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, 2017 through December 31, 2017
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.
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).
Semi-Annual Report
J.P. Morgan Small Cap Funds
December 31, 2017 (Unaudited)
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
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
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 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 1 | |
J.P. Morgan Small Cap Funds
MARKET OVERVIEW
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month. Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period.
Meanwhile, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the reporting period and on November 3, 2017, fell to its lowest-ever level.
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| 2 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 17.69% | |
| Russell 2000 Growth Index | | | 11.09% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 197,934 | |
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, outperformed the Russell 2000 Growth Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the health care and technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the energy and consumer staples sectors made the smallest contribution to relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nektar Therapeutics, Kite Pharma Inc. and Ignyta Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its anti-cancer treatment. Shares of Kite Pharma, a drug maker, rose on news reports that the company had agreed to an acquisition offer from Gilead Sciences Inc. Shares of Ignyta, an anti-cancer drug maker, rose after the company said it agreed to be acquired by Roche Holdings Inc.
Leading individual detractors from relative performance included the Fund’s overweight positions in Evolent Health Inc., GenMark Diagnostics Inc. and Acadia Healthcare Co. Shares of Evolent Health, a provider of health care consulting, fell after the company reported slower earnings growth and announced plans to raise capital through an issuance of common stock. Shares of GenMark Diagnostics, a medical testing and diagnostics company, fell after the company reported 2017 second quarter and third quarter earnings below expectations and after the company lowered its earnings forecast. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017.
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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Boyd Gaming Corp. | | | 1.8 | % |
| | 2. | | | GrubHub, Inc. | | | 1.8 | |
| | 3. | | | John Bean Technologies Corp. | | | 1.7 | |
| | 4. | | | Performance Food Group Co. | | | 1.5 | |
| | 5. | | | Nektar Therapeutics | | | 1.5 | |
| | 6. | | | Lithia Motors, Inc., Class A | | | 1.5 | |
| | 7. | | | Wolverine World Wide, Inc. | | | 1.4 | |
| | 8. | | | Paycom Software, Inc. | | | 1.4 | |
| | 9. | | | Ferro Corp. | | | 1.4 | |
| | 10. | | | Evercore, Inc., Class A | | | 1.4 | |
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PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 25.7 | % |
| Health Care | | | 20.4 | |
| Industrials | | | 19.1 | |
| Consumer Discretionary | | | 14.6 | |
| Financials | | | 5.5 | |
| Consumer Staples | | | 4.4 | |
| Materials | | | 3.9 | |
| Real Estate | | | 1.7 | |
| Energy | | | 1.1 | |
| Utilities | | | 0.6 | |
| Short-Term Investment | | | 3.0 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 3 | |
JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | May 19, 1997 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 11.52 | % | | | 34.00 | % | | | 15.67 | % | | | 7.86 | % |
Without Sales Charge | | | | | 17.69 | | | | 41.45 | | | | 16.93 | | | | 8.44 | |
CLASS C SHARES | | January 7, 1998 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 16.39 | | | | 39.73 | | | | 16.34 | | | | 7.86 | |
Without CDSC | | | | | 17.39 | | | | 40.73 | | | | 16.34 | | | | 7.86 | |
CLASS I SHARES | | April 5, 1999 | | | 17.83 | | | | 41.82 | | | | 17.24 | | | | 8.78 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 December 31, 2007 to December 31, 2017. 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 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.
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| 4 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Core Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class R5 Shares)* | | | 9.95% | |
| Russell 2000 Index | | | 9.20% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 266,229 | |
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 Class R5 Shares outperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrial cyclical and pharmaceutical sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the software & services sector and the health services & systems sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in General Cable Corp., Anaptysbio Inc. and Extreme Networks Inc. Shares of General Cable, a maker of electrical and fiber-optic cable, rose after the company agreed to a $3 billion takeover offer from Prysmian SpA. Shares of Anaptysbio, a drug development company, rose after the company reported positive data from a clinical trial of its eczema drug. Shares of Extreme Networks, a provider of information network equipment and services, rose on better-than-expected earnings in each quarter of 2017.
Leading individual detractors from relative performance included the Fund’s overweight positions in Office Depot Inc., Spark Energy Inc. and Unisys Corp. Shares of Office Depot, an office products retail chain, fell after the company forecast a drop in 2017 sales due to store closures and the impact of hurricanes. Shares of Spark Energy, an electricity and natural gas utility, fell after a lawsuit raised investor concerns about the company’s accounting practices and its ability to continue operating in New York State. Shares of Unisys, an information technology services provider, fell after the company reported lower-than-expected earnings and a decline in revenue for the second quarter of 2017.
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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Trinseo SA | | | 1.1 | % |
| | 2. | | | Meritor, Inc. | | | 1.1 | |
| | 3. | | | ArcBest Corp. | | | 1.0 | |
| | 4. | | | Taylor Morrison Home Corp., Class A | | | 1.0 | |
| | 5. | | | Popular, Inc., (Puerto Rico) | | | 0.9 | |
| | 6. | | | Extreme Networks, Inc. | | | 0.9 | |
| | 7. | | | Wintrust Financial Corp. | | | 0.9 | |
| | 8. | | | Masimo Corp. | | | 0.9 | |
| | 9. | | | East West Bancorp, Inc. | | | 0.9 | |
| | 10. | | | Integer Holdings Corp. | | | 0.9 | |
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PORTFOLIO COMPOSITION BY SECTOR*** | |
| Industrials | | | 19.2 | % |
| Financials | | | 17.2 | |
| Health Care | | | 15.5 | |
| Information Technology | | | 15.4 | |
| Consumer Discretionary | | | 10.8 | |
| Real Estate | | | 6.4 | |
| Materials | | | 4.6 | |
| Energy | | | 3.2 | |
| Utilities | | | 2.9 | |
| Consumer Staples | | | 2.2 | |
| Telecommunication Services | | | 0.0 | (a) |
| Short-Term Investment | | | 2.6 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| (a) | | Amount rounds to less than 0.05%. |
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 5 | |
JPMorgan Small Cap Core Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | May 31, 2016 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 3.94 | % | | | 8.76 | % | | | 14.08 | % | | | 8.96 | % |
Without Sales Charge | | | | | 9.70 | | | | 14.79 | | | | 15.32 | | | | 9.55 | |
CLASS C SHARES | | May 31, 2016 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 8.41 | | | | 13.21 | | | | 15.14 | | | | 9.46 | |
Without CDSC | | | | | 9.41 | | | | 14.21 | | | | 15.14 | | | | 9.46 | |
CLASS I SHARES | | January 3, 2017 | | | 9.84 | | | | 15.05 | | | | 15.43 | | | | 9.61 | |
CLASS R2 SHARES | | July 31, 2017 | | | 9.55 | | | | 14.48 | | | | 14.68 | | | | 8.87 | |
CLASS R3 SHARES | | July 31, 2017 | | | 9.70 | | | | 14.77 | | | | 14.97 | | | | 9.14 | |
CLASS R4 SHARES | | July 31, 2017 | | | 9.82 | | | | 15.05 | | | | 15.25 | | | | 9.41 | |
CLASS R5 SHARES | | January 1, 1997 | | | 9.95 | | | | 15.30 | | | | 15.48 | | | | 9.63 | |
CLASS R6 SHARES | | May 31, 2016 | | | 9.96 | | | | 15.34 | | | | 15.50 | | | | 9.64 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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, Class I, Class R2, Class R3, Class R4 and Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns of Class A, Class C, Class I, Class R2, Class R3 and Class R4 Shares would have been lower than those shown because Class A, Class C, Class I, Class R2, Class R3 and Class R4 Shares have higher expenses than Class R5 Shares. The actual returns of the 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 Class R5 Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class R5 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.
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| 6 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 8.24% | |
| Russell 2000 Index | | | 9.20% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 6,472,986 | |
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, underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2017. 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 financial services and technology sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Toro Co., Spectrum Brands Holdings Inc. and Papa John’s International Inc. Shares of Toro, a maker of landscaping and irrigation products that was not held in the Benchmark, fell after the company reported lower-than-expected sales for the third quarter of 2017 and cut its forecast for full-year 2017 earnings. Shares of Spectrum Brands, a consumer products maker that was not held in the Benchmark, fell after the company reported lower-than-expected earnings for its 2017 fiscal fourth quarter. Shares of Papa John’s International, a fast-food pizza chain, fell amid declining sales and the resignation of the company’s founder as chief executive.
Leading individual contributors to relative performance included the Fund’s overweight positions in GrubHub Inc., Splunk Inc. and Cabot Microelectronics Corp. Shares of GrubHub, an online food delivery and take-out service, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017. Shares of Splunk, a software provider not held in the Benchmark, rose after the company reported better-than-expected earnings and sales for the third quarter of 2017. Shares of Cabot Microelectronics, a maker of semiconductor manufacturing materials, rose after the company reported better-than-expected revenue for the third quarter of 2017.
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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Toro Co. (The) | | | 2.4 | % |
| | 2. | | | AptarGroup, Inc. | | | 2.2 | |
| | 3. | | | Pool Corp. | | | 2.1 | |
| | 4. | | | Performance Food Group Co. | | | 1.8 | |
| | 5. | | | Patterson-UTI Energy, Inc. | | | 1.8 | |
| | 6. | | | West Pharmaceutical Services, Inc. | | | 1.7 | |
| | 7. | | | Spectrum Brands Holdings, Inc. | | | 1.7 | |
| | 8. | | | Cabot Microelectronics Corp. | | | 1.6 | |
| | 9. | | | HealthSouth Corp. | | | 1.6 | |
| | 10. | | | Catalent, Inc. | | | 1.6 | |
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PORTFOLIO COMPOSITION BY SECTOR*** | |
| Industrials | | | 17.6 | % |
| Financials | | | 16.6 | |
| Information Technology | | | 13.0 | |
| Consumer Discretionary | | | 13.0 | |
| Health Care | | | 10.8 | |
| Materials | | | 6.6 | |
| Real Estate | | | 6.4 | |
| Energy | | | 4.0 | |
| Consumer Staples | | | 3.5 | |
| Utilities | | | 2.9 | |
| Investment Funds | | | 1.3 | |
| Short-Term Investment | | | 4.3 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 7 | |
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | December 20, 1994 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 2.57 | % | | | 9.23 | % | | | 13.65 | % | | | 10.71 | % |
Without Sales Charge | | | | | 8.24 | | | | 15.28 | | | | 14.89 | | | | 11.31 | |
CLASS C SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 6.97 | | | | 13.72 | | | | 14.32 | | | | 10.76 | |
Without CDSC | | | | | 7.97 | | | | 14.72 | | | | 14.32 | | | | 10.76 | |
CLASS I SHARES | | May 7, 1996 | | | 8.38 | | | | 15.59 | | | | 15.23 | | | | 11.64 | |
CLASS R2 SHARES | | November 3, 2008 | | | 8.10 | | | | 14.98 | | | | 14.60 | | | | 11.05 | |
CLASS R3 SHARES | | September 9, 2016 | | | 8.25 | | | | 15.31 | | | | 14.90 | | | | 11.32 | |
CLASS R4 SHARES | | September 9, 2016 | | | 8.37 | | | | 15.58 | | | | 15.23 | | | | 11.64 | |
CLASS R5 SHARES | | May 15, 2006 | | | 8.48 | | | | 15.82 | | | | 15.46 | | | | 11.87 | |
CLASS R6 SHARES | | May 31, 2016 | | | 8.51 | | | | 15.88 | | | | 15.48 | | | | 11.87 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 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 actual returns of Class R3 Shares would have been different than those shown because Class R3 Shares have different expenses than Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I 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 December 31, 2007 to December 31, 2017.
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 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.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 17.78% | |
| Russell 2000 Growth Index | | | 11.09% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 1,613,615 | |
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, outperformed the Russell 2000 Growth Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the health care and technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the energy and consumer staples sectors made the smallest contribution to relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nektar Therapeutics, Kite Pharma Inc. and Ignyta Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its anti-cancer treatment. Shares of Kite Pharma, a drug maker, rose on news reports that the company had agreed to an acquisition offer from Gilead Sciences Inc. Shares of Ignyta, an anti-cancer drug maker, rose after the company said it agreed to be acquired by Roche Holdings Inc.
Leading individual detractors from relative performance included the Fund’s overweight positions in Evolent Health Inc., GenMark Diagnostics Inc. and Acadia Healthcare Co. Shares of Evolent Health, a provider of health care consulting, fell after the company reported slower earnings growth and announced plans to raise capital through an issuance of common stock. Shares of GenMark Diagnostics, a medical testing and diagnostics company, fell after the company reported 2017 second quarter and third quarter earnings below expectations and after the company lowered its earnings forecast. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017.
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. | | | Boyd Gaming Corp. | | | 1.8 | % |
| | 2. | | | GrubHub, Inc. | | | 1.8 | |
| | 3. | | | John Bean Technologies Corp. | | | 1.6 | |
| | 4. | | | Performance Food Group Co. | | | 1.5 | |
| | 5. | | | Nektar Therapeutics | | | 1.5 | |
| | 6. | | | Wolverine World Wide, Inc. | | | 1.4 | |
| | 7. | | | Paycom Software, Inc. | | | 1.4 | |
| | 8. | | | Ferro Corp. | | | 1.4 | |
| | 9. | | | Evercore, Inc., Class A | | | 1.4 | |
| | 10. | | | MKS Instruments, Inc. | | | 1.4 | |
| | | | | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 25.7 | % |
| Health Care | | | 20.4 | |
| Industrials | | | 19.1 | |
| Consumer Discretionary | | | 14.5 | |
| Financials | | | 5.5 | |
| Consumer Staples | | | 4.4 | |
| Materials | | | 3.8 | |
| Real Estate | | | 1.7 | |
| Energy | | | 1.1 | |
| Utilities | | | 0.6 | |
| Short-Term Investment | �� | | 3.2 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 9 | |
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | July 1, 1991 | | | | | | | | | | | | | | |
With Sales Charge** | | | | 11.60% | | | 33.77 | % | | | 15.78 | % | | | 9.02 | % |
Without Sales Charge | | | | 17.78 | | | 41.13 | | | | 17.04 | | | | 9.61 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | | | |
With CDSC*** | | | | 16.48 | | | 39.35 | | | | 16.44 | | | | 9.03 | |
Without CDSC | | | | 17.48 | | | 40.35 | | | | 16.44 | | | | 9.03 | |
CLASS I SHARES | | March 26, 1996 | | 17.95 | | | 41.49 | | | | 17.33 | | | | 9.88 | |
CLASS L SHARES | | February 19, 2005 | | 17.97 | | | 41.70 | | | | 17.50 | | | | 10.04 | |
CLASS R2 SHARES | | November 3, 2008 | | 17.60 | | | 40.79 | | | | 16.73 | | | | 9.33 | |
CLASS R3 SHARES | | July 31, 2017 | | 17.78 | | | 41.13 | | | | 17.04 | | | | 9.61 | |
CLASS R4 SHARES | | July 31, 2017 | | 17.96 | | | 41.50 | | | | 17.33 | | | | 9.88 | |
CLASS R5 SHARES | | September 9, 2016 | | 18.04 | | | 41.78 | | | | 17.51 | | | | 10.04 | |
CLASS R6 SHARES | | November 30, 2010 | | 18.07 | | | 41.81 | | | | 17.63 | | | | 10.11 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would be similar since the class has a similar expense ratio to Class A Shares. Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would be similar since the class has a similar expense ratio to Class I Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class L Shares. The actual returns for Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class L 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 December 31, 2007 to December 31, 2017. 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 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.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* | | | 5.77% | |
| Russell 2000 Value Index | | | 7.26% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | | $2,016,381 | |
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 Class I Shares underperformed the Russell 2000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the pharmaceutical and health services & systems sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and retail sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Unisys Corp., Otonomy Inc., and Versartis Inc. Shares of Unisys, an information technology services company, fell after the company reported lower-than-expected earnings and sales for the second quarter of 2017. Shares of Otonomy, a drug development company, fell after the company reported one of its drugs failed a late-stage clinical trial. Shares of Versartis, a drug development company, fell after the company reported its growth hormone drug failed a late-stage clinical trial.
Leading individual contributors to relative performance included the Fund’s overweight positions in Take-Two Interactive Software Inc., Pinnacle Entertainment Inc. and Children’s Place Inc. Shares of Take Two Interactive Software, a videogame publisher, rose after the company raised its revenue forecast and reported better-than-expected sales. Shares of Pinnacle Entertainment, a casino and gaming company, rose after the company agreed to be acquired by Penn National Gaming Inc. Shares of Children’s Place, a children’s apparel retail chain, rose after the company reported better-than-expected earnings and sales growth during the reporting period.
HOW WAS THE FUND POSITIONED?
In accordance with Fund’s investment process, its 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. | | | Pinnacle Entertainment, Inc. | | | 1.1 | % |
| | 2. | | | Westamerica Bancorp | | | 1.1 | |
| | 3. | | | CNO Financial Group, Inc. | | | 1.1 | |
| | 4. | | | EMCOR Group, Inc. | | | 1.1 | |
| | 5. | | | Children’s Place, Inc. (The) | | | 1.1 | |
| | 6. | | | Tech Data Corp. | | | 1.0 | |
| | 7. | | | Primerica, Inc. | | | 1.0 | |
| | 8. | | | Beneficial Bancorp, Inc. | | | 1.0 | |
| | 9. | | | Delek US Energy, Inc. | | | 1.0 | |
| | 10. | | | Rowan Cos. plc, Class A | | | 1.0 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 29.4 | % |
| Industrials | | | 12.8 | |
| Consumer Discretionary | | | 11.4 | |
| Real Estate | | | 9.3 | |
| Information Technology | | | 9.2 | |
| Health Care | | | 7.2 | |
| Utilities | | | 6.6 | |
| Energy | | | 5.5 | |
| Materials | | | 5.3 | |
| Consumer Staples | | | 1.7 | |
| Telecommunication Services | | | 0.5 | |
| Short-Term Investment | | | 1.1 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 11 | |
JPMorgan Small Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | January 27, 1995 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 0.08 | % | | | (2.51 | )% | | | 10.58 | % | | | 7.63 | % |
Without Sales Charge | | | | | 5.64 | | | | 2.89 | | | | 11.77 | | | | 8.21 | |
CLASS C SHARES | | March 22, 1999 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 4.38 | | | | 1.30 | | | | 11.10 | | | | 7.56 | |
Without CDSC | | | | | 5.38 | | | | 2.30 | | | | 11.10 | | | | 7.56 | |
CLASS I SHARES | | January 27, 1995 | | | 5.77 | | | | 3.16 | | | | 12.04 | | | | 8.48 | |
CLASS R2 SHARES | | November 3, 2008 | | | 5.48 | | | | 2.58 | | | | 11.47 | | | | 7.93 | |
CLASS R3 SHARES | | September 9, 2016 | | | 5.64 | | | | 2.87 | | | | 11.76 | | | | 8.19 | |
CLASS R4 SHARES | | September 9, 2016 | | | 5.75 | | | | 3.09 | | | | 12.02 | | | | 8.46 | |
CLASS R5 SHARES | | May 15, 2006 | | | 5.87 | | | | 3.29 | | | | 12.16 | | | | 8.59 | |
CLASS R6 SHARES | | February 22, 2005 | | | 5.92 | | | | 3.40 | | | | 12.27 | | | | 8.66 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R4 Shares prior to their inception date are based on the performance of the Class I Shares. Returns for the Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. Prior performance for Class R2, Class R3 and Class R4 Shares has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from December 31, 2007 to December 31, 2017 . 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.
Class I 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.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class L Shares)* | | | 8.03% | |
| Russell 2000 Index | | | 9.20% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | | $1,810,997 | |
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 Class L Shares underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the basic materials and telecommunications sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the pharmaceutical and finance sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Versartis Inc., Rex American Resources Corp. and Owens & Minor Inc. Shares of Versartis, a drug development company, fell after the company reported its growth hormone drug failed a late-stage clinical trial. Shares of Rex American Resources, an ethanol producer, fell after the Trump administration declined to revise federally mandated biofuels blending rates. Shares of Owens & Minor, a health care logistics company, fell after the company reported lower-than-expected earnings and sales for the third quarter of 2017.
