.33 | % | 0.69 | % | 13 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 15.39 | (2.63 | ) | 414,439 | 1.02 | 0.79 | 1.19 | 13 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 15.57 | (1.82 | ) | 238,427 | 0.20 | 1.60 | 0.40 | 13 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
Table of Contents
AS OF JUNE 30, 2016
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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
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.
| 32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
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 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 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) | $ | 5,403,548 | $ | — | $ | — | $ | 5,403,548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 4,290,183 | $ | — | $ | — | $ | 4,290,183 | ||||||||
|
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|
|
|
|
|
| |||||||||
Investor Growth | ||||||||||||||||
Total Investments in Securities (a) | $ | 2,449,107 | $ | — | $ | — | $ | 2,449,107 | ||||||||
|
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|
|
|
|
|
| |||||||||
Investor Growth & Income Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 3,144,433 | $ | — | $ | — | $ | 3,144,433 | ||||||||
|
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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, 2016.
B. Investment Transactions with Affiliates — The Funds invest in Underlying Funds advised by Adviser 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 issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Included in the purchases and sales amounts in the table below are exchanges between certain share classes of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or portfolio turnover. 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, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Class R6 Shares | $ | — | $ | 9,055 | $ | — | $ | — | $ | — | 667 | $ | 6,200 | |||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 20,437 | — | 20,255 | (6,045 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Core Bond Fund, Class R6 Shares | — | 909,460 | 18,116 | 1,444 | 15,158 | 78,172 | 938,847 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 848,868 | 54,012 | 881,895 | (349 | ) | 7,112 | — | — | ||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Class R6 Shares | — | 518,319 | — | 1,105 | 10,602 | 65,097 | 546,164 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 510,890 | 5,429 | 499,627 | — | 5,429 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Class R5 Shares | — | 93,364 | 8,323 | 1,972 | — | 4,405 | 110,509 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 117,968 | 4,200 | 92,191 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Class R6 Shares | — | 73,333 | 7,005 | (2,113 | ) | 769 | 5,110 | 54,574 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 61,699 | 4,900 | 68,643 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | — | 54,509 | — | — | 1,779 | 6,911 | 56,669 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 47,064 | 767 | 47,256 | — | 767 | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 68,282 | 9,132 | (1,685 | ) | 646 | 2,701 | 55,746 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 57,728 | 4,900 | 61,715 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | — | 8,673 | 6,840 | (1,833 | ) | — | — | — | ||||||||||||||||||||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Balanced Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | $ | 33,969 | $ | — | $ | 32,923 | $ | (8,774 | ) | $ | — | — | $ | — | ||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | — | 75,173 | 6,830 | 491 | 1,454 | 6,180 | 87,879 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 83,514 | 4,531 | 70,409 | — | 431 | — | — | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Class R6 Shares | — | 197,578 | 5,539 | (449 | ) | 5,384 | 19,543 | 180,386 | ||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 176,664 | 10,986 | 190,407 | (1,346 | ) | 2,484 | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Class R6 Shares | — | 18,022 | 6,880 | (11,143 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 9,449 | — | 18,022 | — | — | — | — | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 182,476 | 12,105 | 7,992 | (576 | ) | 3,505 | 9,910 | 176,802 | ||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 11,991 | 468 | — | 166 | 302 | 1,147 | 12,611 | |||||||||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | — | 273,719 | — | 98 | 9,070 | 38,094 | 271,608 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 122,230 | 50,766 | 172,608 | — | 2,866 | — | — | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | — | 115,392 | 32,993 | (2,515 | ) | 923 | 7,681 | 79,493 | ||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 121,509 | 772 | 125,069 | (841 | ) | 772 | — | — | ||||||||||||||||||||
JPMorgan International Equity Fund, Class R6 Shares | — | 115,966 | 11,914 | (1,851 | ) | 1,735 | 6,706 | 91,267 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 106,311 | 9,042 | 112,910 | — | 142 | — | — | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 232,315 | 59,329 | — | 2,264 | 6,202 | 17,322 | 259,490 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Class R6 Shares | — | 225,220 | 39,517 | 20,912 | 5,002 | 8,841 | 309,701 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 343,433 | 17,000 | 205,812 | 328 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Institutional Class Shares | — | 118,393 | — | — | 1,700 | 4,602 | 100,729 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 90,836 | 15,200 | 108,725 | — | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Class R6 Shares | — | 98,926 | 34,406 | 8,480 | 2,190 | 3,958 | 160,300 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 186,225 | 11,600 | 98,737 | (63 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | — | 75,499 | — | 7,274 | 931 | 5,980 | 122,104 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 90,360 | 5,398 | 43,309 | — | 98 | — | — | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Class R6 Shares | — | 29,247 | 2,774 | 2,778 | — | 1,720 | �� | 57,760 | ||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 58,384 | 5,100 | 27,081 | 386 | — | — | — | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Class R6 Shares | — | 128,276 | 24,440 | 18,581 | 1,880 | 10,602 | 133,167 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 159,695 | 5,209 | 110,458 | 27 | 409 | — | — | |||||||||||||||||||||
JPMorgan Latin America Fund, Class R6 Shares | — | 24,655 | — | — | 294 | 1,377 | 17,757 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 18,875 | — | 24,361 | — | — | — | — | |||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Class R6 Shares | — | 222,791 | 14,441 | (102 | ) | 1,646 | 21,592 | 216,563 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 196,792 | 4,661 | 193,332 | (42 | ) | 661 | — | — | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 143,943 | 347,878 | 448,282 | — | 141 | 43,539 | 43,539 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 206,199 | 49,148 | 12,598 | 33,526 | 2,102 | 19,263 | 207,074 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Class R6 Shares | — | 4,000 | — | — | — | 172 | 4,612 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 113,477 | — | 47,616 | 2,391 | — | 6,738 | 68,256 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Institutional Class Shares | — | 99,373 | 7,702 | (481 | ) | — | 5,951 | 85,390 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 106,855 | — | 107,375 | (325 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Class R6 Shares | — | 52,281 | 29,163 | (2,566 | ) | 269 | 722 | 18,771 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 39,042 | 10,790 | 50,020 | — | 90 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | — | 109,857 | 16,144 | (1,399 | ) | 2,747 | 7,778 | 88,278 | ||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 109,188 | 1,216 | 112,407 | (313 | ) | 1,216 | — | — | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Class R6 Shares | — | 100,519 | 9,212 | (124 | ) | 2,400 | 5,958 | 89,078 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | 95,123 | — | 96,556 | (58 | ) | — | — | — | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 55,760 | 4,945 | 14,839 | 3,076 | 494 | 2,462 | 41,714 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Class R6 Shares | — | 333,695 | 41,782 | 21,845 | 4,123 | 31,318 | 432,819 | |||||||||||||||||||||
| 34 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Balanced Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | $ | 463,592 | $ | 20,191 | $ | 311,871 | $ | (159 | ) | $ | 991 | — | $ | — | ||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | — | 160,734 | 56,202 | 21,077 | 1,127 | 6,247 | 165,163 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 228,534 | 7,900 | 146,088 | 48 | — | — | — | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Class R6 Shares | — | 24,987 | 4,764 | (350 | ) | 377 | 1,919 | 19,002 | ||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 23,233 | 175 | 24,610 | — | 175 | — | — | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Institutional Class Shares | — | 76,885 | — | 924 | 1,025 | 3,241 | 93,526 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 89,672 | 5,300 | 74,936 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 5,564,300 | $ | 103,691 | $ | 109,620 | $ | 5,403,548 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Class R6 Shares | $ | — | $ | 7,524 | $ | — | $ | — | $ | — | 555 | $ | 5,157 | |||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 18,048 | — | 17,724 | (5,476 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Core Bond Fund, Class R6 Shares | — | 1,140,335 | 33,614 | 1,497 | 18,966 | 96,083 | 1,153,962 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 1,135,187 | 9,081 | 1,129,644 | (361 | ) | 9,081 | — | — | ||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Class R6 Shares | — | 540,331 | 5,000 | 981 | 10,910 | 67,025 | 562,340 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 546,496 | 5,694 | 536,592 | (399 | ) | 5,694 | — | — | ||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Class R5 Shares | — | 39,585 | 500 | 482 | — | 1,868 | 46,874 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 40,717 | 6,500 | 38,006 | 86 | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Class R6 Shares | — | 35,324 | 5,065 | (1,632 | ) | 370 | 2,333 | 24,918 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 28,744 | 4,400 | 33,904 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | — | 39,272 | — | — | 1,240 | 4,990 | 40,915 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 31,012 | 1,518 | 32,018 | — | 518 | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 32,514 | 5,065 | (996 | ) | 307 | 1,267 | 26,155 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 27,055 | 4,750 | 31,157 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | — | 15,282 | 12,164 | (3,119 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 48,540 | — | 47,982 | (10,789 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | — | 61,751 | 12,845 | 1,015 | 1,227 | 4,938 | 70,211 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 78,142 | 2,197 | 59,916 | — | 397 | — | — | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Class R6 Shares | — | 181,532 | 4,391 | (370 | ) | 4,906 | 17,842 | 164,685 | ||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 168,704 | 2,388 | 174,861 | (1,124 | ) | 2,388 | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Class R6 Shares | — | 14,341 | 5,847 | (8,494 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 8,027 | — | 14,341 | — | — | — | — | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 51,745 | 3,700 | 4,205 | (215 | ) | 1,000 | 2,717 | 48,469 | ||||||||||||||||||||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Conservative Growth Fund (continued) |
| |||||||||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | $ | 33,206 | $ | 1,295 | $ | — | $ | 459 | $ | 835 | 3,178 | $ | 34,923 | |||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | — | 235,829 | — | 81 | 7,736 | 33,169 | 236,495 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 91,838 | 37,829 | 128,618 | — | 1,929 | — | — | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | — | 135,140 | 33,247 | (1,958 | ) | 1,143 | 9,600 | 99,359 | ||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 153,503 | 936 | 156,897 | (1,708 | ) | 936 | — | — | ||||||||||||||||||||
JPMorgan International Equity Fund, Class R6 Shares | — | 48,303 | 860 | (108 | ) | 786 | 3,095 | 42,123 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 44,402 | 4,259 | 47,517 | — | 59 | — | — | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 136,484 | 28,093 | — | 1,309 | 3,586 | 9,735 | 145,828 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Class R6 Shares | — | 140,045 | 38,708 | 19,672 | 3,162 | 5,211 | 182,553 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 230,157 | 7,500 | 137,017 | 3,394 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Institutional Class Shares | — | 55,061 | — | — | 848 | 2,106 | 46,091 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 47,345 | 5,200 | 54,213 | — | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Class R6 Shares | — | 66,532 | 21,813 | 3,123 | 1,390 | 2,518 | 101,993 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 118,273 | 8,700 | 67,643 | 65 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | — | 34,934 | — | 2,310 | 340 | 2,475 | 50,538 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 29,871 | 632 | 13,935 | — | 32 | — | — | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Class R6 Shares | — | 14,416 | 1,681 | 2,272 | 248 | 1,541 | 19,358 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 28,567 | 766 | 19,831 | 3,075 | 66 | — | — | |||||||||||||||||||||
JPMorgan Latin America Fund, Class R6 Shares | — | 16,137 | — | — | 189 | 886 | 11,426 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 12,146 | — | 15,948 | — | — | — | — | |||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Class R6 Shares | — | 364,107 | 31,301 | (214 | ) | 2,845 | 34,406 | 345,089 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 360,360 | 9,917 | 357,919 | (36 | ) | 1,217 | — | — | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 58,323 | 265,894 | 285,959 | — | 100 | 38,258 | 38,258 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 55,930 | 13,477 | — | 9,403 | 575 | 5,599 | 60,194 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Class R6 Shares | — | 30,266 | — | 1,356 | — | 1,435 | 38,493 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 28,340 | 700 | 17,561 | — | — | — | — | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 86,207 | — | 27,427 | 1,504 | — | 5,936 | 60,135 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Institutional Class Shares | — | 96,093 | 22,708 | (1,358 | ) | — | 4,703 | 67,488 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 107,173 | — | 107,993 | (446 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Class R6 Shares | — | 38,487 | 4,257 | 916 | 256 | 1,250 | 32,495 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 27,478 | 9,163 | 36,758 | — | 63 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | — | 112,726 | 10,273 | (926 | ) | 2,913 | 8,560 | 97,157 | ||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 116,893 | 1,259 | 120,013 | (438 | ) | 1,261 | — | — | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Class R6 Shares | — | 91,403 | 6,173 | (80 | ) | 2,212 | 5,551 | 82,983 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | 87,376 | — | 88,868 | (47 | ) | — | — | — | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 38,183 | 2,970 | 17,907 | 5,169 | 292 | 1,222 | 20,696 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Class R6 Shares | — | 154,222 | 44,771 | 14,966 | 1,843 | 12,950 | 178,973 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 229,981 | 9,486 | 155,016 | 1,059 | 486 | — | — | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | — | 82,822 | 50,036 | 19,194 | 604 | 2,611 | 69,024 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 130,423 | 3,300 | 80,710 | 665 | — | — | — | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Class R6 Shares | — | 20,647 | 2,073 | (177 | ) | 317 | 1,775 | 17,575 | ||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 19,186 | 144 | 20,330 | — | 144 | — | — | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Institutional Class Shares | — | 44,765 | — | 664 | 737 | 2,330 | 67,250 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 62,004 | 6,000 | 43,362 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 4,516,066 | $ | 54,246 | $ | 96,154 | $ | 4,290,183 | ||||||||||||||||||||
|
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|
|
|
|
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| |||||||||||||||||||||
| 36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Class R6 Shares | $ | — | $ | 10,641 | $ | — | $ | — | $ | — | 771 | $ | 7,169 | |||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 9,702 | — | 11,841 | (659 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Core Bond Fund, Class R6 Shares | — | 85,741 | 6,637 | 169 | 1,333 | 6,781 | 81,438 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 92,120 | 2,785 | 95,009 | (32 | ) | 685 | — | — | ||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Class R6 Shares | — | 27,769 | — | 50 | 512 | 3,405 | 28,568 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 23,016 | 245 | 23,042 | — | 245 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Class R5 Shares | — | 19,670 | 497 | 255 | — | 982 | 24,640 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 25,610 | 400 | 19,403 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Class R6 Shares | — | 56,078 | 3,139 | (1,351 | ) | 580 | 4,010 | 42,824 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 50,587 | 2,150 | 54,918 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | — | 10,268 | — | — | 318 | 1,356 | 11,118 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 7,883 | 128 | 7,459 | — | 128 | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 52,706 | 3,636 | (848 | ) | 487 | 2,174 | 44,876 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 47,124 | 2,050 | 49,839 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | — | 87 | 63 | (23 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 7,757 | — | 7,137 | (2,764 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | — | 29,631 | — | 272 | 606 | 2,644 | 37,598 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 35,304 | 678 | 28,753 | — | 178 | — | — | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Class R6 Shares | — | 24,417 | 2,520 | (165 | ) | 487 | 2,335 | 21,553 | ||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 14,650 | 2,083 | 16,605 | (335 | ) | 183 | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Class R6 Shares | — | 8,896 | 3,460 | (5,436 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 4,753 | — | 8,896 | — | — | — | — | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 66,386 | 3,972 | 2,393 | (173 | ) | 1,233 | 3,617 | 64,521 | ||||||||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | — | 76,714 | — | 14 | 2,319 | 11,354 | 80,953 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 12,066 | 11,608 | 21,578 | — | 308 | — | — | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | — | 25,972 | 13,937 | (831 | ) | 151 | 1,103 | 11,421 | ||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 25,168 | 162 | 25,821 | — | 162 | — | — | |||||||||||||||||||||
JPMorgan International Equity Fund, Class R6 Shares | — | 105,753 | — | — | 1,835 | 7,257 | 98,774 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 111,510 | 1,743 | 103,918 | — | 143 | — | — | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 138,496 | 9,922 | — | 1,236 | 3,386 | 8,628 | 129,244 | |||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund, Class R6 Shares | — | 56,969 | — | — | 229 | 3,097 | 51,818 | |||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund, Select Class Shares | 44,071 | 9,000 | 53,300 | — | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Class R6 Shares | — | 179,723 | 16,495 | 16,528 | 4,059 | 7,605 | 266,407 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 282,867 | 4,700 | 159,123 | (65 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Intrepid European Fund, Institutional Class Shares | — | 76,855 | — | — | 1,208 | 2,998 | 65,631 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 73,857 | 1,500 | 75,647 | — | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Class R6 Shares | — | 69,351 | 20,055 | 8,204 | 1,610 | 3,074 | 124,488 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 144,786 | 2,100 | 68,980 | 163 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | — | 58,922 | — | 5,904 | 694 | 4,058 | 82,866 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 76,863 | 1,181 | 47,130 | — | 81 | — | — | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Class R6 Shares | — | 79,100 | 1,989 | 8,303 | — | 5,425 | 182,188 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 194,481 | 2,800 | 72,043 | (14 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Large Cap Value Fund, Class R6 Shares | — | 215,654 | 1,200 | 27,820 | 3,030 | 18,625 | 233,933 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 238,900 | 3,901 | 186,893 | (32 | ) | 601 | — | — | ||||||||||||||||||||
JPMorgan Latin America Fund, Class R6 Shares | — | 14,143 | — | — | 176 | 826 | 10,654 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 11,324 | — | 13,967 | — | — | — | — | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 16,895 | 133,965 | 126,505 | — | 68 | 24,355 | 24,355 | |||||||||||||||||||||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | $ | 140,566 | $ | 27,909 | $ | — | $ | 23,344 | $ | 1,404 | 13,461 | $ | 144,700 | |||||||||||||||
JPMorgan Mid Cap Growth Fund, Class R6 Shares | — | 25,287 | — | 843 | — | 1,153 | 30,919 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 17,886 | 200 | 11,418 | — | — | — | — | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 11,402 | — | 5,739 | 394 | — | 582 | 5,895 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Institutional Class Shares | — | 11,006 | 4,439 | (173 | ) | — | 431 | 6,185 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 12,368 | — | 12,206 | (39 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Class R6 Shares | — | 41,412 | 20,943 | 4,103 | 420 | 1,757 | 45,661 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 66,522 | 1,134 | 37,192 | — | 134 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | — | 6,178 | 1,139 | (88 | ) | 152 | 420 | 4,771 | ||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 5,891 | 66 | 6,026 | — | 66 | — | — | |||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Class R6 Shares | — | 21,672 | — | — | 336 | 1,420 | 21,225 | |||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | 14,135 | — | 14,341 | (26 | ) | — | — | — | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 26,225 | 1,953 | 4,223 | 1,370 | 237 | 1,295 | 21,943 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Class R6 Shares | — | 238,772 | 15,988 | 14,777 | 2,873 | 22,296 | 308,126 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 323,001 | 5,982 | 221,789 | (114 | ) | 682 | — | — | ||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | — | 73,335 | 12,428 | 8,458 | 507 | 3,295 | 87,118 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 103,797 | 1,500 | 65,494 | (38 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Class R6 Shares | — | 5,430 | 1,139 | (97 | ) | 80 | 405 | 4,006 | ||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 5,046 | 38 | 5,350 | — | 38 | — | — | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Institutional Class Shares | — | 30,550 | — | 391 | 433 | 1,439 | 41,521 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 39,717 | 600 | 27,986 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,522,732 | $ | 109,295 | $ | 34,397 | $ | 2,449,107 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
JPMorgan Commodities Strategy Fund, Class R6 Shares | $ | — | $ | 15,526 | $ | — | $ | — | $ | — | 1,126 | $ | 10,475 | |||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 13,994 | — | 17,126 | (874 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Core Bond Fund, Class R6 Shares | — | 289,671 | 12,894 | 462 | 4,596 | 24,367 | 292,649 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 298,881 | 2,235 | 293,589 | (81 | ) | 2,235 | — | — | ||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Class R6 Shares | — | 187,550 | — | 396 | 3,855 | 23,988 | 201,262 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 183,111 | 1,946 | 175,475 | — | 1,946 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Class R5 Shares | — | 38,311 | 3,232 | 755 | — | 1,775 | 44,525 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 48,399 | 800 | 37,822 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Class R6 Shares | — | 60,587 | 4,105 | (1,487 | ) | 622 | 4,332 | 46,267 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 52,496 | 2,300 | 56,940 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | — | 17,139 | — | — | 615 | 2,240 | 18,372 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 16,950 | 276 | 16,524 | — | 276 | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 56,647 | 8,685 | (2,150 | ) | 523 | 2,127 | 43,901 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 50,815 | 2,400 | 53,100 | — | — | — | — | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | — | 2,284 | 1,807 | (477 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 16,453 | — | 15,484 | (5,028 | ) | — | — | — | ||||||||||||||||||||
| 38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Growth & Income Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | $ | — | $ | 46,084 | $ | 7,685 | $ | 430 | $ | 876 | 3,597 | $ | 51,155 | |||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 54,488 | 2,176 | 44,778 | — | 276 | — | — | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Class R6 Shares | — | 127,664 | 3,275 | (265 | ) | 3,388 | 12,646 | 116,720 | ||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 115,806 | 1,637 | 119,170 | (782 | ) | 1,637 | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Class R6 Shares | — | 13,188 | 5,078 | (8,111 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 6,944 | — | 13,188 | — | — | — | — | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 118,075 | 6,642 | 4,646 | (276 | ) | 2,217 | 6,386 | 113,931 | ||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 11,055 | 431 | — | 153 | 278 | 1,058 | 11,627 | |||||||||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | — | 152,840 | — | 54 | 5,090 | 21,576 | 153,834 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 72,038 | 22,395 | 92,561 | — | 1,495 | — | — | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | — | 54,760 | 13,627 | (1,007 | ) | 460 | 3,891 | 40,274 | ||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 59,072 | 374 | 60,300 | (469 | ) | 374 | — | — | ||||||||||||||||||||
JPMorgan International Equity Fund, Class R6 Shares | — | 125,267 | 11,286 | (3,228 | ) | 1,956 | 7,583 | 103,204 | ||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 125,157 | 6,062 | 123,312 | — | 162 | — | — | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 147,399 | 17,057 | — | 1,352 | 3,705 | 9,622 | 144,143 | |||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund, Class R6 Shares | — | 10,000 | — | — | — | 645 | 10,786 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Class R6 Shares | — | 212,931 | 37,402 | 19,305 | 4,754 | 8,519 | 298,418 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 332,983 | 10,500 | 191,683 | 101 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Institutional Class Shares | — | 94,337 | — | — | 1,433 | 3,557 | 77,853 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 85,684 | 3,500 | 92,905 | — | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Class R6 Shares | — | 53,630 | 18,764 | 8,207 | 1,274 | 2,330 | 94,346 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 114,267 | 1,900 | 54,356 | 81 | — | — | — | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | — | 34,132 | — | 2,158 | 323 | 2,405 | 49,102 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 28,192 | 330 | 12,598 | — | 30 | — | — | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Class R6 Shares | — | 73,353 | 1,640 | 7,514 | — | 4,880 | 163,865 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 171,992 | 4,800 | 67,479 | 384 | — | — | — | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Class R6 Shares | — | 163,357 | 13,096 | 20,076 | 2,324 | 13,913 | 174,743 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 190,271 | 3,480 | 140,585 | 37 | 480 | — | — | |||||||||||||||||||||
JPMorgan Latin America Fund, Class R6 Shares | — | 11,965 | — | — | 145 | 677 | 8,737 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 9,287 | — | 11,821 | — | — | — | — | |||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Class R6 Shares | — | 32,714 | 8,971 | (54 | ) | 142 | 2,371 | 23,785 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 20,432 | 65 | 20,499 | (18 | ) | 65 | — | — | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 22,603 | 160,910 | 156,343 | — | 74 | 27,170 | 27,170 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 126,369 | 25,711 | — | 21,018 | 1,268 | 12,172 | 130,847 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Class R6 Shares | — | 21,002 | — | 1,005 | — | 1,019 | 27,325 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 21,257 | 300 | 12,647 | — | — | — | — | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 50,135 | — | 18,955 | 1,002 | — | 3,170 | 32,110 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Institutional Class Shares | — | 44,682 | 5,391 | (306 | ) | — | 2,579 | 37,009 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 49,573 | — | 49,282 | (157 | ) | — | — | — | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Class R6 Shares | — | 45,206 | 17,571 | 1,042 | 407 | 1,739 | 45,192 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 59,054 | 5,324 | 42,264 | — | 124 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | — | 36,479 | 11,804 | (949 | ) | 821 | 2,000 | 22,696 | ||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 37,564 | 415 | 38,658 | (177 | ) | 415 | — | — | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Class R6 Shares | — | 50,726 | 3,818 | (50 | ) | 1,171 | 3,059 | 45,731 | ||||||||||||||||||||
JPMorgan Systematic Alpha Fund, Select Class Shares | 46,681 | — | 47,439 | (34 | ) | — | — | — | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 45,923 | 3,459 | 16,436 | 2,234 | 405 | 1,744 | 29,546 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Class R6 Shares | — | 239,842 | 34,037 | 15,045 | 2,837 | 21,338 | 294,894 | |||||||||||||||||||||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| For the year ended June 30, 2016 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2015 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at June 30, 2016 | Value at June 30, 2016 | |||||||||||||||||||||
Investor Growth & Income Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | $ | 326,604 | $ | 11,888 | $ | 227,890 | $ | 86 | $ | 688 | — | $ | — | |||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares | — | 96,825 | 39,423 | 15,216 | 668 | 3,475 | 91,877 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 137,761 | 2,300 | 88,088 | 21 | — | — | — | |||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Class R6 Shares | — | 15,216 | 3,387 | (240 | ) | 228 | 1,121 | 11,095 | ||||||||||||||||||||
JPMorgan Unconstrained Debt Fund, Select Class Shares | 14,160 | 107 | 14,987 | — | 107 | — | — | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Institutional Class Shares | — | 39,985 | — | 509 | 565 | 1,905 | 54,967 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 50,575 | 1,800 | 35,862 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 3,332,500 | $ | 92,423 | $ | 57,330 | $ | 3,144,433 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
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.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Select Class | Total | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Transfer agency fees | $ | 352 | $ | 54 | $ | 14 | $ | 420 | ||||||||
Sub-transfer agency fees | 1,275 | 384 | 31 | 1,690 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Transfer agency fees | 184 | 48 | 14 | 246 | ||||||||||||
Sub-transfer agency fees | 738 | 490 | 27 | 1,255 | ||||||||||||
Investor Growth Fund | ||||||||||||||||
Transfer agency fees | 540 | 46 | 22 | 608 | ||||||||||||
Sub-transfer agency fees | 943 | 144 | 19 | 1,106 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Transfer agency fees | 432 | 42 | 11 | 485 | ||||||||||||
Sub-transfer agency fees | 969 | 179 | 28 | 1,176 | ||||||||||||
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, 2016, 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.
| 40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
Table of Contents
The following amounts were reclassified within the capital accounts:
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Investor Balanced Fund | $ | — | $ | 10,223 | $ | (10,223 | ) | |||||
Investor Conservative Growth Fund | — | 3,617 | (3,617 | ) | ||||||||
Investor Growth Fund | — | 10,238 | (10,238 | ) | ||||||||
Investor Growth & Income Fund | — | 8,473 | (8,473 | ) | ||||||||
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 an Investment Advisory Agreement, the Adviser 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 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, 2016, the effective rate was 0.06% 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 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 C | |||||
| 0.25% | 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 C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 1,469 | $ | 6 | ||||
Investor Conservative Growth Fund | 816 | 6 | ||||||
Investor Growth Fund | 627 | 1 | ||||||
Investor Growth & Income Fund | 807 | 1 | ||||||
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly at an annual rate of 0.25% of the Funds’ average daily net assets.
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived shareholder servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing 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.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 41 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
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/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Select Class | ||||||||||
Investor Balanced Fund* | 0.52 | % | 1.10 | % | 0.27 | % | ||||||
Investor Conservative Growth Fund* | 0.52 | 1.10 | 0.27 | |||||||||
Investor Growth Fund* | 0.52 | 1.10 | 0.27 | |||||||||
Investor Growth & Income Fund* | 0.52 | 1.10 | 0.27 | |||||||||
| * | Prior to November 1, 2015, the contractual expense limitations for the Funds were 0.39%, 1.14% and 0.14% for Class A, Class C and Select Class Shares, respectively. |
The contractual expense limitation percentages are in place until at least October 31, 2016.
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 will 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, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Investor Balanced Fund | $ | 1,325 | $ | 1,312 | $ | 6,264 | $ | 8,901 | ||||||||
Investor Conservative Growth Fund | 1,228 | 1,184 | 3,686 | 6,098 | ||||||||||||
Investor Growth Fund | 1,109 | 958 | 3,314 | 5,381 | ||||||||||||
Investor Growth & Income Fund | 1,102 | 1,021 | 4,047 | 6,170 | ||||||||||||
| Voluntary Waivers | ||||
Shareholder Servicing | ||||
JPMorgan Investor Balanced Fund | $ | 1,439 | ||
JPMorgan Investor Conservative Growth Fund | 1,540 | |||
JPMorgan Investor Growth Fund | 353 | |||
JPMorgan Investor Growth & Income Fund | 628 | |||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.
The amounts of these waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):
JPMorgan Investor Balanced Fund | $ | 43 | ||
JPMorgan Investor Conservative Growth Fund | 33 | |||
JPMorgan Investor Growth Fund | 23 | |||
JPMorgan Investor Growth & Income Fund | 24 |
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.
| 42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
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4. Investment Transactions
During the year ended June 30, 2016, 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) | |||||||
Investor Balanced Fund | $ | 833,765 | $ | 638,314 | ||||
Investor Conservative Growth Fund | 515,085 | 621,732 | ||||||
Investor Growth Fund | 332,739 | 186,710 | ||||||
Investor Growth & Income Fund | 448,497 | 417,414 | ||||||
During the year ended June 30, 2016, 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, 2016 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 4,882,309 | $ | 666,598 | $ | 145,359 | $ | 521,239 | ||||||||
Investor Conservative Growth Fund | 3,975,863 | 404,408 | 90,088 | 314,320 | ||||||||||||
Investor Growth Fund | 2,054,801 | 480,988 | 86,682 | 394,306 | ||||||||||||
Investor Growth & Income Fund | 2,762,551 | 487,989 | 106,107 | 381,882 | ||||||||||||
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, 2016 was as follows (amounts in thousands):
| Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Investor Balanced Fund | $ | 96,760 | $ | 164,749 | $ | 261,509 | ||||||
Investor Conservative Growth Fund | 74,620 | 100,407 | 175,027 | |||||||||
Investor Growth Fund | 34,112 | 120,837 | 154,949 | |||||||||
Investor Growth & Income Fund | 53,000 | 116,156 | 169,156 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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. |
As of June 30, 2016, 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 | $ | 2,312 | $ | 101,548 | $ | 521,239 | ||||||
Investor Conservative Growth Fund | 1,308 | 51,447 | 314,320 | |||||||||
Investor Growth Fund | 543 | 99,876 | 394,306 | |||||||||
Investor Growth & Income Fund | 1,386 | 84,836 | 381,882 | |||||||||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 43 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals and wash sale loss deferrals.
As of June 30, 2016, the Funds did not have any net capital loss carryforwards.
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, 2016, the Funds deferred to July 1, 2016 the following net capital losses of (amounts in thousands):
| Net Capital Losses | ||||
| Short-Term | ||||
Investor Balanced Fund | $ | 7,243 | ||
Investor Conservative Growth Fund | 2,485 | |||
Investor Growth Fund | 514 | |||
Investor Growth & Income Fund | 685 | |||
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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, 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.
As of June 30, 2016, the Funds each had two affiliated omnibus accounts, which represented the following percentage of each Fund’s net assets:
| % of the Fund | ||||
Investor Balanced Fund | 79.8 | % | ||
Investor Conservative Growth Fund | 87.1 | |||
Investor Growth Fund | 63.9 | |||
Investor Growth & Income Fund | 72.6 | |||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
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As of June 30, 2016, the Funds owned, in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:
| % of Net Assets | ||||
JPMorgan Multi-Cap Market Neutral Fund | 88.5 | % | ||
JPMorgan Large Cap Value Fund | 79.0 | |||
JPMorgan Systematic Alpha Fund | 72.6 | |||
JPMorgan Dynamic Growth Fund | 68.8 | |||
JPMorgan International Unconstrained Equity Fund | 66.0 | |||
JPMorgan Market Expansion Enhanced Index Fund | 58.0 | |||
JPMorgan International Research Enhanced Equity Fund | 57.7 | |||
JPMorgan Latin America Fund | 53.9 | |||
JPMorgan Research Market Neutral Fund | 50.1 | |||
JPMorgan Intrepid Growth Fund | 48.7 | |||
JPMorgan Limited Duration Bond Fund | 45.3 | |||
JPMorgan Intrepid European Fund | 33.5 | |||
JPMorgan Intrepid Mid Cap Fund | 31.6 | |||
JPMorgan Commodities Strategy Fund | 31.2 | |||
JPMorgan Intrepid America Fund | 28.8 | |||
JPMorgan U.S. Dynamic Plus Fund | 27.6 | |||
JPMorgan Floating Rate Income Fund | 26.9 | |||
JPMorgan Core Plus Bond Fund | 21.7 | |||
JPMorgan Inflation Managed Bond Fund | 15.6 | |||
JPMorgan Emerging Markets Debt Fund | 13.2 | |||
JPMorgan Emerging Economies Fund | 13.1 | |||
JPMorgan International Equity Fund | 10.3 | |||
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.
8. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 45 | ||||||
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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, 2016, 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, 2016 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2016
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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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 47 | ||||||
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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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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 Trust (Since) | Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014-present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | 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 (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, 2016 and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.60 | $ | 2.61 | 0.52 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.28 | 2.61 | 0.52 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,016.20 | 5.51 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.52 | 1.10 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,020.10 | 1.36 | 0.27 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.52 | 1.36 | 0.27 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,027.10 | 2.62 | 0.52 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.28 | 2.61 | 0.52 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,023.60 | 5.53 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.52 | 1.10 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,028.30 | 1.36 | 0.27 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.52 | 1.36 | 0.27 | ||||||||||||
| 50 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
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| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.60 | $ | 2.59 | 0.52 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.28 | 2.61 | 0.52 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 997.70 | 5.46 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.52 | 1.10 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,001.80 | 1.34 | 0.27 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.52 | 1.36 | 0.27 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,008.40 | 2.60 | 0.52 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.28 | 2.61 | 0.52 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,005.70 | 5.49 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.52 | 1.10 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,009.80 | 1.35 | 0.27 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.52 | 1.36 | 0.27 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| JUNE 30, 2016 | J.P. MORGAN INVESTOR FUNDS | 51 | ||||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| Dividends Received Deductions | ||||
Investor Balanced Fund | 28.78 | % | ||
Investor Conservative Growth Fund | 19.20 | |||
Investor Growth Fund | 58.60 | |||
Investor Growth & Income Fund | 38.26 | |||
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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Investor Balanced Fund | $ | 164,749 | ||
Investor Conservative Growth Fund | 100,407 | |||
Investor Growth Fund | 120,837 | |||
Investor Growth & Income Fund | 116,156 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Investor Balanced Fund | $ | 64,665 | ||
Investor Conservative Growth Fund | 39,312 | |||
Investor Growth Fund | 34,111 | |||
Investor Growth & Income Fund | 44,581 | |||
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2016, 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, 2016 will be disclosed in the semi-annual report for the period ended December 31, 2016.
| 52 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2016 | ||||
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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 businesses 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., 2016. All rights reserved. June 2016. | AN-INV-616 |
Table of Contents
Annual Report
J.P. Morgan Intrepid Funds
June 30, 2016
JPMorgan Intrepid Advantage Fund
JPMorgan Intrepid America Fund
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Value Fund
 |
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Investments in a Fund are not 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 a 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 15, 2016 (Unaudited)
Dear Shareholder,
The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.
 |
“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.” |
Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).
The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.
Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.
Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.
A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.
U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by
the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.
By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.
Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.
Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Funds Management,
J.P. Morgan Asset Management
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
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JPMorgan Intrepid Funds
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U.S. stocks came roaring back and turned in their best monthly performance since late 2011.
In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.
However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.
Intrepid Investment Philosophy and Process
The JPMorgan Behavioral Finance Team (the “Team”) employs a philosophy that is rooted in behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.
The Team aims to capitalize on these market inefficiencies by targeting high quality, attractively valued stocks of companies that it believes have 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.
| 2 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
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JPMorgan Intrepid Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (0.48)% | |||
| Russell 3000 Index | 2.14% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $19,039 | |||
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 underperformed the Russell 3000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial sector and its security selection and overweight position in the energy sector were leading detractors from relative performance. The Fund’s security selection and overweight position in the consumer staples sector and its security selection in the industrials sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Apple Inc., Voya Financial Inc. and Gilead Sciences Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Voya Financial, a provider of insurance and other financial products, fell on lower than expected earnings. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products.
Leading individual contributors to relative performance included the Fund’s overweight positions in Northrop Corp., Tyson Foods Inc. and Microsoft Corp. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Tyson Food, a food processing company, rose on expectations that lower feed-grain prices would lift earnings. Shares of Microsoft, a provider of software and services, rose amid growth in its cloud computing business.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.4 | % | |||||
| 2. | Microsoft Corp. | 4.4 | ||||||
| 3. | Northrop Grumman Corp. | 3.9 | ||||||
| 4. | Gilead Sciences, Inc. | 2.9 | ||||||
| 5. | QUALCOMM, Inc. | 2.3 | ||||||
| 6. | Home Depot, Inc. (The) | 2.3 | ||||||
| 7. | Tyson Foods, Inc., Class A | 2.3 | ||||||
| 8. | Cigna Corp. | 2.1 | ||||||
| 9. | McDonald’s Corp. | 2.0 | ||||||
| 10. | Citigroup, Inc. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 21.4 | % | ||
Health Care | 19.5 | |||
Consumer Staples | 12.0 | |||
Financials | 11.0 | |||
Consumer Discretionary | 10.6 | |||
Industrials | 10.0 | |||
Energy | 5.8 | |||
Utilities | 4.2 | |||
Telecommunication Services | 2.7 | |||
Materials | 0.6 | |||
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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||||
With Sales Charge* | (5.92 | )% | 9.98 | % | 5.42 | % | ||||||||||
Without Sales Charge | (0.72 | ) | 11.17 | 5.99 | ||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||
With CDSC** | (2.21 | ) | 10.62 | 5.46 | ||||||||||||
Without CDSC | (1.21 | ) | 10.62 | 5.46 | ||||||||||||
SELECT CLASS SHARES | February 28, 2003 | (0.48 | ) | 11.45 | 6.26 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. 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 Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 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 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.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Effective April 10, 2006, the Fund changed its investment policies. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date might be less relevant for investors considering whether to purchase shares of the Fund.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
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JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (1.77)% | |||
| S&P 500 Index | 3.99% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $3,666,552 | |||
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 underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the industrials and information technology sectors was a leading contributor to relative performance.
Leading individual detractors from the Fund’s relative performance included its underweight position in Amazon.com Inc. and its overweight positions in Archer Daniels Midland Co. and Apple Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Archer Daniels, an agricultural products processor, fell sharply on continued weakness in global commodities prices. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Northrop Corp., Nvidia Corp. and Computer Sciences Co. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Nvidia, a graphics software maker, rose on strong demand for its semiconductors. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 3.4 | % | |||||
| 2. | Microsoft Corp. | 3.3 | ||||||
| 3. | Amgen, Inc. | 2.5 | ||||||
| 4. | Gilead Sciences, Inc. | 2.5 | ||||||
| 5. | Wells Fargo & Co. | 2.5 | ||||||
| 6. | Lowe’s Cos., Inc. | 2.4 | ||||||
| 7. | Wal-Mart Stores, Inc. | 2.4 | ||||||
| 8. | Northrop Grumman Corp. | 2.3 | ||||||
| 9. | Express Scripts Holding Co. | 2.2 | ||||||
| 10. | Visa, Inc., Class A | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 21.3 | % | ||
| Health Care | 14.7 | |||
| Financials | 13.0 | |||
| Consumer Discretionary | 11.9 | |||
| Consumer Staples | 10.3 | |||
| Industrials | 9.4 | |||
| Energy | 6.8 | |||
| Telecommunication Services | 3.5 | |||
| Materials | 2.9 | |||
| Utilities | 2.8 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
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JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||||
With Sales Charge* | (7.22 | )% | 9.48 | % | 5.73 | % | ||||||||||
Without Sales Charge | (2.08 | ) | 10.67 | 6.30 | ||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||
With CDSC** | (3.55 | ) | 10.13 | 5.77 | ||||||||||||
Without CDSC | (2.55 | ) | 10.13 | 5.77 | ||||||||||||
CLASS R2 SHARES | November 3, 2008 | (2.30 | ) | 10.41 | 6.10 | |||||||||||
CLASS R5 SHARES | May 15, 2006 | (1.57 | ) | 11.19 | 6.79 | |||||||||||
CLASS R6 SHARES | November 2, 2015 | (1.53 | ) | 11.20 | 6.80 | |||||||||||
SELECT CLASS SHARES | February 28, 2003 | (1.77 | ) | 10.97 | 6.57 | |||||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 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 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, and the Lipper Multi-Cap Core Funds Index from June 30, 2006 to June 30, 2016. 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 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Multi-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (0.63)% | |||
| Russell 1000 Growth Index | 3.02% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 988,223 | ||
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 underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the consumer discretionary and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and industrials sectors was a leading contributor to relative performance.
Leading individual detractors from the Fund’s relative performance included its underweight positions in Alphabet Inc. and Amazon.com Inc. and its overweight position in Archer Daniels Midland Co. Shares of Alphabet, the parent company of Internet search engine Google and its subsidiaries, rose on continued growth in advertising revenue. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Archer Daniels, an agricultural products processor not held in the Benchmark, fell on continued weakness in global commodities prices.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nvidia Corp., Cameron International Inc. and Activision Blizzard Inc. Shares of Nvidia, a semiconductor manufacturer, rose on strong demand for its products. Shares of Cameron International, an oilfield services company, rose on news that the company would be acquired by Schlumberger Ltd. for an estimated $15 billion. Shares of Activision Blizzard, a developer of video games, rose on strong product sales and investor expectations for earnings growth.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 4.1 | % | |||||
| 2. | Apple, Inc. | 4.0 | ||||||
| 3. | Home Depot, Inc. (The) | 3.2 | ||||||
| 4. | Amgen, Inc. | 3.0 | ||||||
| 5. | Gilead Sciences, Inc. | 3.0 | ||||||
| 6. | Visa, Inc., Class A | 2.9 | ||||||
| 7. | Lowe’s Cos., Inc. | 2.5 | ||||||
| 8. | McDonald’s Corp. | 2.3 | ||||||
| 9. | Activision Blizzard, Inc. | 2.3 | ||||||
| 10. | Reynolds American, Inc. | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 29.5 | % | ||
| Consumer Discretionary | 20.0 | |||
| Health Care | 16.5 | |||
| Consumer Staples | 10.7 | |||
| Industrials | 10.0 | |||
| Financials | 4.6 | |||
| Materials | 4.0 | |||
| Telecommunication Services | 1.9 | |||
| Others (each less than 1.0%) | 0.7 | |||
| 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, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
With Sales Charge* | (6.08 | )% | 9.96 | % | 6.95 | % | ||||||||
Without Sales Charge | (0.88 | ) | 11.15 | 7.52 | ||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | (2.35 | ) | 10.60 | 6.98 | ||||||||||
Without CDSC | (1.35 | ) | 10.60 | 6.98 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (1.10 | ) | 10.87 | 7.32 | |||||||||
CLASS R5 SHARES | May 15, 2006 | (0.42 | ) | 11.65 | 8.00 | |||||||||
CLASS R6 SHARES | November 2, 2015 | (0.39 | ) | 11.66 | 8.01 | |||||||||
SELECT CLASS SHARES | February 28, 2003 | (0.63 | ) | 11.42 | 7.79 | |||||||||
| * | 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 (6/30/06 TO 6/30/16)
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 for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 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 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 Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. 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 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 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 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.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (1.53)% | |||
| Russell Midcap Index | 0.56% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 964,595 | ||
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, 2016. The Fund’s security selection in the health services and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the software & services and industrial cyclical sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Bunge Ltd., Jones Lang LaSalle Inc. and Macy’s Inc. Shares of Bunge, agricultural products processing and transport company, fell on lower than expected quarterly revenue and continued weakness in commodities prices. Shares of Jones Lang LaSalle, a real estate investment company, fell amid investor concerns that a strong U.S. dollar, an increase in interest rates and capital controls in China could hurt the company’s earnings. Shares of Macy’s, a department store chain, fell on weakness in earnings and a lowered profit forecast.