Leading individual contributors to relative performance included the Fund’s overweight positions in Pinnacle Entertainment Inc., MyoKardia Inc. and Take-Two Interactive Software Inc. Shares of Pinnacle Entertainment, a casino and gaming company, rose after Penn National Gaming Inc. agreed to buy the company for an estimated $2.8 billion. Shares of MyoKardia, a drug development company, rose after the company reported positive results in a mid-stage trial for its heart disease drug. Shares of Take-Two Interactive Software, a videogame publisher, rose after the company raised its revenue forecast and reported better-than-expected sales.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio
managers use a quantitative ranking methodology to identify stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek companies that exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | EMCOR Group, Inc. | |
| 1.4
| %
|
| | 2. | | | Pinnacle Entertainment, Inc. | |
| 1.4
|
|
| | 3. | | | Progress Software Corp. | |
| 1.3
|
|
| | 4. | | | Taylor Morrison Home Corp., Class A | |
| 1.2
|
|
| | 5. | | | Aspen Technology, Inc. | |
| 1.2
|
|
| | 6. | | | Wabash National Corp. | |
| 1.1
|
|
| | 7. | | | Children’s Place, Inc. (The) | | | 1.0 | |
| | 8. | | | Tivity Health, Inc. | | | 1.0 | |
| | 9. | | | ACCO Brands Corp. | | | 1.0 | |
| | 10. | | | CoreSite Realty Corp. | | | 1.0 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 17.0 | % |
| Information Technology | | | 16.4 | |
| Health Care | | | 16.2 | |
| Industrials | | | 15.0 | |
| Consumer Discretionary | | | 13.6 | |
| Real Estate | | | 5.7 | |
| Materials | | | 3.9 | |
| Energy | | | 3.9 | |
| Utilities | | | 3.6 | |
| Consumer Staples | | | 2.0 | |
| Telecommunication Services | | | 0.4 | |
| Short-Term Investment | | | 2.3 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 13 | |
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | November 1, 2007 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 2.22 | % | | | 2.81 | % | | | 12.54 | % | | | 8.85 | % |
Without Sales Charge | | | | | 7.87 | | | | 8.53 | | | | 13.77 | | | | 9.44 | |
CLASS C SHARES | | November 1, 2007 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 6.54 | | | | 6.98 | | | | 13.19 | | | | 8.90 | |
Without CDSC | | | | | 7.54 | | | | 7.98 | | | | 13.19 | | | | 8.90 | |
CLASS I SHARES | | September 10, 2001 | | | 7.94 | | | | 8.76 | | | | 14.04 | | | | 9.72 | |
CLASS L SHARES | | November 4, 1993 | | | 8.03 | | | | 8.97 | | | | 14.25 | | | | 9.92 | |
CLASS R2 SHARES | | November 1, 2011 | | | 7.71 | | | | 8.25 | | | | 13.48 | | | | 9.28 | |
CLASS R3 SHARES | | September 9, 2016 | | | 7.85 | | | | 8.51 | | | | 13.76 | | | | 9.44 | |
CLASS R4 SHARES | | September 9, 2016 | | | 7.97 | | | | 8.80 | | | | 14.05 | | | | 9.73 | |
CLASS R5 SHARES | | September 9, 2016 | | | 8.02 | | | | 8.91 | | | | 14.24 | | | | 9.91 | |
CLASS R6 SHARES | | November 1, 2011 | | | 8.07 | | | | 9.08 | | | | 14.34 | | | | 9.98 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R4 Shares prior to their inception dates are based on the performance of the Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R2 and R3 shares prior to their inception date are based on the performance of the 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 actual returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of the Class L Shares. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Class L Shares. The actual returns of Class R6 Shares would have been different than these shown because Class R6 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Small Company Fund, the Russell 2000
Index and the Lipper Small-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.0% | |
| | | | Consumer Discretionary — 14.6% | |
| | | | Automobiles — 1.3% | |
| | 45 | | | Winnebago Industries, Inc. | | | 2,512 | |
| | | | | | | | |
| | | | Distributors — 0.7% | |
| | 12 | | | Pool Corp. | | | 1,494 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 1.3% | |
| | 27 | | | Bright Horizons Family Solutions, Inc. (a) | | | 2,514 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 3.5% | |
| | 101 | | | Boyd Gaming Corp. | | | 3,553 | |
| | 49 | | | Texas Roadhouse, Inc. | | | 2,577 | |
| | 4 | | | Vail Resorts, Inc. | | | 863 | |
| | | | | | | | |
| | | | | | | 6,993 | |
| | | | | | | | |
| | | | Household Durables — 0.8% | |
| | 87 | | | TRI Pointe Group, Inc. (a) | | | 1,563 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 1.5% | |
| | 229 | | | Groupon, Inc. (a) | | | 1,168 | |
| | 21 | | | Wayfair, Inc., Class A (a) | | | 1,716 | |
| | | | | | | | |
| | | | | | | 2,884 | |
| | | | | | | | |
| | | | Multiline Retail — 1.1% | |
| | 43 | | | Ollie’s Bargain Outlet Holdings, Inc. (a) | | | 2,272 | |
| | | | | | | | |
| | | | Specialty Retail — 3.0% | |
| | 17 | | | Burlington Stores, Inc. (a) | | | 2,057 | |
| | 26 | | | Lithia Motors, Inc., Class A | | | 2,923 | |
| | 23 | | | National Vision Holdings, Inc. (a) | | | 945 | |
| | | | | | | | |
| | | | | | | 5,925 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.4% | |
| | 89 | | | Wolverine World Wide, Inc. | | | 2,835 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 28,992 | |
| | | | | | | | |
| | | | Consumer Staples — 4.4% | |
| | | | Food & Staples Retailing — 2.1% | |
| | 9 | | | Casey’s General Stores, Inc. | | | 1,056 | |
| | 92 | | | Performance Food Group Co. (a) | | | 3,049 | |
| | | | | | | | |
| | | | | | | 4,105 | |
| | | | | | | | |
| | | | Food Products — 1.3% | |
| | 78 | | | Freshpet, Inc. (a) | | | 1,474 | |
| | 24 | | | Snyder’s-Lance, Inc. | | | 1,184 | |
| | | | | | | | |
| | | | | | | 2,658 | |
| | | | | | | | |
| | | | Personal Products — 1.0% | |
| | 85 | | | elf Beauty, Inc. (a) | | | 1,896 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 8,659 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Energy — 1.1% | |
| | | | Oil, Gas & Consumable Fuels — 1.1% | |
| | 66 | | | Jagged Peak Energy, Inc. (a) | | | 1,035 | |
| | 27 | | | RSP Permian, Inc. (a) | | | 1,103 | |
| | | | | | | | |
| | | | Total Energy | | | 2,138 | |
| | | | | | | | |
| | | | Financials — 5.5% | |
| | | | Banks — 2.3% | |
| | 22 | | | Bank of the Ozarks, Inc. | | | 1,069 | |
| | 6 | | | Signature Bank (a) | | | 814 | |
| | 30 | | | Texas Capital Bancshares, Inc. (a) | | | 2,638 | |
| | | | | | | | |
| | | | | | | 4,521 | |
| | | | | | | | |
| | | | Capital Markets — 2.7% | |
| | 31 | | | Evercore, Inc., Class A | | | 2,761 | |
| | 35 | | | Financial Engines, Inc. | | | 1,069 | |
| | 130 | | | PennantPark Investment Corp. | | | 902 | |
| | 44 | | | WisdomTree Investments, Inc. | | | 558 | |
| | | | | | | | |
| | | | | | | 5,290 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 0.5% | |
| | 37 | | | BofI Holding, Inc. (a) | | | 1,094 | |
| | | | | | | | |
| | | | Total Financials | | | 10,905 | |
| | | | | | | | |
| | | | Health Care — 20.4% | |
| | | | Biotechnology — 8.7% | |
| | 21 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 623 | |
| | 57 | | | Bellicum Pharmaceuticals, Inc. (a) | | | 480 | |
| | 26 | | | Biohaven Pharmaceutical Holding Co. Ltd. (a) | | | 712 | |
| | 49 | | | Clementia Pharmaceuticals, Inc., (Canada) (a) | | | 931 | |
| | 5 | | | Clovis Oncology, Inc. (a) | | | 335 | |
| | 44 | | | Coherus Biosciences, Inc. (a) | | | 387 | |
| | 51 | | | Exact Sciences Corp. (a) | | | 2,672 | |
| | 31 | | | FibroGen, Inc. (a) | | | 1,482 | |
| | 99 | | | Halozyme Therapeutics, Inc. (a) | | | 2,013 | |
| | 22 | | | Ignyta, Inc. (a) | | | 593 | |
| | 13 | | | Insmed, Inc. (a) | | | 404 | |
| | 13 | | | Neurocrine Biosciences, Inc. (a) | | | 995 | |
| | 19 | | | Portola Pharmaceuticals, Inc. (a) | | | 917 | |
| | 35 | | | REGENXBIO, Inc. (a) | | | 1,178 | |
| | 15 | | | Sage Therapeutics, Inc. (a) | | | 2,450 | |
| | 21 | | | Spark Therapeutics, Inc. (a) | | | 1,089 | |
| | | | | | | | |
| | | | | | | 17,261 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.6% | |
| | 170 | | | GenMark Diagnostics, Inc. (a) | | | 707 | |
| | 32 | | | Insulet Corp. (a) | | | 2,184 | |
| | 16 | | | iRhythm Technologies, Inc. (a) | | | 914 | |
| | 77 | | | K2M Group Holdings, Inc. (a) | | | 1,382 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 15 | |
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Health Care Equipment & Supplies — continued | |
| | 24 | | | Nevro Corp. (a) | | | 1,689 | |
| | 156 | | | TransEnterix, Inc. (a) | | | 301 | |
| | | | | | | | |
| | | | | | | 7,177 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.2% | |
| | 45 | | | Acadia Healthcare Co., Inc. (a) | | | 1,476 | |
| | 77 | | | Teladoc, Inc. (a) | | | 2,671 | |
| | 11 | | | WellCare Health Plans, Inc. (a) | | | 2,224 | |
| | | | | | | | |
| | | | | | | 6,371 | |
| | | | | | | | |
| | | | Health Care Technology — 1.1% | |
| | 111 | | | Evolent Health, Inc., Class A (a) | | | 1,364 | |
| | 14 | | | Veeva Systems, Inc., Class A (a) | | | 791 | |
| | | | | | | | |
| | | | | | | 2,155 | |
| | | | | | | | |
| | | | Pharmaceuticals — 3.8% | |
| | 89 | | | Horizon Pharma plc (a) | | | 1,296 | |
| | 50 | | | Nektar Therapeutics (a) | | | 2,999 | |
| | 47 | | | Revance Therapeutics, Inc. (a) | | | 1,683 | |
| | 238 | | | TherapeuticsMD, Inc. (a) | | | 1,436 | |
| | | | | | | | |
| | | | | | | 7,414 | |
| | | | | | | | |
| | | | Total Health Care | | | 40,378 | |
| | | | | | | | |
| | | | Industrials — 19.1% | |
| | | | Aerospace & Defense — 1.7% | |
| | 24 | | | HEICO Corp. | | | 2,230 | |
| | 17 | | | Hexcel Corp. | | | 1,081 | |
| | | | | | | | |
| | | | | | | 3,311 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.7% | |
| | 16 | | | XPO Logistics, Inc. (a) | | | 1,425 | |
| | | | | | | | |
| | | | Building Products — 5.5% | |
| | 85 | | | Advanced Drainage Systems, Inc. | | | 2,034 | |
| | 52 | | | JELD-WEN Holding, Inc. (a) | | | 2,066 | |
| | 12 | | | Lennox International, Inc. | | | 2,496 | |
| | 22 | | | Masonite International Corp. (a) | | | 1,620 | |
| | 25 | | | Trex Co., Inc. (a) | | | 2,684 | |
| | | | | | | | |
| | | | | | | 10,900 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.2% | |
| | 99 | | | Advanced Disposal Services, Inc. (a) | | | 2,371 | |
| | | | | | | | |
| | | | Machinery — 5.5% | |
| | 43 | | | Graco, Inc. | | | 1,930 | |
| | 42 | | | ITT, Inc. | | | 2,217 | |
| | 30 | | | John Bean Technologies Corp. | | | 3,331 | |
| | 9 | | | Middleby Corp. (The) (a) | | | 1,149 | |
| | 26 | | | Oshkosh Corp. | | | 2,354 | |
| | | | | | | | |
| | | | | | | 10,981 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Marine — 0.5% | |
| | 15 | | | Kirby Corp. (a) | | | 980 | |
| | | | | | | | |
| | | | Road & Rail — 1.9% | |
| | 15 | | | Old Dominion Freight Line, Inc. | | | 1,996 | |
| | 25 | | | Saia, Inc. (a) | | | 1,800 | |
| | | | | | | | |
| | | | | | | 3,796 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 2.1% | |
| | 53 | | | H&E Equipment Services, Inc. | | | 2,136 | |
| | 40 | | | Rush Enterprises, Inc., Class A (a) | | | 2,025 | |
| | | | | | | | |
| | | | | | | 4,161 | |
| | | | | | | | |
| | | | Total Industrials | | | 37,925 | |
| | | | | | | | |
| | | | Information Technology — 25.7% | |
| | | | Communications Equipment — 0.9% | |
| | 40 | | | Ciena Corp. (a) | | | 833 | |
| | 83 | | | Quantenna Communications, Inc. (a) | | | 1,015 | |
| | | | | | | | |
| | | | | | | 1,848 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 1.4% | |
| | 14 | | | Littelfuse, Inc. | | | 2,702 | |
| | | | | | | | |
| | | | Internet Software & Services — 9.8% | |
| | 26 | | | 2U, Inc. (a) | | | 1,649 | |
| | 77 | | | Cloudera, Inc. (a) | | | 1,271 | |
| | 54 | | | Envestnet, Inc. (a) | | | 2,695 | |
| | 32 | | | GoDaddy, Inc., Class A (a) | | | 1,629 | |
| | 49 | | | GrubHub, Inc. (a) | | | 3,546 | |
| | 50 | | | Instructure, Inc. (a) | | | 1,657 | |
| | 51 | | | MuleSoft, Inc., Class A (a) | | | 1,197 | |
| | 64 | | | Nutanix, Inc., Class A (a) | | | 2,261 | |
| | 52 | | | Okta, Inc. (a) | | | 1,341 | |
| | 46 | | | Trade Desk, Inc. (The), Class A (a) | | | 2,124 | |
| | | | | | | | |
| | | | | | | 19,370 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 5.1% | |
| | 22 | | | Cavium, Inc. (a) | | | 1,840 | |
| | 56 | | | Inphi Corp. (a) | | | 2,040 | |
| | 32 | | | MACOM Technology Solutions Holdings, Inc. (a) | | | 1,026 | |
| | 29 | | | MKS Instruments, Inc. | | | 2,724 | |
| | 21 | | | Monolithic Power Systems, Inc. | | | 2,390 | |
| | | | | | | | |
| | | | | | | 10,020 | |
| | | | | | | | |
| | | | Software — 8.5% | |
| | 45 | | | Appian Corp. (a) | | | 1,409 | |
| | 21 | | | Atlassian Corp. plc, (Australia), Class A (a) | | | 939 | |
| | 20 | | | Guidewire Software, Inc. (a) | | | 1,478 | |
| | 25 | | | HubSpot, Inc. (a) | | | 2,207 | |
| | 35 | | | Paycom Software, Inc. (a) | | | 2,812 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Software — continued | |
| | 21 | | | Proofpoint, Inc. (a) | | | 1,881 | |
| | 37 | | | RingCentral, Inc., Class A (a) | | | 1,787 | |
| | 62 | | | SailPoint Technologies Holding, Inc. (a) | | | 903 | |
| | 10 | | | Tyler Technologies, Inc. (a) | | | 1,703 | |
| | 52 | | | Zendesk, Inc. (a) | | | 1,758 | |
| | | | | | | | |
| | | | | | | 16,877 | |
| | | | | | | | |
| | | | Total Information Technology | | | 50,817 | |
| | | | | | | | |
| | | | Materials — 3.9% | |
| | | | Chemicals — 1.4% | |
| | 118 | | | Ferro Corp. (a) | | | 2,788 | |
| | | | | | | | |
| | | | Construction Materials — 2.5% | |
| | 22 | | | Eagle Materials, Inc. | | | 2,488 | |
| | 75 | | | Summit Materials, Inc., Class A (a) | | | 2,366 | |
| | | | | | | | |
| | | | | | | 4,854 | |
| | | | | | | | |
| | | | Total Materials | | | 7,642 | |
| | | | | | | | |
| | | | Real Estate — 1.7% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 1.0% | |
| | 33 | | | CubeSmart | | | 966 | |
| | 21 | | | Highwoods Properties, Inc. | | | 1,075 | |
| | | | | | | | |
| | | | | | | 2,041 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.7% | |
| | 28 | | | RE/MAX Holdings, Inc., Class A | | | 1,373 | |
| | | | | | | | |
| | | | Total Real Estate | | | 3,414 | |
| | | | | | | | |
| | | | Utilities — 0.6% | |
| | | | Water Utilities — 0.6% | |
| | 52 | | | Evoqua Water Technologies Corp. (a) | | | 1,234 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $114,145) | | | 192,104 | |
| | | | | | | | |
| | Short-Term Investment — 3.0% | |
| | | | Investment Company — 3.0% | |
| | 5,884 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l) (Cost $5,884) | | | 5,884 | |
| | | | | | | | |
| | | | Total Investments — 100.0%
(Cost $120,029) | | | 197,988 | |
| | | | Liabilities in Excess of
Other Assets — 0.0% (g) | | | (54 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 197,934 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 17 | |
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 98.3% | | | | |
| | | | Consumer Discretionary — 10.9% | | | | |
| | | | Auto Components — 1.5% | | | | |
| | 57 | | | American Axle & Manufacturing Holdings, Inc. (a) | | | 972 | |
| | 19 | | | Cooper-Standard Holdings, Inc. (a) | | | 2,346 | |
| | 10 | | | Dana, Inc. | | | 323 | |
| | 6 | | | Modine Manufacturing Co. (a) | | | 123 | |
| | 2 | | | Stoneridge, Inc. (a) | | | 48 | |
| | 6 | | | Tower International, Inc. | | | 176 | |
| | | | | | | | |
| | | | | | | 3,988 | |
| | | | | | | | |
| | | | Distributors — 0.1% | | | | |
| | 30 | | | Funko, Inc., Class A (a) | | | 199 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.5% | | | | |
| | 2 | | | Capella Education Co. | | | 156 | |
| | 9 | | | Grand Canyon Education, Inc. (a) | | | 788 | |
| | 24 | | | K12, Inc. (a) | | | 378 | |
| | | | | | | | |
| | | | | | | 1,322 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.6% | | | | |
| | 91 | | | Bloomin’ Brands, Inc. | | | 1,941 | |
| | 8 | | | DineEquity, Inc. | | | 411 | |
| | 1 | | | Jack in the Box, Inc. | | | 49 | |
| | 38 | | | Pinnacle Entertainment, Inc. (a) | | | 1,250 | |
| | 23 | | | Ruth’s Hospitality Group, Inc. | | | 494 | |
| | | | | | | | |
| | | | | | | 4,145 | |
| | | | | | | | |
| | | | Household Durables — 2.4% | | | | |
| | 61 | | | Beazer Homes USA, Inc. (a) | | | 1,178 | |
| | 4 | | | Hamilton Beach Brands Holding Co., Class A | | | 96 | |
| | 16 | | | Helen of Troy Ltd. (a) | | | 1,511 | |
| | 10 | | | Hooker Furniture Corp. | | | 425 | |
| | 6 | | | KB Home | | | 201 | |
| | 23 | | | Libbey, Inc. | | | 171 | |
| | 18 | | | Lifetime Brands, Inc. | | | 292 | |
| | 106 | | | Taylor Morrison Home Corp., Class A (a) | | | 2,584 | |
| | | | | | | | |
| | | | | | | 6,458 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.2% | | | | |
| | 90 | | | Groupon, Inc. (a) | | | 459 | |
| | 14 | | | Liberty TripAdvisor Holdings, Inc., Class A (a) | | | 134 | |
| | | | | | | | |
| | | | | | | 593 | |
| | | | | | | | |
| | | | Media — 1.3% | | | | |
| | 68 | | | Gannett Co., Inc. | | | 786 | |
| | 42 | | | Gray Television, Inc. (a) | | | 711 | |
| | 49 | | | MDC Partners, Inc., Class A (a) | | | 477 | |
| | 3 | | | Nexstar Media Group, Inc., Class A | | | 244 | |
| | 26 | | | Sinclair Broadcast Group, Inc., Class A | | | 1,003 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Media — continued | | | | |
| | 14 | | | Townsquare Media, Inc., Class A (a) | | | 104 | |
| | | | | | | | |
| | | | | | | 3,325 | |
| | | | | | | | |
| | | | Specialty Retail — 2.9% | | | | |
| | 31 | | | Caleres, Inc. | | | 1,031 | |
| | 13 | | | Children’s Place, Inc. (The) | | | 1,861 | |
| | 2 | | | Conn’s, Inc. (a) | | | 75 | |
| | 21 | | | Express, Inc. (a) | | | 210 | |
| | 10 | | | Group 1 Automotive, Inc. | | | 731 | |
| | 7 | | | National Vision Holdings, Inc. (a) | | | 276 | |
| | 466 | | | Office Depot, Inc. | | | 1,649 | |
| | 88 | | | Pier 1 Imports, Inc. | | | 364 | |
| | 1 | | | RH (a) | | | 43 | |
| | 73 | | | Tailored Brands, Inc. | | | 1,591 | |
| | | | | | | | |
| | | | | | | 7,831 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.4% | | | | |
| | 10 | | | Deckers Outdoor Corp. (a) | | | 770 | |
| | 10 | | | Perry Ellis International, Inc. (a) | | | 258 | |
| | | | | | | | |
| | | | | | | 1,028 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 28,889 | |
| | | | | | | | |
| | | | Consumer Staples — 2.2% | | | | |
| | | | Food & Staples Retailing — 0.9% | | | | |
| | 29 | | | Performance Food Group Co. (a) | | | 947 | |
| | 43 | | | SpartanNash Co. | | | 1,147 | |
| | 12 | | | US Foods Holding Corp. (a) | | | 386 | |
| | | | | | | | |
| | | | | | | 2,480 | |
| | | | | | | | |
| | | | Food Products — 0.9% | | | | |
| | 39 | | | Dean Foods Co. | | | 450 | |
| | 31 | | | Pilgrim’s Pride Corp. (a) | | | 968 | |
| | 4 | | | Pinnacle Foods, Inc. | | | 257 | |
| | 4 | | | Sanderson Farms, Inc. | | | 514 | |
| | 3 | | | TreeHouse Foods, Inc. (a) | | | 133 | |
| | | | | | | | |
| | | | | | | 2,322 | |
| | | | | | | | |
| | | | Household Products — 0.4% | | | | |
| | 27 | | | Central Garden & Pet Co., Class A (a) | | | 1,030 | |
| | | | | | | | |
| | | | Personal Products — 0.0% (g) | | | | |
| | 2 | | | USANA Health Sciences, Inc. (a) | | | 124 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 5,956 | |
| | | | | | | | |
| | | | Energy — 3.2% | | | | |
| | | | Energy Equipment & Services — 0.9% | | | | |
| | 35 | | | Archrock, Inc. | | | 368 | |
| | 29 | | | Exterran Corp. (a) | | | 902 | |
| | 90 | | | McDermott International, Inc. (a) | | | 592 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | | | | |
| | | | Energy Equipment & Services — continued | | | | |
| | 7 | | | PHI, Inc. (Non-Voting) (a) | | | 86 | |
| | 38 | | | RigNet, Inc. (a) | | | 574 | |
| | | | | | | | |
| | | | | | | 2,522 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 2.3% | | | | |
| | 233 | | | Abraxas Petroleum Corp. (a) | | | 573 | |
| | 7 | | | Arch Coal, Inc., Class A | | | 689 | |
| | 57 | | | Delek US Energy, Inc. | | | 2,003 | |
| | 39 | | | EP Energy Corp., Class A (a) | | | 93 | |
| | 9 | | | Green Plains, Inc. | | | 153 | |
| | 22 | | | Jagged Peak Energy, Inc. (a) | | | 341 | |
| | 2 | | | NACCO Industries, Inc., Class A | | | 72 | |
| | 32 | | | Pacific Ethanol, Inc. (a) | | | 145 | |
| | 57 | | | Renewable Energy Group, Inc. (a) | | | 667 | |
| | 1 | | | REX American Resources Corp. (a) | | | 50 | |
| | 43 | | | SRC Energy, Inc. (a) | | | 369 | |
| | 237 | | | W&T Offshore, Inc. (a) | | | 785 | |
| | 3 | | | World Fuel Services Corp. | | | 91 | |
| | | | | | | | |
| | | | | | | 6,031 | |
| | | | | | | | |
| | | | Total Energy | | | 8,553 | |
| | | | | | | | |
| | | | Financials — 17.3% | | | | |
| | | | Banks — 10.4% | | | | |
| | 54 | | | Bancorp, Inc. (The) (a) | | | 529 | |
| | 5 | | | Cadence BanCorp (a) | | | 127 | |
| | 9 | | | Cathay General Bancorp | | | 380 | |
| | 3 | | | Central Valley Community Bancorp | | | 67 | |
| | 2 | | | Community Trust Bancorp, Inc. | | | 85 | |
| | 4 | | | Customers Bancorp, Inc. (a) | | | 113 | |
| | 40 | | | East West Bancorp, Inc. | | | 2,407 | |
| | 2 | | | Enterprise Financial Services Corp. | | | 90 | |
| | 16 | | | Fidelity Southern Corp. | | | 347 | |
| | 21 | | | Financial Institutions, Inc. | | | 647 | |
| | 182 | | | First BanCorp, (Puerto Rico) (a) | | | 928 | |
| | 5 | | | First Business Financial Services, Inc. | | | 117 | |
| | 6 | | | First Community Bancshares, Inc. | | | 183 | |
| | 15 | | | First Foundation, Inc. (a) | | | 274 | |
| | 40 | | | First Merchants Corp. | | | 1,686 | |
| | 57 | | | Fulton Financial Corp. | | | 1,022 | |
| | 43 | | | Hancock Holding Co. | | | 2,109 | |
| | 38 | | | Hanmi Financial Corp. | | | 1,141 | |
| | 18 | | | Heritage Financial Corp. | | | 539 | |
| | 15 | | | Hilltop Holdings, Inc. | | | 383 | |
| | 67 | | | Hope Bancorp, Inc. | | | 1,231 | |
| | 1 | | | Howard Bancorp, Inc. (a) | | | 31 | |
| | 6 | | | IBERIABANK Corp. | | | 475 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Banks — continued | | | | |
| | 5 | | | MainSource Financial Group, Inc. | | | 168 | |
| | 3 | | | NBT Bancorp, Inc. | | | 123 | |
| | 4 | | | Northeast Bancorp | | | 102 | |
| | 6 | | | Pacific Mercantile Bancorp (a) | | | 48 | |
| | 30 | | | PacWest Bancorp | | | 1,499 | |
| | 71 | | | Popular, Inc., (Puerto Rico) | | | 2,512 | |
| | 12 | | | Preferred Bank | | | 685 | |
| | 2 | | | Premier Financial Bancorp, Inc. | | | 46 | |
| | 7 | | | Shore Bancshares, Inc. | | | 115 | |