Leading individual contributors to relative performance included the Fund’s overweight positions in Huntington Ingalls Industries Inc., Computer Sciences Co. and Vantiv Inc. Shares of Huntington Ingalls, a maker and repairer of military ships, rose on continued earnings growth and healthy contract growth. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Vantiv, a payments processing company, rose on better than expected quarterly earnings and revenue.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Equinix, Inc. | 2.5 | % | |||||
| 2. | Tyson Foods, Inc., Class A | 2.1 | ||||||
| 3. | Huntington Ingalls Industries, Inc. | 2.1 | ||||||
| 4. | Mattel, Inc. | 2.0 | ||||||
| 5. | Ingredion, Inc. | 2.0 | ||||||
| 6. | AECOM | 1.8 | ||||||
| 7. | Zimmer Biomet Holdings, Inc. | 1.8 | ||||||
| 8. | PVH Corp. | 1.7 | ||||||
| 9. | D.R. Horton, Inc. | 1.7 | ||||||
| 10. | AmerisourceBergen Corp. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 21.4 | % | ||
| Information Technology | 14.0 | |||
| Industrials | 12.8 | |||
| Consumer Discretionary | 12.3 | |||
| Health Care | 10.6 | |||
| Consumer Staples | 7.6 | |||
| Utilities | 7.1 | |||
| Energy | 6.7 | |||
| Materials | 5.3 | |||
| Telecommunication Services | 0.7 | |||
| Short-Term Investment | 1.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 1, 1992 | |||||||||||||
With Sales Charge* | (6.92 | )% | 8.98 | % | 6.20 | % | ||||||||
Without Sales Charge | (1.76 | ) | 10.15 | 6.78 | ||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | (3.35 | ) | 9.45 | 6.11 | ||||||||||
Without CDSC | (2.35 | ) | 9.45 | 6.11 | ||||||||||
CLASS R6 SHARES | November 2, 2015 | (1.35 | ) | 10.47 | 7.06 | |||||||||
SELECT CLASS SHARES | June 1, 1991 | (1.53 | ) | 10.43 | 7.04 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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 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 Select Class Shares.
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, 2006 to June 30, 2016. 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.
| 10 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | (6.56)% | |||
| Russell 1000 Value Index | 2.86% | |||
| Net Assets as of 6/30/2016 (In Thousands) | $ | 1,697,235 | ||
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 underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financials and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection and allocation to the industrials sector was a leading contributor and the consumer discretionary and telecommunication services sectors were the smallest detractors from relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Gilead Sciences Inc. and Apple Inc. and its underweight position in Exxon Mobil Corp. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Exxon Mobil, an integrated energy company, rose as oil prices rebounded somewhat during the reporting period.
Leading individual contributors to relative performance included the Fund’s overweight positions in Northrop Corp., Computer Sciences Co. and Cameron International Inc. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Cameron International, an oilfield services company, rose on news that the company would be acquired by Schlumberger Ltd. for an estimated $15 billion.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.6 | % | |||||
| 2. | Pfizer, Inc. | 3.5 | ||||||
| 3. | Citigroup, Inc. | 3.2 | ||||||
| 4. | QUALCOMM, Inc. | 2.4 | ||||||
| 5. | PNC Financial Services Group, Inc. (The) | 2.1 | ||||||
| 6. | Archer-Daniels-Midland Co. | 2.0 | ||||||
| 7. | Verizon Communications, Inc. | 2.0 | ||||||
| 8. | Northrop Grumman Corp. | 1.9 | ||||||
| 9. | Gilead Sciences, Inc. | 1.9 | ||||||
| 10. | Valero Energy Corp. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 25.9 | % | ||
| Energy | 12.6 | |||
| Health Care | 11.9 | |||
| Information Technology | 10.3 | |||
| Industrials | 9.5 | |||
| Consumer Staples | 7.8 | |||
| Utilities | 6.8 | |||
| Consumer Discretionary | 6.2 | |||
| Telecommunication Services | 3.9 | |||
| Materials | 2.6 | |||
| Short-Term Investment | 2.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
With Sales Charge* | (11.61 | )% | 8.18 | % | 4.73 | % | ||||||||
Without Sales Charge | (6.70 | ) | 9.36 | 5.30 | ||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | (8.16 | ) | 8.81 | 4.78 | ||||||||||
Without CDSC | (7.16 | ) | 8.81 | 4.78 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (6.91 | ) | 9.09 | 5.10 | |||||||||
CLASS R5 SHARES | May 15, 2006 | (6.35 | ) | 9.75 | 5.71 | |||||||||
CLASS R6 SHARES | November 30, 2010 | (6.33 | ) | 9.80 | 5.74 | |||||||||
SELECT CLASS SHARES | February 28, 2003 | (6.56 | ) | 9.53 | 5.50 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)
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 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. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Value Fund, the Russell 1000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2006 to June 30, 2016. 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 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 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 Multi-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.1% |
| ||||||
Consumer Discretionary — 10.6% |
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
| 3 | McDonald’s Corp. | 388 | ||||||
| 4 | Restaurant Brands International, Inc., (Canada) | 179 | ||||||
|
| |||||||
| 567 | ||||||||
|
| |||||||
Media — 2.5% |
| |||||||
| 4 | Comcast Corp., Class A | 272 | ||||||
| 26 | Sirius XM Holdings, Inc. (a) | 103 | ||||||
| 1 | Time Warner, Inc. | 107 | ||||||
|
| |||||||
| 482 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 2 | Target Corp. | 140 | ||||||
|
| |||||||
Specialty Retail — 3.8% |
| |||||||
| 3 | Home Depot, Inc. (The) | 434 | ||||||
| 4 | Lowe’s Cos., Inc. | 284 | ||||||
|
| |||||||
| 718 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 3 | Coach, Inc. | 117 | ||||||
|
| |||||||
Total Consumer Discretionary | 2,024 | |||||||
|
| |||||||
Consumer Staples — 12.1% |
| |||||||
Beverages — 3.7% |
| |||||||
| 4 | Coca-Cola Co. (The) | 183 | ||||||
| 2 | Molson Coors Brewing Co., Class B | 205 | ||||||
| 3 | PepsiCo, Inc. | 318 | ||||||
|
| |||||||
| 706 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.2% |
| |||||||
| 3 | Walgreens Boots Alliance, Inc. | 248 | ||||||
| 5 | Wal-Mart Stores, Inc. | 369 | ||||||
|
| |||||||
| 617 | ||||||||
|
| |||||||
Food Products — 3.1% |
| |||||||
| 1 | Ingredion, Inc. | 146 | ||||||
| 7 | Tyson Foods, Inc., Class A | 434 | ||||||
|
| |||||||
| 580 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 1 | Energizer Holdings, Inc. | 64 | ||||||
|
| |||||||
Tobacco — 1.8% |
| |||||||
| 2 | Philip Morris International, Inc. | 231 | ||||||
| 2 | Reynolds American, Inc. | 101 | ||||||
|
| |||||||
| 332 | ||||||||
|
| |||||||
Total Consumer Staples | 2,299 | |||||||
|
| |||||||
Energy — 5.9% |
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
| 2 | Baker Hughes, Inc. | 96 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
| 6 | FMC Technologies, Inc. (a) | 157 | ||||||
|
| |||||||
| 253 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.5% |
| |||||||
| 1 | Anadarko Petroleum Corp. | 53 | ||||||
| 3 | Apache Corp. | 188 | ||||||
| 1 | Chevron Corp. | 118 | ||||||
| 1 | Exxon Mobil Corp. | 122 | ||||||
| 5 | Marathon Petroleum Corp. | 186 | ||||||
| 4 | Valero Energy Corp. | 194 | ||||||
|
| |||||||
| 861 | ||||||||
|
| |||||||
Total Energy | 1,114 | |||||||
|
| |||||||
Financials — 11.1% |
| |||||||
Banks — 4.4% |
| |||||||
| 9 | Citigroup, Inc. | 379 | ||||||
| 5 | SunTrust Banks, Inc. | 215 | ||||||
| 5 | Wells Fargo & Co. | 242 | ||||||
|
| |||||||
| 836 | ||||||||
|
| |||||||
Capital Markets — 0.4% |
| |||||||
| 2 | Bank of New York Mellon Corp. (The) | 74 | ||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 1 | Capital One Financial Corp. | 44 | ||||||
| 2 | Discover Financial Services | 106 | ||||||
|
| |||||||
| 150 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
| 6 | Voya Financial, Inc. | 140 | ||||||
|
| |||||||
Insurance — 4.2% |
| |||||||
| 2 | Allstate Corp. (The) | 130 | ||||||
| 5 | American International Group, Inc. | 250 | ||||||
| 5 | Hartford Financial Services Group, Inc. (The) | 216 | ||||||
| 2 | Travelers Cos., Inc. (The) | 199 | ||||||
|
| |||||||
| 795 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
| 1 | AvalonBay Communities, Inc. | 113 | ||||||
|
| |||||||
Total Financials | 2,108 | |||||||
|
| |||||||
Health Care — 19.6% |
| |||||||
Biotechnology — 6.5% |
| |||||||
| 2 | Amgen, Inc. | 337 | ||||||
| — | (h) | Biogen, Inc. (a) | 79 | |||||
| 2 | Celgene Corp. (a) | 197 | ||||||
| 7 | Gilead Sciences, Inc. | 544 | ||||||
| 1 | Vertex Pharmaceuticals, Inc. (a) | 80 | ||||||
|
| |||||||
| 1,237 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Equipment & Supplies — 2.3% |
| |||||||
| 3 | Baxter International, Inc. | 124 | ||||||
| 1 | Becton, Dickinson and Co. | 146 | ||||||
| 1 | C.R. Bard, Inc. | 176 | ||||||
|
| |||||||
| 446 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.3% |
| |||||||
| 1 | Aetna, Inc. | 64 | ||||||
| 1 | Anthem, Inc. | 168 | ||||||
| 2 | Cardinal Health, Inc. | 181 | ||||||
| 3 | Cigna Corp. | 397 | ||||||
| 1 | Humana, Inc. | 247 | ||||||
| 1 | McKesson Corp. | 134 | ||||||
|
| |||||||
| 1,191 | ||||||||
|
| |||||||
Pharmaceuticals — 4.5% |
| |||||||
| 2 | AbbVie, Inc. | 113 | ||||||
| 3 | Johnson & Johnson | 373 | ||||||
| 10 | Pfizer, Inc. | 366 | ||||||
|
| |||||||
| 852 | ||||||||
|
| |||||||
Total Health Care | 3,726 | |||||||
|
| |||||||
Industrials — 10.0% |
| |||||||
Aerospace & Defense — 6.6% |
| |||||||
| 2 | Curtiss-Wright Corp. | 185 | ||||||
| 1 | Lockheed Martin Corp. | 222 | ||||||
| 3 | Northrop Grumman Corp. | 750 | ||||||
| 1 | United Technologies Corp. | 98 | ||||||
|
| |||||||
| 1,255 | ||||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
| 3 | Delta Air Lines, Inc. | 119 | ||||||
| 3 | Southwest Airlines Co. | 99 | ||||||
| 1 | United Continental Holdings, Inc. (a) | 48 | ||||||
|
| |||||||
| 266 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 5 | AECOM (a) | 171 | ||||||
|
| |||||||
Machinery — 1.1% |
| |||||||
| 3 | Allison Transmission Holdings, Inc. | 75 | ||||||
| 1 | Parker-Hannifin Corp. | 138 | ||||||
|
| |||||||
| 213 | ||||||||
|
| |||||||
Total Industrials | 1,905 | |||||||
|
| |||||||
Information Technology — 21.4% |
| |||||||
Communications Equipment — 0.9% |
| |||||||
| 6 | Cisco Systems, Inc. | 169 | ||||||
|
| |||||||
Internet Software & Services — 1.9% |
| |||||||
| — | (h) | Alphabet, Inc., Class A (a) | 216 | |||||
| — | (h) | Alphabet, Inc., Class C (a) | 144 | |||||
|
| |||||||
| 360 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — 1.2% |
| |||||||
| 1 | MasterCard, Inc., Class A | 97 | ||||||
| 2 | Visa, Inc., Class A | 139 | ||||||
|
| |||||||
| 236 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.8% |
| |||||||
| 1 | Broadcom Ltd., (Singapore) | 152 | ||||||
| 3 | KLA-Tencor Corp. | 187 | ||||||
| 2 | Lam Research Corp. | 128 | ||||||
| 8 | QUALCOMM, Inc. | 446 | ||||||
|
| |||||||
| 913 | ||||||||
|
| |||||||
Software — 6.0% |
| |||||||
| 16 | Microsoft Corp. | 831 | ||||||
| 5 | Oracle Corp. | 200 | ||||||
| 7 | Rovi Corp. (a) | 117 | ||||||
|
| |||||||
| 1,148 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.6% |
| |||||||
| 9 | Apple, Inc. | 838 | ||||||
| 10 | Hewlett Packard Enterprise Co. | 174 | ||||||
| 10 | HP, Inc. | 120 | ||||||
| 4 | NCR Corp. (a) | 119 | ||||||
|
| |||||||
| 1,251 | ||||||||
|
| |||||||
Total Information Technology | 4,077 | |||||||
|
| |||||||
Materials — 0.6% |
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 2 | Crown Holdings, Inc. (a) | 121 | ||||||
|
| |||||||
Total Materials | 121 | |||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
Diversified Telecommunication Services — 2.6% |
| |||||||
| 7 | CenturyLink, Inc. | 200 | ||||||
| 5 | Verizon Communications, Inc. | 304 | ||||||
|
| |||||||
Total Telecommunication Services | 504 | |||||||
|
| |||||||
Utilities — 4.2% |
| |||||||
Electric Utilities — 2.4% |
| |||||||
| 2 | Edison International | 185 | ||||||
| 2 | Entergy Corp. | 128 | ||||||
| 4 | PPL Corp. | 146 | ||||||
|
| |||||||
| 459 | ||||||||
|
| |||||||
Gas Utilities — 1.8% |
| |||||||
| 8 | UGI Corp. | 339 | ||||||
|
| |||||||
Total Utilities | 798 | |||||||
|
| |||||||
Total Common Stocks | 18,676 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% | ||||||||
| 426 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 426 | ||||||
|
| |||||||
Total Investments — 100.3% | 19,102 | |||||||
Liabilities in Excess of | (63 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 19,039 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.5% |
| ||||||
Consumer Discretionary — 12.0% |
| |||||||
Automobiles — 1.2% |
| |||||||
| 2,190 | Ford Motor Co. | 27,532 | ||||||
| 526 | General Motors Co. | 14,872 | ||||||
|
| |||||||
| 42,404 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
| 414 | McDonald’s Corp. | 49,821 | ||||||
| 686 | Restaurant Brands International, Inc., (Canada) | 28,537 | ||||||
|
| |||||||
| 78,358 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 550 | D.R. Horton, Inc. | 17,320 | ||||||
| 9 | NVR, Inc. (a) | 15,311 | ||||||
|
| |||||||
| 32,631 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
| 153 | Comcast Corp., Class A | 9,955 | ||||||
| 2,006 | Twenty-First Century Fox, Inc., Class A | 54,265 | ||||||
|
| |||||||
| 64,220 | ||||||||
|
| |||||||
Multiline Retail — 2.0% |
| |||||||
| 1,036 | Target Corp. | 72,327 | ||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
| 218 | Best Buy Co., Inc. | 6,661 | ||||||
| 205 | Home Depot, Inc. (The) | 26,151 | ||||||
| 1,136 | Lowe’s Cos., Inc. | 89,969 | ||||||
|
| |||||||
| 122,781 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
| 560 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 27,689 | ||||||
|
| |||||||
Total Consumer Discretionary | 440,410 | |||||||
|
| |||||||
Consumer Staples — 10.4% |
| |||||||
Food & Staples Retailing — 2.9% |
| |||||||
| 174 | CVS Health Corp. | 16,640 | ||||||
| 1,200 | Wal-Mart Stores, Inc. | 87,587 | ||||||
|
| |||||||
| 104,227 | ||||||||
|
| |||||||
Food Products — 4.1% |
| |||||||
| 246 | Ingredion, Inc. | 31,874 | ||||||
| 97 | JM Smucker Co. (The) | 14,799 | ||||||
| 1,178 | Pilgrim’s Pride Corp. | 30,018 | ||||||
| 96 | Post Holdings, Inc. (a) | 7,914 | ||||||
| 993 | Tyson Foods, Inc., Class A | 66,302 | ||||||
|
| |||||||
| 150,907 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
| 586 | Energizer Holdings, Inc. | 30,165 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.8% |
| |||||||
| 359 | Herbalife Ltd. (a) | 21,000 | ||||||
| 186 | Nu Skin Enterprises, Inc., Class A | 8,587 | ||||||
|
| |||||||
| 29,587 | ||||||||
|
| |||||||
Tobacco — 1.8% |
| |||||||
| 1,218 | Reynolds American, Inc. | 65,689 | ||||||
|
| |||||||
Total Consumer Staples | 380,575 | |||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Energy Equipment & Services — 2.7% |
| |||||||
| 2,802 | Ensco plc, (United Kingdom), Class A | 27,203 | ||||||
| 1,071 | FMC Technologies, Inc. (a) | 28,574 | ||||||
| 490 | Rowan Cos. plc, Class A | 8,659 | ||||||
| 388 | Schlumberger Ltd. | 30,673 | ||||||
| 1,836 | Seadrill Ltd., (United Kingdom) (a) | 5,948 | ||||||
|
| |||||||
| 101,057 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.1% |
| |||||||
| 96 | Apache Corp. | 5,344 | ||||||
| 1,812 | Denbury Resources, Inc. | 6,506 | ||||||
| 119 | Hess Corp. | 7,170 | ||||||
| 2,691 | Marathon Oil Corp. | 40,391 | ||||||
| 206 | Marathon Petroleum Corp. | 7,827 | ||||||
| 431 | PBF Energy, Inc., Class A | 10,237 | ||||||
| 177 | Tesoro Corp. | 13,276 | ||||||
| 1,152 | Valero Energy Corp. | 58,752 | ||||||
|
| |||||||
| 149,503 | ||||||||
|
| |||||||
Total Energy | 250,560 | |||||||
|
| |||||||
Financials — 13.1% |
| |||||||
Banks — 4.9% |
| |||||||
| 1,673 | Citigroup, Inc. | 70,923 | ||||||
| 191 | PNC Financial Services Group, Inc. (The) | 15,521 | ||||||
| 1,938 | Wells Fargo & Co. | 91,718 | ||||||
|
| |||||||
| 178,162 | ||||||||
|
| |||||||
Capital Markets — 0.2% |
| |||||||
| 83 | Ameriprise Financial, Inc. | 7,413 | ||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 552 | Discover Financial Services | 29,560 | ||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 376 | MSCI, Inc. | 28,959 | ||||||
|
| |||||||
Insurance — 3.7% |
| |||||||
| 196 | Allstate Corp. (The) | 13,696 | ||||||
| 349 | Aspen Insurance Holdings Ltd., (Bermuda) | 16,196 | ||||||
| 147 | Everest Re Group Ltd., (Bermuda) | 26,889 | ||||||
| 485 | Hartford Financial Services Group, Inc. (The) | 21,507 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued |
| |||||||
| 349 | Lincoln National Corp. | 13,523 | ||||||
| 204 | Prudential Financial, Inc. | 14,546 | ||||||
| 252 | Travelers Cos., Inc. (The) | 29,974 | ||||||
|
| |||||||
| 136,331 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
| 88 | AvalonBay Communities, Inc. | 15,802 | ||||||
| 1,008 | Equity Commonwealth (a) | 29,352 | ||||||
| 216 | Public Storage | 55,156 | ||||||
|
| |||||||
| 100,310 | ||||||||
|
| |||||||
Total Financials | 480,735 | |||||||
|
| |||||||
Health Care — 14.8% |
| |||||||
Biotechnology — 5.2% |
| |||||||
| 618 | Amgen, Inc. | 94,029 | ||||||
| 15 | Biogen, Inc. (a) | 3,651 | ||||||
| 1,109 | Gilead Sciences, Inc. | 92,538 | ||||||
| 26 | United Therapeutics Corp. (a) | 2,722 | ||||||
|
| |||||||
| 192,940 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
| 135 | C.R. Bard, Inc. | 31,676 | ||||||
| 215 | Hologic, Inc. (a) | 7,442 | ||||||
|
| |||||||
| 39,118 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.8% |
| |||||||
| 431 | Anthem, Inc. | 56,595 | ||||||
| 269 | Cigna Corp. | 34,442 | ||||||
| 1,065 | Express Scripts Holding Co. (a) | 80,735 | ||||||
| 175 | HCA Holdings, Inc. (a) | 13,446 | ||||||
| 188 | Humana, Inc. | 33,889 | ||||||
| 275 | WellCare Health Plans, Inc. (a) | 29,512 | ||||||
|
| |||||||
| 248,619 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
| 497 | Johnson & Johnson | 60,250 | ||||||
| 63 | Merck & Co., Inc. | 3,629 | ||||||
|
| |||||||
| 63,879 | ||||||||
|
| |||||||
Total Health Care | 544,556 | |||||||
|
| |||||||
Industrials — 9.5% |
| |||||||
Aerospace & Defense — 3.0% |
| |||||||
| 230 | BWX Technologies, Inc. | 8,223 | ||||||
| 108 | Huntington Ingalls Industries, Inc. | 18,181 | ||||||
| 376 | Northrop Grumman Corp. | 83,577 | ||||||
|
| |||||||
| 109,981 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — 2.2% |
| |||||||
| 1,868 | Delta Air Lines, Inc. | 68,066 | ||||||
| 82 | Southwest Airlines Co. | 3,211 | ||||||
| 195 | United Continental Holdings, Inc. (a) | 8,003 | ||||||
|
| |||||||
| 79,280 | ||||||||
|
| |||||||
Building Products — 0.6% |
| |||||||
| 738 | Masco Corp. | 22,818 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
| 400 | Pitney Bowes, Inc. | 7,124 | ||||||
| 297 | R.R. Donnelley & Sons Co. | 5,018 | ||||||
|
| |||||||
| 12,142 | ||||||||
|
| |||||||
Construction & Engineering — 1.7% |
| |||||||
| 908 | AECOM (a) | 28,853 | ||||||
| 121 | Jacobs Engineering Group, Inc. (a) | 6,002 | ||||||
| 191 | Valmont Industries, Inc. | 25,864 | ||||||
|
| |||||||
| 60,719 | ||||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
| 474 | Illinois Tool Works, Inc. | 49,330 | ||||||
| 50 | Parker-Hannifin Corp. | 5,381 | ||||||
|
| |||||||
| 54,711 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
| 118 | ManpowerGroup, Inc. | 7,611 | ||||||
|
| |||||||
Total Industrials | 347,262 | |||||||
|
| |||||||
Information Technology — 21.5% |
| |||||||
Communications Equipment — 0.2% |
| |||||||
| 131 | Motorola Solutions, Inc. | 8,655 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
| 281 | SYNNEX Corp. | 26,607 | ||||||
|
| |||||||
Internet Software & Services — 2.2% |
| |||||||
| 2,165 | eBay, Inc. (a) | 50,673 | ||||||
| 327 | VeriSign, Inc. (a) | 28,229 | ||||||
|
| |||||||
| 78,902 | ||||||||
|
| |||||||
IT Services — 3.5% |
| |||||||
| 641 | Computer Sciences Corp. | 31,811 | ||||||
| 119 | MasterCard, Inc., Class A | 10,506 | ||||||
| 1,042 | Visa, Inc., Class A | 77,315 | ||||||
| 363 | Western Union Co. (The) | 6,960 | ||||||
|
| |||||||
| 126,592 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
| 117 | First Solar, Inc. (a) | 5,687 | ||||||
| 405 | KLA-Tencor Corp. | 29,688 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 371 | Lam Research Corp. | 31,186 | ||||||
| 1,748 | Marvell Technology Group Ltd., (Bermuda) | 16,658 | ||||||
| 729 | NVIDIA Corp. | 34,280 | ||||||
| 161 | QUALCOMM, Inc. | 8,598 | ||||||
|
| |||||||
| 126,097 | ||||||||
|
| |||||||
Software — 7.8% |
| |||||||
| 839 | Activision Blizzard, Inc. | 33,258 | ||||||
| 2,411 | Microsoft Corp. | 123,345 | ||||||
| 1,695 | Nuance Communications, Inc. (a) | 26,488 | ||||||
| 1,753 | Oracle Corp. | 71,734 | ||||||
| 831 | Take-Two Interactive Software, Inc. (a) | 31,500 | ||||||
|
| |||||||
| 286,325 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.7% |
| |||||||
| 1,320 | Apple, Inc. | 126,202 | ||||||
| 291 | NCR Corp. (a) | 8,089 | ||||||
|
| |||||||
| 134,291 | ||||||||
|
| |||||||
Total Information Technology | 787,469 | |||||||
|
| |||||||
Materials — 3.0% | ||||||||
Chemicals — 1.4% | ||||||||
| 676 | LyondellBasell Industries N.V., Class A | 50,301 | ||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
| 107 | Berry Plastics Group, Inc. (a) | 4,149 | ||||||
|
| |||||||
Metals & Mining — 1.5% | ||||||||
| 563 | Nucor Corp. | 27,803 | ||||||
| 1,121 | Steel Dynamics, Inc. | 27,469 | ||||||
|
| |||||||
| 55,272 | ||||||||
|
| |||||||
Total Materials | 109,722 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 3.6% | ||||||||
Diversified Telecommunication Services — 3.6% |
| |||||||
| 895 | AT&T, Inc. | 38,664 | ||||||
| 736 | CenturyLink, Inc. | 21,341 | ||||||
| 1,259 | Verizon Communications, Inc. | 70,280 | ||||||
|
| |||||||
Total Telecommunication Services | 130,285 | |||||||
|
| |||||||
Utilities — 2.8% | ||||||||
Electric Utilities — 1.9% | ||||||||
| 638 | Edison International | 49,538 | ||||||
| 191 | Entergy Corp. | 15,554 | ||||||
| 31 | NextEra Energy, Inc. | 3,977 | ||||||
|
| |||||||
| 69,069 | ||||||||
|
| |||||||
Gas Utilities — 0.8% | ||||||||
| 688 | UGI Corp. | 31,110 | ||||||
|
| |||||||
Multi-Utilities — 0.1% | ||||||||
| 82 | Public Service Enterprise Group, Inc. | 3,808 | ||||||
|
| |||||||
Total Utilities | 103,987 | |||||||
|
| |||||||
Total Common Stocks | 3,575,561 | |||||||
|
| |||||||
| Short-Term Investment — 3.5% |
| ||||||
Investment Company — 3.5% | ||||||||
| 127,699 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $127,699) | 127,699 | ||||||
|
| |||||||
Total Investments — 101.0% | 3,703,260 | |||||||
Liabilities in Excess of | (36,708 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,666,552 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 809 | E-mini S&P 500 | 09/16/16 | USD | $ | 84,549 | $ | 1,153 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.2% |
| ||||||
Consumer Discretionary — 19.8% |
| |||||||
Auto Components — 0.2% |
| |||||||
| 61 | Goodyear Tire & Rubber Co. (The) | 1,555 | ||||||
|
| |||||||
Automobiles — 0.2% |
| |||||||
| 149 | Ford Motor Co. | 1,871 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
| 189 | McDonald’s Corp. | 22,708 | ||||||
| 187 | Restaurant Brands International, Inc., (Canada) | 7,787 | ||||||
| 49 | Six Flags Entertainment Corp. | 2,863 | ||||||
|
| |||||||
| 33,358 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
| 151 | D.R. Horton, Inc. | 4,757 | ||||||
| 5 | NVR, Inc. (a) | 8,189 | ||||||
|
| |||||||
| 12,946 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.9% |
| |||||||
| 13 | Amazon.com, Inc. (a) | 9,303 | ||||||
|
| |||||||
Media — 4.8% |
| |||||||
| 8 | Cable One, Inc. | 3,938 | ||||||
| 171 | DISH Network Corp., Class A (a) | 8,939 | ||||||
| 207 | Interpublic Group of Cos., Inc. (The) | 4,777 | ||||||
| 58 | Sinclair Broadcast Group, Inc., Class A | 1,726 | ||||||
| 2,004 | Sirius XM Holdings, Inc. (a) | 7,915 | ||||||
| 746 | Twenty-First Century Fox, Inc., Class A | 20,187 | ||||||
|
| |||||||
| 47,482 | ||||||||
|
| |||||||
Multiline Retail — 1.7% |
| |||||||
| 243 | Target Corp. | 16,973 | ||||||
|
| |||||||
Specialty Retail — 6.5% |
| |||||||
| 125 | Burlington Stores, Inc. (a) | 8,319 | ||||||
| 245 | Home Depot, Inc. (The) | 31,284 | ||||||
| 314 | Lowe’s Cos., Inc. | 24,859 | ||||||
|
| |||||||
| 64,462 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
| 162 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 8,026 | ||||||
|
| |||||||
Total Consumer Discretionary | 195,976 | |||||||
|
| |||||||
Consumer Staples — 10.6% |
| |||||||
Beverages — 1.2% |
| |||||||
| 116 | PepsiCo, Inc. | 12,278 | ||||||
|
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
| 190 | Kroger Co. (The) | 6,987 | ||||||
| 179 | Wal-Mart Stores, Inc. | 13,063 | ||||||
|
| |||||||
| 20,050 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 3.8% |
| |||||||
| 68 | Ingredion, Inc. | 8,774 | ||||||
| 323 | Pilgrim’s Pride Corp. | 8,233 | ||||||
| 40 | Post Holdings, Inc. (a) | 3,266 | ||||||
| 261 | Tyson Foods, Inc., Class A | 17,399 | ||||||
|
| |||||||
| 37,672 | ||||||||
|
| |||||||
Household Products — 0.2% |
| |||||||
| 39 | Energizer Holdings, Inc. | 1,982 | ||||||
|
| |||||||
Personal Products — 1.0% |
| |||||||
| 104 | Herbalife Ltd. (a) | 6,058 | ||||||
| 83 | Nu Skin Enterprises, Inc., Class A | 3,847 | ||||||
|
| |||||||
| 9,905 | ||||||||
|
| |||||||
Tobacco — 2.4% |
| |||||||
| 31 | Altria Group, Inc. | 2,103 | ||||||
| 392 | Reynolds American, Inc. | 21,125 | ||||||
|
| |||||||
| 23,228 | ||||||||
|
| |||||||
Total Consumer Staples | 105,115 | |||||||
|
| |||||||
Energy — 0.7% |
| |||||||
Energy Equipment & Services — 0.5% |
| |||||||
| 41 | Ensco plc, (United Kingdom), Class A | 401 | ||||||
| 16 | Schlumberger Ltd. | 1,294 | ||||||
| 238 | Seadrill Ltd., (United Kingdom) (a) | 770 | ||||||
| 201 | Transocean Ltd., (Switzerland) | 2,390 | ||||||
|
| |||||||
| 4,855 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.2% |
| |||||||
| 111 | Marathon Oil Corp. | 1,666 | ||||||
|
| |||||||
Total Energy | 6,521 | |||||||
|
| |||||||
Financials — 4.6% |
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
| 42 | MarketAxess Holdings, Inc. | 6,063 | ||||||
| 110 | MSCI, Inc. | 8,452 | ||||||
|
| |||||||
| 14,515 | ||||||||
|
| |||||||
Insurance — 0.4% |
| |||||||
| 7 | Assurant, Inc. | 639 | ||||||
| 22 | Prudential Financial, Inc. | 1,591 | ||||||
| 31 | Validus Holdings Ltd., (Bermuda) | 1,516 | ||||||
|
| |||||||
| 3,746 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
| 128 | American Tower Corp. | 14,554 | ||||||
| 119 | Equity Commonwealth (a) | 3,475 | ||||||
| 51 | Extra Space Storage, Inc. | 4,692 | ||||||
| 17 | Public Storage | 4,396 | ||||||
|
| |||||||
| 27,117 | ||||||||
|
| |||||||
Total Financials | 45,378 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care — 16.4% |
| |||||||
Biotechnology — 6.8% |
| |||||||
| 195 | Amgen, Inc. | 29,669 | ||||||
| 41 | Celgene Corp. (a) | 4,084 | ||||||
| 350 | Gilead Sciences, Inc. | 29,222 | ||||||
| 40 | United Therapeutics Corp. (a) | 4,279 | ||||||
|
| |||||||
| 67,254 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 38 | C.R. Bard, Inc. | 9,007 | ||||||
| 253 | Hologic, Inc. (a) | 8,736 | ||||||
| 40 | IDEXX Laboratories, Inc. (a) | 3,752 | ||||||
|
| |||||||
| 21,495 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.2% |
| |||||||
| 73 | AmerisourceBergen Corp. | 5,782 | ||||||
| 52 | Anthem, Inc. | 6,790 | ||||||
| 121 | Centene Corp. (a) | 8,612 | ||||||
| 99 | Cigna Corp. | 12,620 | ||||||
| 142 | Express Scripts Holding Co. (a) | 10,771 | ||||||
| 50 | Humana, Inc. | 8,958 | ||||||
| 74 | WellCare Health Plans, Inc. (a) | 7,982 | ||||||
|
| |||||||
| 61,515 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% |
| |||||||
| 65 | AbbVie, Inc. | 4,005 | ||||||
| 53 | Jazz Pharmaceuticals plc, (Ireland) (a) | 7,532 | ||||||
|
| |||||||
| 11,537 | ||||||||
|
| |||||||
Total Health Care | 161,801 | |||||||
|
| |||||||
Industrials — 9.9% |
| |||||||
Aerospace & Defense — 2.7% |
| |||||||
| 240 | BWX Technologies, Inc. | 8,592 | ||||||
| 14 | Curtiss-Wright Corp. | 1,213 | ||||||
| 50 | Huntington Ingalls Industries, Inc. | 8,368 | ||||||
| 37 | Northrop Grumman Corp. | 8,136 | ||||||
|
| |||||||
| 26,309 | ||||||||
|
| |||||||
Airlines — 2.5% |
| |||||||
| 489 | Delta Air Lines, Inc. | 17,814 | ||||||
| 163 | United Continental Holdings, Inc. (a) | 6,702 | ||||||
|
| |||||||
| 24,516 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
| 266 | Masco Corp. | 8,239 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| 63 | R.R. Donnelley & Sons Co. | 1,061 | ||||||
|
| |||||||
Construction & Engineering — 2.4% |
| |||||||
| 246 | AECOM (a) | 7,803 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — continued |
| |||||||
| 155 | Jacobs Engineering Group, Inc. (a) | 7,696 | ||||||
| 63 | Valmont Industries, Inc. | 8,562 | ||||||
|
| |||||||
| 24,061 | ||||||||
|
| |||||||
Machinery — 0.8% |
| |||||||
| 279 | Allison Transmission Holdings, Inc. | 7,862 | ||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
| 95 | ManpowerGroup, Inc. | 6,080 | ||||||
|
| |||||||
Total Industrials | 98,128 | |||||||
|
| |||||||
Information Technology — 29.2% |
| |||||||
Electronic Equipment, Instruments & Components — 1.3% |
| |||||||
| 87 | SYNNEX Corp. | 8,268 | ||||||
| 67 | Universal Display Corp. (a) | 4,536 | ||||||
|
| |||||||
| 12,804 | ||||||||
|
| |||||||
Internet Software & Services — 5.6% |
| |||||||
| 11 | Alphabet, Inc., Class A (a) | 7,809 | ||||||
| 10 | Alphabet, Inc., Class C (a) | 7,129 | ||||||
| 795 | eBay, Inc. (a) | 18,602 | ||||||
| 62 | Facebook, Inc., Class A (a) | 7,062 | ||||||
| 204 | GoDaddy, Inc., Class A (a) | 6,360 | ||||||
| 93 | VeriSign, Inc. (a) | 8,058 | ||||||
|
| |||||||
| 55,020 | ||||||||
|
| |||||||
IT Services — 4.1% |
| |||||||
| 82 | Amdocs Ltd. | 4,727 | ||||||
| 159 | Computer Sciences Corp. | 7,899 | ||||||
| 2 | MasterCard, Inc., Class A | 185 | ||||||
| 380 | Visa, Inc., Class A | 28,200 | ||||||
|
| |||||||
| 41,011 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.7% |
| |||||||
| 111 | KLA-Tencor Corp. | 8,153 | ||||||
| 89 | Lam Research Corp. | 7,456 | ||||||
| 83 | Marvell Technology Group Ltd., (Bermuda) | 795 | ||||||
| 204 | NVIDIA Corp. | 9,595 | ||||||
| 20 | QUALCOMM, Inc. | 1,055 | ||||||
|
| |||||||
| 27,054 | ||||||||
|
| |||||||
Software — 11.2% |
| |||||||
| 563 | Activision Blizzard, Inc. | 22,292 | ||||||
| 74 | CA, Inc. | 2,413 | ||||||
| 93 | Citrix Systems, Inc. (a) | 7,464 | ||||||
| 61 | Electronic Arts, Inc. (a) | 4,621 | ||||||
| 789 | Microsoft Corp. | 40,351 | ||||||
| 452 | Nuance Communications, Inc. (a) | 7,070 | ||||||
| 195 | Oracle Corp. | 7,969 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 35 | Red Hat, Inc. (a) | 2,541 | ||||||
| 145 | Synopsys, Inc. (a) | 7,836 | ||||||
| 221 | Take-Two Interactive Software, Inc. (a) | 8,396 | ||||||
|
| |||||||
| 110,953 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
| 410 | Apple, Inc. | 39,162 | ||||||
| 106 | NCR Corp. (a) | 2,938 | ||||||
|
| |||||||
| 42,100 | ||||||||
|
| |||||||
Total Information Technology | 288,942 | |||||||
|
| |||||||
Materials — 4.0% |
| |||||||
Chemicals — 0.7% |
| |||||||
| 95 | LyondellBasell Industries N.V., Class A | 7,070 | ||||||
|
| |||||||
Containers & Packaging — 1.6% |
| |||||||
| 196 | Berry Plastics Group, Inc. (a) | 7,595 | ||||||
| 155 | Crown Holdings, Inc. (a) | 7,839 | ||||||
|
| |||||||
| 15,434 | ||||||||
|
| |||||||
Metals & Mining — 1.7% |
| |||||||
| 154 | Nucor Corp. | 7,614 | ||||||
| 14 | Reliance Steel & Aluminum Co. | 1,084 | ||||||
| 324 | Steel Dynamics, Inc. | 7,936 | ||||||
|
| |||||||
| 16,634 | ||||||||
|
| |||||||
Total Materials | 39,138 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.9% |
| |||||||
Diversified Telecommunication Services — 1.9% |
| |||||||
| 368 | AT&T, Inc. | 15,903 | ||||||
| 55 | Verizon Communications, Inc. | 3,076 | ||||||
|
| |||||||
Total Telecommunication Services | 18,979 | |||||||
|
| |||||||
Utilities — 0.1% |
| |||||||
Electric Utilities — 0.1% |
| |||||||
| 5 | Entergy Corp. | 397 | ||||||
|
| |||||||
Total Common Stocks | 960,375 | |||||||
|
| |||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 20,543 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 20,543 | ||||||
|
| |||||||
Total Investments — 99.3% | 980,918 | |||||||
Other Assets in Excess of | 7,305 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 988,223 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 250 | E-mini S&P 500 | 09/16/16 | USD | $ | 26,128 | $ | 548 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.9% |
| ||||||
Consumer Discretionary — 12.2% |
| |||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
| 26 | Darden Restaurants, Inc. | 1,622 | ||||||
| 95 | International Game Technology plc | 1,778 | ||||||
|
| |||||||
| 3,400 | ||||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
| 525 | D.R. Horton, Inc. | 16,527 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.7% |
| |||||||
| 230 | Groupon, Inc. (a) | 747 | ||||||
| 607 | Liberty Interactive Corp. QVC Group, Class A (a) | 15,410 | ||||||
|
| |||||||
| 16,157 | ||||||||
|
| |||||||
Leisure Products — 2.3% |
| |||||||
| 613 | Mattel, Inc. | 19,171 | ||||||
| 71 | Vista Outdoor, Inc. (a) | 3,403 | ||||||
|
| |||||||
| 22,574 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
| 36 | Discovery Communications, Inc., Class C (a) | 854 | ||||||
| 137 | Interpublic Group of Cos., Inc. (The) | 3,165 | ||||||
| 36 | Scripps Networks Interactive, Inc., Class A | 2,266 | ||||||
|
| |||||||
| 6,285 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 26 | Dollar Tree, Inc. (a) | 2,413 | ||||||
| 129 | Macy’s, Inc. | 4,342 | ||||||
|
| |||||||
| 6,755 | ||||||||
|
| |||||||
Specialty Retail — 2.8% |
| |||||||
| 390 | Best Buy Co., Inc. | 11,946 | ||||||
| 246 | Michaels Cos., Inc. (The) (a) | 6,988 | ||||||
| 5 | Murphy USA, Inc. (a) | 356 | ||||||
| 284 | Urban Outfitters, Inc. (a) | 7,802 | ||||||
|
| |||||||
| 27,092 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.0% |
| |||||||
| 117 | Kate Spade & Co. (a) | 2,411 | ||||||
| 178 | PVH Corp. | 16,773 | ||||||
|
| |||||||
| 19,184 | ||||||||
|
| |||||||
Total Consumer Discretionary | 117,974 | |||||||
|
| |||||||
Consumer Staples — 7.6% |
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 234 | Sysco Corp. | 11,873 | ||||||
| 86 | US Foods Holding Corp. (a) | 2,090 | ||||||
|
| |||||||
| 13,963 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 5.5% |
| |||||||
| 148 | Ingredion, Inc. | 19,166 | ||||||
| 535 | Pilgrim’s Pride Corp. | 13,619 | ||||||
| 307 | Tyson Foods, Inc., Class A | 20,498 | ||||||
|
| |||||||
| 53,283 | ||||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
| 94 | Herbalife Ltd. (a) | 5,478 | ||||||
|
| |||||||
Total Consumer Staples | 72,724 | |||||||
|
| |||||||
Energy — 6.7% |
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
| 9 | Baker Hughes, Inc. | 406 | ||||||
| 297 | Ensco plc, (United Kingdom), Class A | 2,880 | ||||||
| 307 | Nabors Industries Ltd. | 3,083 | ||||||
| 71 | Rowan Cos. plc, Class A | 1,257 | ||||||
| 270 | Superior Energy Services, Inc. | 4,971 | ||||||
|
| |||||||
| 12,597 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% |
| |||||||
| 42 | Cimarex Energy Co. | 5,041 | ||||||
| 67 | EQT Corp. | 5,219 | ||||||
| 31 | Gulfport Energy Corp. (a) | 966 | ||||||
| 572 | Marathon Oil Corp. | 8,578 | ||||||
| 39 | Marathon Petroleum Corp. | 1,469 | ||||||
| 58 | Murphy Oil Corp. | 1,848 | ||||||
| 9 | Noble Energy, Inc. | 312 | ||||||
| 29 | ONEOK, Inc. | 1,367 | ||||||
| 70 | PBF Energy, Inc., Class A | 1,674 | ||||||
| 397 | QEP Resources, Inc. | 6,996 | ||||||
| 63 | Tesoro Corp. | 4,728 | ||||||
| 36 | Valero Energy Corp. | 1,851 | ||||||
| 201 | World Fuel Services Corp. | 9,550 | ||||||
| 206 | WPX Energy, Inc. (a) | 1,913 | ||||||
|
| |||||||
| 51,512 | ||||||||
|
| |||||||
Total Energy | 64,109 | |||||||
|
| |||||||
Financials — 21.3% |
| |||||||
Banks — 2.3% |
| |||||||
| 43 | Citizens Financial Group, Inc. | 865 | ||||||
| 66 | East West Bancorp, Inc. | 2,249 | ||||||
| 29 | Fifth Third Bancorp | 512 | ||||||
| 402 | Popular, Inc., (Puerto Rico) | 11,790 | ||||||
| 357 | Regions Financial Corp. | 3,035 | ||||||
| 14 | Signature Bank (a) | 1,724 | ||||||
| 25 | SVB Financial Group (a) | 2,407 | ||||||
|
| |||||||
| 22,582 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Capital Markets — 0.1% |
| |||||||
| 21 | Lazard Ltd., (Bermuda), Class A | 614 | ||||||
| 11 | Raymond James Financial, Inc. | 542 | ||||||
|
| |||||||
| 1,156 | ||||||||
|
| |||||||
Consumer Finance — 1.8% | ||||||||
| 162 | Discover Financial Services | 8,676 | ||||||
| 364 | Synchrony Financial (a) | 9,192 | ||||||
|
| |||||||
| 17,868 | ||||||||
|
| |||||||
Diversified Financial Services — 1.1% | ||||||||
| 11 | Intercontinental Exchange, Inc. | 2,918 | ||||||
| 83 | MSCI, Inc. | 6,424 | ||||||
| 16 | Nasdaq, Inc. | 1,061 | ||||||
|
| |||||||
| 10,403 | ||||||||
|
| |||||||
Insurance — 4.3% | ||||||||
| 75 | Allied World Assurance Co. Holdings AG, (Switzerland) | 2,625 | ||||||
| 76 | American Financial Group, Inc. | 5,633 | ||||||
| 6 | American National Insurance Co. | 622 | ||||||
| 24 | Aon plc, (United Kingdom) | 2,578 | ||||||
| 18 | Arch Capital Group Ltd., (Bermuda) (a) | 1,285 | ||||||
| 37 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,693 | ||||||
| 37 | Assurant, Inc. | 3,155 | ||||||
| 55 | Assured Guaranty Ltd., (Bermuda) | 1,383 | ||||||
| 22 | Endurance Specialty Holdings Ltd., (Bermuda) | 1,478 | ||||||
| 9 | Everest Re Group Ltd., (Bermuda) | 1,553 | ||||||
| 15 | FNF Group | 564 | ||||||
| 79 | Hanover Insurance Group, Inc. (The) | 6,702 | ||||||
| 50 | Hartford Financial Services Group, Inc. (The) | 2,210 | ||||||
| 34 | Lincoln National Corp. | 1,314 | ||||||
| 45 | Principal Financial Group, Inc. | 1,858 | ||||||
| 23 | Torchmark Corp. | 1,423 | ||||||
| 104 | Unum Group | 3,313 | ||||||
| 35 | Validus Holdings Ltd., (Bermuda) | 1,696 | ||||||
|
| |||||||
| 41,085 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 10.7% | ||||||||
| 67 | American Campus Communities, Inc. | 3,558 | ||||||
| 25 | Annaly Capital Management, Inc. | 281 | ||||||
| 83 | Apartment Investment & Management Co., Class A | 3,656 | ||||||
| 9 | AvalonBay Communities, Inc. | 1,569 | ||||||
| 9 | Boston Properties, Inc. | 1,227 | ||||||
| 296 | Brandywine Realty Trust | 4,964 | ||||||
| 136 | Brixmor Property Group, Inc. | 3,601 | ||||||
| 295 | Corrections Corp. of America | 10,313 | ||||||
| 21 | Crown Castle International Corp. | 2,100 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 48 | DDR Corp. | 878 | ||||||
| 12 | Digital Realty Trust, Inc. | 1,351 | ||||||
| 34 | Douglas Emmett, Inc. | 1,208 | ||||||
| 61 | Equinix, Inc. | 23,691 | ||||||
| 318 | Equity Commonwealth (a) | 9,250 | ||||||
| 51 | Equity LifeStyle Properties, Inc. | 4,051 | ||||||
| 50 | Extra Space Storage, Inc. | 4,599 | ||||||
| 16 | Mid-America Apartment Communities, Inc. | 1,671 | ||||||
| 60 | Post Properties, Inc. | 3,675 | ||||||
| 26 | Regency Centers Corp. | 2,152 | ||||||
| 4 | SL Green Realty Corp. | 405 | ||||||
| 45 | Taubman Centers, Inc. | 3,361 | ||||||
| 3 | Ventas, Inc. | 239 | ||||||
| 46 | Vornado Realty Trust | 4,646 | ||||||
| 15 | Welltower, Inc. | 1,158 | ||||||
| 237 | Weyerhaeuser Co. | 7,064 | ||||||
| 38 | WP Carey, Inc. | 2,624 | ||||||
|
| |||||||
| 103,292 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 96 | Jones Lang LaSalle, Inc. | 9,306 | ||||||
|
| |||||||
Total Financials | 205,692 | |||||||
|
| |||||||
Health Care — 10.5% | ||||||||
Biotechnology — 1.5% | ||||||||
| 49 | Alkermes plc, (Ireland) (a) | 2,100 | ||||||
| 26 | Alnylam Pharmaceuticals, Inc. (a) | 1,421 | ||||||
| 40 | BioMarin Pharmaceutical, Inc. (a) | 3,089 | ||||||
| 35 | Incyte Corp. (a) | 2,799 | ||||||
| 12 | Intercept Pharmaceuticals, Inc. (a) | 1,741 | ||||||
| 57 | Medivation, Inc. (a) | 3,431 | ||||||
|
| |||||||
| 14,581 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.0% | ||||||||
| 6 | C.R. Bard, Inc. | 1,458 | ||||||
| 121 | Hill-Rom Holdings, Inc. | 6,100 | ||||||
| 333 | Hologic, Inc. (a) | 11,518 | ||||||
| 39 | St. Jude Medical, Inc. | 3,050 | ||||||
| 140 | Zimmer Biomet Holdings, Inc. | 16,901 | ||||||
|
| |||||||
| 39,027 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.8% | ||||||||
| 202 | AmerisourceBergen Corp. | 16,039 | ||||||
| 65 | Centene Corp. (a) | 4,643 | ||||||
| 10 | Cigna Corp. | 1,318 | ||||||
| 4 | Humana, Inc. | 684 | ||||||
| 90 | Premier, Inc., Class A (a) | 2,933 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Providers & Services — continued |
| |||||||
| 398 | Tenet Healthcare Corp. (a) | 11,003 | ||||||
|
| |||||||
| 36,620 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 52 | VWR Corp. (a) | 1,500 | ||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
| 204 | Endo International plc, (Ireland) (a) | 3,179 | ||||||
| 76 | Mallinckrodt plc (a) | 4,601 | ||||||
| 24 | Perrigo Co. plc, (Ireland) | 2,130 | ||||||
|
| |||||||
| 9,910 | ||||||||
|
| |||||||
Total Health Care | 101,638 | |||||||
|
| |||||||
Industrials — 12.7% |
| |||||||
Aerospace & Defense — 3.2% |
| |||||||
| 101 | BWX Technologies, Inc. | 3,624 | ||||||
| 120 | Huntington Ingalls Industries, Inc. | 20,149 | ||||||
| 21 | L-3 Communications Holdings, Inc. | 3,022 | ||||||