| | 3 | | | Sierra Bancorp | | | 83 | |
| | 2 | | | SVB Financial Group (a) | | | 375 | |
| | 106 | | | TCF Financial Corp. | | | 2,163 | |
| | 2 | | | Towne Bank | | | 71 | |
| | 17 | | | TriCo Bancshares | | | 639 | |
| | 8 | | | TriState Capital Holdings, Inc. (a) | | | 181 | |
| | 7 | | | Triumph Bancorp, Inc. (a) | | | 214 | |
| | 30 | | | Wintrust Financial Corp. | | | 2,463 | |
| | 24 | | | Zions Bancorp | | | 1,195 | |
| | | | | | | | |
| | | | | | | 27,593 | |
| | | | | | | | |
| | | | Capital Markets — 1.2% | | | | |
| | 93 | | | BGC Partners, Inc., Class A | | | 1,409 | |
| | 9 | | | Houlihan Lokey, Inc. | | | 414 | |
| | 16 | | | INTL. FCStone, Inc. (a) | | | 680 | |
| | 30 | | | OM Asset Management plc | | | 497 | |
| | 3 | | | Piper Jaffray Cos. | | | 286 | |
| | | | | | | | |
| | | | | | | 3,286 | |
| | | | | | | | |
| | | | Consumer Finance — 1.4% | | | | |
| | 33 | | | FirstCash, Inc. | | | 2,199 | |
| | 27 | | | Green Dot Corp., Class A (a) | | | 1,609 | |
| | | | | | | | |
| | | | | | | 3,808 | |
| | | | | | | | |
| | | | Diversified Financial Services — 0.1% | | | | |
| | 5 | | | Cannae Holdings, Inc. (a) | | | 92 | |
| | 3 | | | Marlin Business Services Corp. | | | 70 | |
| | | | | | | | |
| | | | | | | 162 | |
| | | | | | | | |
| | | | Insurance — 2.6% | | | | |
| | 55 | | | American Equity Investment Life Holding Co. | | | 1,688 | |
| | 8 | | | Aspen Insurance Holdings Ltd., (Bermuda) | | | 340 | |
| | 69 | | | CNO Financial Group, Inc. | | | 1,714 | |
| | 13 | | | First American Financial Corp. | | | 712 | |
| | 7 | | | HCI Group, Inc. | | | 205 | |
| | 14 | | | Kinsale Capital Group, Inc. | | | 612 | |
| | 4 | | | National General Holdings Corp. | | | 77 | |
| | 4 | | | Selective Insurance Group, Inc. | | | 243 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 19 | |
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | | | | |
| | | | Insurance — continued | | | | |
| | 18 | | | Stewart Information Services Corp. | | | 756 | |
| | 5 | | | United Fire Group, Inc. | | | 209 | |
| | 16 | | | Universal Insurance Holdings, Inc. | | | 448 | |
| | | | | | | | |
| | | | | | | 7,004 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 0.5% | |
| | 10 | | | Capstead Mortgage Corp. | | | 88 | |
| | 6 | | | Invesco Mortgage Capital, Inc. | | | 102 | |
| | 68 | | | Redwood Trust, Inc. | | | 1,002 | |
| | | | | | | | |
| | | | | | | 1,192 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 1.1% | |
| | 5 | | | BankFinancial Corp. | | | 72 | |
| | 8 | | | Dime Community Bancshares, Inc. | | | 164 | |
| | 10 | | | HomeStreet, Inc. (a) | | | 302 | |
| | 8 | | | Meta Financial Group, Inc. | | | 769 | |
| | 45 | | | MGIC Investment Corp. (a) | | | 636 | |
| | 13 | | | OceanFirst Financial Corp. | | | 347 | |
| | 10 | | | PennyMac Financial Services, Inc., Class A (a) | | | 219 | |
| | 10 | | | Walker & Dunlop, Inc. (a) | | | 468 | |
| | 2 | | | Washington Federal, Inc. | | | 68 | |
| | | | | | | | |
| | | | | | | 3,045 | |
| | | | | | | | |
| | | | Total Financials | | | 46,090 | |
| | | | | | | | |
| | | | Health Care — 15.7% | |
| | | | Biotechnology — 6.3% | |
| | 11 | | | Acorda Therapeutics, Inc. (a) | | | 225 | |
| | 68 | | | Aduro Biotech, Inc. (a) | | | 511 | |
| | 38 | | | Akebia Therapeutics, Inc. (a) | | | 565 | |
| | 29 | | | Allena Pharmaceuticals, Inc. (a) | | | 290 | |
| | 64 | | | Amicus Therapeutics, Inc. (a) | | | 925 | |
| | 8 | | | AnaptysBio, Inc. (a) | | | 816 | |
| | 16 | | | Audentes Therapeutics, Inc. (a) | | | 512 | |
| | 33 | | | Bellicum Pharmaceuticals, Inc. (a) | | | 280 | |
| | 7 | | | Bluebird Bio, Inc. (a) | | | 1,282 | |
| | 19 | | | Cara Therapeutics, Inc. (a) | | | 230 | |
| | 135 | | | Catalyst Pharmaceuticals, Inc. (a) | | | 527 | |
| | 40 | | | Coherus Biosciences, Inc. (a) | | | 348 | |
| | 21 | | | Concert Pharmaceuticals, Inc. (a) | | | 548 | |
| | 322 | | | Curis, Inc. (a) | | | 225 | |
| | 37 | | | Dynavax Technologies Corp. (a) | | | 696 | |
| | 11 | | | Esperion Therapeutics, Inc. (a) | | | 718 | |
| | 14 | | | FibroGen, Inc. (a) | | | 654 | |
| | 38 | | | Heron Therapeutics, Inc. (a) | | | 681 | |
| | 22 | | | Jounce Therapeutics, Inc. (a) | | | 281 | |
| | 8 | | | Loxo Oncology, Inc. (a) | | | 707 | |
| | 22 | | | Mersana Therapeutics, Inc. (a) | | | 360 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Biotechnology — continued | | | | |
| | 35 | | | Ra Pharmaceuticals, Inc. (a) | | | 294 | |
| | 3 | | | Radius Health, Inc. (a) | | | 98 | |
| | 16 | | | Rhythm Pharmaceuticals, Inc. (a) | | | 468 | |
| | 8 | | | Sage Therapeutics, Inc. (a) | | | 1,359 | |
| | 18 | | | Sarepta Therapeutics, Inc. (a) | | | 979 | |
| | 45 | | | Selecta Biosciences, Inc. (a) | | | 443 | |
| | 3 | | | Seres Therapeutics, Inc. (a) | | | 31 | |
| | 6 | | | Spark Therapeutics, Inc. (a) | | | 314 | |
| | 58 | | | Synergy Pharmaceuticals, Inc. (a) | | | 129 | |
| | 45 | | | Syros Pharmaceuticals, Inc. (a) | | | 440 | |
| | 4 | | | TESARO, Inc. (a) | | | 315 | |
| | 29 | | | vTv Therapeutics, Inc., Class A (a) | | | 174 | |
| | 12 | | | Xencor, Inc. (a) | | | 270 | |
| | | | | | | | |
| | | | | | | 16,695 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.8% | |
| | 20 | | | Cutera, Inc. (a) | | | 911 | |
| | 2 | | | Inogen, Inc. (a) | | | 185 | |
| | 52 | | | Integer Holdings Corp. (a) | | | 2,347 | |
| | 65 | | | Invacare Corp. | | | 1,102 | |
| | 50 | | | Lantheus Holdings, Inc. (a) | | | 1,020 | |
| | 29 | | | Masimo Corp. (a) | | | 2,417 | |
| | 71 | | | OraSure Technologies, Inc. (a) | | | 1,340 | |
| | 7 | | | OrthoPediatrics Corp. (a) | | | 127 | |
| | 14 | | | Quidel Corp. (a) | | | 603 | |
| | | | | | | | |
| | | | | | | 10,052 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.5% | |
| | 25 | | | Addus HomeCare Corp. (a) | | | 873 | |
| | 2 | | | AMN Healthcare Services, Inc. (a) | | | 84 | |
| | 77 | | | Community Health Systems, Inc. (a) | | | 328 | |
| | 79 | | | Cross Country Healthcare, Inc. (a) | | | 1,010 | |
| | 68 | | | Diplomat Pharmacy, Inc. (a) | | | 1,369 | |
| | 3 | | | Envision Healthcare Corp. (a) | | | 88 | |
| | 11 | | | HealthSouth Corp. | | | 553 | |
| | 145 | | | Kindred Healthcare, Inc. | | | 1,408 | |
| | 25 | | | Molina Healthcare, Inc. (a) | | | 1,919 | |
| | 28 | | | Owens & Minor, Inc. | | | 520 | |
| | 34 | | | RadNet, Inc. (a) | | | 343 | |
| | 12 | | | Surgery Partners, Inc. (a) | | | 143 | |
| | 4 | | | WellCare Health Plans, Inc. (a) | | | 817 | |
| | | | | | | | |
| | | | | | | 9,455 | |
| | | | | | | | |
| | | | Health Care Technology — 0.1% | |
| | 10 | | | HMS Holdings Corp. (a) | | | 165 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.3% | |
| | 11 | | | INC Research Holdings, Inc., Class A (a) | | | 484 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | | | | |
| | | | Life Sciences Tools & Services — continued | | | | |
| | 3 | | | PRA Health Sciences, Inc. (a) | | | 264 | |
| | | | | | | | |
| | | | | | | 748 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.7% | |
| | 9 | | | Amphastar Pharmaceuticals, Inc. (a) | | | 171 | |
| | 14 | | | Assembly Biosciences, Inc. (a) | | | 652 | |
| | 22 | | | Catalent, Inc. (a) | | | 883 | |
| | 11 | | | Horizon Pharma plc (a) | | | 153 | |
| | 3 | | | Medicines Co. (The) (a) | | | 87 | |
| | 16 | | | Nektar Therapeutics (a) | | | 950 | |
| | 3 | | | Ocular Therapeutix, Inc. (a) | | | 13 | |
| | 7 | | | Reata Pharmaceuticals, Inc., Class A (a) | | | 210 | |
| | 6 | | | Revance Therapeutics, Inc. (a) | | | 229 | |
| | 109 | | | TherapeuticsMD, Inc. (a) | | | 660 | |
| | 16 | | | WaVe Life Sciences Ltd. (a) | | | 558 | |
| | | | | | | | |
| | | | | | | 4,566 | |
| | | | | | | | |
| | | | Total Health Care | | | 41,681 | |
| | | | | | | | |
| | | | Industrials — 19.4% | |
| | | | Aerospace & Defense — 1.4% | |
| | 18 | | | AAR Corp. | | | 717 | |
| | 14 | | | Engility Holdings, Inc. (a) | | | 410 | |
| | 8 | | | HEICO Corp., Class A | | | 644 | |
| | 4 | | | Moog, Inc., Class A (a) | | | 313 | |
| | 51 | | | Vectrus, Inc. (a) | | | 1,567 | |
| | | | | | | | |
| | | | | | | 3,651 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.2% | |
| | 5 | | | Atlas Air Worldwide Holdings, Inc. (a) | | | 293 | |
| | 4 | | | Park-Ohio Holdings Corp. | | | 195 | |
| | | | | | | | |
| | | | | | | 488 | |
| | | | | | | | |
| | | | Airlines — 0.8% | |
| | 11 | | | Hawaiian Holdings, Inc. | | | 446 | |
| | 34 | | | SkyWest, Inc. | | | 1,827 | |
| | | | | | | | |
| | | | | | | 2,273 | |
| | | | | | | | |
| | | | Building Products — 0.8% | |
| | 3 | | | American Woodmark Corp. (a) | | | 375 | |
| | 3 | | | JELD-WEN Holding, Inc. (a) | | | 98 | |
| | 41 | | | Universal Forest Products, Inc. | | | 1,558 | |
| | | | | | | | |
| | | | | | | 2,031 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 2.1% | |
| | 16 | | | ABM Industries, Inc. | | | 592 | |
| | 162 | | | ACCO Brands Corp. (a) | | | 1,980 | |
| | — | (h) | | CECO Environmental Corp. | | | — | (h) |
| | 29 | | | Essendant, Inc. | | | 274 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Commercial Services & Supplies — continued | | | | |
| | 3 | | | Herman Miller, Inc. | | | 116 | |
| | 14 | | | Kimball International, Inc., Class B | | | 253 | |
| | 6 | | | Knoll, Inc. | | | 131 | |
| | 63 | | | Quad/Graphics, Inc. | | | 1,430 | |
| | 34 | | | Steelcase, Inc., Class A | | | 510 | |
| | 2 | | | Viad Corp. | | | 129 | |
| | 2 | | | VSE Corp. | | | 83 | |
| | | | | | | | |
| | | | | | | 5,498 | |
| | | | | | | | |
| | | | Construction & Engineering — 2.6% | |
| | 26 | | | EMCOR Group, Inc. | | | 2,141 | |
| | 106 | | | HC2 Holdings, Inc. (a) | | | 631 | |
| | 86 | | | KBR, Inc. | | | 1,709 | |
| | 36 | | | MasTec, Inc. (a) | | | 1,762 | |
| | 19 | | | Sterling Construction Co., Inc. (a) | | | 313 | |
| | 15 | | | Tutor Perini Corp. (a) | | | 368 | |
| | | | | | | | |
| | | | | | | 6,924 | |
| | | | | | | | |
| | | | Electrical Equipment — 1.1% | |
| | 7 | | | EnerSys | | | 460 | |
| | 69 | | | General Cable Corp. | | | 2,047 | |
| | 9 | | | Powell Industries, Inc. | | | 246 | |
| | 4 | | | Regal Beloit Corp. | | | 293 | |
| | | | | | | | |
| | | | | | | 3,046 | |
| | | | | | | | |
| | | | Machinery — 4.0% | |
| | 6 | | | Barnes Group, Inc. | | | 402 | |
| | 22 | | | Columbus McKinnon Corp. | | | 864 | |
| | 18 | | | Federal Signal Corp. | | | 357 | |
| | 58 | | | Global Brass & Copper Holdings, Inc. | | | 1,907 | |
| | 6 | | | Greenbrier Cos., Inc. (The) | | | 317 | |
| | 2 | | | Hurco Cos., Inc. | | | 85 | |
| | 4 | | | Hyster-Yale Materials Handling, Inc. | | | 375 | |
| | 8 | | | Kadant, Inc. | | | 841 | |
| | 4 | | | Kennametal, Inc. | | | 174 | |
| | 120 | | | Meritor, Inc. (a) | | | 2,817 | |
| | 6 | | | NN, Inc. | | | 160 | |
| | 1 | | | Standex International Corp. | | | 147 | |
| | 11 | | | TriMas Corp. (a) | | | 288 | |
| | 93 | | | Wabash National Corp. | | | 2,026 | |
| | | | | | | | |
| | | | | | | 10,760 | |
| | | | | | | | |
| | | | Marine — 0.1% | |
| | 71 | | | Costamare, Inc., (Monaco) | | | 407 | |
| | | | | | | | |
| | | | Professional Services — 3.7% | | | | |
| | 28 | | | Barrett Business Services, Inc. | | | 1,825 | |
| | 5 | | | CRA International, Inc. | | | 242 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 21 | |
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | | | | |
| | | | Professional Services — continued | | | | |
| | 16 | | | ICF International, Inc. (a) | | | 819 | |
| | 40 | | | Insperity, Inc. | | | 2,316 | |
| | 2 | | | Kelly Services, Inc., Class A | | | 56 | |
| | 7 | | | Korn/Ferry International | | | 269 | |
| | 83 | | | RPX Corp. | | | 1,109 | |
| | 24 | | | TriNet Group, Inc. (a) | | | 1,064 | |
| | 75 | | | TrueBlue, Inc. (a) | | | 2,063 | |
| | | | | | | | |
| | | | | | | 9,763 | |
| | | | | | | | |
| | | | Road & Rail — 1.2% | |
| | 75 | | | ArcBest Corp. | | | 2,680 | |
| | 11 | | | Schneider National, Inc., Class B | | | 317 | |
| | 3 | | | Universal Logistics Holdings, Inc. | | | 68 | |
| | 4 | | | YRC Worldwide, Inc. (a) | | | 53 | |
| | | | | | | | |
| | | | | | | 3,118 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.4% | |
| | 10 | | | Applied Industrial Technologies, Inc. | | | 654 | |
| | 39 | | | CAI International, Inc. (a) | | | 1,093 | |
| | 13 | | | GMS, Inc. (a) | | | 497 | |
| | 72 | | | MRC Global, Inc. (a) | | | 1,211 | |
| | 7 | | | Titan Machinery, Inc. (a) | | | 157 | |
| | 3 | | | Veritiv Corp. (a) | | | 95 | |
| | | | | | | | |
| | | | | | | 3,707 | |
| | | | | | | | |
| | | | Total Industrials | | | 51,666 | |
| | | | | | | | |
| | | | Information Technology — 15.6% | |
| | | | Communications Equipment — 1.1% | |
| | 17 | | | Ciena Corp. (a) | | | 360 | |
| | 200 | | | Extreme Networks, Inc. (a) | | | 2,506 | |
| | | | | | | | |
| | | | | | | 2,866 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 4.2% | |
| | 2 | | | Anixter International, Inc. (a) | | | 114 | |
| | 51 | | | Benchmark Electronics, Inc. (a) | | | 1,477 | |
| | 80 | | | Fitbit, Inc., Class A (a) | | | 457 | |
| | 34 | | | Insight Enterprises, Inc. (a) | | | 1,296 | |
| | 5 | | | Itron, Inc. (a) | | | 334 | |
| | 73 | | | KEMET Corp. (a) | | | 1,095 | |
| | 31 | | | Kimball Electronics, Inc. (a) | | | 569 | |
| | 3 | | | Littelfuse, Inc. | | | 550 | |
| | 25 | | | Methode Electronics, Inc. | | | 1,005 | |
| | 3 | | | Plexus Corp. (a) | | | 182 | |
| | 65 | | | Sanmina Corp. (a) | | | 2,148 | |
| | 15 | | | Tech Data Corp. (a) | | | 1,491 | |
| | 11 | | | Vishay Precision Group, Inc. (a) | | | 264 | |
| | | | | | | | |
| | | | | | | 10,982 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Internet Software & Services — 2.4% | | | | |
| | 26 | | | Alteryx, Inc., Class A (a) | | | 662 | |
| | 45 | | | Apptio, Inc., Class A (a) | | | 1,049 | |
| | 61 | | | Blucora, Inc. (a) | | | 1,352 | |
| | 2 | | | Cargurus, Inc. (a) | | | 69 | |
| | 7 | | | Coupa Software, Inc. (a) | | | 209 | |
| | 20 | | | Five9, Inc. (a) | | | 502 | |
| | 111 | | | Limelight Networks, Inc. (a) | | | 491 | |
| | 10 | | | MongoDB, Inc. (a) | | | 300 | |
| | 14 | | | New Relic, Inc. (a) | | | 809 | |
| | 3 | | | SendGrid, Inc. (a) | | | 60 | |
| | 40 | | | Tintri, Inc. (a) | | | 206 | |
| | 10 | | | Web.com Group, Inc. (a) | | | 214 | |
| | 12 | | | Yelp, Inc. (a) | | | 516 | |
| | | | | | | | |
| | | | | | | 6,439 | |
| | | | | | | | |
| | | | IT Services — 2.1% | |
| | 2 | | | Blackhawk Network Holdings, Inc. (a) | | | 73 | |
| | 6 | | | CACI International, Inc., Class A (a) | | | 847 | |
| | 2 | | | Euronet Worldwide, Inc. (a) | | | 147 | |
| | 35 | | | Everi Holdings, Inc. (a) | | | 263 | |
| | 9 | | | Switch, Inc., Class A | | | 158 | |
| | 16 | | | Sykes Enterprises, Inc. (a) | | | 495 | |
| | 160 | | | Travelport Worldwide Ltd. | | | 2,085 | |
| | 112 | | | Unisys Corp. (a) | | | 914 | |
| | 14 | | | Virtusa Corp. (a) | | | 599 | |
| | | | | | | | |
| | | | | | | 5,581 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 2.5% | |
| | 3 | | | Advanced Energy Industries, Inc. (a) | | | 211 | |
| | 31 | | | Alpha & Omega Semiconductor Ltd. (a) | | | 514 | |
| | 19 | �� | | Cirrus Logic, Inc. (a) | | | 1,001 | |
| | 34 | | | Cohu, Inc. | | | 735 | |
| | 110 | | | Cypress Semiconductor Corp. | | | 1,681 | |
| | 15 | | | Ichor Holdings Ltd. (a) | | | 359 | |
| | 5 | | | Nanometrics, Inc. (a) | | | 129 | |
| | 8 | | | Rudolph Technologies, Inc. (a) | | | 184 | |
| | 20 | | | Sigma Designs, Inc. (a) | | | 136 | |
| | 69 | | | Ultra Clean Holdings, Inc. (a) | | | 1,588 | |
| | 18 | | | Xcerra Corp. (a) | | | 180 | |
| | | | | | | | |
| | | | | | | 6,718 | |
| | | | | | | | |
| | | | Software — 3.3% | |
| | 17 | | | CommVault Systems, Inc. (a) | | | 893 | |
| | 3 | | | ForeScout Technologies, Inc. (a) | | | 105 | |
| | 19 | | | Imperva, Inc. (a) | | | 766 | |
| | 3 | | | MicroStrategy, Inc., Class A (a) | | | 374 | |
| | 31 | | | Progress Software Corp. | | | 1,298 | |
| | 3 | | | QAD, Inc., Class A | | | 113 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | | | | |
| | | | Software — continued | | | | |
| | 12 | | | Qualys, Inc. (a) | | | 730 | |
| | 34 | | | RingCentral, Inc., Class A (a) | | | 1,635 | |
| | 27 | | | SailPoint Technologies Holding, Inc. (a) | | | 387 | |
| | 20 | | | Take-Two Interactive Software, Inc. (a) | | | 2,169 | |
| | — | (h) | | TiVo Corp. | | | 1 | |
| | 7 | | | Varonis Systems, Inc. (a) | | | 345 | |
| | | | | | | | |
| | | | | | | 8,816 | |
| | | | | | | | |
| | | | Total Information Technology | | | 41,402 | |
| | | | | | | | |
| | | | Materials — 4.7% | |
| | | | Chemicals — 2.0% | |
| | 15 | | | Chemours Co. (The) | | | 761 | |
| | 20 | | | FutureFuel Corp. | | | 286 | |
| | 3 | | | Ingevity Corp. (a) | | | 183 | |
| | 20 | | | Innophos Holdings, Inc. | | | 940 | |
| | 16 | | | OMNOVA Solutions, Inc. (a) | | | 160 | |
| | 41 | | | Trinseo SA | | | 3,006 | |
| | | | | | | | |
| | | | | | | 5,336 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.5% | |
| | 14 | | | Berry Global Group, Inc. (a) | | | 799 | |
| | 25 | | | Graphic Packaging Holding Co. | | | 386 | |
| | | | | | | | |
| | | | | | | 1,185 | |
| | | | | | | | |
| | | | Metals & Mining — 0.8% | |
| | 74 | | | AK Steel Holding Corp. (a) | | | 419 | |
| | 59 | | | Cleveland-Cliffs, Inc. (a) | | | 428 | |
| | 6 | | | Commercial Metals Co. | | | 138 | |
| | 5 | | | Ryerson Holding Corp. (a) | | | 50 | |
| | 33 | | | Warrior Met Coal, Inc. | | | 825 | |
| | 5 | | | Worthington Industries, Inc. | | | 209 | |
| | | | | | | | |
| | | | | | | 2,069 | |
| | | | | | | | |
| | | | Paper & Forest Products — 1.4% | |
| | 15 | | | Boise Cascade Co. | | | 594 | |
| | 40 | | | Louisiana-Pacific Corp. (a) | | | 1,061 | |
| | 32 | | | Schweitzer-Mauduit International, Inc. | | | 1,436 | |
| | 39 | | | Verso Corp., Class A (a) | | | 687 | |
| | | | | | | | |
| | | | | | | 3,778 | |
| | | | | | | | |
| | | | Total Materials | | | 12,368 | |
| | | | | | | | |
| | | | Real Estate — 6.4% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 6.4% | |
| | 11 | | | Armada Hoffler Properties, Inc. | | | 167 | |
| | 166 | | | Ashford Hospitality Trust, Inc. | | | 1,118 | |
| | 26 | | | Bluerock Residential Growth REIT, Inc. | | | 267 | |
| | 10 | | | Chatham Lodging Trust | | | 232 | |
| | 12 | | | Chesapeake Lodging Trust | | | 319 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 1 | | | CorEnergy Infrastructure Trust, Inc. | | | 42 | |
| | 6 | | | CoreSite Realty Corp. | | | 737 | |
| | 32 | | | Cousins Properties, Inc. | | | 294 | |
| | 3 | | | CyrusOne, Inc. | | | 167 | |
| | 10 | | | DCT Industrial Trust, Inc. | | | 564 | |
| | 18 | | | DiamondRock Hospitality Co. | | | 207 | |
| | 6 | | | Easterly Government Properties, Inc. | | | 128 | |
| | 9 | | | Education Realty Trust, Inc. | | | 316 | |
| | 49 | | | First Industrial Realty Trust, Inc. | | | 1,528 | |
| | 4 | | | Franklin Street Properties Corp. | | | 39 | |
| | 89 | | | GEO Group, Inc. (The) | | | 2,091 | |
| | 29 | | | Getty Realty Corp. | | | 788 | |
| | 8 | | | Highwoods Properties, Inc. | | | 412 | |
| | 6 | | | Hudson Pacific Properties, Inc. | | | 213 | |
| | 16 | | | InfraREIT, Inc. | | | 305 | |
| | 9 | | | LaSalle Hotel Properties | | | 264 | |
| | 8 | | | New Senior Investment Group, Inc. | | | 60 | |
| | 24 | | | NexPoint Residential Trust, Inc. | | | 666 | |
| | 43 | | | Preferred Apartment Communities, Inc., Class A | | | 861 | |
| | 2 | | | PS Business Parks, Inc. | | | 250 | |
| | 26 | | | Ramco-Gershenson Properties Trust | | | 384 | |
| | 44 | | | Retail Opportunity Investments Corp. | | | 877 | |
| | 25 | | | Rexford Industrial Realty, Inc. | | | 732 | |
| | 24 | | | RLJ Lodging Trust | | | 523 | |
| | 55 | | | Summit Hotel Properties, Inc. | | | 831 | |
| | 3 | | | Sun Communities, Inc. | | | 269 | |
| | 50 | | | Sunstone Hotel Investors, Inc. | | | 829 | |
| | 2 | | | Urban Edge Properties | | | 51 | |
| | 26 | | | Xenia Hotels & Resorts, Inc. | | | 550 | |
| | | | | | | | |
| | | | Total Real Estate | | | 17,081 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.0% (g) | |
| | | | Diversified Telecommunication Services — 0.0% (g) | |
| | 8 | | | IDT Corp., Class B (a) | | | 86 | |
| | | | | | | | |
| | | | Utilities — 2.9% | |
| | | | Electric Utilities — 1.6% | |
| | 2 | | | El Paso Electric Co. | | | 93 | |
| | 6 | | | IDACORP, Inc. | | | 587 | |
| | 4 | | | MGE Energy, Inc. | | | 244 | |
| | 9 | | | PNM Resources, Inc. | | | 360 | |
| | 42 | | | Portland General Electric Co. | | | 1,903 | |
| | 82 | | | Spark Energy, Inc., Class A | | | 1,016 | |
| | | | | | | | |
| | | | | | | 4,203 | |
| | | | | | | | |
| | | | Gas Utilities — 0.8% | |
| | 15 | | | New Jersey Resources Corp. | | | 605 | |
| | 14 | | | Southwest Gas Holdings, Inc. | | | 1,134 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 23 | |
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except for number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Gas Utilities — continued | | | | |
| | 5 | | | WGL Holdings, Inc. | | | 447 | |
| | | | | | | | |
| | | | | | | 2,186 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity Producers — 0.5% | |
| | 52 | | | Atlantic Power Corp. (a) | | | 122 | |
| | 16 | | | Dynegy, Inc. (a) | | | 195 | |
| | 15 | | | NRG Yield, Inc., Class C | | | 287 | |
| | 12 | | | Ormat Technologies, Inc. | | | 774 | |
| | | | | | | | |
| | | | | | | 1,378 | |
| | | | | | | | |
| | | | Water Utilities — 0.0% (g) | |
| | 3 | | | Consolidated Water Co. Ltd., (Cayman Islands) | | | 34 | |
| | | | | | | | |
| | | | Total Utilities | | | 7,801 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $192,257) | | | 261,573 | |
| | | | | | | | |
| | |
NUMBER OF
WARRANTS | | | | | | |
| | Warrant — 0.0% | | | | |
| | | | Financials — 0.0% | | | | |
| | | | Consumer Finance — 0.0% | | | | |
| | 2 | | | Emergent Capital, Inc., expiring 10/01/2019 (Strike Price $10.75) (a) (bb)
(Cost $—) | | | — | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Short-Term Investment — 2.6% | | | | |
| | | | Investment Company — 2.6% | |
| | 6,978 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $6,978) | | | 6,978 | |
| | | | | | | | |
| | | | Total Investments — 100.9%
(Cost $199,235) | | | 268,551 | |
| | | | Liabilities in Excess of
Other Assets — (0.9)% | | | (2,322 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 266,229 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | |
| Russell 2000 E-Mini Index | | 85 | | | 03/2018 | | | | USD | | | $ | 6,530 | | | $ | (12 | ) |
| | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 94.4% | | | | |
| | | | Consumer Discretionary — 13.0% | | | | |
| | | | Auto Components — 1.1% | | | | |
| | 537 | | | LCI Industries | | | 69,853 | |
| | | | | | | | |
| | | | Distributors — 2.1% | | | | |
| | 1,045 | | | Pool Corp. | | | 135,545 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.8% | | | | |
| | 1,061 | | | ServiceMaster Global Holdings, Inc. (a) | | | 54,392 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 2.0% | | | | |
| | 390 | | | Hilton Grand Vacations, Inc. (a) | | | 16,377 | |
| | 611 | | | Monarch Casino & Resort, Inc. (a) | | | 27,368 | |
| | 1,123 | | | Papa John’s International, Inc. | | | 63,034 | |
| | 1,423 | | | Zoe’s Kitchen, Inc. (a) | | | 23,800 | |
| | | | | | | | |
| | | | | | | 130,579 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.2% | | | | |
| | 2,711 | | | Blue Apron Holdings, Inc., Class A (a) | | | 10,926 | |
| | | | | | | | |
| | | | Leisure Products — 2.5% | | | | |
| | 2,741 | | | Acushnet Holdings Corp. | | | 57,770 | |
| | 1,593 | | | Brunswick Corp. | | | 87,941 | |
| | 555 | | | Malibu Boats, Inc., Class A (a) | | | 16,498 | |
| | | | | | | | |
| | | | | | | 162,209 | |
| | | | | | | | |
| | | | Media — 2.6% | | | | |
| | 2,466 | | | Cinemark Holdings, Inc. | | | 85,853 | |
| | 1,041 | | | Emerald Expositions Events, Inc. | | | 21,170 | |
| | 3,743 | | | EW Scripps Co. (The), Class A (a) | | | 58,507 | |
| | | | | | | | |
| | | | | | | 165,530 | |
| | | | | | | | |
| | | | Specialty Retail — 0.6% | | | | |
| | 388 | | | American Eagle Outfitters, Inc. | | | 7,296 | |
| | 3,696 | | | Chico’s FAS, Inc. | | | 32,594 | |
| | | | | | | | |
| | | | | | | 39,890 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.1% | | | | |
| | 596 | | | Carter’s, Inc. | | | 70,048 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 838,972 | |
| | | | | | | | |
| | | | Consumer Staples — 3.5% | | | | |
| | | | Food & Staples Retailing — 1.8% | | | | |
| | 3,543 | | | Performance Food Group Co. (a) | | | 117,286 | |
| | | | | | | | |
| | | | Household Products — 1.7% | | | | |
| | 953 | | | Spectrum Brands Holdings, Inc. | | | 107,061 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 224,347 | |
| | | | | | | | |
| | | | Energy — 4.0% | | | | |
| | | | Energy Equipment & Services — 3.0% | | | | |
| | 753 | | | Core Laboratories NV | | | 82,460 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Energy — continued | | | | |
| | 4,949 | | | Patterson-UTI Energy, Inc. | | | 113,883 | |
| | | | | | | | |
| | | | | | | 196,343 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 1.0% | | | | |
| | 7,169 | | | SRC Energy, Inc. (a) | | | 61,149 | |
| | | | | | | | |
| | | | Total Energy | | | 257,492 | |
| | | | | | | | |
| | | | Financials — 16.6% | | | | |
| | | | Banks — 11.0% | | | | |
| | 2,813 | | | Associated Banc-Corp. | | | 71,438 | |
| | 2,234 | | | BankUnited, Inc. | | | 90,983 | |
| | 844 | | | Commerce Bancshares, Inc. | | | 47,101 | |
| | 1,546 | | | First Financial Bancorp | | | 40,739 | |
| | 2,130 | | | First Hawaiian, Inc. | | | 62,143 | |
| | 3,896 | | | First Horizon National Corp. | | | 77,885 | |
| | 638 | | | First Interstate BancSystem, Inc., Class A | | | 25,568 | |
| | 1,119 | | | Glacier Bancorp, Inc. | | | 44,072 | |
| | 1,517 | | | Great Western Bancorp, Inc. | | | 60,359 | |
| | 933 | | | IBERIABANK Corp. | | | 72,337 | |
| | 1,090 | | | Western Alliance Bancorp (a) | | | 61,739 | |
| | 751 | | | Wintrust Financial Corp. | | | 61,839 | |
| | | | | | | | |
| | | | | | | 716,203 | |
| | | | | | | | |
| | | | Capital Markets — 3.9% | | | | |
| | 941 | | | Eaton Vance Corp. | | | 53,065 | |
| | 264 | | | FactSet Research Systems, Inc. | | | 50,895 | |
| | 885 | | | Lazard Ltd., Class A | | | 46,456 | |
| | 946 | | | Moelis & Co., Class A | | | 45,877 | |
| | 562 | | | Morningstar, Inc. | | | 54,513 | |
| | | | | | | | |
| | | | | | | 250,806 | |
| | | | | | | | |
| | | | Insurance — 1.7% | | | | |
| | 637 | | | Kinsale Capital Group, Inc. | | | 28,671 | |
| | 1,108 | | | ProAssurance Corp. | | | 63,300 | |
| | 306 | | | RLI Corp. | | | 18,555 | |
| | | | | | | | |
| | | | | | | 110,526 | |
| | | | | | | | |
| | | | Total Financials | | | 1,077,535 | |
| | | | | | | | |
| | | | Health Care — 10.8% | | | | |
| | | | Health Care Equipment & Supplies — 2.7% | | | | |
| | 298 | | | ICU Medical, Inc. (a) | | | 64,437 | |
| | 1,134 | | | West Pharmaceutical Services, Inc. | | | 111,915 | |
| | | | | | | | |
| | | | | | | 176,352 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 4.2% | | | | |
| | 839 | | | HealthEquity, Inc. (a) | | | 39,150 | |
| | 2,096 | | | HealthSouth Corp. | | | 103,554 | |
| | 392 | | | Magellan Health, Inc. (a) | | | 37,822 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 25 | |
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Health Care Providers & Services — continued | | | | |
| | 1,238 | | | Premier, Inc., Class A (a) | | | 36,146 | |
| | 286 | | | WellCare Health Plans, Inc. (a) | | | 57,491 | |
| | | | | | | | |
| | | | | | | 274,163 | |
| | | | | | | | |
| | | | Health Care Technology — 1.5% | | | | |
| | 1,397 | | | Cotiviti Holdings, Inc. (a) | | | 45,006 | |
| | 806 | | | Medidata Solutions, Inc. (a) | | | 51,050 | |
| | | | | | | | |
| | | | | | | 96,056 | |
| | | | | | | | |
| | | | Pharmaceuticals — 2.4% | | | | |
| | 2,475 | | | Catalent, Inc. (a) | | | 101,689 | |
| | 1,169 | | | Prestige Brands Holdings, Inc. (a) | | | 51,905 | |
| | | | | | | | |
| | | | | | | 153,594 | |
| | | | | | | | |
| | | | Total Health Care | | | 700,165 | |
| | | | | | | | |
| | | | Industrials — 17.6% | | | | |
| | | | Building Products — 1.6% | | | | |
| | 1,426 | | | JELD-WEN Holding, Inc. (a) | | | 56,158 | |
| | 1,230 | | | USG Corp. (a) | | | 47,439 | |
| | | | | | | | |
| | | | | | | 103,597 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 4.4% | | | | |
| | 1,372 | | | Advanced Disposal Services, Inc. (a) | | | 32,842 | |
| | 2,355 | | | Brady Corp., Class A | | | 89,239 | |
| | 1,289 | | | Herman Miller, Inc. | | | 51,619 | |
| | 1,460 | | | KAR Auction Services, Inc. | | | 73,736 | |
| | 668 | | | US Ecology, Inc. | | | 34,075 | |
| | | | | | | | |
| | | | | | | 281,511 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.8% | | | | |
| | 1,064 | | | Generac Holdings, Inc. (a) | | | 52,672 | |
| | | | | | | | |
| | | | Machinery — 7.3% | | | | |
| | 1,148 | | | Allison Transmission Holdings, Inc. | | | 49,437 | |
| | 995 | | | Altra Industrial Motion Corp. | | | 50,137 | |
| | 996 | | | Douglas Dynamics, Inc. | | | 37,644 | |
| | 524 | | | Lincoln Electric Holdings, Inc. | | | 48,031 | |
| | 374 | | | Proto Labs, Inc. (a) | | | 38,513 | |
| | 738 | | | RBC Bearings, Inc. (a) | | | 93,304 | |
| | 2,416 | | | Toro Co. (The) | | | 157,592 | |
| | | | | | | | |
| | | | | | | 474,658 | |
| | | | | | | | |
| | | | Road & Rail — 1.5% | | | | |
| | 898 | | | Knight-Swift Transportation Holdings, Inc. | | | 39,273 | |
| | 568 | | | Landstar System, Inc. | | | 59,085 | |
| | | | | | | | |
| | | | | | | 98,358 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Trading Companies & Distributors — 2.0% | |
| | 1,004 | | | Applied Industrial Technologies, Inc. | | | 68,401 | |
| | 342 | | | Watsco, Inc. | | | 58,099 | |
| | | | | | | | |
| | | | | | | 126,500 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,137,296 | |
| | | | | | | | |
| | | | Information Technology — 13.0% | | | | |
| | | | Internet Software & Services — 3.4% | | | | |
| | 3,186 | | | Cision Ltd. (a) | | | 37,816 | |
| | 1,199 | | | GrubHub, Inc. (a) | | | 86,103 | |
| | 978 | | | Instructure, Inc. (a) | | | 32,357 | |
| | 1,761 | | | Q2 Holdings, Inc. (a) | | | 64,876 | |
| | | | | | | | |
| | | | | | | 221,152 | |
| | | | | | | | |
| | | | IT Services — 0.8% | | | | |
| | 1,044 | | | CoreLogic, Inc. (a) | | | 48,258 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 1.6% | |
| | 1,102 | | | Cabot Microelectronics Corp. | | | 103,633 | |
| | | | | | | | |
| | | | Software — 7.2% | | | | |
| | 1,020 | | | Aspen Technology, Inc. (a) | | | 67,504 | |
| | 645 | | | Blackbaud, Inc. | | | 60,956 | |
| | 833 | | | Guidewire Software, Inc. (a) | | | 61,865 | |
| | 239 | | | Imperva, Inc. (a) | | | 9,490 | |
| | 1,110 | | | Manhattan Associates, Inc. (a) | | | 55,008 | |
| | 252 | | | MicroStrategy, Inc., Class A (a) | | | 33,028 | |
| | 1,042 | | | SailPoint Technologies Holding, Inc. (a) | | | 15,112 | |
| | 629 | | | Splunk, Inc. (a) | | | 52,092 | |
| | 737 | | | Tableau Software, Inc., Class A (a) | | | 51,011 | |
| | 354 | | | Tyler Technologies, Inc. (a) | | | 62,720 | |
| | | | | | | | |
| | | | | | | 468,786 | |
| | | | | | | | |
| | | | Total Information Technology | | | 841,829 | |
| | | | | | | | |
| | | | Materials — 6.6% | | | | |
| | | | Chemicals — 3.7% | | | | |
| | 2,071 | | | GCP Applied Technologies, Inc. (a) | | | 66,057 | |
| | 2,947 | | | PQ Group Holdings, Inc. (a) | | | 48,476 | |
| | 385 | | | Quaker Chemical Corp. | | | 58,060 | |
| | 2,631 | | | Valvoline, Inc. | | | 65,938 | |
| | | | | | | | |
| | | | | | | 238,531 | |
| | | | | | | | |
| | | | Containers & Packaging — 2.9% | |
| | 1,667 | | | AptarGroup, Inc. | | | 143,799 | |
| | 844 | | | Crown Holdings, Inc. (a) | | | 47,492 | |
| | | | | | | | |
| | | | | | | 191,291 | |
| | | | | | | | |
| | | | Total Materials | | | 429,822 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Real Estate — 6.4% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 4.9% | |
| | 857 | | | EastGroup Properties, Inc. | | | 75,761 | |
| | 2,268 | | | National Retail Properties, Inc. | | | 97,827 | |
| | 2,660 | | | Outfront Media, Inc. | | | 61,722 | |
| | 2,771 | | | RLJ Lodging Trust | | | 60,871 | |
| | 1,597 | | | Williams Scotsman Corp., Class A (a) | | | 20,277 | |
| | | | | | | | |
| | | | | | | 316,458 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 1.5% | |
| | 1,112 | | | HFF, Inc., Class A | | | 54,070 | |
| | 1,658 | | | Realogy Holdings Corp. | | | 43,933 | |
| | | | | | | | |
| | | | | | | 98,003 | |
| | | | | | | | |
| | | | Total Real Estate | | | 414,461 | |
| | | | | | | | |
| | | | Utilities — 2.9% | |
| | | | Electric Utilities — 1.3% | |
| | 1,858 | | | Portland General Electric Co. | | | 84,696 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.2% | |
| | 1,321 | | | NorthWestern Corp. | | | 78,847 | |
| | | | | | | | |
| | | | Water Utilities — 0.4% | |
| | 1,104 | | | Evoqua Water Technologies Corp. (a) | | | 26,178 | |
| | | | | | | | |
| | | | Total Utilities | | | 189,721 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $4,249,395) | | | 6,111,640 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Exchange Traded Fund — 1.3% | |
| | | | U.S. Equity — 1.3% | |
| | 535 | | | iShares Russell 2000 Fund
(Cost $68,633) | | | 81,582 | |
| | | | | | | | |
| | Short-Term Investment — 4.3% | |
| | | | Investment Company — 4.3% | |
| | 278,254 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $278,254) | | | 278,254 | |
| | | | | | | | |
| | | | Total Investments — 100.0%
(Cost $4,596,282) | | | 6,471,476 | |
| | | | Other Assets in Excess of Liabilities — 0.0% (g) | | | 1,510 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 6,472,986 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 27 | |
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.9% | |
| | | | Consumer Discretionary — 14.7% | |
| | | | Automobiles — 1.3% | |
| | 373 | | | Winnebago Industries, Inc. | | | 20,714 | |
| | | | | | | | |
| | | | Distributors — 0.8% | |
| | 95 | | | Pool Corp. | | | 12,337 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 1.3% | |
| | 221 | | | Bright Horizons Family Solutions, Inc. (a) | | | 20,728 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 3.6% | |
| | 835 | | | Boyd Gaming Corp. | | | 29,282 | |
| | 403 | | | Texas Roadhouse, Inc. | | | 21,254 | |
| | 34 | | | Vail Resorts, Inc. | | | 7,143 | |
| | | | | | | | |
| | | | | | | 57,679 | |
| | | | | | | | |
| | | | Household Durables — 0.8% | |
| | 720 | | | TRI Pointe Group, Inc. (a) | | | 12,910 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 1.5% | |
| | 1,893 | | | Groupon, Inc. (a) | | | 9,654 | |
| | 176 | | | Wayfair, Inc., Class A (a) | | | 14,166 | |
| | | | | | | | |
| | | | | | | 23,820 | |
| | | | | | | | |
| | | | Multiline Retail — 1.1% | |
| | 352 | | | Ollie’s Bargain Outlet Holdings, Inc. (a) | | | 18,739 | |
| | | | | | | | |
| | | | Specialty Retail — 2.9% | |
| | 138 | | | Burlington Stores, Inc. (a) | | | 16,975 | |
| | 196 | | | Lithia Motors, Inc., Class A | | | 22,290 | |
| | 193 | | | National Vision Holdings, Inc. (a) | | | 7,827 | |
| | | | | | | | |
| | | | | | | 47,092 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.4% | |
| | 733 | | | Wolverine World Wide, Inc. | | | 23,377 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 237,396 | |
| | | | | | | | |
| | | | Consumer Staples — 4.4% | |
| | | | Food & Staples Retailing — 2.1% | |
| | 78 | | | Casey’s General Stores, Inc. | | | 8,730 | |
| | 759 | | | Performance Food Group Co. (a) | | | 25,139 | |
| | | | | | | | |
| | | | | | | 33,869 | |
| | | | | | | | |
| | | | Food Products — 1.3% | |
| | 643 | | | Freshpet, Inc. (a) | | | 12,176 | |
| | 193 | | | Snyder’s-Lance, Inc. | | | 9,682 | |
| | | | | | | | |
| | | | | | | 21,858 | |
| | | | | | | | |
| | | | Personal Products — 1.0% | |
| | 701 | | | elf Beauty, Inc. (a) | | | 15,650 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 71,377 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | |
| | | | Energy — 1.1% | |
| | | | Oil, Gas & Consumable Fuels — 1.1% | |
| | 542 | | | Jagged Peak Energy, Inc. (a) | | | 8,558 | |
| | 224 | | | RSP Permian, Inc. (a) | | | 9,125 | |
| | | | | | | | |
| | | | Total Energy | | | 17,683 | |
| | | | | | | | |
| | | | Financials — 5.6% | |
| | | | Banks — 2.3% | |
| | 182 | | | Bank of the Ozarks, Inc. | | | 8,839 | |
| | 46 | | | Signature Bank (a) | | | 6,287 | |
| | 245 | | | Texas Capital Bancshares, Inc. (a) | | | 21,750 | |
| | | | | | | | |
| | | | | | | 36,876 | |
| | | | | | | | |
| | | | Capital Markets — 2.7% | |
| | 253 | | | Evercore, Inc., Class A | | | 22,767 | |
| | 292 | | | Financial Engines, Inc. | | | 8,840 | |
| | 1,080 | | | PennantPark Investment Corp. | | | 7,460 | |
| | 370 | | | WisdomTree Investments, Inc. | | | 4,638 | |
| | | | | | | | |
| | | | | | | 43,705 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 0.6% | |
| | 303 | | | BofI Holding, Inc. (a) | | | 9,052 | |
| | | | | | | | |
| | | | Total Financials | | | 89,633 | |
| | | | | | | | |
| | | | Health Care — 20.6% | |
| | | | Biotechnology — 8.8% | |
| | 172 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 5,171 | |
| | 475 | | | Bellicum Pharmaceuticals, Inc. (a) | | | 3,993 | |
| | 219 | | | Biohaven Pharmaceutical Holding Co. Ltd. (a) | | | 5,912 | |
| | 406 | | | Clementia Pharmaceuticals, Inc., (Canada) (a) | | | 7,706 | |
| | 41 | | | Clovis Oncology, Inc. (a) | | | 2,806 | |
| | 367 | | | Coherus Biosciences, Inc. (a) | | | 3,228 | |
| | 419 | | | Exact Sciences Corp. (a) | | | 22,031 | |
| | 258 | | | FibroGen, Inc. (a) | | | 12,237 | |
| | 819 | | | Halozyme Therapeutics, Inc. (a) | | | 16,603 | |
| | 182 | | | Ignyta, Inc. (a) | | | 4,867 | |
| | 108 | | | Insmed, Inc. (a) | | | 3,368 | |
| | 106 | | | Neurocrine Biosciences, Inc. (a) | | | 8,238 | |
| | 156 | | | Portola Pharmaceuticals, Inc. (a) | | | 7,592 | |
| | 293 | | | REGENXBIO, Inc. (a) | | | 9,744 | |
| | 123 | | | Sage Therapeutics, Inc. (a) | | | 20,208 | |
| | 175 | | | Spark Therapeutics, Inc. (a) | | | 9,011 | |
| | | | | | | | |
| | | | | | | 142,715 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.7% | |
| | 1,404 | | | GenMark Diagnostics, Inc. (a) | | | 5,855 | |
| | 261 | | | Insulet Corp. (a) | | | 18,014 | |
| | 135 | | | iRhythm Technologies, Inc. (a) | | | 7,569 | |
| | 634 | | | K2M Group Holdings, Inc. (a) | | | 11,417 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Health Care Equipment & Supplies — continued | |
| | 202 | | | Nevro Corp. (a) | | | 13,941 | |
| | 1,305 | | | TransEnterix, Inc. (a) | | | 2,518 | |
| | | | | | | | |
| | | | | | | 59,314 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.2% | |
| | 374 | | | Acadia Healthcare Co., Inc. (a) | | | 12,189 | |
| | 632 | | | Teladoc, Inc. (a) | | | 22,027 | |
| | 91 | | | WellCare Health Plans, Inc. (a) | | | 18,341 | |
| | | | | | | | |
| | | | | | | 52,557 | |
| | | | | | | | |
| | | | Health Care Technology — 1.1% | |
| | 856 | | | Evolent Health, Inc., Class A (a) | | | 10,531 | |
| | 118 | | | Veeva Systems, Inc., Class A (a) | | | 6,548 | |
| | | | | | | | |
| | | | | | | 17,079 | |
| | | | | | | | |
| | | | Pharmaceuticals — 3.8% | |
| | 733 | | | Horizon Pharma plc (a) | | | 10,703 | |
| | 414 | | | Nektar Therapeutics (a) | | | 24,722 | |
| | 381 | | | Revance Therapeutics, Inc. (a) | | | 13,616 | |
| | 1,964 | | | TherapeuticsMD, Inc. (a) | | | 11,861 | |
| | | | | | | | |
| | | | | | | 60,902 | |
| | | | | | | | |
| | | | Total Health Care | | | 332,567 | |
| | | | | | | | |
| | | | Industrials — 19.3% | |
| | | | Aerospace & Defense — 1.7% | |
| | 194 | | | HEICO Corp. | | | 18,303 | |
| | 145 | | | Hexcel Corp. | | | 8,938 | |
| | | | | | | | |
| | | | | | | 27,241 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.7% | |
| | 129 | | | XPO Logistics, Inc. (a) | | | 11,776 | |
| | | | | | | | |
| | | | Building Products — 5.6% | |
| | 704 | | | Advanced Drainage Systems, Inc. | | | 16,786 | |
| | 433 | | | JELD-WEN Holding, Inc. (a) | | | 17,047 | |
| | 99 | | | Lennox International, Inc. | | | 20,584 | |
| | 180 | | | Masonite International Corp. (a) | | | 13,373 | |
| | 204 | | | Trex Co., Inc. (a) | | | 22,127 | |
| | | | | | | | |
| | | | | | | 89,917 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.2% | |
| | 817 | | | Advanced Disposal Services, Inc. (a) | | | 19,552 | |
| | | | | | | | |
| | | | Machinery — 5.6% | |
| | 352 | | | Graco, Inc. | | | 15,928 | |
| | 343 | | | ITT, Inc. | | | 18,285 | |
| | 240 | | | John Bean Technologies Corp. | | | 26,621 | |
| | 70 | | | Middleby Corp. (The) (a) | | | 9,497 | |
| | 214 | | | Oshkosh Corp. | | | 19,415 | |
| | | | | | | | |
| | | | | | | 89,746 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Marine — 0.5% | |
| | 121 | | | Kirby Corp. (a) | | | 8,108 | |
| | | | | | | | |
| | | | Road & Rail — 1.9% | |
| | 121 | | | Old Dominion Freight Line, Inc. | | | 15,951 | |
| | 210 | | | Saia, Inc. (a) | | | 14,853 | |
| | | | | | | | |
| | | | | | | 30,804 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 2.1% | |
| | 433 | | | H&E Equipment Services, Inc. | | | 17,621 | |
| | 329 | | | Rush Enterprises, Inc., Class A (a) | | | 16,712 | |
| | | | | | | | |
| | | | | | | 34,333 | |
| | | | | | | | |
| | | | Total Industrials | | | 311,477 | |
| | | | | | | | |
| | | | Information Technology — 26.0% | |
| | | | Communications Equipment — 1.0% | |
| | 330 | | | Ciena Corp. (a) | | | 6,899 | |
| | 688 | | | Quantenna Communications, Inc. (a) | | | 8,398 | |
| | | | | | | | |
| | | | | | | 15,297 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 1.4% | |
| | 113 | | | Littelfuse, Inc. | | | 22,279 | |
| | | | | | | | |
| | | | Internet Software & Services — 9.9% | |
| | 211 | | | 2U, Inc. (a) | | | 13,612 | |
| | 636 | | | Cloudera, Inc. (a) | | | 10,505 | |
| | 446 | | | Envestnet, Inc. (a) | | | 22,216 | |
| | 268 | | | GoDaddy, Inc., Class A (a) | | | 13,450 | |
| | 407 | | | GrubHub, Inc. (a) | | | 29,220 | |
| | 413 | | | Instructure, Inc. (a) | | | 13,680 | |
| | 425 | | | MuleSoft, Inc., Class A (a) | | | 9,894 | |
| | 529 | | | Nutanix, Inc., Class A (a) | | | 18,652 | |
| | 429 | | | Okta, Inc. (a) | | | 10,975 | |
| | 383 | | | Trade Desk, Inc. (The), Class A (a) | | | 17,518 | |
| | | | | | | | |
| | | | | | | 159,722 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 5.1% | |
| | 181 | | | Cavium, Inc. (a) | | | 15,185 | |
| | 460 | | | Inphi Corp. (a) | | | 16,830 | |
| | 261 | | | MACOM Technology Solutions Holdings, Inc. (a) | | | 8,492 | |
| | 238 | | | MKS Instruments, Inc. | | | 22,458 | |
| | 175 | | | Monolithic Power Systems, Inc. | | | 19,707 | |
| | | | | | | | |
| | | | | | | 82,672 | |
| | | | | | | | |
| | | | Software — 8.6% | |
| | 366 | | | Appian Corp. (a) | | | 11,537 | |
| | 169 | | | Atlassian Corp. plc, (Australia), Class A (a) | | | 7,678 | |
| | 164 | | | Guidewire Software, Inc. (a) | | | 12,207 | |
| | 206 | | | HubSpot, Inc. (a) | | | 18,207 | |
| | 289 | | | Paycom Software, Inc. (a) | | | 23,186 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 29 | |
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Software — continued | |
| | 175 | | | Proofpoint, Inc. (a) | | | 15,522 | |
| | 305 | | | RingCentral, Inc., Class A (a) | | | 14,746 | |
| | 515 | | | SailPoint Technologies Holding, Inc. (a) | | | 7,473 | |
| | 79 | | | Tyler Technologies, Inc. (a) | | | 14,060 | |
| | 429 | | | Zendesk, Inc. (a) | | | 14,508 | |
| | | | | | | | |
| | | | | | | 139,124 | |
| | | | | | | | |
| | | | Total Information Technology | | | 419,094 | |
| | | | | | | | |
| | | | Materials — 3.9% | |
| | | | Chemicals — 1.4% | |
| | 974 | | | Ferro Corp. (a) | | | 22,983 | |
| | | | | | | | |
| | | | Construction Materials — 2.5% | |
| | 181 | | | Eagle Materials, Inc. | | | 20,519 | |
| | 621 | | | Summit Materials, Inc., Class A (a) | | | 19,513 | |
| | | | | | | | |
| | | | | | | 40,032 | |
| | | | | | | | |
| | | | Total Materials | | | 63,015 | |
| | | | | | | | |
| | | | Real Estate — 1.7% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 1.0% | |
| | 277 | | | CubeSmart | | | 7,997 | |
| | 175 | | | Highwoods Properties, Inc. | | | 8,887 | |
| | | | | | | | |
| | | | | | | 16,884 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Real Estate Management & Development — 0.7% | |
| | 221 | | | RE/MAX Holdings, Inc., Class A | | | 10,732 | |
| | | | | | | | |
| | | | Total Real Estate | | | 27,616 | |
| | | | | | | | |
| | | | Utilities — 0.6% | |
| | | | Water Utilities — 0.6% | |
| | 430 | | | Evoqua Water Technologies Corp. (a) | | | 10,198 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,014,671) | | | 1,580,056 | |