| 4 | Northrop Grumman Corp. | 822 | ||||||
| 82 | Spirit AeroSystems Holdings, Inc., Class A (a) | 3,526 | ||||||
|
| |||||||
| 31,143 | ||||||||
|
| |||||||
Airlines — 1.8% |
| |||||||
| 117 | Delta Air Lines, Inc. | 4,266 | ||||||
| 356 | JetBlue Airways Corp. (a) | 5,892 | ||||||
| 168 | United Continental Holdings, Inc. (a) | 6,886 | ||||||
|
| |||||||
| 17,044 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 350 | KAR Auction Services, Inc. | 14,609 | ||||||
| 32 | R.R. Donnelley & Sons Co. | 545 | ||||||
|
| |||||||
| 15,154 | ||||||||
|
| |||||||
Construction & Engineering — 2.5% |
| |||||||
| 556 | AECOM (a) | 17,677 | ||||||
| 35 | Fluor Corp. | 1,715 | ||||||
| 89 | Jacobs Engineering Group, Inc. (a) | 4,443 | ||||||
|
| |||||||
| 23,835 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 84 | Regal Beloit Corp. | 4,635 | ||||||
|
| |||||||
Machinery — 2.1% |
| |||||||
| 160 | Crane Co. | 9,064 | ||||||
| 49 | Ingersoll-Rand plc | 3,095 | ||||||
| 74 | Parker-Hannifin Corp. | 7,968 | ||||||
|
| |||||||
| 20,127 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Professional Services — 0.9% |
| |||||||
| 66 | ManpowerGroup, Inc. | 4,234 | ||||||
| 150 | TransUnion (a) | 5,006 | ||||||
|
| |||||||
| 9,240 | ||||||||
|
| |||||||
Road & Rail — 0.1% |
| |||||||
| 20 | Landstar System, Inc. | 1,353 | ||||||
|
| |||||||
Total Industrials | 122,531 | |||||||
|
| |||||||
Information Technology — 13.9% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
| 326 | ARRIS International plc (a) | 6,839 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.9% |
| |||||||
| 9 | Arrow Electronics, Inc. (a) | 563 | ||||||
| 81 | Avnet, Inc. | 3,285 | ||||||
| 23 | Ingram Micro, Inc., Class A | 793 | ||||||
| 207 | Jabil Circuit, Inc. | 3,831 | ||||||
|
| |||||||
| 8,472 | ||||||||
|
| |||||||
IT Services — 3.2% |
| |||||||
| 209 | Computer Sciences Corp. | 10,352 | ||||||
| 13 | CoreLogic, Inc. (a) | 512 | ||||||
| 33 | Leidos Holdings, Inc. | 1,565 | ||||||
| 17 | Total System Services, Inc. | 919 | ||||||
| 271 | Vantiv, Inc., Class A (a) | 15,356 | ||||||
| 263 | Xerox Corp. | 2,496 | ||||||
|
| |||||||
| 31,200 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 431 | Applied Materials, Inc. | 10,322 | ||||||
| 27 | Lam Research Corp. | 2,244 | ||||||
| 1,526 | Marvell Technology Group Ltd., (Bermuda) | 14,545 | ||||||
| 90 | ON Semiconductor Corp. (a) | 791 | ||||||
| 59 | Skyworks Solutions, Inc. | 3,740 | ||||||
|
| |||||||
| 31,642 | ||||||||
|
| |||||||
Software — 4.7% |
| |||||||
| 364 | Activision Blizzard, Inc. | 14,433 | ||||||
| 266 | CA, Inc. | 8,730 | ||||||
| 570 | Cadence Design Systems, Inc. (a) | 13,839 | ||||||
| 100 | Citrix Systems, Inc. (a) | 8,001 | ||||||
|
| |||||||
| 45,003 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.1% |
| |||||||
| 277 | NCR Corp. (a) | 7,692 | ||||||
| 72 | Western Digital Corp. | 3,379 | ||||||
|
| |||||||
| 11,071 | ||||||||
|
| |||||||
Total Information Technology | 134,227 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 5.3% |
| |||||||
Chemicals — 1.8% |
| |||||||
| 333 | Cabot Corp. | 15,182 | ||||||
| 14 | Huntsman Corp. | 184 | ||||||
| 15 | PPG Industries, Inc. | 1,584 | ||||||
|
| |||||||
| 16,950 | ||||||||
|
| |||||||
Containers & Packaging — 1.7% |
| |||||||
| 57 | Avery Dennison Corp. | 4,238 | ||||||
| 87 | Crown Holdings, Inc. (a) | 4,398 | ||||||
| 123 | Graphic Packaging Holding Co. | 1,547 | ||||||
| 99 | International Paper Co. | 4,179 | ||||||
| 53 | Sealed Air Corp. | 2,432 | ||||||
|
| |||||||
| 16,794 | ||||||||
|
| |||||||
Metals & Mining — 1.6% |
| |||||||
| 9 | Nucor Corp. | 450 | ||||||
| 70 | Reliance Steel & Aluminum Co. | 5,360 | ||||||
| 400 | Steel Dynamics, Inc. | 9,802 | ||||||
|
| |||||||
| 15,612 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
| 51 | Domtar Corp. | 1,782 | ||||||
|
| |||||||
Total Materials | 51,138 | |||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 171 | CenturyLink, Inc. | 4,966 | ||||||
| 427 | Frontier Communications Corp. | 2,109 | ||||||
|
| |||||||
Total Telecommunication Services | 7,075 | |||||||
|
| |||||||
Utilities — 7.0% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| 80 | Alliant Energy Corp. | 3,156 | ||||||
| 119 | Edison International | 9,274 | ||||||
| 81 | Entergy Corp. | 6,573 | ||||||
| 69 | Great Plains Energy, Inc. | 2,091 | ||||||
| 8 | Pinnacle West Capital Corp. | 665 | ||||||
|
| |||||||
| 21,759 | ||||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
| 249 | UGI Corp. | 11,279 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
| 248 | AES Corp. | 3,098 | ||||||
|
| |||||||
Multi-Utilities — 3.3% |
| |||||||
| 49 | Ameren Corp. | 2,620 | ||||||
| 128 | CenterPoint Energy, Inc. | 3,062 | ||||||
| 119 | CMS Energy Corp. | 5,476 | ||||||
| 37 | Consolidated Edison, Inc. | 2,936 | ||||||
| 64 | DTE Energy Co. | 6,324 | ||||||
| 96 | Public Service Enterprise Group, Inc. | 4,470 | ||||||
| 59 | Sempra Energy | 6,704 | ||||||
|
| |||||||
| 31,592 | ||||||||
|
| |||||||
Total Utilities | 67,728 | |||||||
|
| |||||||
Total Common Stocks | 944,836 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) |
| ||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food & Staples Retailing — 0.0% (g) |
| |||||||
| 121 | Safeway, Inc., PDC CVR, expiring 01/30/17 (a) | 6 | ||||||
| 121 | Safeway, Inc., PDC CVR, expiring 01/30/18 (a) | 8 | ||||||
|
| |||||||
Total Rights | 14 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.5% |
| ||||||
Investment Company — 1.5% |
| |||||||
| 14,304 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) | 14,304 | ||||||
|
| |||||||
Total Investments — 99.4% | 959,154 | |||||||
Other Assets in Excess of Liabilities — 0.6% | 5,441 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 964,595 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding |
| |||||||||||||||||||
| 109 | S&P Mid Cap 400 | 09/16/16 | USD | $ | 16,274 | $ | 218 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.1% | |||||||
Consumer Discretionary — 6.2% | ||||||||
Automobiles — 1.5% | ||||||||
| 918 | General Motors Co. | 25,979 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||
| 93 | McDonald’s Corp. | 11,144 | ||||||
|
| |||||||
Household Durables — 0.3% | ||||||||
| 184 | D.R. Horton, Inc. | 5,783 | ||||||
|
| |||||||
Media — 1.4% | ||||||||
| 183 | CBS Corp. (Non-Voting), Class B | 9,968 | ||||||
| 3,484 | Sirius XM Holdings, Inc. (a) | 13,763 | ||||||
|
| |||||||
| 23,731 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
| 181 | Target Corp. | 12,644 | ||||||
|
| |||||||
Specialty Retail — 0.7% | ||||||||
| 158 | Lowe’s Cos., Inc. | 12,493 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
| 260 | Michael Kors Holdings Ltd., (United Kingdom) (a) | 12,845 | ||||||
|
| |||||||
Total Consumer Discretionary | 104,619 | |||||||
|
| |||||||
Consumer Staples — 7.8% | ||||||||
Food & Staples Retailing — 1.7% | ||||||||
| 109 | CVS Health Corp. | 10,436 | ||||||
| 265 | Wal-Mart Stores, Inc. | 19,365 | ||||||
|
| |||||||
| 29,801 | ||||||||
|
| |||||||
Food Products — 3.8% | ||||||||
| 777 | Archer-Daniels-Midland Co. | 33,325 | ||||||
| 518 | Pilgrim’s Pride Corp. | 13,204 | ||||||
| 269 | Tyson Foods, Inc., Class A | 17,940 | ||||||
|
| |||||||
| 64,469 | ||||||||
|
| |||||||
Household Products — 0.9% | ||||||||
| 294 | Energizer Holdings, Inc. | 15,155 | ||||||
|
| |||||||
Personal Products — 1.4% | ||||||||
| 163 | Herbalife Ltd. (a) | 9,511 | ||||||
| 299 | Nu Skin Enterprises, Inc., Class A | 13,815 | ||||||
|
| |||||||
| 23,326 | ||||||||
|
| |||||||
Total Consumer Staples | 132,751 | |||||||
|
| |||||||
Energy — 12.6% | ||||||||
Energy Equipment & Services — 4.1% | ||||||||
| 946 | Ensco plc, (United Kingdom), Class A | 9,181 | ||||||
| 492 | FMC Technologies, Inc. (a) | 13,127 | ||||||
| 409 | Frank’s International N.V., (Netherlands) | 5,974 | ||||||
| 545 | Rowan Cos. plc, Class A | 9,619 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued | ||||||||
| 265 | Schlumberger Ltd. | 20,928 | ||||||
| 1,795 | Seadrill Ltd., (United Kingdom) (a) | 5,815 | ||||||
| 276 | Superior Energy Services, Inc. | 5,085 | ||||||
|
| |||||||
| 69,729 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.5% | ||||||||
| 30 | Apache Corp. | 1,670 | ||||||
| 115 | Chevron Corp. | 12,082 | ||||||
| 121 | ConocoPhillips | 5,271 | ||||||
| 838 | Denbury Resources, Inc. | 3,007 | ||||||
| 138 | Exxon Mobil Corp. | 12,899 | ||||||
| 55 | Hess Corp. | 3,323 | ||||||
| 1,605 | Marathon Oil Corp. | 24,094 | ||||||
| 399 | Marathon Petroleum Corp. | 15,157 | ||||||
| 338 | Occidental Petroleum Corp. | 25,517 | ||||||
| 295 | PBF Energy, Inc., Class A | 7,008 | ||||||
| 68 | Tesoro Corp. | 5,095 | ||||||
| 562 | Valero Energy Corp. | 28,636 | ||||||
|
| |||||||
| 143,759 | ||||||||
|
| |||||||
Total Energy | 213,488 | |||||||
|
| |||||||
Financials — 25.7% | ||||||||
Banks — 9.3% | ||||||||
| 1,276 | Citigroup, Inc. | 54,098 | ||||||
| 432 | PNC Financial Services Group, Inc. (The) | 35,134 | ||||||
| 114 | Popular, Inc., (Puerto Rico) | 3,334 | ||||||
| 206 | Synovus Financial Corp. | 5,975 | ||||||
| 1,271 | Wells Fargo & Co. | 60,145 | ||||||
|
| |||||||
| 158,686 | ||||||||
|
| |||||||
Capital Markets — 1.9% | ||||||||
| 117 | Ameriprise Financial, Inc. | 10,539 | ||||||
| 98 | Goldman Sachs Group, Inc. (The) | 14,568 | ||||||
| 244 | Morgan Stanley | 6,350 | ||||||
|
| |||||||
| 31,457 | ||||||||
|
| |||||||
Consumer Finance — 0.9% | ||||||||
| 22 | Capital One Financial Corp. | 1,384 | ||||||
| 273 | Discover Financial Services | 14,625 | ||||||
|
| |||||||
| 16,009 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% | ||||||||
| 193 | MSCI, Inc. | 14,861 | ||||||
| 417 | Voya Financial, Inc. | 10,327 | ||||||
|
| |||||||
| 25,188 | ||||||||
|
| |||||||
Insurance — 7.2% | ||||||||
| 363 | Allstate Corp. (The) | 25,364 | ||||||
| 236 | Aspen Insurance Holdings Ltd., (Bermuda) | 10,936 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Insurance — continued | ||||||||
| 220 | Axis Capital Holdings Ltd., (Bermuda) | 12,078 | ||||||
| 66 | Everest Re Group Ltd., (Bermuda) | 12,038 | ||||||
| 321 | Hartford Financial Services Group, Inc. (The) | 14,264 | ||||||
| 273 | Lincoln National Corp. | 10,577 | ||||||
| 142 | Prudential Financial, Inc. | 10,130 | ||||||
| 118 | Travelers Cos., Inc. (The) | 14,094 | ||||||
| 274 | Validus Holdings Ltd., (Bermuda) | 13,309 | ||||||
|
| |||||||
| 122,790 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.9% |
| |||||||
| 289 | American Capital Agency Corp. | 5,718 | ||||||
| 1,101 | Annaly Capital Management, Inc. | 12,185 | ||||||
| 820 | Brandywine Realty Trust | 13,773 | ||||||
| 419 | Chimera Investment Corp. | 6,575 | ||||||
| 212 | DuPont Fabros Technology, Inc. | 10,064 | ||||||
| 481 | Equity Commonwealth (a) | 14,011 | ||||||
| 207 | Hospitality Properties Trust | 5,962 | ||||||
| 685 | Piedmont Office Realty Trust, Inc., Class A | 14,753 | ||||||
|
| |||||||
| 83,041 | ||||||||
|
| |||||||
Total Financials | 437,171 | |||||||
|
| |||||||
Health Care — 11.9% |
| |||||||
Biotechnology — 2.3% |
| |||||||
| 42 | Amgen, Inc. | 6,360 | ||||||
| 389 | Gilead Sciences, Inc. | 32,467 | ||||||
|
| |||||||
| 38,827 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
| 57 | C.R. Bard, Inc. | 13,451 | ||||||
| 193 | Hologic, Inc. (a) | 6,678 | ||||||
|
| |||||||
| 20,129 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.9% |
| |||||||
| 154 | AmerisourceBergen Corp. | 12,199 | ||||||
| 123 | Anthem, Inc. | 16,129 | ||||||
| 104 | Cigna Corp. | 13,247 | ||||||
| 370 | Express Scripts Holding Co. (a) | 28,031 | ||||||
| 75 | Humana, Inc. | 13,419 | ||||||
|
| |||||||
| 83,025 | ||||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
| 1,685 | Pfizer, Inc. | 59,340 | ||||||
|
| |||||||
Total Health Care | 201,321 | |||||||
|
| |||||||
Industrials — 9.4% | ||||||||
Aerospace & Defense — 3.3% |
| |||||||
| 42 | BWX Technologies, Inc. | 1,492 | ||||||
| 128 | Curtiss-Wright Corp. | 10,801 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Aerospace & Defense — continued |
| |||||||
| 148 | Northrop Grumman Corp. | 32,942 | ||||||
| 270 | Spirit AeroSystems Holdings, Inc., Class A (a) | 11,610 | ||||||
|
| |||||||
| 56,845 | ||||||||
|
| |||||||
Airlines — 2.1% |
| |||||||
| 638 | Delta Air Lines, Inc. | 23,224 | ||||||
| 290 | United Continental Holdings, Inc. (a) | 11,881 | ||||||
|
| |||||||
| 35,105 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.9% |
| |||||||
| 552 | Pitney Bowes, Inc. | 9,831 | ||||||
| 352 | R.R. Donnelley & Sons Co. | 5,951 | ||||||
|
| |||||||
| 15,782 | ||||||||
|
| |||||||
Construction & Engineering — 1.8% |
| |||||||
| 433 | AECOM (a) | 13,744 | ||||||
| 63 | Jacobs Engineering Group, Inc. (a) | 3,138 | ||||||
| 108 | Valmont Industries, Inc. | 14,541 | ||||||
|
| |||||||
| 31,423 | ||||||||
|
| |||||||
Machinery — 1.3% |
| |||||||
| 204 | Illinois Tool Works, Inc. | 21,290 | ||||||
|
| |||||||
Total Industrials | 160,445 | |||||||
|
| |||||||
Information Technology — 10.3% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 578 | Cisco Systems, Inc. | 16,591 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
| 138 | SYNNEX Corp. | 13,038 | ||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
| 285 | Computer Sciences Corp. | 14,145 | ||||||
| 217 | Leidos Holdings, Inc. | 10,402 | ||||||
| 89 | Western Union Co. (The) | 1,698 | ||||||
|
| |||||||
| 26,245 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
| 751 | QUALCOMM, Inc. | 40,231 | ||||||
| 657 | Teradyne, Inc. | 12,940 | ||||||
|
| |||||||
| 53,171 | ||||||||
|
| |||||||
Software — 2.0% |
| |||||||
| 296 | Microsoft Corp. | 15,131 | ||||||
| 759 | Nuance Communications, Inc. (a) | 11,866 | ||||||
| 186 | Take-Two Interactive Software, Inc. (a) | 7,065 | ||||||
|
| |||||||
| 34,062 | ||||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
| 59 | Apple, Inc. | 5,641 | ||||||
| 1,035 | HP, Inc. | 12,993 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Technology Hardware, Storage & |
| |||||||
| 465 | NCR Corp. (a) | 12,924 | ||||||
|
| |||||||
| 31,558 | ||||||||
|
| |||||||
Total Information Technology | 174,665 | |||||||
|
| |||||||
Materials — 2.6% | ||||||||
Chemicals — 1.8% | ||||||||
| 71 | Cabot Corp. | 3,233 | ||||||
| 364 | LyondellBasell Industries N.V., Class A | 27,096 | ||||||
|
| |||||||
| 30,329 | ||||||||
|
| |||||||
Metals & Mining — 0.8% | ||||||||
| 563 | Steel Dynamics, Inc. | 13,793 | ||||||
|
| |||||||
Total Materials | 44,122 | |||||||
|
| |||||||
Telecommunication Services — 3.9% | ||||||||
Diversified Telecommunication Services — 3.9% |
| |||||||
| 485 | AT&T, Inc. | 20,953 | ||||||
| 398 | CenturyLink, Inc. | 11,547 | ||||||
| 595 | Verizon Communications, Inc. | 33,202 | ||||||
|
| |||||||
Total Telecommunication Services | 65,702 | |||||||
|
| |||||||
Utilities — 6.7% | ||||||||
Electric Utilities — 4.2% | ||||||||
| 282 | American Electric Power Co., Inc. | 19,730 | ||||||
| 172 | Edison International | 13,383 | ||||||
| 185 | Entergy Corp. | 15,042 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — continued | ||||||||
| 95 | FirstEnergy Corp. | 3,302 | ||||||
| 157 | NextEra Energy, Inc. | 20,525 | ||||||
|
| |||||||
| 71,982 | ||||||||
|
| |||||||
Gas Utilities — 0.8% | ||||||||
| 313 | UGI Corp. | 14,184 | ||||||
|
| |||||||
Multi-Utilities — 1.7% | ||||||||
| 294 | Public Service Enterprise Group, Inc. | 13,708 | ||||||
| 194 | SCANA Corp. | 14,708 | ||||||
|
| |||||||
| 28,416 | ||||||||
|
| |||||||
Total Utilities | 114,582 | |||||||
|
| |||||||
Total Common Stocks | 1,648,866 | |||||||
|
| |||||||
| Short-Term Investment — 2.5% |
| ||||||
Investment Company — 2.5% | ||||||||
| 42,165 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) | 42,165 | ||||||
|
| |||||||
Total Investments — 99.6% | 1,691,031 | |||||||
Other Assets in Excess of Liabilities — 0.4% | 6,204 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,697,235 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL VALUE AT JUNE 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
| 432 | E-mini S&P 500 | 09/16/16 | USD | $ | 45,148 | $ | 837 | |||||||||||||
|
| |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
J.P. Morgan Intrepid Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2016
| CVR | — Contingent Value Rights. | |
| PDC | — Property Development Center. | |
| USD | — United States Dollar. | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market 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 0.05%. | |
| (h) | — Amount rounds to less than 500 shares. | |
| (l) | — The rate shown is the current yield as of June 30, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016
(Amounts in thousands, except per share amounts)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 18,676 | $ | 3,575,561 | $ | 960,375 | ||||||
Investments in affiliates, at value | 426 | 127,699 | 20,543 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 19,102 | 3,703,260 | 980,918 | |||||||||
Cash | — | (a) | — | — | ||||||||
Deposits at broker for futures contracts | — | 6,424 | 1,122 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 404 | 91,996 | 9,240 | |||||||||
Fund shares sold | 13 | 31,738 | 1,207 | |||||||||
Dividends from non-affiliates | 21 | 2,553 | 517 | |||||||||
Dividends from affiliates | — | (a) | 46 | 5 | ||||||||
Variation margin on futures contracts | — | 1,790 | 306 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 19,540 | 3,837,807 | 993,315 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 421 | 169,318 | 3,984 | |||||||||
Fund shares redeemed | 24 | 216 | 528 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 7 | 1,169 | 303 | |||||||||
Administration fees | — | 240 | 7 | |||||||||
Distribution fees | 6 | 22 | 50 | |||||||||
Shareholder servicing fees | 1 | 119 | 44 | |||||||||
Custodian and accounting fees | 4 | 20 | 9 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | 11 | — | (a) | ||||||||
Audit fees | 31 | 39 | 33 | |||||||||
Sub-transfer agency fees | 3 | 33 | 86 | |||||||||
Other | 4 | 68 | 48 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 501 | 171,255 | 5,092 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 19,039 | $ | 3,666,552 | $ | 988,223 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 17,066 | $ | 3,100,922 | $ | 951,241 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 79 | 27,056 | 5,195 | |||||||||
Accumulated net realized gains (losses) | (1,881 | ) | 41,605 | (150,228 | ) | |||||||
Net unrealized appreciation (depreciation) | 3,775 | 496,969 | 182,015 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 19,039 | $ | 3,666,552 | $ | 988,223 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 8,760 | $ | 57,303 | $ | 90,529 | ||||||
Class C | 6,131 | 12,599 | 48,717 | |||||||||
Class R2 | — | 4,584 | 4,207 | |||||||||
Class R5 | — | 3,920 | 205,213 | |||||||||
Class R6 | — | 3,341,467 | 488,138 | |||||||||
Select Class | 4,148 | 246,679 | 151,419 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 19,039 | $ | 3,666,552 | $ | 988,223 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 264 | 1,649 | 2,243 | |||||||||
Class C | 189 | 367 | 1,229 | |||||||||
Class R2 | — | 135 | 106 | |||||||||
Class R5 | — | 110 | 5,066 | |||||||||
Class R6 | — | 95,382 | 12,053 | |||||||||
Select Class | 124 | 6,952 | 3,694 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 33.20 | $ | 34.75 | $ | 40.37 | ||||||
Class C — Offering price per share (b) | 32.48 | 34.37 | 39.63 | |||||||||
Class R2 — Offering and redemption price per share | — | 34.01 | 39.66 | |||||||||
Class R5 — Offering and redemption price per share | — | 35.53 | 40.51 | |||||||||
Class R6 — Offering and redemption price per share | — | 35.03 | 40.50 | |||||||||
Select Class — Offering and redemption price per share | 33.40 | 35.48 | 40.99 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 35.04 | $ | 36.68 | $ | 42.61 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 14,901 | $ | 3,079,745 | $ | 778,908 | ||||||
Cost of investments in affiliates | 426 | 127,699 | 20,543 | |||||||||
| (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, 2016 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2016 (continued)
(Amounts in thousands, except per share amounts)
| Intrepid Mid Cap Fund | Intrepid Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 944,850 | $ | 1,648,866 | ||||
Investments in affiliates, at value | 14,304 | 42,165 | ||||||
|
|
|
| |||||
Total investment securities, at value | 959,154 | 1,691,031 | ||||||
Deposits at broker for futures contracts | 748 | 1,829 | ||||||
Due from custodian | 571 | 2,556 | ||||||
Receivables: | ||||||||
Investment securities sold | 2,988 | 19,652 | ||||||
Fund shares sold | 1,846 | 2,559 | ||||||