| | | | | | | | |
| | Short-Term Investment — 3.3% | | | | |
| | | | Investment Company — 3.3% | |
| | 52,589 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $52,589) | | | 52,589 | |
| | | | | | | | |
| | | | Total Investments — 101.2% (Cost $1,067,260) | | | 1,632,645 | |
| | | | Liabilities in Excess of
Other Assets — (1.2)% | | | (19,030 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,613,615 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 99.0% | |
| | | | Consumer Discretionary — 11.4% | |
| | | | Auto Components — 0.2% | |
| | 8 | | | Cooper-Standard Holdings, Inc. (a) | | | 1,029 | |
| | 164 | | | Stoneridge, Inc. (a) | | | 3,756 | |
| | | | | | | | |
| | | | | | | 4,785 | |
| | | | | | | | |
| | | | Distributors — 0.1% | |
| | 238 | | | Funko, Inc., Class A (a) | | | 1,580 | |
| | 7 | | | Weyco Group, Inc. | | | 208 | |
| | | | | | | | |
| | | | | | | 1,788 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.9% | |
| | 73 | | | American Public Education, Inc. (a) | | | 1,821 | |
| | 276 | | | Ascent Capital Group, Inc., Class A (a) | | | 3,165 | |
| | 206 | | | Houghton Mifflin Harcourt Co. (a) | | | 1,916 | |
| | 283 | | | K12, Inc. (a) | | | 4,497 | |
| | 403 | | | Regis Corp. (a) | | | 6,182 | |
| | 9 | | | Weight Watchers International, Inc. (a) | | | 390 | |
| | | | | | | | |
| | | | | | | 17,971 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 2.4% | |
| | 146 | | | Brinker International, Inc. | | | 5,675 | |
| | 421 | | | Penn National Gaming, Inc. (a) | | | 13,190 | |
| | 680 | | | Pinnacle Entertainment, Inc. (a) | | | 22,250 | |
| | 290 | | | Ruth’s Hospitality Group, Inc. | | | 6,275 | |
| | 43 | | | Speedway Motorsports, Inc. | | | 815 | |
| | | | | | | | |
| | | | | | | 48,205 | |
| | | | | | | | |
| | | | Household Durables — 2.3% | |
| | 31 | | | AV Homes, Inc. (a) | | | 521 | |
| | 658 | | | Beazer Homes USA, Inc. (a) | | | 12,637 | |
| | 105 | | | Hamilton Beach Brands Holding Co., Class A | | | 2,695 | |
| | 30 | | | Helen of Troy Ltd. (a) | | | 2,871 | |
| | 1,333 | | | Hovnanian Enterprises, Inc., Class A (a) | | | 4,465 | |
| | 583 | | | KB Home | | | 18,630 | |
| | 160 | | | MDC Holdings, Inc. | | | 5,099 | |
| | | | | | | | |
| | | | | | | 46,918 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.2% | |
| | 514 | | | Liberty TripAdvisor Holdings, Inc., Class A (a) | | | 4,842 | |
| | | | | | | | |
| | | | Media — 1.4% | |
| | 201 | | | Eros International plc, (India) (a) | | | 1,941 | |
| | 496 | | | EW Scripps Co. (The), Class A (a) | | | 7,756 | |
| | 1,109 | | | Gannett Co., Inc. | | | 12,853 | |
| | 58 | | | Hemisphere Media Group, Inc. (a) | | | 670 | |
| | 193 | | | Time, Inc. | | | 3,553 | |
| | 72 | | | tronc, Inc. (a) | | | 1,261 | |
| | | | | | | | |
| | | | | | | 28,034 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Multiline Retail — 0.9% | |
| | 283 | | | Dillard’s, Inc., Class A | | | 17,018 | |
| | | | | | | | |
| | | | Specialty Retail — 2.1% | |
| | 269 | | | Aaron’s, Inc. | | | 10,716 | |
| | 199 | | | Chico’s FAS, Inc. | | | 1,758 | |
| | 146 | | | Children’s Place, Inc. (The) | | | 21,192 | |
| | 1,214 | | | Office Depot, Inc. | | | 4,297 | |
| | 1,128 | | | Pier 1 Imports, Inc. | | | 4,669 | |
| | | | | | | | |
| | | | | | | 42,632 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.9% | |
| | 17 | | | Deckers Outdoor Corp. (a) | | | 1,372 | |
| | 243 | | | Fossil Group, Inc. (a) | | | 1,887 | |
| | 413 | | | Movado Group, Inc. | | | 13,308 | |
| | 50 | | | Perry Ellis International, Inc. (a) | | | 1,262 | |
| | | | | | | | |
| | | | | | | 17,829 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 230,022 | |
| | | | | | | | |
| | | | Consumer Staples — 1.7% | |
| | | | Food & Staples Retailing — 0.1% | |
| | 21 | | | SpartanNash Co. | | | 569 | |
| | 8 | | | United Natural Foods, Inc. (a) | | | 394 | |
| | | | | | | | |
| | | | | | | 963 | |
| | | | | | | | |
| | | | Food Products — 1.1% | |
| | 78 | | | Bob Evans Farms, Inc. | | | 6,140 | |
| | 559 | | | Darling Ingredients, Inc. (a) | | | 10,138 | |
| | 62 | | | Dean Foods Co. | | | 721 | |
| | 46 | | | Fresh Del Monte Produce, Inc. | | | 2,174 | |
| | 69 | | | Snyder’s-Lance, Inc. | | | 3,456 | |
| | | | | | | | |
| | | | | | | 22,629 | |
| | | | | | | | |
| | | | Household Products — 0.2% | |
| | 111 | | | Central Garden & Pet Co., Class A (a) | | | 4,178 | |
| | | | | | | | |
| | | | Tobacco — 0.3% | |
| | 119 | | | Universal Corp. | | | 6,221 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 33,991 | |
| | | | | | | | |
| | | | Energy — 5.6% | |
| | | | Energy Equipment & Services — 2.4% | |
| | 839 | | | Archrock, Inc. | | | 8,805 | |
| | 47 | | | Natural Gas Services Group, Inc. (a) | | | 1,237 | |
| | 2,423 | | | Noble Corp. plc (a) | | | 10,951 | |
| | 328 | | | Parker Drilling Co. (a) | | | 328 | |
| | 1,257 | | | Rowan Cos. plc, Class A (a) | | | 19,685 | |
| | 329 | | | Unit Corp. (a) | | | 7,236 | |
| | | | | | | | |
| | | | | | | 48,242 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 31 | |
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Oil, Gas & Consumable Fuels — 3.2% | |
| | 1,818 | | | Bill Barrett Corp. (a) | | | 9,328 | |
| | 566 | | | Delek US Energy, Inc. | | | 19,776 | |
| | 3,388 | | | Denbury Resources, Inc. (a) | | | 7,487 | |
| | 1,980 | | | EP Energy Corp., Class A (a) | | | 4,672 | |
| | 51 | | | NACCO Industries, Inc., Class A | | | 1,924 | |
| | 244 | | | Pacific Ethanol, Inc. (a) | | | 1,110 | |
| | 72 | | | Renewable Energy Group, Inc. (a) | | | 848 | |
| | 173 | | | REX American Resources Corp. (a) | | | 14,289 | |
| | 415 | | | Sanchez Energy Corp. (a) | | | 2,201 | |
| | 75 | | | Ship Finance International Ltd., (Norway) | | | 1,164 | |
| | 295 | | | W&T Offshore, Inc. (a) | | | 975 | |
| | | | | | | | |
| | | | | | | 63,774 | |
| | | | | | | | |
| | | | Total Energy | | | 112,016 | |
| | | | | | | | |
| | | | Financials — 29.5% | |
| | | | Banks — 17.7% | |
| | 115 | | | 1st Source Corp. | | | 5,687 | |
| | 7 | | | American National Bankshares, Inc. | | | 257 | |
| | 137 | | | BancFirst Corp. | | | 6,987 | |
| | 398 | | | BancorpSouth Bank | | | 12,505 | |
| | 174 | | | Bank of Hawaii Corp. | | | 14,920 | |
| | 33 | | | Bryn Mawr Bank Corp. | | | 1,450 | |
| | 18 | | | Cadence BanCorp (a) | | | 475 | |
| | 219 | | | Cathay General Bancorp | | | 9,252 | |
| | 486 | | | Central Pacific Financial Corp. | | | 14,509 | |
| | 26 | | | Central Valley Community Bancorp | | | 519 | |
| | 9 | | | Century Bancorp, Inc., Class A | | | 696 | |
| | 21 | | | Citizens & Northern Corp. | | | 492 | |
| | 154 | | | City Holding Co. | | | 10,390 | |
| | 112 | | | Columbia Banking System, Inc. | | | 4,848 | |
| | 144 | | | Community Bank System, Inc. | | | 7,761 | |
| | 130 | | | Community Trust Bancorp, Inc. | | | 6,131 | |
| | 13 | | | East West Bancorp, Inc. | | | 793 | |
| | 262 | | | FCB Financial Holdings, Inc., Class A (a) | | | 13,299 | |
| | 74 | | | Financial Institutions, Inc. | | | 2,301 | |
| | 32 | | | First BanCorp | | | 1,137 | |
| | 1,289 | | | First BanCorp, (Puerto Rico) (a) | | | 6,574 | |
| | 9 | | | First Citizens BancShares, Inc., Class A | | | 3,587 | |
| | 1,293 | | | First Commonwealth Financial Corp. | | | 18,510 | |
| | 64 | | | First Community Bancshares, Inc. | | | 1,842 | |
| | 115 | | | First Financial Bancorp | | | 3,036 | |
| | 81 | | | First Financial Bankshares, Inc. | | | 3,627 | |
| | 22 | | | First Financial Corp. | | | 1,002 | |
| | 103 | | | First Hawaiian, Inc. | | | 2,994 | |
| | 72 | | | First Horizon National Corp. | | | 1,442 | |
| | 107 | | | First Interstate BancSystem, Inc., Class A | | | 4,300 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Banks — continued | |
| | 156 | | | Flushing Financial Corp. | | | 4,276 | |
| | 376 | | | Fulton Financial Corp. | | | 6,732 | |
| | 226 | | | Glacier Bancorp, Inc. | | | 8,890 | |
| | 39 | | | Great Southern Bancorp, Inc. | | | 2,025 | |
| | 111 | | | Great Western Bancorp, Inc. | | | 4,430 | |
| | 342 | | | Hancock Holding Co. | | | 16,930 | |
| | 26 | | | Heritage Financial Corp. | | | 796 | |
| | 486 | | | Hope Bancorp, Inc. | | | 8,868 | |
| | 59 | | | Independent Bank Corp. | | | 1,307 | |
| | 1,036 | | | Investors Bancorp, Inc. | | | 14,378 | |
| | 44 | | | Lakeland Financial Corp. | | | 2,153 | |
| | 151 | | | MainSource Financial Group, Inc. | | | 5,489 | |
| | 20 | | | Mercantile Bank Corp. | | | 714 | |
| | 599 | | | OFG Bancorp, (Puerto Rico) | | | 5,632 | |
| | 166 | | | PacWest Bancorp | | | 8,351 | |
| | 19 | | | Preferred Bank | | | 1,105 | |
| | 21 | | | Republic Bancorp, Inc., Class A | | | 791 | |
| | 23 | | | S&T Bancorp, Inc. | | | 928 | |
| | 28 | | | Sandy Spring Bancorp, Inc. | | | 1,108 | |
| | 59 | | | Simmons First National Corp., Class A | | | 3,359 | |
| | 8 | | | South State Corp. | | | 684 | |
| | 83 | | | Southside Bancshares, Inc. | | | 2,779 | |
| | 61 | | | State Bank Financial Corp. | | | 1,826 | |
| | 20 | | | Stock Yards Bancorp, Inc. | | | 762 | |
| | 24 | | | Tompkins Financial Corp. | | | 1,920 | |
| | 27 | | | TriState Capital Holdings, Inc. (a) | | | 626 | |
| | 377 | | | Trustmark Corp. | | | 12,021 | |
| | 237 | | | UMB Financial Corp. | | | 17,038 | |
| | 628 | | | Umpqua Holdings Corp. | | | 13,060 | |
| | 393 | | | Union Bankshares Corp. | | | 14,207 | |
| | 81 | | | Valley National Bancorp | | | 904 | |
| | 41 | | | Washington Trust Bancorp, Inc. | | | 2,157 | |
| | 119 | | | Webster Financial Corp. | | | 6,672 | |
| | 14 | | | West Bancorp, Inc. | | | 348 | |
| | 366 | | | Westamerica Bancorp | | | 21,796 | |
| | | | | | | | |
| | | | | | | 356,385 | |
| | | | | | | | |
| | | | Capital Markets — 0.9% | |
| | 46 | | | Arlington Asset Investment Corp., Class A | | | 545 | |
| | 9 | | | Associated Capital Group, Inc., Class A | | | 304 | |
| | 20 | | | GAMCO Investors, Inc., Class A | | | 599 | |
| | 54 | | | Investment Technology Group, Inc. | | | 1,032 | |
| | 74 | | | Oppenheimer Holdings, Inc., Class A | | | 1,983 | |
| | 83 | | | Stifel Financial Corp. | | | 4,914 | |
| | 80 | | | Virtus Investment Partners, Inc. | | | 9,250 | |
| | | | | | | | |
| | | | | | | 18,627 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Consumer Finance — 0.5% | |
| | 359 | | | EZCORP, Inc., Class A (a) | | | 4,380 | |
| | 96 | | | Nelnet, Inc., Class A | | | 5,281 | |
| | 36 | | | Regional Management Corp. (a) | | | 939 | |
| | | | | | | | |
| | | | | | | 10,600 | |
| | | | | | | | |
| | | | Diversified Financial Services — 0.2% | |
| | 239 | | | Cannae Holdings, Inc. (a) | | | 4,070 | |
| | 35 | | | Marlin Business Services Corp. | | | 773 | |
| | | | | | | | |
| | | | | | | 4,843 | |
| | | | | | | | |
| | | | Insurance — 4.7% | |
| | 69 | | | Argo Group International Holdings Ltd. | | | 4,272 | |
| | 868 | | | CNO Financial Group, Inc. | | | 21,436 | |
| | 12 | | | Global Indemnity Ltd., (Cayman Islands) (a) | | | 517 | |
| | 78 | | | Hallmark Financial Services, Inc. (a) | | | 811 | |
| | 377 | | | Heritage Insurance Holdings, Inc. | | | 6,788 | |
| | 229 | | | Horace Mann Educators Corp. | | | 10,077 | |
| | 9 | | | Infinity Property & Casualty Corp. | | | 986 | |
| | 1,379 | | | MBIA, Inc. (a) | | | 10,092 | |
| | 62 | | | Navigators Group, Inc. (The) | | | 3,019 | |
| | 202 | | | Primerica, Inc. | | | 20,472 | |
| | 139 | | | ProAssurance Corp. | | | 7,961 | |
| | 418 | | | Third Point Reinsurance Ltd., (Bermuda) (a) | | | 6,121 | |
| | 60 | | | Universal Insurance Holdings, Inc. | | | 1,636 | |
| | | | | | | | |
| | | | | | | 94,188 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 2.1% | |
| | 100 | | | AG Mortgage Investment Trust, Inc. | | | 1,897 | |
| | 919 | | | Capstead Mortgage Corp. | | | 7,949 | |
| | 132 | | | Cherry Hill Mortgage Investment Corp. | | | 2,373 | |
| | 2,133 | | | CYS Investments, Inc. | | | 17,130 | |
| | 218 | | | Dynex Capital, Inc. | | | 1,529 | |
| | 205 | | | Ellington Residential Mortgage REIT | | | 2,471 | |
| | 445 | | | Invesco Mortgage Capital, Inc. | | | 7,927 | |
| | | | | | | | |
| | | | | | | 41,276 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 3.4% | |
| | 66 | | | BankFinancial Corp. | | | 1,005 | |
| | 1,215 | | | Beneficial Bancorp, Inc. | | | 19,979 | |
| | 262 | | | Charter Financial Corp. | | | 4,601 | |
| | 36 | | | First Defiance Financial Corp. | | | 1,892 | |
| | 330 | | | Meridian Bancorp, Inc. | | | 6,796 | |
| | 592 | | | Northfield Bancorp, Inc. | | | 10,118 | |
| | 29 | | | Oritani Financial Corp. | | | 480 | |
| | 20 | | | Provident Financial Holdings, Inc. | | | 359 | |
| | 17 | | | Territorial Bancorp, Inc. | | | 515 | |
| | 45 | | | United Community Financial Corp. | | | 413 | |
| | 103 | | | United Financial Bancorp, Inc. | | | 1,815 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Thrifts & Mortgage Finance — continued | |
| | 144 | | | Walker & Dunlop, Inc. (a) | | | 6,830 | |
| | 318 | | | Washington Federal, Inc. | | | 10,878 | |
| | 94 | | | Waterstone Financial, Inc. | | | 1,603 | |
| | 21 | | | WSFS Financial Corp. | | | 995 | |
| | | | | | | | |
| | | | | | | 68,279 | |
| | | | | | | | |
| | | | Total Financials | | | 594,198 | |
| | | | | | | | |
| | | | Health Care — 7.2% | |
| | | | Biotechnology — 2.6% | |
| | 50 | | | Acorda Therapeutics, Inc. (a) | | | 1,068 | |
| | 149 | | | Adamas Pharmaceuticals, Inc. (a) | | | 5,040 | |
| | 455 | | | AMAG Pharmaceuticals, Inc. (a) | | | 6,031 | |
| | 498 | | | Ardelyx, Inc. (a) | | | 3,288 | |
| | 154 | | | Arsanis, Inc. (a) | | | 1,965 | |
| | 115 | | | Deciphera Pharmaceuticals, Inc. (a) | | | 2,600 | |
| | 70 | | | Enanta Pharmaceuticals, Inc. (a) | | | 4,102 | |
| | 248 | | | Five Prime Therapeutics, Inc. (a) | | | 5,443 | |
| | 2,141 | | | Idera Pharmaceuticals, Inc. (a) | | | 4,517 | |
| | 12 | | | Immune Design Corp. (a) | | | 47 | |
| | 824 | | | Iovance Biotherapeutics, Inc. (a) | | | 6,594 | |
| | 12 | | | MacroGenics, Inc. (a) | | | 236 | |
| | 54 | | | Radius Health, Inc. (a) | | | 1,712 | |
| | 509 | | | Rigel Pharmaceuticals, Inc. (a) | | | 1,973 | |
| | 266 | | | Syndax Pharmaceuticals, Inc. (a) | | | 2,333 | |
| | 407 | | | Tocagen, Inc. (a) | | | 4,168 | |
| | 235 | | | Versartis, Inc. (a) | | | 518 | |
| | | | | | | | |
| | | | | | | 51,635 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.2% | |
| | 242 | | | Halyard Health, Inc. (a) | | | 11,157 | |
| | 201 | | | Meridian Bioscience, Inc. | | | 2,818 | |
| | 457 | | | Wright Medical Group NV (a) | | | 10,141 | |
| | | | | | | | |
| | | | | | | 24,116 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 1.9% | |
| | 358 | | | American Renal Associates Holdings, Inc. (a) | | | 6,224 | |
| | 726 | | | Community Health Systems, Inc. (a) | | | 3,094 | |
| | 128 | | | Cross Country Healthcare, Inc. (a) | | | 1,631 | |
| | 77 | | | Genesis Healthcare, Inc. (a) | | | 59 | |
| | 949 | | | Kindred Healthcare, Inc. | | | 9,203 | |
| | 95 | | | Molina Healthcare, Inc. (a) | | | 7,308 | |
| | 207 | | | Owens & Minor, Inc. | | | 3,914 | |
| | 89 | | | Tivity Health, Inc. (a) | | | 3,257 | |
| | 51 | | | Triple-S Management Corp., (Puerto Rico), Class B (a) | | | 1,267 | |
| | 16 | | | WellCare Health Plans, Inc. (a) | | | 3,278 | |
| | | | | | | | |
| | | | | | | 39,235 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 33 | |
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Health Care Technology — 0.3% | |
| | 451 | | | Allscripts Healthcare Solutions, Inc. (a) | | | 6,562 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.2% | |
| | 69 | | | Amphastar Pharmaceuticals, Inc. (a) | | | 1,330 | |
| | 142 | | | Dermira, Inc. (a) | | | 3,957 | |
| | 336 | | | Intra-Cellular Therapies, Inc. (a) | | | 4,865 | |
| | 153 | | | Medicines Co. (The) (a) | | | 4,183 | |
| | 106 | | | MyoKardia, Inc. (a) | | | 4,467 | |
| | 768 | | | Tetraphase Pharmaceuticals, Inc. (a) | | | 4,838 | |
| | | | | | | | |
| | | | | | | 23,640 | |
| | | | | | | | |
| | | | Total Health Care | | | 145,188 | |
| | | | | | | | |
| | | | Industrials — 12.8% | |
| | | | Aerospace & Defense — 1.2% | |
| | 143 | | | AAR Corp. | | | 5,626 | |
| | 86 | | | Curtiss-Wright Corp. | | | 10,431 | |
| | 91 | | | Moog, Inc., Class A (a) | | | 7,938 | |
| | | | | | | | |
| | | | | | | 23,995 | |
| | | | | | | | |
| | | | Building Products — 0.0% (g) | |
| | 26 | | | Gibraltar Industries, Inc. (a) | | | 845 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 2.0% | |
| | 1,546 | | | ACCO Brands Corp. (a) | | | 18,856 | |
| | 897 | | | ARC Document Solutions, Inc. (a) | | | 2,289 | |
| | 71 | | | CECO Environmental Corp. | | | 364 | |
| | 89 | | | Ennis, Inc. | | | 1,840 | |
| | 173 | | | Essendant, Inc. | | | 1,607 | |
| | 365 | | | Quad/Graphics, Inc. | | | 8,256 | |
| | 127 | | | VSE Corp. | | | 6,146 | |
| | | | | | | | |
| | | | | | | 39,358 | |
| | | | | | | | |
| | | | Construction & Engineering — 1.7% | |
| | 38 | | | Argan, Inc. | | | 1,710 | |
| | 260 | | | EMCOR Group, Inc. | | | 21,280 | |
| | 252 | | | KBR, Inc. | | | 4,999 | |
| | 184 | | | MYR Group, Inc. (a) | | | 6,581 | |
| | | | | | | | |
| | | | | | | 34,570 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.1% | |
| | 86 | | | Powell Industries, Inc. | | | 2,464 | |
| | | | | | | | |
| | | | Machinery — 2.7% | |
| | 101 | | | AGCO Corp. | | | 7,221 | |
| | 163 | | | Briggs & Stratton Corp. | | | 4,128 | |
| | 287 | | | Douglas Dynamics, Inc. | | | 10,833 | |
| | 27 | | | Graham Corp. | | | 571 | |
| | 233 | | | Harsco Corp. (a) | | | 4,344 | |
| | 48 | | | Hurco Cos., Inc. | | | 2,026 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Machinery — continued | |
| | 65 | | | Kadant, Inc. | | | 6,476 | |
| | 894 | | | Wabash National Corp. | | | 19,389 | |
| | | | | | | | |
| | | | | | | 54,988 | |
| | | | | | | | |
| | | | Marine — 0.3% | |
| | 1,069 | | | Costamare, Inc., (Monaco) | | | 6,169 | |
| | | | | | | | |
| | | | Professional Services — 2.6% | |
| | 119 | | | Barrett Business Services, Inc. | | | 7,663 | |
| | 29 | | | CRA International, Inc. | | | 1,295 | |
| | 418 | | | FTI Consulting, Inc. (a) | | | 17,936 | |
| | 233 | | | Huron Consulting Group, Inc. (a) | | | 9,437 | |
| | 45 | | | ICF International, Inc. (a) | | | 2,362 | |
| | 604 | | | RPX Corp. | | | 8,123 | |
| | 173 | | | TrueBlue, Inc. (a) | | | 4,767 | |
| | | | | | | | |
| | | | | | | 51,583 | |
| | | | | | | | |
| | | | Road & Rail — 1.0% | |
| | 339 | | | ArcBest Corp. | | | 12,115 | |
| | 67 | | | Schneider National, Inc., Class B | | | 1,908 | |
| | 472 | | | YRC Worldwide, Inc. (a) | | | 6,783 | |
| | | | | | | | |
| | | | | | | 20,806 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.2% | |
| | 145 | | | DXP Enterprises, Inc. (a) | | | 4,282 | |
| | 661 | | | MRC Global, Inc. (a) | | | 11,185 | |
| | 398 | | | Titan Machinery, Inc. (a) | | | 8,417 | |
| | | | | | | | |
| | | | | | | 23,884 | |
| | | | | | | | |
| | | | Total Industrials | | | 258,662 | |
| | | | | | | | |
| | | | Information Technology — 9.2% | |
| | | | Communications Equipment — 1.4% | |
| | 38 | | | Comtech Telecommunications Corp. | | | 838 | |
| | 207 | | | Finisar Corp. (a) | | | 4,204 | |
| | 1,352 | | | Infinera Corp. (a) | | | 8,558 | |
| | 72 | | | InterDigital, Inc. | | | 5,445 | |
| | 309 | | | NetScout Systems, Inc. (a) | | | 9,394 | |
| | 79 | | | Ribbon Communications, Inc. (a) | | | 607 | |
| | | | | | | | |
| | | | | | | 29,046 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 3.7% | |
| | 215 | | | Bel Fuse, Inc., Class B | | | 5,405 | |
| | 667 | | | Benchmark Electronics, Inc. (a) | | | 19,401 | |
| | 97 | | | Insight Enterprises, Inc. (a) | | | 3,699 | |
| | 212 | | | Tech Data Corp. (a) | | | 20,789 | |
| | 646 | | | TTM Technologies, Inc. (a) | | | 10,118 | |
| | 688 | | | Vishay Intertechnology, Inc. | | | 14,278 | |
| | | | | | | | |
| | | | | | | 73,690 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Internet Software & Services — 0.0% (g) | |
| | 38 | | | TechTarget, Inc. (a) | | | 523 | |
| | | | | | | | |
| | | | IT Services — 1.5% | |
| | 102 | | | Convergys Corp. | | | 2,397 | |
| | 37 | | | EVERTEC, Inc., (Puerto Rico) | | | 500 | |
| | 230 | | | Perficient, Inc. (a) | | | 4,376 | |
| | 835 | | | Travelport Worldwide Ltd. | | | 10,915 | |
| | 1,493 | | | Unisys Corp. (a) | | | 12,171 | |
| | | | | | | | |
| | | | | | | 30,359 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 1.3% | |
| | 795 | | | Amkor Technology, Inc. (a) | | | 7,985 | |
| | 780 | | | Cypress Semiconductor Corp. | | | 11,888 | |
| | 146 | | | Nanometrics, Inc. (a) | | | 3,631 | |
| | 72 | | | Xperi Corp. | | | 1,762 | |
| | | | | | | | |
| | | | | | | 25,266 | |
| | | | | | | | |
| | | | Software — 1.3% | |
| | 5 | | | Aspen Technology, Inc. (a) | | | 318 | |
| | 68 | | | Fair Isaac Corp. | | | 10,402 | |
| | 47 | | | Monotype Imaging Holdings, Inc. | | | 1,141 | |
| | 316 | | | Progress Software Corp. | | | 13,470 | |
| | 104 | | | TiVo Corp. | | | 1,622 | |
| | | | | | | | |
| | | | | | | 26,953 | |
| | | | | | | | |
| | | | Total Information Technology | | | 185,837 | |
| | | | | | | | |
| | | | Materials — 5.3% | |
| | | | Chemicals — 1.4% | |
| | 175 | | | American Vanguard Corp. | | | 3,447 | |
| | 179 | | | FutureFuel Corp. | | | 2,526 | |
| | 23 | | | Innophos Holdings, Inc. | | | 1,061 | |
| | 111 | | | Minerals Technologies, Inc. | | | 7,670 | |
| | 87 | | | Olin Corp. | | | 3,095 | |
| | 397 | | | Rayonier Advanced Materials, Inc. | | | 8,125 | |
| | 25 | | | Trinseo SA | | | 1,837 | |
| | | | | | | | |
| | | | | | | 27,761 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.3% | |
| | 390 | | | Graphic Packaging Holding Co. | | | 6,019 | |
| | 58 | | | Myers Industries, Inc. | | | 1,137 | |
| | | | | | | | |
| | | | | | | 7,156 | |
| | | | | | | | |
| | | | Metals & Mining — 2.7% | |
| | 756 | | | AK Steel Holding Corp. (a) | | | 4,279 | |
| | 218 | | | Carpenter Technology Corp. | | | 11,121 | |
| | 256 | | | Cleveland-Cliffs, Inc. (a) | | | 1,844 | |
| | 78 | | | Kaiser Aluminum Corp. | | | 8,345 | |
| | 143 | | | Schnitzer Steel Industries, Inc., Class A | | | 4,797 | |
| | 933 | | | SunCoke Energy, Inc. (a) | | | 11,190 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Metals & Mining — continued | |
| | 63 | | | Warrior Met Coal, Inc. | | | 1,594 | |
| | 248 | | | Worthington Industries, Inc. | | | 10,936 | |
| | | | | | | | |
| | | | | | | 54,106 | |
| | | | | | | | |
| | | | Paper & Forest Products — 0.9% | |
| | 105 | | | Domtar Corp. | | | 5,205 | |
| | 51 | | | Louisiana-Pacific Corp. (a) | | | 1,329 | |
| | 240 | | | Schweitzer-Mauduit International, Inc. | | | 10,895 | |
| | | | | | | | |
| | | | | | | 17,429 | |
| | | | | | | | |
| | | | Total Materials | | | 106,452 | |
| | | | | | | | |
| | | | Real Estate — 9.3% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 9.3% | |
| | 146 | | | Alexander & Baldwin, Inc. | | | 4,061 | |
| | 97 | | | American Assets Trust, Inc. | | | 3,702 | |
| | 209 | | | Apartment Investment & Management Co., Class A | | | 9,132 | |
| | 313 | | | Ashford Hospitality Prime, Inc. | | | 3,045 | |
| | 949 | | | Ashford Hospitality Trust, Inc. | | | 6,387 | |
| | 384 | | | CBL & Associates Properties, Inc. | | | 2,173 | |
| | 291 | | | Cedar Realty Trust, Inc. | | | 1,771 | |
| | 80 | | | CorEnergy Infrastructure Trust, Inc. | | | 3,067 | |
| | 88 | | | CoreSite Realty Corp. | | | 10,035 | |
| | 195 | | | DCT Industrial Trust, Inc. | | | 11,487 | |
| | 475 | | | DiamondRock Hospitality Co. | | | 5,367 | |
| | 70 | | | EPR Properties | | | 4,582 | |
| | 134 | | | First Industrial Realty Trust, Inc. | | | 4,204 | |
| | 52 | | | Franklin Street Properties Corp. | | | 554 | |
| | 155 | | | Getty Realty Corp. | | | 4,208 | |
| | 78 | | | Gladstone Commercial Corp. | | | 1,632 | |
| | 484 | | | Government Properties Income Trust | | | 8,970 | |
| | 73 | | | Hersha Hospitality Trust | | | 1,263 | |
| | 32 | | | Highwoods Properties, Inc. | | | 1,609 | |
| | 169 | | | Hospitality Properties Trust | | | 5,039 | |
| | 385 | | | InfraREIT, Inc. | | | 7,159 | |
| | 405 | | | Investors Real Estate Trust | | | 2,299 | |
| | 129 | | | Kite Realty Group Trust | | | 2,526 | |
| | 84 | | | LaSalle Hotel Properties | | | 2,361 | |
| | 105 | | | LTC Properties, Inc. | | | 4,555 | |
| | 135 | | | Mack-Cali Realty Corp. | | | 2,911 | |
| | 213 | | | Pebblebrook Hotel Trust | | | 7,932 | |
| | 471 | | | Pennsylvania REIT | | | 5,603 | |
| | 195 | | | Potlatch Corp. | | | 9,706 | |
| | 210 | | | Preferred Apartment Communities, Inc., Class A | | | 4,261 | |
| | 89 | | | PS Business Parks, Inc. | | | 11,170 | |
| | 547 | | | RLJ Lodging Trust | | | 12,019 | |
| | 13 | | | Saul Centers, Inc. | | | 772 | |
| | 534 | | | Sunstone Hotel Investors, Inc. | | | 8,819 | |
| | 15 | | | Taubman Centers, Inc. | | | 955 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 35 | |
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 83 | | | Urstadt Biddle Properties, Inc., Class A | | | 1,794 | |
| | 694 | | | Washington Prime Group, Inc. | | | 4,939 | |
| | 10 | | | Washington REIT | | | 302 | |
| | 210 | | | Xenia Hotels & Resorts, Inc. | | | 4,534 | |
| | | | | | | | |
| | | | | | | 186,905 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.0% (g) | |
| | 46 | | | St Joe Co. (The) (a) | | | 825 | |
| | | | | | | | |
| | | | Total Real Estate | | | 187,730 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.4% | |
| | | | Diversified Telecommunication Services — 0.4% | |
| | 745 | | | Consolidated Communications Holdings, Inc. | | | 9,085 | |
| | | | | | | | |
| | | | Utilities — 6.6% | |
| | | | Electric Utilities — 1.6% | |
| | 274 | | | El Paso Electric Co. | | | 15,144 | |
| | 351 | | | Portland General Electric Co. | | | 15,980 | |
| | 100 | | | Spark Energy, Inc., Class A | | | 1,237 | |
| | | | | | | | |
| | | | | | | 32,361 | |
| | | | | | | | |
| | | | Gas Utilities — 1.8% | |
| | 237 | | | Northwest Natural Gas Co. | | | 14,149 | |
| | 160 | | | Southwest Gas Holdings, Inc. | | | 12,853 | |
| | 133 | | | Spire, Inc. | | | 10,025 | |
| | | | | | | | |
| | | | | | | 37,027 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity
Producers — 1.3% | |
| | 2,240 | | | Atlantic Power Corp. (a) | | | 5,263 | |
| | 1,201 | | | Dynegy, Inc. (a) | | | 14,237 | |
| | 294 | | | Pattern Energy Group, Inc. | | | 6,318 | |
| | | | | | | | |
| | | | | | | 25,818 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.2% | |
| | 264 | | | Avista Corp. | | | 13,568 | |
| | 139 | | | NorthWestern Corp. | | | 8,322 | |
| | 55 | | | Unitil Corp. | | | 2,509 | |
| | | | | | | | |
| | | | | | | 24,399 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Water Utilities — 0.7% | |
| | 151 | | | American States Water Co. | | | 8,721 | |
| | 118 | | | California Water Service Group | | | 5,370 | |
| | | | | | | | |
| | | | | | | 14,091 | |
| | | | | | | | |
| | | | Total Utilities | | | 133,696 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,519,439) | | | 1,996,877 | |
| | | | | | | | |
| | |
NUMBER OF
WARRANTS | | | | | | |
| | Warrant — 0.0% | |
| | | | Financials — 0.0% | |
| | | | Consumer Finance — 0.0% | |
| | 3 | | | Emergent Capital, Inc., expiring 10/01/2019 (Strike Price $10.75) (a) (bb)
(Cost $—) | | | — | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | Short-Term Investment — 1.1% | |
| | | | Investment Company — 1.1% | |
| | 22,133 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $22,133) | | | 22,133 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $1,541,572) | | | 2,019,010 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (2,629 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 2,016,381 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | |
| Russell 2000 E-Mini Index | | 179 | | | 03/2018 | | | | USD | | | $ | 13,752 | | | $ | 68 | |
| | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 98.0% | |
| | | | Consumer Discretionary — 13.7% | |
| | | | Auto Components — 1.1% | |
| | 368 | | | Stoneridge, Inc. (a) | | | 8,408 | |
| | 185 | | | Tenneco, Inc. | | | 10,853 | |
| | | | | | | | |
| | | | | | | 19,261 | |
| | | | | | | | |
| | | | Distributors — 0.1% | |
| | 208 | | | Funko, Inc., Class A (a) | | | 1,383 | |
| | 13 | | | Weyco Group, Inc. | | | 384 | |
| | | | | | | | |
| | | | | | | 1,767 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.6% | |
| | 173 | | | Ascent Capital Group, Inc., Class A (a) | | | 1,988 | |
| | 183 | | | Houghton Mifflin Harcourt Co. (a) | | | 1,697 | |
| | 405 | | | Regis Corp. (a) | | | 6,219 | |
| | 8 | | | Strayer Education, Inc. | | | 744 | |
| | | | | | | | |
| | | | | | | 10,648 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 3.9% | |
| | 573 | | | Bloomin’ Brands, Inc. | | | 12,221 | |
| | 189 | | | Brinker International, Inc. | | | 7,341 | |
| | 410 | | | Penn National Gaming, Inc. (a) | | | 12,855 | |
| | 773 | | | Pinnacle Entertainment, Inc. (a) | | | 25,284 | |
| | 424 | | | Sonic Corp. | | | 11,652 | |
| | 94 | | | Speedway Motorsports, Inc. | | | 1,764 | |
| | | | | | | | |
| | | | | | | 71,117 | |
| | | | | | | | |
| | | | Household Durables — 2.1% | |
| | 54 | | | AV Homes, Inc. (a) | | | 896 | |
| | 393 | | | Beazer Homes USA, Inc. (a) | | | 7,553 | |
| | 125 | | | Hamilton Beach Brands Holding Co., Class A | | | 3,219 | |
| | 378 | | | Hovnanian Enterprises, Inc., Class A (a) | | | 1,265 | |
| | 69 | | | KB Home | | | 2,195 | |
| | 21 | | | Lifetime Brands, Inc. | | | 340 | |
| | 911 | | | Taylor Morrison Home Corp., Class A (a) | | | 22,302 | |
| | | | | | | | |
| | | | | | | 37,770 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.4% | |
| | 284 | | | Liberty TripAdvisor Holdings, Inc., Class A (a) | | | 2,674 | |
| | 87 | | | Shutterfly, Inc. (a) | | | 4,308 | |
| | | | | | | | |
| | | | | | | 6,982 | |
| | | | | | | | |
| | | | Media — 1.9% | |
| | 269 | | | Eros International plc, (India) (a) | | | 2,593 | |
| | 288 | | | EW Scripps Co. (The), Class A (a) | | | 4,500 | |
| | 798 | | | Gannett Co., Inc. | | | 9,243 | |
| | 235 | | | Hemisphere Media Group, Inc. (a) | | | 2,709 | |
| | 142 | | | National CineMedia, Inc. | | | 977 | |
| | 238 | | | Sinclair Broadcast Group, Inc., Class A | | | 8,989 | |
| | 312 | | | Time, Inc. | | | 5,762 | |
| | 42 | | | tronc, Inc. (a) | | | 735 | |
| | | | | | | | |
| | | | | | | 35,508 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Multiline Retail — 0.6% | |
| | 151 | | | Big Lots, Inc. | | | 8,473 | |
| | 33 | | | Dillard’s, Inc., Class A | | | 1,952 | |
| | | | | | | | |
| | | | | | | 10,425 | |
| | | | | | | | |
| | | | Specialty Retail — 2.1% | |
| | 56 | | | Aaron’s, Inc. | | | 2,244 | |
| | 128 | | | Children’s Place, Inc. (The) | | | 18,561 | |
| | 64 | | | GNC Holdings, Inc., Class A (a) | | | 237 | |
| | 46 | | | National Vision Holdings, Inc. (a) | | | 1,880 | |
| | 388 | | | Office Depot, Inc. | | | 1,375 | |
| | 1,087 | | | Pier 1 Imports, Inc. | | | 4,501 | |
| | 239 | | | Sleep Number Corp. (a) | | | 8,999 | |
| | | | | | | | |
| | | | | | | 37,797 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.9% | |
| | 229 | | | Movado Group, Inc. | | | 7,377 | |
| | 66 | | | Perry Ellis International, Inc. (a) | | | 1,642 | |
| | 224 | | | Wolverine World Wide, Inc. | | | 7,135 | |
| | | | | | | | |
| | | | | | | 16,154 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 247,429 | |
| | | | | | | | |
| | | | Consumer Staples — 2.0% | |
| | | | Food & Staples Retailing — 0.2% | |
| | 101 | | | Ingles Markets, Inc., Class A | | | 3,498 | |
| | | | | | | | |
| | | | Food Products — 1.7% | |
| | 868 | | | Darling Ingredients, Inc. (a) | | | 15,732 | |
| | 289 | | | Dean Foods Co. | | | 3,337 | |
| | 185 | | | Pilgrim’s Pride Corp. (a) | | | 5,740 | |
| | 28 | | | Post Holdings, Inc. (a) | | | 2,179 | |
| | 24 | | | Sanderson Farms, Inc. | | | 3,275 | |
| | 22 | | | Seneca Foods Corp., Class A (a) | | | 689 | |
| | | | | | | | |
| | | | | | | 30,952 | |
| | | | | | | | |
| | | | Personal Products — 0.1% | |
| | 20 | | | Herbalife Ltd. (a) | | | 1,341 | |
| | 15 | | | Medifast, Inc. | | | 1,047 | |
| | | | | | | | |
| | | | | | | 2,388 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 36,838 | |
| | | | | | | | |
| | | | Energy — 3.9% | |
| | | | Energy Equipment & Services — 1.1% | |
| | 364 | | | Archrock, Inc. | | | 3,822 | |
| | 59 | | | Natural Gas Services Group, Inc. (a) | | | 1,533 | |
| | 350 | | | Parker Drilling Co. (a) | | | 350 | |
| | 150 | | | RigNet, Inc. (a) | | | 2,238 | |
| | 376 | | | Rowan Cos. plc, Class A (a) | | | 5,893 | |
| | 33 | | | SEACOR Holdings, Inc. (a) | | | 1,530 | |
| | 33 | | | SEACOR Marine Holdings, Inc. (a) | | | 389 | |
| | 135 | | | Unit Corp. (a) | | | 2,968 | |
| | | | | | | | |
| | | | | | | 18,723 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 37 | |
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Oil, Gas & Consumable Fuels — 2.8% | |
| | 16 | | | Adams Resources & Energy, Inc. | | | 696 | |
| | 986 | | | Bill Barrett Corp. (a) | | | 5,059 | |
| | 382 | | | Delek US Energy, Inc. | | | 13,358 | |
| | 1,164 | | | Denbury Resources, Inc. (a) | | | 2,573 | |
| | 7 | | | Dorian LPG Ltd. (a) | | | 60 | |
| | 901 | | | EP Energy Corp., Class A (a) | | | 2,125 | |
| | 83 | | | International Seaways, Inc. (a) | | | 1,532 | |
| | 63 | | | NACCO Industries, Inc., Class A | | | 2,361 | |
| | 380 | | | Renewable Energy Group, Inc. (a) | | | 4,481 | |
| | 187 | | | REX American Resources Corp. (a) | | | 15,498 | |
| | 362 | | | Sanchez Energy Corp. (a) | | | 1,924 | |
| | 397 | | | W&T Offshore, Inc. (a) | | | 1,315 | |
| | | | | | | | |
| | | | | | | 50,982 | |
| | | | | | | | |
| | | | Total Energy | | | 69,705 | |
| | | | | | | | |
| | | | Financials — 17.0% | |
| | | | Banks — 8.6% | |
| | 59 | | | 1st Source Corp. | | | 2,931 | |
| | 183 | | | BancFirst Corp. | | | 9,345 | |
| | 243 | | | BancorpSouth Bank | | | 7,633 | |
| | 15 | | | Cadence BanCorp (a) | | | 412 | |
| | 95 | | | Cathay General Bancorp | | | 4,002 | |
| | 312 | | | Central Pacific Financial Corp. | | | 9,292 | |
| | 22 | | | Central Valley Community Bancorp | | | 448 | |
| | 25 | | | Citizens & Northern Corp. | | | 593 | |
| | 60 | | | City Holding Co. | | | 4,068 | |
| | 392 | | | CVB Financial Corp. | | | 9,224 | |
| | 4 | | | East West Bancorp, Inc. | | | 233 | |
| | 291 | | | FCB Financial Holdings, Inc., Class A (a) | | | 14,793 | |
| | 396 | | | First Commonwealth Financial Corp. | | | 5,674 | |
| | 27 | | | First Community Bancshares, Inc. | | | 761 | |
| | 63 | | | First Financial Bancorp | | | 1,650 | |
| | 88 | | | First Hawaiian, Inc. | | | 2,553 | |
| | 222 | | | First Horizon National Corp. | | | 4,441 | |
| | 64 | | | First Interstate BancSystem, Inc., Class A | | | 2,551 | |
| | 80 | | | Flushing Financial Corp. | | | 2,211 | |
| | 102 | | | Fulton Financial Corp. | | | 1,822 | |
| | 31 | | | Great Western Bancorp, Inc. | | | 1,246 | |
| | 40 | | | Guaranty Bancorp | | | 1,109 | |
| | 86 | | | Heritage Financial Corp. | | | 2,658 | |
| | 194 | | | Hope Bancorp, Inc. | | | 3,535 | |
| | 125 | | | Independent Bank Corp. | | | 3,385 | |
| | 266 | | | Investors Bancorp, Inc. | | | 3,695 | |
| | 29 | | | MainSource Financial Group, Inc. | | | 1,049 | |
| | 22 | | | National Bank Holdings Corp., Class A | | | 718 | |
| | 220 | | | OFG Bancorp, (Puerto Rico) | | | 2,066 | |
| | 65 | | | PacWest Bancorp | | | 3,271 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Banks — continued | |
| | 132 | | | People’s United Financial, Inc. | | | 2,478 | |
| | 27 | | | Sierra Bancorp | | | 728 | |
| | 56 | | | Simmons First National Corp., Class A | | | 3,216 | |
| | 19 | | | Southside Bancshares, Inc. | | | 641 | |
| | 244 | | | TCF Financial Corp. | | | 5,000 | |
| | 84 | | | Trustmark Corp. | | | 2,663 | |
| | 59 | | | UMB Financial Corp. | | | 4,222 | |
| | 294 | | | Union Bankshares Corp. | | | 10,638 | |
| | 57 | | | Webster Financial Corp. | | | 3,184 | |
| | 39 | | | West Bancorp, Inc. | | | 978 | |
| | 241 | | | Westamerica Bancorp | | | 14,358 | |
| | | | | | | | |
| | | | | | | 155,475 | |
| | | | | | | | |
| | | | Capital Markets — 1.1% | |
| | 35 | | | Federated Investors, Inc., Class B | | | 1,259 | |
| | 134 | | | Houlihan Lokey, Inc. | | | 6,088 | |
| | 51 | | | MarketAxess Holdings, Inc. | | | 10,350 | |
| | 20 | | | Virtus Investment Partners, Inc. | | | 2,301 | |
| | | | | | | | |
| | | | | | | 19,998 | |
| | | | | | | | |
| | | | Consumer Finance — 0.7% | |
| | 11 | | | Credit Acceptance Corp. (a) | | | 3,429 | |
| | 498 | | | EZCORP, Inc., Class A (a) | | | 6,077 | |
| | 80 | | | Nelnet, Inc., Class A | | | 4,360 | |
| | | | | | | | |
| | | | | | | 13,866 | |
| | | | | | | | |
| | | | Insurance — 2.7% | |
| | 18 | | | Ambac Financial Group, Inc. (a) | | | 281 | |
| | 17 | | | Blue Capital Reinsurance Holdings Ltd., (Bermuda) | | | 207 | |
| | 335 | | | CNO Financial Group, Inc. | | | 8,274 | |
| | 62 | | | First American Financial Corp. | | | 3,446 | |
| | 22 | | | Global Indemnity Ltd., (Cayman Islands) (a) | | | 941 | |
| | 78 | | | Kemper Corp. | | | 5,395 | |
| | 75 | | | Kinsale Capital Group, Inc. | | | 3,380 | |
| | 574 | | | MBIA, Inc. (a) | | | 4,201 | |
| | 93 | | | Navigators Group, Inc. (The) | | | 4,534 | |
| | 97 | | | Primerica, Inc. | | | 9,850 | |
| | 74 | | | ProAssurance Corp. | | | 4,241 | |
| | 120 | | | Third Point Reinsurance Ltd., (Bermuda) (a) | | | 1,764 | |
| | 68 | | | Universal Insurance Holdings, Inc. | | | 1,854 | |
| | | | | | | | |
| | | | | | | 48,368 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 1.1% | |
| | 520 | | | Capstead Mortgage Corp. | | | 4,499 | |
| | 56 | | | Cherry Hill Mortgage Investment Corp. | | | 1,013 | |
| | 1,645 | | | CYS Investments, Inc. | | | 13,211 | |
| | 48 | | | Dynex Capital, Inc. | | | 335 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Mortgage Real Estate Investment Trusts
(REITs) — continued | |
| | 40 | | | Invesco Mortgage Capital, Inc. | | | 708 | |
| | | | | | | | |
| | | | | | | 19,766 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 2.8% | |
| | 73 | | | BankFinancial Corp. | | | 1,117 | |
| | 755 | | | Beneficial Bancorp, Inc. | | | 12,423 | |
| | 22 | | | Capitol Federal Financial, Inc. | | | 295 | |
| | 66 | | | Charter Financial Corp. | | | 1,165 | |
| | 22 | | | First Defiance Financial Corp. | | | 1,122 | |
| | 581 | | | Meridian Bancorp, Inc. | | | 11,958 | |
| | 249 | | | MGIC Investment Corp. (a) | | | 3,510 | |
| | 116 | | | NMI Holdings, Inc., Class A (a) | | | 1,967 | |
| | 541 | | | Northfield Bancorp, Inc. | | | 9,237 | |
| | 34 | | | Provident Financial Holdings, Inc. | | | 633 | |
| | 146 | | | Walker & Dunlop, Inc. (a) | | | 6,921 | |
| | | | | | | | |
| | | | | | | 50,348 | |
| | | | | | | | |
| | | | Total Financials | | | 307,821 | |
| | | | | | | | |
| | | | Health Care — 16.3% | |
| | | | Biotechnology — 6.9% | |
| | 92 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 2,758 | |
| | 988 | | | Achillion Pharmaceuticals, Inc. (a) | | | 2,846 | |
| | 132 | | | Aimmune Therapeutics, Inc. (a) | | | 4,996 | |
| | 364 | | | Alder Biopharmaceuticals, Inc. (a) | | | 4,166 | |
| | 132 | | | Allena Pharmaceuticals, Inc. (a) | | | 1,329 | |
| | 404 | | | Amicus Therapeutics, Inc. (a) | | | 5,811 | |
| | 142 | | | Arena Pharmaceuticals, Inc. (a) | | | 4,826 | |
| | 55 | | | Avexis, Inc. (a) | | | 6,065 | |
| | 120 | | | Biohaven Pharmaceutical Holding Co. Ltd. (a) | | | 3,240 | |
| | 190 | | | Cara Therapeutics, Inc. (a) | | | 2,330 | |
| | 74 | | | Clovis Oncology, Inc. (a) | | | 5,005 | |
| | 207 | | | CytomX Therapeutics, Inc. (a) | | | 4,363 | |
| | 328 | | | Edge Therapeutics, Inc. (a) | | | 3,074 | |
| | 142 | | | Flexion Therapeutics, Inc. (a) | | | 3,566 | |
| | 129 | | | Global Blood Therapeutics, Inc. (a) | | | 5,076 | |
| | 293 | | | Ignyta, Inc. (a) | | | 7,815 | |
| | 155 | | | Mersana Therapeutics, Inc. (a) | | | 2,552 | |
| | 172 | | | Myriad Genetics, Inc. (a) | | | 5,907 | |
| | 2,587 | | | Novavax, Inc. (a) | | | 3,208 | |
| | 86 | | | Prothena Corp. plc, (Ireland) (a) | | | 3,220 | |
| | 149 | | | REGENXBIO, Inc. (a) | | | 4,958 | |
| | 27 | | | Sage Therapeutics, Inc. (a) | | | 4,431 | |
| | 118 | | | Sarepta Therapeutics, Inc. (a) | | | 6,554 | |
| | 93 | | | Selecta Biosciences, Inc. (a) | | | 911 | |
| | 410 | | | Seres Therapeutics, Inc. (a) | | | 4,161 | |
| | 124 | | | Spark Therapeutics, Inc. (a) | | | 6,386 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Biotechnology — continued | |
| | 1,314 | | | Synergy Pharmaceuticals, Inc. (a) | | | 2,930 | |
| | 491 | | | TG Therapeutics, Inc. (a) | | | 4,025 | |
| | 280 | | | Vanda Pharmaceuticals, Inc. (a) | | | 4,262 | |
| | 167 | | | Xencor, Inc. (a) | | | 3,661 | |
| | | | | | | | |
| | | | | | | 124,432 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.5% | |
| | 173 | | | Halyard Health, Inc. (a) | | | 7,985 | |
| | 246 | | | Integer Holdings Corp. (a) | | | 11,130 | |
| | 133 | | | Masimo Corp. (a) | | | 11,304 | |
| | 247 | | | Meridian Bioscience, Inc. | | | 3,452 | |
| | 193 | | | Orthofix International NV (a) | | | 10,579 | |
| | 45 | | | OrthoPediatrics Corp. (a) | | | 860 | |
| | 21 | | | Utah Medical Products, Inc. | | | 1,742 | |
| | 724 | | | Wright Medical Group NV (a) | | | 16,079 | |
| | | | | | | | |
| | | | | | | 63,131 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.6% | |
| | 262 | | | Civitas Solutions, Inc. (a) | | | 4,485 | |
| | 71 | | | Community Health Systems, Inc. (a) | | | 303 | |
| | 515 | | | Cross Country Healthcare, Inc. (a) | | | 6,575 | |
| | 376 | | | Genesis Healthcare, Inc. (a) | | | 287 | |
| | 614 | | | Kindred Healthcare, Inc. | | | 5,951 | |
| | 193 | | | Molina Healthcare, Inc. (a) | | | 14,776 | |
| | 133 | | | Owens & Minor, Inc. | | | 2,509 | |
| | 151 | | | RadNet, Inc. (a) | | | 1,522 | |
| | 453 | | | Surgery Partners, Inc. (a) | | | 5,486 | |
| | 157 | | | Tenet Healthcare Corp. (a) | | | 2,377 | |
| | 485 | | | Tivity Health, Inc. (a) | | | 17,731 | |
| | 20 | | | WellCare Health Plans, Inc. (a) | | | 4,083 | |
| | | | | | | | |
| | | | | | | 66,085 | |
| | | | | | | | |
| | | | Health Care Technology — 0.3% | |
| | 388 | | | Allscripts Healthcare Solutions, Inc. (a) | | | 5,642 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.3% | |
| | 69 | | | INC Research Holdings, Inc., Class A (a) | | | 3,022 | |
| | 43 | | | Medpace Holdings, Inc. (a) | | | 1,548 | |
| | | | | | | | |
| | | | | | | 4,570 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.7% | |
| | 357 | | | Depomed, Inc. (a) | | | 2,875 | |
| | 196 | | | Nektar Therapeutics (a) | | | 11,705 | |
| | 114 | | | Pacira Pharmaceuticals, Inc. (a) | | | 5,200 | |
| | 217 | | | Paratek Pharmaceuticals, Inc. (a) | | | 3,882 | |
| | 33 | | | Prestige Brands Holdings, Inc. (a) | | | 1,474 | |
| | 151 | | | Reata Pharmaceuticals, Inc., Class A (a) | | | 4,262 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 39 | |
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Pharmaceuticals — continued | |
| | 23 | | | Revance Therapeutics, Inc. (a) | | | 826 | |
| | | | | | | | |
| | | | | | | 30,224 | |
| | | | | | | | |
| | | | Total Health Care | | | 294,084 | |
| | | | | | | | |
| | | | Industrials — 15.1% | |
| | | | Aerospace & Defense — 1.0% | |
| | 91 | | | AAR Corp. | | | 3,579 | |
| | 75 | | | Curtiss-Wright Corp. | | | 9,126 | |
| | 69 | | | Moog, Inc., Class A (a) | | | 5,967 | |
| | | | | | | | |
| | | | | | | 18,672 | |
| | | | | | | | |
| | | | Building Products — 1.1% | |
| | 478 | | | Continental Building Products, Inc. (a) | | | 13,464 | |
| | 140 | | | Gibraltar Industries, Inc. (a) | | | 4,604 | |
| | 128 | | | Ply Gem Holdings, Inc. (a) | | | 2,368 | |
| | | | | | | | |
| | | | | | | 20,436 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 2.4% | |
| | 1,416 | | | ACCO Brands Corp. (a) | | | 17,271 | |
| | 92 | | | ARC Document Solutions, Inc. (a) | | | 234 | |
| | 35 | | | CECO Environmental Corp. | | | 179 | |
| | 117 | | | Deluxe Corp. | | | 9,006 | |
| | 332 | | | Ennis, Inc. | | | 6,881 | |
| | 67 | | | Essendant, Inc. | | | 620 | |
| | 72 | | | Interface, Inc. | | | 1,811 | |
| | 23 | | | MSA Safety, Inc. | | | 1,798 | |
| | 106 | | | VSE Corp. | | | 5,153 | |
| | | | | | | | |
| | | | | | | 42,953 | |
| | | | | | | | |
| | | | Construction & Engineering — 1.9% | |
| | 320 | | | EMCOR Group, Inc. | | | 26,152 | |
| | 60 | | | MasTec, Inc. (a) | | | 2,947 | |
| | 138 | | | MYR Group, Inc. (a) | | | 4,913 | |
| | | | | | | | |
| | | | | | | 34,012 | |
| | | | | | | | |
| | | | Electrical Equipment — 1.0% | |
| | 307 | | | Generac Holdings, Inc. (a) | | | 15,222 | |