Dividends from non-affiliates | 1,359 | 1,978 | ||||||
Dividends from affiliates | 6 | 14 | ||||||
Variation margin on futures contracts | 311 | 505 | ||||||
|
|
|
| |||||
Total Assets | 966,983 | 1,720,124 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 571 | 19,567 | ||||||
Fund shares redeemed | 768 | 1,754 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 458 | 450 | ||||||
Administration fees | 30 | 59 | ||||||
Distribution fees | 118 | 84 | ||||||
Shareholder servicing fees | 81 | 151 | ||||||
Custodian and accounting fees | 9 | 10 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | ||||||
Audit fees | 33 | 33 | ||||||
Sub-transfer agency fees | 218 | 581 | ||||||
Other | 101 | 199 | ||||||
|
|
|
| |||||
Total Liabilities | 2,388 | 22,889 | ||||||
|
|
|
| |||||
Net Assets | $ | 964,595 | $ | 1,697,235 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 868,666 | $ | 1,555,495 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 1,098 | 1,489 | ||||||
Accumulated net realized gains (losses) | (25,919 | ) | (43,517 | ) | ||||
Net unrealized appreciation (depreciation) | 120,750 | 183,768 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 964,595 | $ | 1,697,235 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 311,724 | $ | 240,808 | ||||
Class C | 89,071 | 42,788 | ||||||
Class R2 | — | 17,721 | ||||||
Class R5 | — | 85,624 | ||||||
Class R6 | 304,934 | 86,255 | ||||||
Select Class | 258,866 | 1,224,039 | ||||||
|
|
|
| |||||
Total | $ | 964,595 | $ | 1,697,235 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 16,003 | 7,717 | ||||||
Class C | 5,328 | 1,386 | ||||||
Class R2 | — | 571 | ||||||
Class R5 | — | 2,725 | ||||||
Class R6 | 14,931 | 2,745 | ||||||
Select Class | 12,674 | 39,057 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 19.48 | $ | 31.20 | ||||
Class C — Offering price per share (b) | 16.72 | 30.87 | ||||||
Class R2 — Offering and redemption price per share | — | 31.04 | ||||||
Class R5 — Offering and redemption price per share | — | 31.42 | ||||||
Class R6 — Offering and redemption price per share | 20.42 | 31.42 | ||||||
Select Class — Offering and redemption price per share | 20.43 | 31.34 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 20.56 | $ | 32.93 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 824,318 | $ | 1,465,935 | ||||
Cost of investments in affiliates | 14,304 | 42,165 | ||||||
| (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, 2016 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2016
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 613 | $ | 73,892 | $ | 16,418 | ||||||
Dividend income from affiliates | 1 | 240 | 52 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 614 | 74,132 | 16,470 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 132 | 14,520 | 5,165 | |||||||||
Administration fees | 17 | 2,976 | 847 | |||||||||
Distribution fees: | ||||||||||||
Class A | 24 | 275 | 245 | |||||||||
Class C | 49 | 104 | 372 | |||||||||
Class R2 | — | 20 | 13 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 24 | 275 | 245 | |||||||||
Class C | 16 | 35 | 124 | |||||||||
Class R2 | — | 10 | 6 | |||||||||
Class R5 | — | 358 | 100 | |||||||||
Select Class | 11 | 1,679 | 845 | |||||||||
Custodian and accounting fees | 25 | 105 | 48 | |||||||||
Professional fees | 48 | 86 | 55 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 37 | 13 | |||||||||
Printing and mailing costs | 3 | 53 | 35 | |||||||||
Registration and filing fees | 36 | 139 | 129 | |||||||||
Transfer agency fees (See Note 2.D.) | 7 | 53 | 36 | |||||||||
Sub-transfer agency fees (See Note 2.D.) | 13 | 190 | 380 | |||||||||
Other | 5 | 29 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 416 | 20,944 | 8,670 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (156 | ) | (333 | ) | (2,291 | ) | ||||||
Less expense reimbursements | (5 | ) | (6 | ) | (52 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 255 | 20,605 | 6,327 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 359 | 53,527 | 10,143 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 176 | 86,369 | 18,101 | |||||||||
Futures | — | 4,820 | (1,202 | ) | ||||||||
Foreign currency transactions | — | 2 | — | (a) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 176 | 91,191 | 16,899 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (801 | ) | (206,368 | ) | (35,594 | ) | ||||||
Futures | — | 2,287 | 1,038 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (801 | ) | (204,081 | ) | (34,556 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (625 | ) | (112,890 | ) | (17,657 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (266 | ) | $ | (59,363 | ) | $ | (7,514 | ) | |||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividend income from non-affiliates | $ | 17,449 | $ | 42,116 | ||||
Dividend income from affiliates | 53 | 85 | ||||||
|
|
|
| |||||
Total investment income | 17,502 | 42,201 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 5,891 | 6,903 | ||||||
Administration fees | 743 | 1,415 | ||||||
Distribution fees: | ||||||||
Class A | 810 | 608 | ||||||
Class C | 625 | 358 | ||||||
Class R2 | — | 77 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 810 | 608 | ||||||
Class C | 208 | 119 | ||||||
Class R2 | — | 39 | ||||||
Class R5 | — | 45 | ||||||
Select Class | 818 | 3,154 | ||||||
Custodian and accounting fees | 56 | 56 | ||||||
Professional fees | 55 | 62 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 12 | 17 | ||||||
Printing and mailing costs | 101 | 170 | ||||||
Registration and filing fees | 163 | 164 | ||||||
Transfer agency fees (See Note 2.D.) | 85 | 262 | ||||||
Sub-transfer agency fees (See Note 2.D.) | 902 | 2,217 | ||||||
Other | 16 | 18 | ||||||
|
|
|
| |||||
Total expenses | 11,295 | 16,292 | ||||||
|
|
|
| |||||
Less fees waived | (2,058 | ) | (4,057 | ) | ||||
Less expense reimbursements | (1 | ) | (199 | ) | ||||
|
|
|
| |||||
Net expenses | 9,236 | 12,036 | ||||||
|
|
|
| |||||
Net investment income (loss) | 8,266 | 30,165 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | (18,108 | ) | 9,270 | |||||
Futures | (709 | ) | (5,737 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) | (18,817 | ) | 3,533 | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | (2,618 | ) | (157,611 | ) | ||||
Futures | 512 | 1,280 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (2,106 | ) | (156,331 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | (20,923 | ) | (152,798 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | (12,657 | ) | $ | (122,633 | ) | ||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 359 | $ | 161 | $ | 53,527 | $ | 49,610 | ||||||||
Net realized gain (loss) | 176 | 1,123 | 91,191 | 242,651 | ||||||||||||
Change in net unrealized appreciation/depreciation | (801 | ) | 181 | (204,081 | ) | (13,084 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (266 | ) | 1,465 | (59,363 | ) | 279,177 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (166 | ) | (78 | ) | (997 | ) | (1,555 | ) | ||||||||
From net realized gains | — | — | (7,771 | ) | (7,056 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (82 | ) | (37 | ) | (59 | ) | (59 | ) | ||||||||
From net realized gains | — | — | (875 | ) | (488 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (39 | ) | (8 | ) | ||||||||||
From net realized gains | — | — | (263 | ) | (20 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | — | (22,291 | ) | |||||||||||
From net realized gains | — | — | (200 | ) | (75,877 | ) | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | — | — | (47,617 | ) | — | |||||||||||
From net realized gains | — | — | (196,504 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (80 | ) | (33 | ) | (411 | ) | (17,845 | ) | ||||||||
From net realized gains | — | — | (16,260 | ) | (72,997 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (328 | ) | (148 | ) | (270,996 | ) | (198,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (3,007 | ) | 4,710 | 287,274 | 645,023 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (3,601 | ) | 6,027 | (43,085 | ) | 726,004 | ||||||||||
Beginning of period | 22,640 | 16,613 | 3,709,637 | 2,983,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 19,039 | $ | 22,640 | $ | 3,666,552 | $ | 3,709,637 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 79 | $ | 61 | $ | 27,056 | $ | 24,926 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 10,143 | $ | 7,255 | $ | 8,266 | $ | 3,270 | ||||||||
Net realized gain (loss) | 16,899 | 86,067 | (18,817 | ) | 83,487 | |||||||||||
Change in net unrealized appreciation/depreciation | (34,556 | ) | 586 | (2,106 | ) | (52,938 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (7,514 | ) | 93,908 | (12,657 | ) | 33,819 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (645 | ) | (320 | ) | (2,230 | ) | (1,100 | ) | ||||||||
From net realized gains | — | — | (27,036 | ) | (33,270 | ) | ||||||||||
Class B (a) | ||||||||||||||||
From net investment income | — | — | — | (5 | ) | |||||||||||
From net realized gains | — | — | — | (722 | ) | |||||||||||
Class C | ||||||||||||||||
From net investment income | (111 | ) | (45 | ) | (410 | ) | (75 | ) | ||||||||
From net realized gains | — | — | (7,872 | ) | (8,490 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (19 | ) | (1 | ) | — | — | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (2,127 | ) | (995 | ) | — | — | ||||||||||
Class R6 (b) | ||||||||||||||||
From net investment income | (6,464 | ) | — | (2,290 | ) | — | ||||||||||
From net realized gains | — | — | (17,654 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (70 | ) | (3,526 | ) | (2,298 | ) | (2,295 | ) | ||||||||
From net realized gains | — | — | (19,338 | ) | (53,175 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (9,436 | ) | (4,887 | ) | (79,128 | ) | (99,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (49,656 | ) | 189,626 | 80,831 | 443,967 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (66,606 | ) | 278,647 | (10,954 | ) | 378,654 | ||||||||||
Beginning of period | 1,054,829 | 776,182 | 975,549 | 596,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 988,223 | $ | 1,054,829 | $ | 964,595 | $ | 975,549 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 5,195 | $ | 4,981 | $ | 1,098 | $ | (23 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund. |
| (b) | Commencement of offering of class of shares effective November 2, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 37 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 30,165 | $ | 23,033 | ||||
Net realized gain (loss) | 3,533 | 117,183 | ||||||
Change in net unrealized appreciation/depreciation | (156,331 | ) | (55,479 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | (122,633 | ) | 84,737 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (3,919 | ) | (1,883 | ) | ||||
From net realized gains | (12,129 | ) | (10,740 | ) | ||||
Class C | ||||||||
From net investment income | (481 | ) | (373 | ) | ||||
From net realized gains | (2,317 | ) | (3,334 | ) | ||||
Class R2 | ||||||||
From net investment income | (209 | ) | (98 | ) | ||||
From net realized gains | (725 | ) | (155 | ) | ||||
Class R5 | ||||||||
From net investment income | (1,649 | ) | (1,285 | ) | ||||
From net realized gains | (4,135 | ) | (6,160 | ) | ||||
Class R6 | ||||||||
From net investment income | (1,457 | ) | (508 | ) | ||||
From net realized gains | (3,575 | ) | (2,196 | ) | ||||
Select Class | ||||||||
From net investment income | (20,675 | ) | (18,775 | ) | ||||
From net realized gains | (58,980 | ) | (102,921 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (110,251 | ) | (148,428 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 142,336 | 385,861 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (90,548 | ) | 322,170 | |||||
Beginning of period | 1,787,783 | 1,465,613 | ||||||
|
|
|
| |||||
End of period | $ | 1,697,235 | $ | 1,787,783 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,489 | $ | (17 | ) | |||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,458 | $ | 3,725 | $ | 43,942 | $ | 168,215 | ||||||||
Distributions reinvested | 166 | 78 | 8,675 | 7,997 | ||||||||||||
Cost of shares redeemed | (3,513 | ) | (3,040 | ) | (162,708 | ) | (94,262 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (1,889 | ) | $ | 763 | $ | (110,091 | ) | $ | 81,950 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 513 | $ | 3,609 | $ | 1,939 | $ | 7,099 | ||||||||
Distributions reinvested | 77 | 34 | 840 | 508 | ||||||||||||
Cost of shares redeemed | (1,144 | ) | (832 | ) | (3,804 | ) | (1,603 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (554 | ) | $ | 2,811 | $ | (1,025 | ) | $ | 6,004 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,181 | $ | 3,255 | ||||||||
Distributions reinvested | — | — | 206 | 10 | ||||||||||||
Cost of shares redeemed | — | — | (1,407 | ) | (567 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 1,980 | $ | 2,698 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 147,210 | $ | 551,608 | ||||||||
Distributions reinvested | — | — | 98 | 98,125 | ||||||||||||
Cost of shares redeemed | — | — | (2,206,178 | ) | (31,065 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | (2,058,870 | ) | $ | 618,668 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,744,275 | $ | — | ||||||||
Distributions reinvested | — | — | 244,121 | — | ||||||||||||
Cost of shares redeemed | — | — | (283,437 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 3,704,959 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 391 | $ | 1,411 | $ | 122,319 | $ | 111,237 | ||||||||
Distributions reinvested | 50 | 22 | 3,411 | 75,360 | ||||||||||||
Cost of shares redeemed | (1,005 | ) | (297 | ) | (1,375,409 | ) | (250,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (564 | ) | $ | 1,136 | $ | (1,249,679 | ) | $ | (64,297 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (3,007 | ) | $ | 4,710 | $ | 287,274 | $ | 645,023 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 39 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 45 | 112 | 1,229 | 4,472 | ||||||||||||
Reinvested | 5 | 2 | 249 | 216 | ||||||||||||
Redeemed | (107 | ) | (90 | ) | (4,667 | ) | (2,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (57 | ) | 24 | (3,189 | ) | 2,232 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 16 | 113 | 56 | 188 | ||||||||||||
Reinvested | 2 | 1 | 24 | 14 | ||||||||||||
Redeemed | (36 | ) | (25 | ) | (110 | ) | (42 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (18 | ) | 89 | (30 | ) | 160 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 91 | 88 | ||||||||||||
Reinvested | — | — | 6 | — | (a) | |||||||||||
Redeemed | — | — | (40 | ) | (15 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 57 | 73 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 3,900 | 14,342 | ||||||||||||
Reinvested | — | — | 3 | 2,615 | ||||||||||||
Redeemed | — | — | (56,255 | ) | (816 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | (52,352 | ) | 16,141 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | — | — | 96,721 | — | ||||||||||||
Reinvested | — | — | 6,953 | — | ||||||||||||
Redeemed | — | — | (8,292 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 95,382 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 11 | 42 | 3,461 | 2,960 | ||||||||||||
Reinvested | 2 | 1 | 97 | 2,006 | ||||||||||||
Redeemed | (30 | ) | (9 | ) | (35,374 | ) | (6,458 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (17 | ) | 34 | (31,816 | ) | (1,492 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 500 shares. |
| (b) | Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 29,744 | $ | 98,088 | $ | 115,229 | $ | 241,603 | ||||||||
Distributions reinvested | 464 | 307 | 26,642 | 32,554 | ||||||||||||
Cost of shares redeemed | (44,544 | ) | (30,452 | ) | (168,582 | ) | (68,865 | ) | ||||||||
Conversion from Class B Shares | — | — | — | 3,279 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (14,336 | ) | $ | 67,943 | $ | (26,711 | ) | $ | 208,571 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 113 | ||||||||
Distributions reinvested | — | — | — | 692 | ||||||||||||
Cost of shares redeemed | — | — | — | (2,858 | ) | |||||||||||
Conversion to Class A Shares | — | — | — | (3,279 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | — | $ | (5,332 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 10,146 | $ | 30,221 | $ | 27,150 | $ | 48,031 | ||||||||
Distributions reinvested | 81 | 35 | 7,265 | 7,809 | ||||||||||||
Cost of shares redeemed | (9,970 | ) | (3,414 | ) | (22,253 | ) | (11,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 257 | $ | 26,842 | $ | 12,162 | $ | 44,319 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 3,918 | $ | 1,169 | $ | — | $ | — | ||||||||
Distributions reinvested | 7 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (949 | ) | (666 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 2,976 | $ | 504 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 54,598 | $ | 74,969 | $ | — | $ | — | ||||||||
Distributions reinvested | 1,858 | 995 | — | — | ||||||||||||
Cost of shares redeemed | (38,491 | ) | (24,666 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 17,965 | $ | 51,298 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 605,936 | $ | — | $ | 296,563 | $ | — | ||||||||
Distributions reinvested | 6,464 | — | 19,944 | — | ||||||||||||
Cost of shares redeemed | (97,049 | ) | — | (12 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 515,351 | $ | — | $ | 316,495 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 78,959 | $ | 140,682 | $ | 146,281 | $ | 301,379 | ||||||||
Distributions reinvested | 46 | 3,214 | 17,565 | 49,847 | ||||||||||||
Cost of shares redeemed | (650,874 | ) | (100,857 | ) | (384,961 | ) | (154,817 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (571,869 | ) | $ | 43,039 | $ | (221,115 | ) | $ | 196,409 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (49,656 | ) | $ | 189,626 | $ | 80,831 | $ | 443,967 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund. |
| (b) | Commencement of offering of class of shares effective November 2, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 737 | 2,450 | 5,728 | 10,640 | ||||||||||||
Reinvested | 12 | 8 | 1,439 | 1,529 | ||||||||||||
Redeemed | (1,106 | ) | (764 | ) | (8,481 | ) | (3,017 | ) | ||||||||
Conversion from Class B Shares | — | — | — | 145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (357 | ) | 1,694 | (1,314 | ) | 9,297 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B (a) | ||||||||||||||||
Issued | — | — | — | 5 | ||||||||||||
Reinvested | — | — | — | 37 | ||||||||||||
Redeemed | — | — | — | (140 | ) | |||||||||||
Conversion to Class A Shares | — | — | — | (166 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | — | (264 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 257 | 774 | 1,614 | 2,416 | ||||||||||||
Reinvested | 2 | 1 | 457 | 420 | ||||||||||||
Redeemed | (255 | ) | (87 | ) | (1,316 | ) | (572 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 4 | 688 | 755 | 2,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 100 | 30 | — | — | ||||||||||||
Reinvested | — | (b) | — | (b) | — | — | ||||||||||
Redeemed | (24 | ) | (16 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 76 | 14 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 1,371 | 1,842 | — | — | ||||||||||||
Reinvested | 46 | 24 | — | — | ||||||||||||
Redeemed | (959 | ) | (614 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 458 | 1,252 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Issued | 14,369 | — | 13,904 | — | ||||||||||||
Reinvested | 160 | — | 1,028 | — | ||||||||||||
Redeemed | (2,476 | ) | — | (1 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 12,053 | — | 14,931 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 1,966 | 3,517 | 7,038 | 12,734 | ||||||||||||
Reinvested | 1 | 79 | 904 | 2,245 | ||||||||||||
Redeemed | (15,436 | ) | (2,493 | ) | (17,691 | ) | (6,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (13,469 | ) | 1,103 | (9,749 | ) | 8,485 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund. |
| (b) | Amount rounds to less than 500 shares. |
| (c) | Commencement of offering of class of shares effective November 2, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 166,519 | $ | 97,330 | ||||
Distributions reinvested | 15,365 | 12,172 | ||||||
Cost of shares redeemed | (80,574 | ) | (45,423 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 101,310 | $ | 64,079 | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 6,903 | $ | 22,302 | ||||
Distributions reinvested | 2,515 | 3,280 | ||||||
Cost of shares redeemed | (13,246 | ) | (6,296 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | (3,828 | ) | $ | 19,286 | |||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 11,058 | $ | 15,444 | ||||