| | 100 | | | Powell Industries, Inc. | | | 2,868 | |
| | | | | | | | |
| | | | | | | 18,090 | |
| | | | | | | | |
| | | | Machinery — 3.2% | |
| | 235 | | | Actuant Corp., Class A | | | 5,953 | |
| | 359 | | | Briggs & Stratton Corp. | | | 9,105 | |
| | 291 | | | Douglas Dynamics, Inc. | | | 11,000 | |
| | 10 | | | FreightCar America, Inc. | | | 164 | |
| | 40 | | | Graham Corp. | | | 843 | |
| | 169 | | | Harsco Corp. (a) | | | 3,144 | |
| | 79 | | | Kadant, Inc. | | | 7,922 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Machinery — continued | |
| | 27 | | | Meritor, Inc. (a) | | | 622 | |
| | 909 | | | Wabash National Corp. | | | 19,734 | |
| | | | | | | | |
| | | | | | | 58,487 | |
| | | | | | | | |
| | | | Professional Services — 2.6% | |
| | 201 | | | Barrett Business Services, Inc. | | | 12,978 | |
| | 25 | | | Franklin Covey Co. (a) | | | 527 | |
| | 334 | | | Huron Consulting Group, Inc. (a) | | | 13,510 | |
| | 323 | | | RPX Corp. | | | 4,340 | |
| | 32 | | | TriNet Group, Inc. (a) | | | 1,423 | |
| | 165 | | | TrueBlue, Inc. (a) | | | 4,533 | |
| | 143 | | | WageWorks, Inc. (a) | | | 8,872 | |
| | | | | | | | |
| | | | | | | 46,183 | |
| | | | | | | | |
| | | | Road & Rail — 0.5% | |
| | 127 | | | ArcBest Corp. | | | 4,541 | |
| | 58 | | | Schneider National, Inc., Class B | | | 1,642 | |
| | 140 | | | YRC Worldwide, Inc. (a) | | | 2,013 | |
| | | | | | | | |
| | | | | | | 8,196 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.4% | |
| | 83 | | | Applied Industrial Technologies, Inc. | | | 5,639 | |
| | 148 | | | DXP Enterprises, Inc. (a) | | | 4,367 | |
| | 493 | | | MRC Global, Inc. (a) | | | 8,342 | |
| | 355 | | | Titan Machinery, Inc. (a) | | | 7,513 | |
| | | | | | | | |
| | | | | | | 25,861 | |
| | | | | | | | |
| | | | Total Industrials | | | 272,890 | |
| | | | | | | | |
| | | | Information Technology — 16.4% | |
| | | | Communications Equipment — 1.3% | |
| | 302 | | | Ciena Corp. (a) | | | 6,327 | |
| | 201 | | | InterDigital, Inc. | | | 15,306 | |
| | 72 | | | NetScout Systems, Inc. (a) | | | 2,202 | |
| | | | | | | | |
| | | | | | | 23,835 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 3.0% | |
| | 25 | | | Bel Fuse, Inc., Class B | | | 640 | |
| | 463 | | | Benchmark Electronics, Inc. (a) | | | 13,470 | |
| | 51 | | | ePlus, Inc. (a) | | | 3,850 | |
| | 361 | | | Knowles Corp. (a) | | | 5,294 | |
| | 122 | | | Tech Data Corp. (a) | | | 11,913 | |
| | 321 | | | TTM Technologies, Inc. (a) | | | 5,035 | |
| | 686 | | | Vishay Intertechnology, Inc. | | | 14,230 | |
| | | | | | | | |
| | | | | | | 54,432 | |
| | | | | | | | |
| | | | Internet Software & Services — 1.3% | |
| | 115 | | | Care.com, Inc. (a) | | | 2,078 | |
| | 20 | | | Cargurus, Inc. (a) | | | 609 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Internet Software & Services — continued | |
| | 193 | | | DHI Group, Inc. (a) | | | 366 | |
| | 69 | | | MongoDB, Inc. (a) | | | 2,045 | |
| | 258 | | | NIC, Inc. | | | 4,279 | |
| | 17 | | | SendGrid, Inc. (a) | | | 407 | |
| | 34 | | | Stamps.com, Inc. (a) | | | 6,298 | |
| | 191 | | | Tintri, Inc. (a) | | | 975 | |
| | 255 | | | Web.com Group, Inc. (a) | | | 5,568 | |
| | | | | | | | |
| | | | | | | 22,625 | |
| | | | | | | | |
| | | | IT Services — 2.6% | |
| | 188 | | | Convergys Corp. | | | 4,420 | |
| | 114 | | | CSG Systems International, Inc. | | | 4,982 | |
| | 29 | | | Euronet Worldwide, Inc. (a) | | | 2,419 | |
| | 37 | | | EVERTEC, Inc., (Puerto Rico) | | | 508 | |
| | 373 | | | Perficient, Inc. (a) | | | 7,109 | |
| | 129 | | | Science Applications International Corp. | | | 9,878 | |
| | 54 | | | Switch, Inc., Class A | | | 973 | |
| | 812 | | | Travelport Worldwide Ltd. | | | 10,610 | |
| | 719 | | | Unisys Corp. (a) | | | 5,863 | |
| | | | | | | | |
| | | | | | | 46,762 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 2.9% | |
| | 28 | | | Advanced Energy Industries, Inc. (a) | | | 1,917 | |
| | 253 | | | Alpha & Omega Semiconductor Ltd. (a) | | | 4,142 | |
| | 761 | | | Amkor Technology, Inc. (a) | | | 7,645 | |
| | 75 | | | Cirrus Logic, Inc. (a) | | | 3,869 | |
| | 137 | | | Cohu, Inc. | | | 3,009 | |
| | 157 | | | Entegris, Inc. | | | 4,793 | |
| | 21 | | | Silicon Laboratories, Inc. (a) | | | 1,810 | |
| | 219 | | | Synaptics, Inc. (a) | | | 8,747 | |
| | 113 | | | Xcerra Corp. (a) | | | 1,104 | |
| | 637 | | | Xperi Corp. | | | 15,548 | |
| | | | | | | | |
| | | | | | | 52,584 | |
| | | | | | | | |
| | | | Software — 4.9% | |
| | 228 | | | ACI Worldwide, Inc. (a) | | | 5,162 | |
| | 334 | | | Aspen Technology, Inc. (a) | | | 22,078 | |
| | 87 | | | Fair Isaac Corp. | | | 13,374 | |
| | 23 | | | ForeScout Technologies, Inc. (a) | | | 721 | |
| | 51 | | | HubSpot, Inc. (a) | | | 4,517 | |
| | 48 | | | Manhattan Associates, Inc. (a) | | | 2,393 | |
| | 535 | | | Progress Software Corp. | | | 22,779 | |
| | 26 | | | Proofpoint, Inc. (a) | | | 2,336 | |
| | 90 | | | Rosetta Stone, Inc. (a) | | | 1,127 | |
| | 184 | | | SailPoint Technologies Holding, Inc. (a) | | | 2,668 | |
| | 323 | | | Synchronoss Technologies, Inc. (a) | | | 2,885 | |
| | 8 | | | Take-Two Interactive Software, Inc. (a) | | | 867 | |
| | 100 | | | VASCO Data Security International, Inc. (a) | | | 1,395 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Software — continued | |
| | 234 | | | Workiva, Inc. (a) | | | 5,008 | |
| | 443 | | | Zix Corp. (a) | | | 1,939 | |
| | | | | | | | |
| | | | | | | 89,249 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 0.4% | |
| | 267 | | | Electronics For Imaging, Inc. (a) | | | 7,887 | |
| | | | | | | | |
| | | | Total Information Technology | | | 297,374 | |
| | | | | | | | |
| | | | Materials — 3.9% | |
| | | | Chemicals — 2.1% | |
| | 81 | | | American Vanguard Corp. | | | 1,586 | |
| | 184 | | | FutureFuel Corp. | | | 2,587 | |
| | 123 | | | Minerals Technologies, Inc. | | | 8,448 | |
| | 42 | | | Olin Corp. | | | 1,502 | |
| | 283 | | | OMNOVA Solutions, Inc. (a) | | | 2,832 | |
| | 46 | | | PolyOne Corp. | | | 2,005 | |
| | 112 | | | Rayonier Advanced Materials, Inc. | | | 2,282 | |
| | 36 | | | Sensient Technologies Corp. | | | 2,648 | |
| | 200 | | | Trinseo SA | | | 14,498 | |
| | | | | | | | |
| | | | | | | 38,388 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.7% | |
| | 744 | | | Graphic Packaging Holding Co. | | | 11,498 | |
| | 35 | | | Myers Industries, Inc. | | | 675 | |
| | | | | | | | |
| | | | | | | 12,173 | |
| | | | | | | | |
| | | | Metals & Mining — 1.0% | |
| | 58 | | | Carpenter Technology Corp. | | | 2,937 | |
| | 61 | | | Kaiser Aluminum Corp. | | | 6,496 | |
| | 52 | | | SunCoke Energy, Inc. (a) | | | 619 | |
| | 191 | | | Worthington Industries, Inc. | | | 8,411 | |
| | | | | | | | |
| | | | | | | 18,463 | |
| | | | | | | | |
| | | | Paper & Forest Products — 0.1% | |
| | 45 | | | Domtar Corp. | | | 2,213 | |
| | | | | | | | |
| | | | Total Materials | | | 71,237 | |
| | | | | | | | |
| | | | Real Estate — 5.7% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 5.7% | |
| | 34 | | | Alexander & Baldwin, Inc. | | | 943 | |
| | 105 | | | American Assets Trust, Inc. | | | 4,008 | |
| | 702 | | | Ashford Hospitality Trust, Inc. | | | 4,726 | |
| | 115 | | | CBL & Associates Properties, Inc. | | | 648 | |
| | 59 | | | CorEnergy Infrastructure Trust, Inc. | | | 2,242 | |
| | 151 | | | CoreSite Realty Corp. | | | 17,199 | |
| | 75 | | | CubeSmart | | | 2,181 | |
| | 91 | | | DCT Industrial Trust, Inc. | | | 5,323 | |
| | 237 | | | DiamondRock Hospitality Co. | | | 2,675 | |
| | 49 | | | EastGroup Properties, Inc. | | | 4,348 | |
| | 5 | | | EPR Properties | | | 340 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 41 | |
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 29 | | | Equity LifeStyle Properties, Inc. | | | 2,555 | |
| | 56 | | | First Industrial Realty Trust, Inc. | | | 1,765 | |
| | 97 | | | Franklin Street Properties Corp. | | | 1,041 | |
| | 22 | | | Gladstone Commercial Corp. | | | 465 | |
| | 106 | | | Government Properties Income Trust | | | 1,960 | |
| | 260 | | | Hersha Hospitality Trust | | | 4,520 | |
| | 42 | | | Highwoods Properties, Inc. | | | 2,138 | |
| | 115 | | | Hospitality Properties Trust | | | 3,418 | |
| | 33 | | | InfraREIT, Inc. | | | 621 | |
| | 118 | | | LTC Properties, Inc. | | | 5,139 | |
| | 101 | | | Mack-Cali Realty Corp. | | | 2,180 | |
| | 14 | | | National Retail Properties, Inc. | | | 612 | |
| | 59 | | | Pennsylvania REIT | | | 705 | |
| | 157 | | | Potlatch Corp. | | | 7,849 | |
| | 28 | | | PS Business Parks, Inc. | | | 3,553 | |
| | 207 | | | Ramco-Gershenson Properties Trust | | | 3,048 | |
| | 461 | | | RLJ Lodging Trust | | | 10,122 | |
| | 55 | | | Saul Centers, Inc. | | | 3,396 | |
| | 36 | | | Summit Hotel Properties, Inc. | | | 547 | |
| | 37 | | | Taubman Centers, Inc. | | | 2,434 | |
| | 47 | | | Xenia Hotels & Resorts, Inc. | | | 1,023 | |
| | | | | | | | |
| | | | Total Real Estate | | | 103,724 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.4% | |
| | | | Diversified Telecommunication Services — 0.4% | |
| | 621 | | | Consolidated Communications Holdings, Inc. | | | 7,575 | |
| | | | | | | | |
| | | | Utilities — 3.6% | |
| | | | Electric Utilities — 1.2% | |
| | 115 | | | El Paso Electric Co. | | | 6,343 | |
| | 85 | | | PNM Resources, Inc. | | | 3,426 | |
| | 202 | | | Portland General Electric Co. | | | 9,189 | |
| | 165 | | | Spark Energy, Inc., Class A | | | 2,041 | |
| | | | | | | | |
| | | | | | | 20,999 | |
| | | | | | | | |
| | | | Gas Utilities — 0.6% | |
| | 29 | | | Northwest Natural Gas Co. | | | 1,712 | |
| | 57 | | | Southwest Gas Holdings, Inc. | | | 4,604 | |
| | 67 | | | Spire, Inc. | | | 5,050 | |
| | | | | | | | |
| | | | | | | 11,366 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Independent Power and Renewable Electricity
Producers — 1.0% | |
| | 2,115 | | | Atlantic Power Corp. (a) | | | 4,971 | |
| | 890 | | | Dynegy, Inc. (a) | | | 10,551 | |
| | 157 | | | Pattern Energy Group, Inc. | | | 3,383 | |
| | | | | | | | |
| | | | | | | 18,905 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.2% | |
| | 29 | | | Avista Corp. | | | 1,472 | |
| | 31 | | | NorthWestern Corp. | | | 1,863 | |
| | | | | | | | |
| | | | | | | 3,335 | |
| | | | | | | | |
| | | | Water Utilities — 0.6% | |
| | 189 | | | American States Water Co. | | | 10,933 | |
| | | | | | | | |
| | | | Total Utilities | | | 65,538 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,439,948) | | | 1,774,215 | |
| | | | | | | | |
| | |
NUMBER OF
WARRANTS | | | | | | |
| | Warrant — 0.0% | |
| | | | Financials — 0.0% | |
| | | | Consumer Finance — 0.0% | |
| | — | (h) | | Emergent Capital, Inc., expiring 10/01/2019 (Strike Price $10.75) (a) (bb)
(Cost $—) | | | — | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | Short-Term Investment — 2.3% | |
| | | | Investment Company — 2.3% | |
| | 41,667 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $41,667) | | | 41,667 | |
| | | | | | | | |
| | | | Total Investments — 100.3%
(Cost $1,481,615) | | | 1,815,882 | |
| | | | Liabilities in Excess of
Other Assets — (0.3)% | | | (4,885 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,810,997 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | |
| Russell 2000 E-Mini Index | | 542 | | | 03/2018 | | | | USD | | | $ | 41,639 | | | $ | 423 | |
| | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
J.P. Morgan Small Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| REIT | | — Real Estate Investment Trust |
| 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. |
| (l) | | — The rate shown is the current yield as of December 31, 2017. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 43 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(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 | | $ | 192,104 | | | $ | 261,573 | | | $ | 6,193,222 | |
Investments in affiliates, at value | | | 5,884 | | | | 6,978 | | | | 278,254 | |
Cash | | | — | | | | 6 | | | | — | |
Deposits at broker for futures contracts | | | — | | | | 425 | | | | — | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | — | | | | 621 | | | | — | |
Fund shares sold | | | 434 | | | | 510 | | | | 6,015 | |
Dividends from non-affiliates | | | 63 | | | | 246 | | | | 10,388 | |
Dividends from affiliates | | | 3 | | | | 7 | | | | 248 | |
Other assets | | | — | | | | 47 | | | | — | |
| | | | | | | | | | | | |
Total Assets | | | 198,488 | | | | 270,413 | | | | 6,488,127 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | | | | — | (a) |
Investment securities purchased | | | — | | | | 771 | | | | 623 | |
Fund shares redeemed | | | 236 | | | | 3,094 | | | | 8,796 | |
Variation margin on futures contracts | | | — | | | | 55 | | | | — | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 101 | | | | 133 | | | | 3,487 | |
Administration fees | | | 9 | | | | 10 | | | | 421 | |
Distribution fees | | | 40 | | | | 2 | | | | 334 | |
Service fees | | | 40 | | | | 7 | | | | 791 | |
Custodian and accounting fees | | | 13 | | | | 20 | | | | 65 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | | | | — | (a) |
Printing and mailing cost | | | 78 | | | | 74 | | | | 237 | |
Other | | | 37 | | | | 18 | | | | 387 | |
| | | | | | | | | | | | |
Total Liabilities | | | 554 | | | | 4,184 | | | | 15,141 | |
| | | | | | | | | | | | |
Net Assets | | $ | 197,934 | | | $ | 266,229 | | | $ | 6,472,986 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | |
Dynamic
Small Cap
Growth Fund | | | Small Cap
Core Fund | | | Small Cap
Equity Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 117,656 | | | $ | 196,943 | | | $ | 4,556,146 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (1,445 | ) | | | (72 | ) | | | (614 | ) |
Accumulated net realized gains (losses) | | | 3,764 | | | | 54 | | | | 42,260 | |
Net unrealized appreciation (depreciation) | | | 77,959 | | | | 69,304 | | | | 1,875,194 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 197,934 | | | $ | 266,229 | | | $ | 6,472,986 | |
| | | | | | | | | | | | |
| | | |
Net Assets: | | | | | | | | | | | | |
Class A | | $ | 76,613 | | | $ | 3,294 | | | $ | 1,090,763 | |
Class C | | | 38,365 | | | | 1,410 | | | | 146,949 | |
Class I | | | 82,956 | | | | 23,238 | | | | 2,602,851 | |
Class R2 | | | — | | | | 22 | | | | 13,444 | |
Class R3 | | | — | | | | 22 | | | | 2,496 | |
Class R4 | | | — | | | | 22 | | | | 87 | |
Class R5 | | | — | | | | 196,862 | | | | 1,239,127 | |
Class R6 | | | — | | | | 41,359 | | | | 1,377,269 | |
| | | | | | | | | | | | |
Total | | $ | 197,934 | | | $ | 266,229 | | | $ | 6,472,986 | |
| | | | | | | | | | | | |
| | | |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 3,311 | | | | 62 | | | | 21,973 | |
Class C | | | 2,216 | | | | 27 | | | | 3,958 | |
Class I | | | 3,134 | | | | 437 | | | | 45,484 | |
Class R2 | | | — | | | | — | (a) | | | 276 | |
Class R3 | | | — | | | | — | (a) | | | 50 | |
Class R4 | | | — | | | | 1 | | | | 1 | |
Class R5 | | | — | | | | 3,694 | | | | 21,612 | |
Class R6 | | | — | | | | 778 | | | | 24,032 | |
| | | |
Net Asset Value (b): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 23.14 | | | $ | 52.97 | | | $ | 49.64 | |
Class C — Offering price per share (c) | | | 17.31 | | | | 52.64 | | | | 37.13 | |
Class I — Offering and redemption price per share | | | 26.47 | | | | 53.17 | | | | 57.23 | |
Class R2 — Offering and redemption price per share | | | — | | | | 53.18 | | | | 48.77 | |
Class R3 — Offering and redemption price per share | | | — | | | | 53.19 | | | | 49.35 | |
Class R4 — Offering and redemption price per share | | | — | | | | 53.20 | | | | 57.13 | |
Class R5 — Offering and redemption price per share | | | — | | | | 53.29 | | | | 57.34 | |
Class R6 — Offering and redemption price per share | | | — | | | | 53.20 | | | | 57.31 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 24.42 | | | $ | 55.91 | | | $ | 52.39 | |
| | | | | | | | | | | | |
| | | |
Cost of investments in non-affiliates | | $ | 114,145 | | | $ | 192,257 | | | $ | 4,318,028 | |
Cost of investments in affiliates | | | 5,884 | | | | 6,978 | | | | 278,254 | |
| (a) | Amount rounds to less than 500. |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 45 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited) (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 | | $ | 1,580,056 | | | $ | 1,996,877 | | | $ | 1,774,215 | |
Investments in affiliates, at value | | | 52,589 | | | | 22,133 | | | | 41,667 | |
Cash | | | — | (a) | | | 5 | | | | 15 | |
Deposits at broker for futures contracts | | | — | | | | 937 | | | | 1,815 | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | — | | | | 1,707 | | | | 2,647 | |
Fund shares sold | | | 4,073 | | | | 2,650 | | | | 1,889 | |
Dividends from non-affiliates | | | 516 | | | | 6,307 | | | | 2,305 | |
Dividends from affiliates | | | 31 | | | | 26 | | | | 33 | |
| | | | | | | | | | | | |
Total Assets | | | 1,637,265 | | | | 2,030,642 | | | | 1,824,586 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Investment securities purchased | | | 17,657 | | | | 4,266 | | | | 3,191 | |
Fund shares redeemed | | | 4,756 | | | | 8,068 | | | | 8,444 | |
Variation margin on futures contracts | | | — | | | | 163 | | | | 355 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 851 | | | | 1,094 | | | | 925 | |
Administration fees | | | 99 | | | | 124 | | | | 125 | |
Distribution fees | | | 75 | | | | 134 | | | | 103 | |
Service fees | | | 116 | | | | 156 | | | | 209 | |
Custodian and accounting fees | | | 19 | | | | 33 | | | | 39 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | (a) | | | — | | | | — | (a) |
Printing and mailing cost | | | 53 | | | | 89 | | | | 106 | |
Other | | | 24 | | | | 134 | | | | 92 | |
| | | | | | | | | | | | |
Total Liabilities | | | 23,650 | | | | 14,261 | | | | 13,589 | |
| | | | | | | | | | | | |
Net Assets | | $ | 1,613,615 | | | $ | 2,016,381 | | | $ | 1,810,997 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | |
Small Cap
Growth Fund | | | Small Cap
Value Fund | | | U.S. Small
Company Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 1,022,372 | | | $ | 1,533,100 | | | $ | 1,489,489 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (6,160 | ) | | | (615 | ) | | | (290 | ) |
Accumulated net realized gains (losses) | | | 32,018 | | | | 6,390 | | | | (12,892 | ) |
Net unrealized appreciation (depreciation) | | | 565,385 | | | | 477,506 | | | | 334,690 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 1,613,615 | | | $ | 2,016,381 | | | $ | 1,810,997 | |
| | | | | | | | | | | | |
| | | |
Net Assets: | | | | | | | | | | | | |
Class A | | $ | 237,676 | | | $ | 400,023 | | | $ | 221,320 | |
Class C | | | 24,221 | | | | 29,107 | | | | 47,789 | |
Class I | | | 162,877 | | | | 370,112 | | | | 417,383 | |
Class L | | | 342,800 | | | | — | | | | 671,857 | |
Class R2 | | | 26,360 | | | | 59,231 | | | | 49,127 | |
Class R3 | | | 143 | | | | 12,164 | | | | 14,089 | |
Class R4 | | | 23 | | | | 89 | | | | 4,286 | |
Class R5 | | | 3,829 | | | | 129,836 | | | | 299 | |
Class R6 | | | 815,686 | | | | 1,015,819 | | | | 384,847 | |
| | | | | | | | | | | | |
Total | | $ | 1,613,615 | | | $ | 2,016,381 | | | $ | 1,810,997 | |
| | | | | | | | | | | | |
| | | |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 14,782 | | | | 13,841 | | | | 12,090 | |
Class C | | | 2,047 | | | | 1,213 | | | | 2,730 | |
Class I | | | 9,196 | | | | 12,090 | | | | 22,315 | |
Class L | | | 18,811 | | | | — | | | | 35,961 | |
Class R2 | | | 1,694 | | | | 2,068 | | | | 2,733 | |
Class R3 | | | 9 | | | | 421 | | | | 774 | |
Class R4 | | | 1 | | | | 3 | | | | 230 | |
Class R5 | | | 210 | | | | 4,240 | | | | 16 | |
Class R6 | | | 44,358 | | | | 33,142 | | | | 20,588 | |
| | | |
Net Asset Value (a): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 16.08 | | | $ | 28.90 | | | $ | 18.31 | |
Class C — Offering price per share (b) | | | 11.83 | | | | 24.00 | | | | 17.51 | |
Class I — Offering and redemption price per share | | | 17.71 | | | | 30.61 | | | | 18.70 | |
Class L — Offering and redemption price per share | | | 18.22 | | | | — | | | | 18.68 | |
Class R2 — Offering and redemption price per share | | | 15.56 | | | | 28.64 | | | | 17.98 | |
Class R3 — Offering and redemption price per share | | | 16.08 | | | | 28.86 | | | | 18.21 | |
Class R4 — Offering and redemption price per share | | | 16.10 | | | | 30.58 | | | | 18.64 | |
Class R5 — Offering and redemption price per share | | | 18.23 | | | | 30.62 | | | | 18.65 | |
Class R6 — Offering and redemption price per share | | | 18.39 | | | | 30.65 | | | | 18.69 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 16.97 | | | $ | 30.50 | | | $ | 19.32 | |
| | | | | | | | | | | | |
| | | |
Cost of investments in non-affiliates | | $ | 1,014,671 | | | $ | 1,519,439 | | | $ | 1,439,948 | |
Cost of investments in affiliates | | | 52,589 | | | | 22,133 | | | | 41,667 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 47 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | | | | | |
| | |
Dynamic
Small Cap
Growth Fund | | | Small Cap
Core Fund | | | Small Cap
Equity Fund | |
INVESTMENT INCOME: | |
Interest income from affiliates | | $ | — | (a) | | $ | — | (a) | | $ | 3 | |
Dividend income from non-affiliates | | | 376 | | | | 1,489 | | | | 44,865 | |
Dividend income from affiliates | | | 18 | | | | 31 | | | | 1,253 | |
| | | | | | | | | | | | |
Total investment income | | | 394 | | | | 1,520 | | | | 46,121 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 615 | | | | 758 | | | | 20,473 | |
Administration fees | | | 77 | | | | 95 | | | | 2,565 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 88 | | | | 3 | | | | 1,361 | |
Class C | | | 143 | | | | 5 | | | | 610 | |
Class R2 (b) | | | — | | | | — | (a) | | | 34 | |
Class R3 (b) | | | — | | | | — | (a) | | | 2 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 88 | | | | 3 | | | | 1,361 | |
Class C | | | 48 | | | | 1 | | | | 203 | |
Class I | | | 100 | | | | 12 | | | | 3,255 | |
Class R2 (b) | | | — | | | | — | (a) | | | 17 | |
Class R3 (b) | | | — | | | | — | (a) | | | 2 | |
Class R4 (b) | | | — | | | | — | (a) | | | — | (a) |
Class R5 | | | — | | | | 98 | | | | 610 | |
Custodian and accounting fees | | | 19 | | | | 26 | | | | 89 | |
Professional fees | | | 27 | | | | 37 | | | | 63 | |