Distributions reinvested | 803 | 179 | ||||||
Cost of shares redeemed | (6,453 | ) | (2,495 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 5,408 | $ | 13,128 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 28,926 | $ | 19,393 | ||||
Distributions reinvested | 5,784 | 7,445 | ||||||
Cost of shares redeemed | (21,596 | ) | (20,221 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 13,114 | $ | 6,617 | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 71,117 | $ | 25,620 | ||||
Distributions reinvested | 5,032 | 2,704 | ||||||
Cost of shares redeemed | (20,617 | ) | (7,455 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 55,532 | $ | 20,869 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 308,972 | $ | 495,104 | ||||
Distributions reinvested | 73,614 | 109,550 | ||||||
Cost of shares redeemed | (411,786 | ) | (342,772 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | (29,200 | ) | $ | 261,882 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 142,336 | $ | 385,861 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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, 2016 | Year Ended June 30, 2015 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 4,888 | 2,685 | ||||||
Reinvested | 492 | 348 | ||||||
Redeemed | (2,519 | ) | (1,249 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 2,861 | 1,784 | ||||||
|
|
|
| |||||
Class C | ||||||||
Issued | 214 | 616 | ||||||
Reinvested | 82 | 95 | ||||||
Redeemed | (424 | ) | (174 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (128 | ) | 537 | |||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 348 | 429 | ||||||
Reinvested | 26 | 5 | ||||||
Redeemed | (204 | ) | (69 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 170 | 365 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 885 | 527 | ||||||
Reinvested | 184 | 212 | ||||||
Redeemed | (681 | ) | (546 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 388 | 193 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 2,159 | 693 | ||||||
Reinvested | 160 | 77 | ||||||
Redeemed | (661 | ) | (205 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 1,658 | 565 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 9,586 | 13,382 | ||||||
Reinvested | 2,349 | 3,121 | ||||||
Redeemed | (12,663 | ) | (9,329 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | (728 | ) | 7,174 | |||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2016 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Intrepid Advantage Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2016 | $ | 34.01 | $ | 0.62 | (e) | $ | (0.87 | )(e) | $ | (0.25 | ) | $ | (0.56 | ) | ||||||
Year Ended June 30, 2015 | 31.93 | 0.28 | 2.02 | 2.30 | (0.22 | ) | ||||||||||||||
Year Ended June 30, 2014 | 25.54 | 0.20 | 6.37 | 6.57 | (0.18 | ) | ||||||||||||||
Year Ended June 30, 2013 | 21.13 | 0.21 | (f) | 4.44 | 4.65 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.60 | 0.13 | 0.63 | 0.76 | (0.23 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2016 | 33.29 | 0.44 | (e) | (0.85 | )(e) | (0.41 | ) | (0.40 | ) | |||||||||||
Year Ended June 30, 2015 | 31.38 | 0.12 | 1.98 | 2.10 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2014 | 25.14 | 0.05 | 6.26 | 6.31 | (0.07 | ) | ||||||||||||||
Year Ended June 30, 2013 | 20.81 | 0.10 | (f) | 4.37 | 4.47 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.25 | 0.04 | 0.62 | 0.66 | (0.10 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2016 | 34.22 | 0.68 | (e) | (0.86 | )(e) | (0.18 | ) | (0.64 | ) | |||||||||||
Year Ended June 30, 2015 | 32.07 | 0.37 | 2.04 | 2.41 | (0.26 | ) | ||||||||||||||
Year Ended June 30, 2014 | 25.65 | 0.28 | 6.39 | 6.67 | (0.25 | ) | ||||||||||||||
Year Ended June 30, 2013 | 21.21 | 0.28 | (f) | 4.45 | 4.73 | (0.29 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.70 | 0.19 | 0.62 | 0.81 | (0.30 | ) | ||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | As described in Note 2-G, amount reflects an out of period adjustment related to a corporate action involving two of the Fund’s holdings. Had the Fund not recorded the out of period adjustment, the net investment income (loss) per share would have been $0.33, $0.15 and $0.38, for Class A, Class C and Select Class Shares, respectively, the net realized and unrealized gains (losses) on investment per share would have been $(0.58), $(0.56) and $(0.56) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.99%, 0.47% and 1.14% for Class A, Class C 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 $0.17, $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, 2016 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 33.20 | (0.72 | )% | $ | 8,760 | 1.15 | % | 1.90 | %(e) | 1.95 | % | 31 | % | |||||||||||||
| 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 | (f) | 2.40 | 82 | |||||||||||||||||||
| 21.13 | 3.83 | 7,329 | 1.25 | 0.68 | 2.51 | 57 | ||||||||||||||||||||
| 32.48 | (1.21 | ) | 6,131 | 1.65 | 1.38 | (e) | 2.46 | 31 | ||||||||||||||||||
| 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 | (f) | 2.91 | 82 | |||||||||||||||||||
| 20.81 | 3.33 | 1,747 | 1.75 | 0.19 | 3.02 | 57 | ||||||||||||||||||||
| 33.40 | (0.48 | ) | 4,148 | 0.90 | 2.05 | (e) | 1.65 | 31 | ||||||||||||||||||
| 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 | (f) | 2.16 | 82 | |||||||||||||||||||
| 21.21 | 4.09 | 1,164 | 1.00 | 0.94 | 2.28 | 57 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 38.08 | $ | 0.34 | $ | (1.15 | ) | $ | (0.81 | ) | $ | (0.27 | ) | $ | (2.25 | ) | $ | (2.52 | ) | |||||||||
Year Ended June 30, 2015 | 37.28 | 0.44 | 2.57 | 3.01 | (0.38 | ) | (1.83 | ) | (2.21 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.76 | 0.30 | 7.49 | 7.79 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.68 | 0.34 | 5.15 | 5.49 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.19 | 0.10 | 0.29 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.74 | 0.18 | (1.15 | ) | (0.97 | ) | (0.15 | ) | (2.25 | ) | (2.40 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 36.99 | 0.22 | 2.57 | 2.79 | (0.21 | ) | (1.83 | ) | (2.04 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.53 | 0.13 | 7.42 | 7.55 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.48 | 0.20 | 5.12 | 5.32 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.29 | 0.07 | 0.12 | 0.19 | — | — | — | |||||||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 37.45 | 0.27 | (1.15 | ) | (0.88 | ) | (0.31 | ) | (2.25 | ) | (2.56 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 36.82 | 0.33 | 2.55 | 2.88 | (0.42 | ) | (1.83 | ) | (2.25 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.43 | 0.21 | 7.40 | 7.61 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.43 | 0.26 | 5.11 | 5.37 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.21 | 0.13 | 0.12 | 0.25 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 38.41 | 0.41 | (1.04 | ) | (0.63 | ) | — | (2.25 | ) | (2.25 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 37.54 | 0.60 | 2.61 | 3.21 | (0.51 | ) | (1.83 | ) | (2.34 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.94 | 0.46 | 7.54 | 8.00 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.84 | 0.46 | 5.19 | 5.65 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.69 | 0.30 | 0.10 | 0.40 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
November 2, 2015 (g) through June 30, 2016 | 39.15 | 0.41 | (1.77 | ) | (1.36 | ) | (0.51 | ) | (2.25 | ) | (2.76 | ) | ||||||||||||||||
Select Class |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 38.49 | 0.39 | (1.09 | ) | (0.70 | ) | (0.06 | ) | (2.25 | ) | (2.31 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 37.61 | 0.53 | 2.61 | 3.14 | (0.43 | ) | (1.83 | ) | (2.26 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 30.00 | 0.38 | 7.56 | 7.94 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.88 | 0.41 | 5.20 | 5.61 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.73 | 0.25 | 0.10 | 0.35 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 34.75 | (2.08 | )% | $ | 57,303 | 1.04 | % | 0.96 | % | 1.15 | % | 70 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 34.37 | (2.55 | ) | 12,599 | 1.54 | 0.50 | 1.62 | 70 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 34.01 | (2.30 | ) | 4,584 | 1.29 | 0.78 | 1.46 | 70 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.53 | (1.57 | ) | 3,920 | 0.54 | 1.08 | 0.55 | 70 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 35.03 | (3.39 | ) | 3,341,467 | 0.49 | 1.78 | 0.50 | 70 | |||||||||||||||||||
| 35.48 | (1.77 | ) | 246,679 | 0.74 | 1.04 | 0.75 | 70 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Intrepid Growth Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Year Ended June 30, 2016 | $ | 40.99 | $ | 0.27 | $ | (0.63 | ) | $ | (0.36 | ) | $ | (0.26 | ) | |||||||
Year Ended June 30, 2015 | 37.05 | 0.25 | 3.88 | 4.13 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2014 | 29.36 | 0.18 | (g) | 7.64 | 7.82 | (0.13 | ) | |||||||||||||
Year Ended June 30, 2013 | 25.00 | 0.21 | 4.34 | 4.55 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2012 | 24.39 | 0.10 | 0.57 | 0.67 | (0.06 | ) | ||||||||||||||
Class C |
| |||||||||||||||||||
Year Ended June 30, 2016 | 40.26 | 0.07 | (0.61 | ) | (0.54 | ) | (0.09 | ) | ||||||||||||
Year Ended June 30, 2015 | 36.45 | 0.05 | 3.81 | 3.86 | (0.05 | ) | ||||||||||||||
Year Ended June 30, 2014 | 28.93 | 0.01 | (g) | 7.52 | 7.53 | (0.01 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.64 | 0.07 | 4.27 | 4.34 | (0.05 | ) | ||||||||||||||
Year Ended June 30, 2012 | 24.09 | (0.02 | ) | 0.57 | 0.55 | — | ||||||||||||||
Class R2 |
| |||||||||||||||||||
Year Ended June 30, 2016 | 40.39 | 0.19 | (0.63 | ) | (0.44 | ) | (0.29 | ) | ||||||||||||
Year Ended June 30, 2015 | 36.49 | 0.12 | 3.85 | 3.97 | (0.07 | ) | ||||||||||||||
Year Ended June 30, 2014 | 28.91 | 0.09 | (g) | 7.54 | 7.63 | (0.05 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.72 | 0.13 | 4.27 | 4.40 | (0.21 | ) | ||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | 0.54 | 0.61 | (0.02 | ) | ||||||||||||||
Class R5 |
| |||||||||||||||||||
Year Ended June 30, 2016 | 41.12 | 0.45 | (0.62 | ) | (0.17 | ) | (0.44 | ) | ||||||||||||
Year Ended June 30, 2015 | 37.09 | 0.41 | 3.91 | 4.32 | (0.29 | ) | ||||||||||||||
Year Ended June 30, 2014 | 29.41 | 0.33 | (g) | 7.65 | 7.98 | (0.30 | ) | |||||||||||||
Year Ended June 30, 2013 | 25.05 | 0.33 | 4.34 | 4.67 | (0.31 | ) | ||||||||||||||
Year Ended June 30, 2012 | 24.45 | 0.21 | 0.57 | 0.78 | (0.18 | ) | ||||||||||||||
Class R6 |
| |||||||||||||||||||
November 2, 2015 (h) through June 30, 2016 | 42.20 | 0.36 | (1.60 | ) | (1.24 | ) | (0.46 | ) | ||||||||||||
Select Class |
| |||||||||||||||||||
Year Ended June 30, 2016 | 41.27 | 0.29 | (0.55 | ) | (0.26 | ) | (0.02 | ) | ||||||||||||
Year Ended June 30, 2015 | 37.23 | 0.32 | 3.93 | 4.25 | (0.21 | ) | ||||||||||||||
Year Ended June 30, 2014 | 29.52 | 0.26 | (g) | 7.69 | 7.95 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2013 | 25.15 | 0.28 | 4.35 | 4.63 | (0.26 | ) | ||||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.16 | 0.57 | 0.73 | (0.13 | ) | ||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return sales | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio rate (c)(f) | ||||||||||||||||||||
| $ | 40.37 | (0.88 | )% | $ | 90,529 | 0.93 | % | 0.66 | % | 1.23 | % | 70 | % | |||||||||||||
| 40.99 | 11.16 | 106,573 | 0.96 | 0.62 | 1.16 | 64 | ||||||||||||||||||||
| 37.05 | 26.68 | 33,563 | 1.16 | 0.54 | (g) | 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 | ||||||||||||||||||||
| 39.63 | (1.35 | ) | 48,717 | 1.42 | 0.19 | 1.71 | 70 | |||||||||||||||||||
| 40.26 | 10.60 | 49,309 | 1.46 | 0.12 | 1.66 | 64 | ||||||||||||||||||||
| 36.45 | 26.05 | 19,566 | 1.65 | 0.03 | (g) | 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 | |||||||||||||||||||
| 39.66 | (1.10 | ) | 4,207 | 1.17 | 0.50 | 1.76 | 70 | |||||||||||||||||||
| 40.39 | 10.87 | 1,205 | 1.22 | 0.31 | 1.45 | 64 | ||||||||||||||||||||
| 36.49 | 26.41 | 601 | 1.41 | 0.28 | (g) | 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 | ||||||||||||||||||||
| 40.51 | (0.42 | ) | 205,213 | 0.47 | 1.13 | 0.74 | 70 | |||||||||||||||||||
| 41.12 | 11.66 | 189,466 | 0.54 | 1.02 | 0.70 | 64 | ||||||||||||||||||||
| 37.09 | 27.23 | 124,489 | 0.71 | 0.98 | (g) | 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 | ||||||||||||||||||||
| 40.50 | (2.94 | ) | 488,138 | 0.42 | 1.38 | 0.61 | 70 | |||||||||||||||||||
| 40.99 | (0.63 | ) | 151,419 | 0.68 | 0.70 | 0.88 | 70 | |||||||||||||||||||
| 41.27 | 11.43 | 708,276 | 0.74 | 0.80 | 0.87 | 64 | ||||||||||||||||||||
| 37.23 | 27.00 | 597,963 | 0.91 | 0.79 | (g) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (b) | 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, 2016 | $ | 21.82 | $ | 0.15 | $ | (0.64 | ) | $ | (0.49 | ) | $ | (0.13 | ) | $ | (1.72 | ) | $ | (1.85 | ) | |||||||||
Year Ended June 30, 2015 | 24.11 | 0.08 | 1.18 | 1.26 | (0.09 | ) | (3.46 | ) | (3.55 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 18.79 | 0.08 | (g) | 5.41 | 5.49 | (0.07 | ) | (0.10 | ) | (0.17 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 14.99 | 0.13 | (h) | 3.80 | 3.93 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 15.79 | 0.10 | (0.79 | ) | (0.69 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 19.07 | 0.03 | (0.58 | ) | (0.55 | ) | (0.08 | ) | (1.72 | ) | (1.80 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 21.56 | (0.06 | ) | 1.06 | 1.00 | (0.03 | ) | (3.46 | ) | (3.49 | ) | |||||||||||||||||
Year Ended June 30, 2014 | 16.87 | (0.05 | )(g) | 4.84 | 4.79 | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.48 | 0.02 | (h) | 3.41 | 3.43 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 14.24 | 0.01 | (0.72 | ) | (0.71 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
November 2, 2015 (i) through June 30, 2016 | 22.41 | 0.20 | (0.29 | ) | (0.09 | ) | (0.18 | ) | (1.72 | ) | (1.90 | ) | ||||||||||||||||
Select Class |
| |||||||||||||||||||||||||||
Year Ended June 30, 2016 | 22.77 | 0.19 | (0.64 | ) | (0.45 | ) | (0.17 | ) | (1.72 | ) | (1.89 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 24.97 | 0.14 | 1.24 | 1.38 | (0.12 | ) | (3.46 | ) | (3.58 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 19.45 | 0.14 | (g) | 5.60 | 5.74 | (0.12 | ) | (0.10 | ) | (0.22 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 15.51 | 0.18 | (h) | 3.93 | 4.11 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.33 | 0.14 | (0.82 | ) | (0.68 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | 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. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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) | 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. |
| (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 $0.08, $(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. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c)(f) | ||||||||||||||||||||
| $ | 19.48 | (1.71 | )% | $ | 311,724 | 1.15 | % | 0.77 | % | 1.44 | % | 78 | % | |||||||||||||
| 21.82 | 5.64 | 377,893 | 1.14 | 0.33 | 1.37 | 66 | ||||||||||||||||||||
| 24.11 | 29.30 | 193,342 | 1.16 | 0.38 | (g) | 1.32 | 64 | |||||||||||||||||||
| 18.79 | 26.30 | 144,405 | 1.23 | 0.78 | (h) | 1.38 | 52 | |||||||||||||||||||
| 14.99 | (4.36 | ) | 122,217 | 1.24 | 0.68 | 1.38 | 51 | |||||||||||||||||||
| 16.72 | (2.35 | ) | 89,071 | 1.79 | 0.15 | 1.96 | 78 | |||||||||||||||||||
| 19.07 | 5.02 | 87,191 | 1.78 | (0.31 | ) | 1.87 | 66 | |||||||||||||||||||
| 21.56 | 28.43 | 49,796 | 1.79 | (0.25 | )(g) | 1.82 | 64 | |||||||||||||||||||
| 16.87 | 25.51 | 36,073 | 1.87 | 0.13 | (h) | 1.88 | 52 | |||||||||||||||||||
| 13.48 | (4.97 | ) | 28,079 | 1.88 | 0.04 | 1.88 | 51 | |||||||||||||||||||
| 20.42 | 0.12 | 304,934 | 0.65 | 1.53 | 0.78 | 78 | ||||||||||||||||||||
| 20.43 | (1.48 | ) | 258,866 | 0.90 | 0.93 | 1.13 | 78 | |||||||||||||||||||
| 22.77 | 5.97 | 510,465 | 0.89 | 0.58 | 1.07 | 66 | ||||||||||||||||||||
| 24.97 | 29.61 | 348,077 | 0.91 | 0.62 | (g) | 1.08 | 64 | |||||||||||||||||||
| 19.45 | 26.60 | 327,834 | 0.98 | 1.03 | (h) | 1.13 | 52 | |||||||||||||||||||
| 15.51 | (4.11 | ) | 269,693 | 0.99 | 0.94 | 1.13 | 51 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2016 | 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) (a) | 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, 2016 | $ | 35.66 | $ | 0.53 | $ | (2.95 | ) | $ | (2.42 | ) | $ | (0.49 | ) | $ | (1.55 | ) | $ | (2.04 | ) | |||||||||
Year Ended June 30, 2015 | 37.13 | 0.46 | 1.38 | 1.84 | (0.44 | ) | (2.87 | ) | (3.31 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.76 | 0.40 | 7.36 | 7.76 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 23.99 | 0.42 | 5.79 | 6.21 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.35 | 0.35 | (0.34 | ) | 0.01 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.29 | 0.36 | (2.91 | ) | (2.55 | ) | (0.32 | ) | (1.55 | ) | (1.87 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 36.80 | 0.27 | 1.37 | 1.64 | (0.28 | ) | (2.87 | ) | (3.15 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.52 | 0.23 | 7.28 | 7.51 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 23.80 | 0.29 | 5.74 | 6.03 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.16 | 0.24 | (0.35 | ) | (0.11 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.48 | 0.44 | (2.92 | ) | (2.48 | ) | (0.41 | ) | (1.55 | ) | (1.96 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 37.02 | 0.35 | 1.40 | 1.75 | (0.42 | ) | (2.87 | ) | (3.29 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.69 | 0.31 | 7.33 | 7.64 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 23.95 | 0.30 | 5.83 | 6.13 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.31 | 0.29 | (0.33 | ) | (0.04 | ) | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.88 | 0.64 | (2.95 | ) | (2.31 | ) | (0.60 | ) | (1.55 | ) | (2.15 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 37.33 | 0.59 | 1.39 | 1.98 | (0.56 | ) | (2.87 | ) | (3.43 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.52 | 7.40 | 7.92 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.52 | 5.82 | 6.34 | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (0.34 | ) | 0.09 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.89 | 0.66 | (2.97 | ) | (2.31 | ) | (0.61 | ) | (1.55 | ) | (2.16 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 37.33 | 0.61 | 1.39 | 2.00 | (0.57 | ) | (2.87 | ) | (3.44 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.47 | 7.46 | 7.93 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.53 | 5.83 | 6.36 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (0.33 | ) | 0.10 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2016 | 35.80 | 0.57 | (2.95 | ) | (2.38 | ) | (0.53 | ) | (1.55 | ) | (2.08 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 37.25 | 0.51 | 1.40 | 1.91 | (0.49 | ) | (2.87 | ) | (3.36 | ) | ||||||||||||||||||
Year Ended June 30, 2014 | 29.85 | 0.45 | 7.38 | 7.83 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Year Ended June 30, 2013 | 24.06 | 0.46 | 5.81 | 6.27 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||
Year Ended June 30, 2012 | 24.42 | 0.39 | (0.35 | ) | 0.04 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
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, period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 31.20 | (6.70 | )% | $ | 240,808 | 0.83 | % | 1.64 | % | 1.18 | % | 66 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 30.87 | (7.16 | ) | 42,788 | 1.33 | 1.12 | 1.62 | 66 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 31.04 | (6.91 | ) | 17,721 | 1.08 | 1.39 | 1.75 | 66 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 31.42 | (6.35 | ) | 85,624 | 0.48 | 1.98 | 0.61 | 66 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.42 | (6.33 | ) | 86,255 | 0.43 | 2.07 | 0.51 | 66 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.34 | (6.56 | ) | 1,224,039 | 0.68 | 1.77 | 0.91 | 66 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
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AS OF JUNE 30, 2016
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, Class R6* and Select Class | JPM I | Diversified | |||
| Intrepid Growth Fund | Class A, Class C, Class R2, Class R5, Class R6* and Select Class | JPM I | Diversified | |||
| Intrepid Mid Cap Fund | Class A, Class C, Class R6* 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 |
| * | Class R6 Shares commenced operations on November 2, 2015 for Intrepid America Fund, Intrepid Growth Fund and Intrepid Mid Cap Fund. |
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 transfer agency, sub-transfer agency, 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.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.
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 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.
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 affiliated and unaffiliated 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.
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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.
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 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 | Total | |||||||||||||
Total Investments in Securities (a) | $ | 19,102 | $ | — | $ | — | $ | 19,102 | ||||||||
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| Intrepid America Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,703,260 | $ | — | $ | — | $ | 3,703,260 | ||||||||
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Futures Contracts | $ | 1,153 | $ | — | $ | — | $ | 1,153 | ||||||||
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| Intrepid Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 980,918 | $ | — | $ | — | $ | 980,918 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
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| Intrepid Mid Cap Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (b) | $ | 959,140 | $ | — | $ | 14 | $ | 959,154 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 218 | $ | — | $ | — | $ | 218 | ||||||||
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| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
| Intrepid Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,691,031 | $ | — | $ | — | $ | 1,691,031 | ||||||||
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Futures Contracts | $ | 837 | $ | — | $ | — | $ | 837 | ||||||||
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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. |
| (b) | Portfolio holdings designated in level 1 and level 3 are disclosed individually in the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of the portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2016.
B. Futures Contracts — Intrepid America Fund, Intrepid Growth Fund, Intrepid Mid Cap Fund and Intrepid Value Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to 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, 2016 (amounts in thousands):
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 97,167 | $ | 27,931 | $ | 21,901 | $ | 40,741 | ||||||||
Ending Notional Balance Long | 84,549 | 26,128 | 16,274 | 45,148 | ||||||||||||
The Funds’ futures contracts are not subject to master netting agreements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
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D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):
| Class A | Class C | Class R2 | Class R5 | Class R6 | Select Class | Total | ||||||||||||||||||||||
Intrepid Advantage Fund | ||||||||||||||||||||||||||||
Transfer agency fees | $ | 4 | $ | 2 | n/a | n/a | n/a | $ | 1 | $ | 7 | |||||||||||||||||
Sub-transfer agency fees | 6 | 6 | n/a | n/a | n/a | 1 | 13 | |||||||||||||||||||||
Intrepid America Fund | ||||||||||||||||||||||||||||
Transfer agency fees | 14 | 2 | $ | 1 | $ | 10 | $ | 15 | 11 | 53 | ||||||||||||||||||
Sub-transfer agency fees | 156 | 15 | 8 | 2 | — | 9 | 190 | |||||||||||||||||||||
Intrepid Growth Fund | ||||||||||||||||||||||||||||
Transfer agency fees | 19 | 3 | 1 | 3 | 3 | 7 | 36 | |||||||||||||||||||||
Sub-transfer agency fees | 99 | 47 | 9 | 152 | — | 73 | 380 | |||||||||||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||||||||||||||
Transfer agency fees | 59 | 9 | n/a | n/a | 3 | 14 | 85 | |||||||||||||||||||||
Sub-transfer agency fees | 452 | 140 | n/a | n/a | — | 310 | 902 | |||||||||||||||||||||
Intrepid Value Fund | ||||||||||||||||||||||||||||
Transfer agency fees | 199 | 4 | 38 | 3 | 2 | 16 | 262 | |||||||||||||||||||||
Sub-transfer agency fees | 220 | 49 | 36 | 39 | — | 1,873 | 2,217 | |||||||||||||||||||||
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, 2016, 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 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 | $ | — | (a) | $ | (13 | ) | $ | 13 | ||||
Intrepid America Fund | — | (a) | (2,274 | ) | 2,274 | |||||||
Intrepid Growth Fund | — | (a) | (493 | ) | 493 | |||||||
Intrepid Mid Cap Fund | — | 83 | (83 | ) | ||||||||
Intrepid Value Fund | — | (a) | (269 | ) | 269 | |||||||
| (a) | Amount rounds to less than $500. |
The reclassifications for the Funds relate primarily to non-taxable dividends and redesignation of distributions.
G. Out of Period Adjustment — The Intrepid Advantage Fund recorded an out of period adjustment in the June 30, 2016 financial statements which resulted in an increase to Dividend income of approximately $184,000 and a decrease to unrealized and realized gains on investments of approximately $46,000 and $138,000, as well as the changes to the Financial Highlights as disclosed therein, respectively. This adjustment resulted from a misclassification in the June 30, 2015 financial statements whereby income earned from a merger of two of the Fund’s non-affiliate holdings was incorrectly recorded as realized gain on investments. Management has evaluated the adjustment and concluded that it is not material to the previously issued 2015 or the current year annual financial statements.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 |
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 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, 2016, the effective annualized 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 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 C | Class R2 | ||||||||||
Intrepid Advantage Fund | 0.25 | % | 0.75 | % | n/a | |||||||
Intrepid America Fund | 0.25 | 0.75 | 0.50 | % | ||||||||
Intrepid Growth Fund | 0.25 | 0.75 | 0.50 | |||||||||
Intrepid Mid Cap Fund | 0.25 | 0.75 | n/a | |||||||||
Intrepid Value Fund | 0.25 | 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 C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid Advantage Fund | $ | 1 | $ | — | (a) | |||
Intrepid America Fund | 4 | — | (a) | |||||
Intrepid Growth Fund | 16 | 1 | ||||||
Intrepid Mid Cap Fund | 33 | 1 | ||||||
Intrepid Value Fund | 11 | — | (a) | |||||
| (a) | Amount rounds to less than $500. |
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 C | Class R2 | Class R5 | Select Class | ||||||||||||||||
Intrepid Advantage Fund | 0.25 | % | 0.25 | % | n/a | n/a | 0.25 | % | ||||||||||||
Intrepid America Fund | 0.25 | 0.25 | 0.25 | % | 0.05 | % | 0.25 | |||||||||||||
Intrepid Growth Fund | 0.25 | 0.25 | 0.25 | 0.05 | 0.25 | |||||||||||||||
Intrepid Mid Cap Fund | 0.25 | 0.25 | n/a | n/a | 0.25 | |||||||||||||||
Intrepid Value Fund | 0.25 | 0.25 | 0.25 | 0.05 | 0.25 | |||||||||||||||
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The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing 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/or 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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Class R5 | Class R6 | Select Class | |||||||||||||||||||
Intrepid Advantage Fund | 1.15 | % | 1.65 | % | n/a | n/a | n/a | 0.90 | % | |||||||||||||||
Intrepid America Fund | 1.04 | 1.54 | 1.29 | % | 0.60 | % | 0.55 | % | 0.80 | |||||||||||||||
Intrepid Growth Fund | 0.93 | 1.42 | 1.17 | 0.48 | 0.43 | 0.68 | ||||||||||||||||||
Intrepid Mid Cap Fund | 1.15 | 1.79 | n/a | n/a | 0.65 | 0.90 | ||||||||||||||||||
Intrepid Value Fund | 0.83 | 1.33 | 1.08 | 0.48 | 0.43 | 0.68 | ||||||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2016 and are in place until at least October 31, 2016.
For the year ended June 30, 2016, 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 | $ | 118 | $ | 17 | $ | 20 | $ | 155 | $ | 5 | ||||||||||
Intrepid America Fund | — | — | 131 | 131 | 6 | |||||||||||||||
Intrepid Growth Fund | 1,144 | 763 | 324 | 2,231 | 52 | |||||||||||||||
Intrepid Mid Cap Fund | 675 | 448 | 895 | 2,018 | 1 | |||||||||||||||
Intrepid Value Fund | 861 | 574 | 2,536 | 3,971 | 199 | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.
The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):
Intrepid Advantage Fund | $ | 1 | ||
Intrepid America Fund | 202 | |||
Intrepid Growth Fund | 60 | |||
Intrepid Mid Cap Fund | 40 | |||
Intrepid Value Fund | 86 |
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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
During the year ended June 30, 2016, Intrepid Mid Cap Fund 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, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):
Intrepid America Fund | $ | — | (a) | |
Intrepid Growth Fund | — | (a) | ||
Intrepid Mid Cap Fund | 1 | |||
Intrepid Value Fund | 9 |
| (a) | Amount rounds to less than $500. |
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, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. | Sales (excluding U.S. Government) | |||||||
Intrepid Advantage Fund | $ | 6,266 | $ | 9,202 | ||||
Intrepid America Fund | 2,550,225 | 2,483,017 | ||||||
Intrepid Growth Fund | 700,445 | 746,420 | ||||||
Intrepid Mid Cap Fund | 707,571 | 692,967 | ||||||
Intrepid Value Fund | 1,151,630 | 1,106,032 | ||||||
During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid Advantage Fund | $ | 15,371 | $ | 4,373 | $ | 642 | $ | 3,731 | ||||||||
Intrepid America Fund | 3,232,209 | 599,680 | 128,629 | 471,051 | ||||||||||||
Intrepid Growth Fund | 805,213 | 205,291 | 29,586 | 175,705 | ||||||||||||
Intrepid Mid Cap Fund | 843,956 | 164,618 | 49,420 | 115,198 | ||||||||||||
Intrepid Value Fund | 1,526,915 | 251,901 | 87,785 | 164,116 | ||||||||||||
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, 2016 was as follows (amounts in thousands):
| Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Intrepid Advantage Fund | $ | 328 | $ | — | $ | 328 | ||||||
Intrepid America Fund | 49,123 | 221,873 | 270,996 | |||||||||
Intrepid Growth Fund | 9,436 | — | 9,436 | |||||||||
Intrepid Mid Cap Fund | 19,785 | 59,343 | 79,128 | |||||||||
Intrepid Value Fund | 34,523 | 75,728 | 110,251 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
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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 | |||||||||
| * | Short-term gains are treated as ordinary income for income tax purposes. |
As of June 30, 2016, 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 | $ | 79 | $ | (1,835 | ) | $ | 3,731 | |||||
Intrepid America Fund | 27,153 | 67,522 | 471,051 | |||||||||
Intrepid Growth Fund | 5,225 | (121,929 | ) | 175,705 | ||||||||
Intrepid Mid Cap Fund | 1,122 | 190 | 115,198 | |||||||||
Intrepid Value Fund | 1,510 | 725 | 164,116 | |||||||||
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, wash sale loss deferrals and mark to market of futures contracts.
As of June 30, 2016, 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 | $ | — | $ | 1,835 | $ | 1,835 | ||||||
Intrepid Growth Fund | 121,929 | — | 121,929 | |||||||||
During the year ended June 30, 2016, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Intrepid Advantage Fund | $ | 281 | ||
Intrepid Growth | 40,858 |
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, 2016, the following Funds deferred to July 1, 2016 net capital losses of (amounts in thousands):
| Net Capital Losses | ||||||||
| Short-Term | Long-Term | |||||||
Intrepid Growth Fund | $ | 21,993 | $ | — | ||||
Intrepid Mid Cap Fund | 20,915 | (358 | ) | |||||
Intrepid Value Fund | 47,422 | (22,829 | ) | |||||
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.
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).
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2016 (continued)
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 7, 2016.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, 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.
As of June 30, 2016, the Funds had omnibus accounts which represented the percentage of each Fund’s net assets as follows:
| Number of Affiliated Omnibus Accounts | % of the Fund | Number of Non-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Intrepid Advantage Fund | 2 | 12.2 | % | 2 | 10.3 | % | ||||||||||
Intrepid Mid Cap Fund | 2 | 12.9 | — | n/a | ||||||||||||
Intrepid Value Fund | — | n/a | 2 | 52.6 | ||||||||||||
As of June 30, 2016, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Intrepid America Fund | 28.8 | % | 60.9 | % | ||||
Intrepid Growth Fund | 48.7 | n/a | ||||||
Intrepid Mid Cap Fund | 31.6 | n/a | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
8. Subsequent Event
Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.
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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, 2016, 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, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 29, 2016
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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). | 152 | 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). | 152 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 152 | 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). | |||
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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) | ||||||
| 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). | 152 | 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). | 152 | None | |||
| 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). | 152 | 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 twelve registered investment companies (152 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 was 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 | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, J.P. Morgan Investment Management Inc. (formerly 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. | |
| 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. | |
| 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, J.P. Morgan Investment Management Inc. (formerly 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. | |
| Lauren A. Paino (1973), Assistant Treasurer (2014) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Julie A. Roach (1971), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly 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, J.P. Morgan Investment Management Inc. (formerly 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 1111 Polaris Parkway, Columbus, OH 43240. |
| ** | 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, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.
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, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.90 | $ | 5.73 | 1.15 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.77 | 1.15 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,001.50 | 8.21 | 1.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.66 | 8.27 | 1.65 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,005.10 | 4.49 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Intrepid America Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 994.60 | 5.21 | 1.05 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.27 | 1.05 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 992.20 | 7.58 | 1.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.26 | 7.67 | 1.53 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 993.60 | 6.34 | 1.28 | ||||||||||||
Hypothetical | �� | 1,000.00 | 1,018.50 | 6.42 | 1.28 | |||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 996.90 | 2.93 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 2.97 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 997.40 | 2.43 | 0.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.43 | 2.46 | 0.49 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 996.10 | 3.72 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 69 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 992.40 | $ | 4.61 | 0.93 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.24 | 4.67 | 0.93 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 990.00 | 7.03 | 1.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.80 | 7.12 | 1.42 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 991.00 | 5.79 | 1.17 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.05 | 5.87 | 1.17 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 994.60 | 2.38 | 0.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.48 | 2.41 | 0.48 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 994.80 | 2.08 | 0.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.77 | 2.11 | 0.42 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 993.50 | 3.37 | 0.68 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.48 | 3.42 | 0.68 | ||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,039.30 | 5.83 | 1.15 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.77 | 1.15 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,036.20 | 9.01 | 1.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.01 | 8.92 | 1.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,042.20 | 3.30 | 0.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,041.20 | 4.57 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 994.80 | 4.12 | 0.83 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.74 | 4.17 | 0.83 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 992.20 | 6.59 | 1.33 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.25 | 6.67 | 1.33 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 993.70 | 5.35 | 1.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.42 | 1.08 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 996.50 | 2.38 | 0.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.48 | 2.41 | 0.48 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 996.80 | 2.13 | 0.43 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.73 | 2.16 | 0.43 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 995.50 | 3.37 | 0.68 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.48 | 3.42 | 0.68 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| 70 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2016 | ||||
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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, 2016. 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, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 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, 2016:
| Dividends Received Deduction | ||||
Intrepid Advantage Fund | 100.00 | % | ||
Intrepid America Fund | 100.00 | |||
Intrepid Growth Fund | 100.00 | |||
Intrepid Mid Cap Fund | 92.08 | |||
Intrepid Value 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, 2016 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Intrepid America Fund | $ | 221,873 | ||
Intrepid Mid Cap Fund | 59,343 | |||
Intrepid Value Fund | 75,728 | |||
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, 2016 (amounts in thousands):
| Qualified Dividend Income | ||||
Intrepid Advantage Fund | $ | 328 | ||
Intrepid America Fund | 49,123 | |||
Intrepid Growth Fund | 9,436 | |||
Intrepid Mid Cap Fund | 19,516 | |||
Intrepid Value Fund | 34,523 | |||
| JUNE 30, 2016 | J.P. MORGAN INTREPID FUNDS | 71 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and 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 businesses 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., 2016. All rights reserved. June 2016. | AN-INT-616 |
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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)).
Effective January 1, 2016, James Schonbachler replaced Mitchell Merin as the audit committee financial expert. 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
2016 – $404,260
2015 – $382,500
(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
2016 – $56,400
2015 – $55,000
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2016 – $148,190
2015 – $140,430
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
2016 – 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.
2016 – 0.0%
2015 – 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.
Not applicable - Less than 50%.
(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:
2015 - $29.4 million
2014 - $30.8 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time
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periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
Table of Contents
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/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Office | ||
| September 1, 2016 | ||
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/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| September 1, 2016 | ||
| By: | /s/ Laura M. Del Prato | |
| Laura M. Del Prato | ||
| Treasurer and Principal Financial Officer | ||
| September 1, 2016 | ||