Trustees’ and Chief Compliance Officer’s fees | | | 13 | | | | 13 | | | | 20 | |
Printing and mailing costs | | | 12 | | | | 39 | | | | 228 | |
Registration and filing fees | | | 34 | | | | 56 | | | | 296 | |
Transfer agency fees (See Note 2.D.) | | | 14 | | | | 5 | | | | 99 | |
Other | | | 6 | | | | 8 | | | | 38 | |
| | | | | | | | | | | | |
Total expenses | | | 1,284 | | | | 1,159 | | | | 31,326 | |
| | | | | | | | | | | | |
Less fees waived | | | (114 | ) | | | (218 | ) | | | (873 | ) |
Less earnings credits | | | — | | | | — | | | | — | (a) |
Less expense reimbursements | | | — | | | | — | (a) | | | (9 | ) |
| | | | | | | | | | | | |
Net expenses | | | 1,170 | | | | 941 | | | | 30,444 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | (776 | ) | | | 579 | | | | 15,677 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments in non-affiliates | | | 18,016 | | | | 5,842 | | | | 113,930 | |
Futures contracts | | | — | | | | 621 | | | | — | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 18,016 | | | | 6,463 | | | | 113,930 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | | | | | |
Investments in non-affiliates | | | 13,527 | | | | 14,840 | | | | 377,351 | |
Futures contracts | | | — | | | | (24 | ) | | | — | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 13,527 | | | | 14,816 | | | | 377,351 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 31,543 | | | | 21,279 | | | | 491,281 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 30,767 | | | $ | 21,858 | | | $ | 506,958 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | |
Small Cap
Growth Fund | | | Small Cap
Value Fund | | | U.S. Small
Company Fund | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | | $ | — | | | $ | — | | | $ | 5 | |
Interest income from affiliates | | | 1 | | | | — | (a) | | | 1 | |
Dividend income from non-affiliates | | | 2,865 | | | | 20,853 | | | | 11,545 | |
Dividend income from affiliates | | | 137 | | | | 148 | | | | 248 | |
| | | | | | | | | | | | |
Total investment income | | | 3,003 | | | | 21,001 | | | | 11,799 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 4,665 | | | | 6,708 | | | | 5,388 | |
Administration fees | | | 584 | | | | 840 | | | | 731 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 269 | | | | 568 | | | | 294 | |
Class C | | | 88 | | | | 135 | | | | 183 | |
Class R2 | | | 62 | | | | 150 | | | | 130 | |
Class R3 (b) | | | — | (a) | | | 18 | | | | 15 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 269 | | | | 568 | | | | 294 | |
Class C | | | 29 | | | | 45 | | | | 61 | |
Class I | | | 173 | | | | 440 | | | | 503 | |
Class L | | | 177 | | | | — | | | | 349 | |
Class R2 | | | 31 | | | | 75 | | | | 65 | |
Class R3 (b) | | | — | (a) | | | 18 | | | | 15 | |
Class R4 (b) | | | — | (a) | | | — | (a) | | | 3 | |
Class R5 | | | 1 | | | | 66 | | | | — | (a) |
Custodian and accounting fees | | | 29 | | | | 53 | | | | 51 | |
Professional fees | | | 34 | | | | 34 | | | | 35 | |
Trustees’ and Chief Compliance Officer’s fees | | | 15 | | | | 16 | | | | 16 | |
Printing and mailing costs | | | 52 | | | | 88 | | | | 98 | |
Registration and filing fees | | | 70 | | | | 82 | | | | 109 | |
Transfer agency fees (See Note 2.D.) | | | 40 | | | | 193 | | | | 45 | |
Other | | | 15 | | | | 23 | | | | 16 | |
| | | | | | | | | | | | |
Total expenses | | | 6,603 | | | | 10,120 | | | | 8,401 | |
| | | | | | | | | | | | |
Less fees waived | | | (175 | ) | | | (293 | ) | | | (56 | ) |
Less expense reimbursements | | | (3 | ) | | | (1 | ) | | | (2 | ) |
| | | | | | | | | | | | |
Net expenses | | | 6,425 | | | | 9,826 | | | | 8,343 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | (3,422 | ) | | | 11,175 | | | | 3,456 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments in non-affiliates | | | 113,952 | | | | 42,746 | | | | 42,978 | |
Futures contracts | | | — | | | | 3,490 | | | | 3,820 | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 113,952 | | | | 46,236 | | | | 46,798 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | | | | | |
Investments in non-affiliates | | | 127,679 | | | | 56,635 | | | | 87,189 | |
Futures contracts | | | — | | | | 227 | | | | 529 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 127,679 | | | | 56,862 | | | | 87,718 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | �� | | 241,631 | | | | 103,098 | | | | 134,516 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 238,209 | | | $ | 114,273 | | | $ | 137,972 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 49 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Dynamic Small Cap Growth Fund | | | Small Cap Core Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | (776 | ) | | $ | (1,258 | ) | | $ | 579 | | | $ | 759 | |
Net realized gain (loss) | | | 18,016 | | | | 23,961 | | | | 6,463 | | | | 20,916 | |
Change in net unrealized appreciation/depreciation | | | 13,527 | | | | 25,078 | | | | 14,816 | | | | 21,541 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 30,767 | | | | 47,781 | | | | 21,858 | | | | 43,216 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (1 | ) | | | — | (a) |
From net realized gains | | | (8,120 | ) | | | (8,616 | ) | | | (251 | ) | | | (7 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | | | | — | (a) |
From net realized gains | | | (5,253 | ) | | | (6,161 | ) | | | (108 | ) | | | (5 | ) |
Class I (b) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (74 | ) | | | — | |
From net realized gains | | | (8,033 | ) | | | (8,471 | ) | | | (1,801 | ) | | | — | |
Class R2 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | (a) | | | — | |
From net realized gains | | | — | | | | — | | | | (2 | ) | | | — | |
Class R3 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | (a) | | | — | |
From net realized gains | | | — | | | | — | | | | (2 | ) | | | — | |
Class R4 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | (a) | | | — | |
From net realized gains | | | — | | | | — | | | | (2 | ) | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (626 | ) | | | (599 | ) |
From net realized gains | | | — | | | | — | | | | (15,051 | ) | | | (17,764 | ) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (134 | ) | | | — | (a) |
From net realized gains | | | — | | | | — | | | | (2,773 | ) | | | (2 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (21,406 | ) | | | (23,248 | ) | | | (20,825 | ) | | | (18,377 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 18,181 | | | | (7,047 | ) | | | 54,451 | | | | 21,270 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 27,542 | | | | 17,486 | | | | 55,484 | | | | 46,109 | |
Beginning of period | | | 170,392 | | | | 152,906 | | | | 210,745 | | | | 164,636 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 197,934 | | | $ | 170,392 | | | $ | 266,229 | | | $ | 210,745 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (1,445 | ) | | $ | (669 | ) | | $ | (72 | ) | | $ | 184 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective January 3, 2017 for Small Cap Core Fund. |
| (c) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Small Cap Equity Fund | | | Small Cap Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 15,677 | | | $ | 27,722 | | | $ | (3,422 | ) | | $ | (5,008 | ) |
Net realized gain (loss) | | | 113,930 | | | | 265,294 | | | | 113,952 | | | | 83,723 | |
Change in net unrealized appreciation/depreciation | | | 377,351 | | | | 631,255 | | | | 127,679 | | | | 264,591 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 506,958 | | | | 924,271 | | | | 238,209 | | | | 343,306 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (2,285 | ) | | | (3,188 | ) | | | — | | | | — | |
From net realized gains | | | (60,347 | ) | | | (32,659 | ) | | | (17,975 | ) | | | (6,279 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (479 | ) | | | — | | | | — | |
From net realized gains | | | (10,709 | ) | | | (5,074 | ) | | | (2,339 | ) | | | (877 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (10,544 | ) | | | (9,633 | ) | | | — | | | | — | |
From net realized gains | | | (124,367 | ) | | | (53,162 | ) | | | (11,269 | ) | | | (3,529 | ) |
Class L | | | | | | | | | | | | | | | | |
From net realized gains | | | — | | | | — | | | | (23,301 | ) | | | (9,811 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | (5 | ) | | | (23 | ) | | | — | | | | — | |
From net realized gains | | | (780 | ) | | | (276 | ) | | | (2,118 | ) | | | (772 | ) |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (15 | ) | | | — | (b) | | | — | | | | — | |
From net realized gains | | | (124 | ) | | | (1 | ) | | | (2 | ) | | | — | |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (b) | | | — | (b) | | | — | | | | — | |
From net realized gains | | | (4 | ) | | | — | (b) | | | (2 | ) | | | — | |
Class R5 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | (7,451 | ) | | | (5,428 | ) | | | — | | | | — | |
From net realized gains | | | (58,657 | ) | | | (25,600 | ) | | | (152 | ) | | | (28 | ) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (9,002 | ) | | | (3,830 | ) | | | — | | | | — | |
From net realized gains | | | (65,340 | ) | | | (15,853 | ) | | | (54,605 | ) | | | (15,304 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (349,630 | ) | | | (155,206 | ) | | | (111,763 | ) | | | (36,600 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 27,215 | | | | 2,070,448 | | | | 171,241 | | | | (27,916 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 184,543 | | | | 2,839,513 | | | | 297,687 | | | | 278,790 | |
Beginning of period | | | 6,288,443 | | | | 3,448,930 | | | | 1,315,928 | | | | 1,037,138 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 6,472,986 | | | $ | 6,288,443 | | | $ | 1,613,615 | | | $ | 1,315,928 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (614 | ) | | $ | 13,011 | | | $ | (6,160 | ) | | $ | (2,738 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Growth Fund and September 9, 2016 for Small Cap Equity Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 51 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Small Cap Value Fund | | | U.S. Small Company Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 11,175 | | | $ | 13,280 | | | $ | 3,456 | | | $ | 4,809 | |
Net realized gain (loss) | | | 46,236 | | | | 104,303 | | | | 46,798 | | | | 97,982 | |
Change in net unrealized appreciation/depreciation | | | 56,862 | | | | 216,461 | | | | 87,718 | | | | 175,814 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 114,273 | | | | 334,044 | | | | 137,972 | | | | 278,605 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (2,431 | ) | | | (2,556 | ) | | | — | | | | (192 | ) |
From net realized gains | | | (23,065 | ) | | | (390 | ) | | | (13,966 | ) | | | (15 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (133 | ) | | | (124 | ) | | | — | | | | — | |
From net realized gains | | | (1,985 | ) | | | (36 | ) | | | (3,080 | ) | | | (3 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (2,515 | ) | | | (1,795 | ) | | | (744 | ) | | | (967 | ) |
From net realized gains | | | (19,875 | ) | | | (217 | ) | | | (25,022 | ) | | | (19 | ) |
Class L | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (2,189 | ) | | | (3,751 | ) |
From net realized gains | | | — | | | | — | | | | (42,243 | ) | | | (45 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | (275 | ) | | | (181 | ) | | | — | | | | — | |
From net realized gains | | | (3,399 | ) | | | (37 | ) | | | (3,249 | ) | | | (2 | ) |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (75 | ) | | | (2 | ) | | | (26 | ) | | | — | (b) |
From net realized gains | | | (686 | ) | | | — | (b) | | | (846 | ) | | | — | (b) |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (b) | | | — | (b) | | | (15 | ) | | | — | (b) |
From net realized gains | | | (5 | ) | | | — | (b) | | | (255 | ) | | | — | (b) |
Class R5 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | (980 | ) | | | (730 | ) | | | (1 | ) | | | — | (b) |
From net realized gains | | | (6,986 | ) | | | (73 | ) | | | (17 | ) | | | — | (b) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (8,238 | ) | | | (6,792 | ) | | | (1,594 | ) | | | (1,045 | ) |
From net realized gains | | | (54,340 | ) | | | (552 | ) | | | (22,188 | ) | | | (11 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (124,988 | ) | | | (13,485 | ) | | | (115,435 | ) | | | (6,050 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | (88,107 | ) | | | 41,312 | | | | 36,787 | | | | 155,806 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | (98,822 | ) | | | 361,871 | | | | 59,324 | | | | 428,361 | |
Beginning of period | | | 2,115,203 | | | | 1,753,332 | | | | 1,751,673 | | | | 1,323,312 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 2,016,381 | | | $ | 2,115,203 | | | $ | 1,810,997 | | | $ | 1,751,673 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (615 | ) | | $ | 2,857 | | | $ | (290 | ) | | $ | 823 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Small Company Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Dynamic Small Cap Growth Fund | | | Small Cap Core Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 9,200 | | | $ | 11,085 | | | $ | 1,175 | | | $ | 2,255 | |
Distributions reinvested | | | 5,772 | | | | 6,122 | | | | 252 | | | | 7 | |
Cost of shares redeemed | | | (7,972 | ) | | | (16,068 | ) | | | (364 | ) | | | (154 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 7,000 | | | $ | 1,139 | | | $ | 1,063 | | | $ | 2,108 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 7,680 | | | $ | 11,882 | | | $ | 336 | | | $ | 1,055 | |
Distributions reinvested | | | 349 | | | | 888 | | | | 108 | | | | 5 | |
Cost of shares redeemed | | | (7,145 | ) | | | (12,954 | ) | | | (59 | ) | | | (93 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | 884 | | | $ | (184 | ) | | $ | 385 | | | $ | 967 | |
| | | | | | | | | | | | | | | | |
Class I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 17,435 | | | $ | 15,936 | | | $ | 23,216 | | | $ | 3,813 | |
Distributions reinvested | | | 7,883 | | | | 8,203 | | | | 1,875 | | | | — | |
Cost of shares redeemed | | | (15,021 | ) | | | (32,141 | ) | | | (4,170 | ) | | | (391 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 10,297 | | | $ | (8,002 | ) | | $ | 20,921 | | | $ | 3,422 | |
| | | | | | | | | | | | | | | | |
Class R2 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 20 | | | $ | — | |
Distributions reinvested | | | — | | | | — | | | | 2 | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | — | | | $ | — | | | $ | 22 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R3 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 20 | | | $ | — | |
Distributions reinvested | | | — | | | | — | | | | 2 | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | — | | | $ | — | | | $ | 22 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 20 | | | $ | — | |
Distributions reinvested | | | — | | | | — | | | | 2 | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | — | | | $ | — | | | $ | 22 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 20,885 | | | $ | 38,644 | |
Distributions reinvested | | | — | | | | — | | | | 14,939 | | | | 15,729 | |
Cost of shares redeemed | | | — | | | | — | | | | (29,194 | ) | | | (55,810 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | — | | | $ | — | | | $ | 6,630 | | | $ | (1,437 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 23,552 | | | $ | 16,336 | |
Distributions reinvested | | | — | | | | — | | | | 2,907 | | | | 2 | |
Cost of shares redeemed | | | — | | | | — | | | | (1,073 | ) | | | (128 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | — | | | $ | — | | | $ | 25,386 | | | $ | 16,210 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 18,181 | | | $ | (7,047 | ) | | $ | 54,451 | | | $ | 21,270 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective January 3, 2017 for Small Cap Core Fund. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 53 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Dynamic Small Cap Growth Fund | | | Small Cap Core Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 393 | | | | 554 | | | | 22 | | | | 44 | |
Reinvested | | | 255 | | | | 331 | | | | 5 | | | | — | (a) |
Redeemed | | | (342 | ) | | | (784 | ) | | | (7 | ) | | | (3 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 306 | | | | 101 | | | | 20 | | | | 41 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 443 | | | | 773 | | | | 6 | | | | 21 | |
Reinvested | | | 21 | | | | 62 | | | | 2 | | | | — | (a) |
Redeemed | | | (392 | ) | | | (793 | ) | | | (1 | ) | | | (2 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | 72 | | | | 42 | | | | 7 | | | | 19 | |
| | | | | | | | | | | | | | | | |
Class I (b) | | | | | | | | | | | | | | | | |
Issued | | | 680 | | | | 694 | | | | 409 | | | | 75 | |
Reinvested | | | 305 | | | | 395 | | | | 35 | | | | — | |
Redeemed | | | (569 | ) | | | (1,422 | ) | | | (74 | ) | | | (8 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 416 | | | | (333 | ) | | | 370 | | | | 67 | |
| | | | | | | | | | | | | | | | |
Class R2 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | — | (a) | | | — | |
Reinvested | | | — | | | | — | | | | — | (a) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | — | | | | — | | | | — | (a) | | | — | |
| | | | | | | | | | | | | | | | |
Class R3 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | — | (a) | | | — | |
Reinvested | | | — | | | | — | | | | — | (a) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | — | | | | — | | | | — | (a) | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 1 | | | | — | |
Reinvested | | | — | | | | — | | | | — | (a) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | | | | — | | | | 1 | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 385 | | | | 766 | |
Reinvested | | | — | | | | — | | | | 281 | | | | 316 | |
Redeemed | | | — | | | | — | | | | (529 | ) | | | (1,110 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | — | | | | — | | | | 137 | | | | (28 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 424 | | | | 320 | |
Reinvested | | | — | | | | — | | | | 55 | | | | — | (a) |
Redeemed | | | — | | | | — | | | | (20 | ) | | | (2 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | — | | | | — | | | | 459 | | | | 318 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective January 3, 2017 for Small Cap Core Fund. |
| (c) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Small Cap Equity Fund | | | Small Cap Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 97,273 | | | $ | 712,876 | | | $ | 40,375 | | | $ | 44,992 | |
Distributions reinvested | | | 58,136 | | | | 33,701 | | | | 16,796 | | | | 5,928 | |
Cost of shares redeemed | | | (223,672 | ) | | | (501,564 | ) | | | (33,174 | ) | | | (82,003 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | (68,263 | ) | | $ | 245,013 | | | $ | 23,997 | | | $ | (31,083 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 3,697 | | | $ | 102,287 | | | $ | 8,219 | | | $ | 4,659 | |
Distributions reinvested | | | 10,429 | | | | 5,234 | | | | 2,267 | | | | 747 | |
Cost of shares redeemed | | | (39,586 | ) | | | (23,821 | ) | | | (8,014 | ) | | | (7,991 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (25,460 | ) | | $ | 83,700 | | | $ | 2,472 | | | $ | (2,585 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 290,976 | | | $ | 1,796,080 | | | $ | 73,662 | | | $ | 43,698 | |
Distributions reinvested | | | 127,578 | | | | 56,261 | | | | 10,622 | | | | 3,134 | |
Cost of shares redeemed | | | (600,254 | ) | | | (712,211 | ) | | | (43,374 | ) | | | (66,724 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (181,700 | ) | | $ | 1,140,130 | | | $ | 40,910 | | | $ | (19,892 | ) |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 80,592 | | | $ | 143,110 | |
Distributions reinvested | | | — | | | | — | | | | 21,436 | | | | 8,911 | |
Cost of shares redeemed | | | — | | | | — | | | | (153,937 | ) | | | (142,376 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class L capital transactions | | $ | — | | | $ | — | | | $ | (51,909 | ) | | $ | 9,645 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,472 | | | $ | 11,048 | | | $ | 3,297 | | | $ | 3,047 | |
Distributions reinvested | | | 397 | | | | 156 | | | | 2,045 | | | | 749 | |
Cost of shares redeemed | | | (2,779 | ) | | | (4,834 | ) | | | (4,495 | ) | | | (7,190 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 90 | | | $ | 6,370 | | | $ | 847 | | | $ | (3,394 | ) |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,352 | | | $ | 100 | | | $ | 140 | | | $ | — | |
Distributions reinvested | | | 138 | | | | 1 | | | | 2 | | | | — | |
Cost of shares redeemed | | | (139 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 2,351 | | | $ | 101 | | | $ | 142 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 21 | | | $ | 68 | | | $ | 20 | | | $ | — | |
Distributions reinvested | | | 4 | | | | — | (b) | | | 2 | | | | — | |
Cost of shares redeemed | | | — | | | | (12 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 25 | | | $ | 56 | | | $ | 22 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 100,982 | | | $ | 537,839 | | | $ | 2,466 | | | $ | 2,006 | |
Distributions reinvested | | | 60,149 | | | | 28,546 | | | | 152 | | | | 28 | |
Cost of shares redeemed | | | (222,368 | ) | | | (825,391 | ) | | | (91 | ) | | | (1,033 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | (61,237 | ) | | $ | (259,006 | ) | | $ | 2,527 | | | $ | 1,001 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 451,346 | | | $ | 956,921 | | | $ | 206,936 | | | $ | 97,840 | |
Distributions reinvested | | | 74,201 | | | | 19,663 | | | | 54,603 | | | | 15,303 | |
Cost of shares redeemed | | | (164,138 | ) | | | (122,500 | ) | | | (109,306 | ) | | | (94,751 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 361,409 | | | $ | 854,084 | | | $ | 152,233 | | | $ | 18,392 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 27,215 | | | $ | 2,070,448 | | | $ | 171,241 | | | $ | (27,916 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Growth Fund and September 9, 2016 for Small Cap Equity Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 55 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Small Cap Equity Fund | | | Small Cap Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 1,956 | | | | 15,821 | | | | 2,547 | | | | 3,363 | |
Reinvested | | | 1,180 | | | | 733 | | | | 1,070 | | | | 476 | |
Redeemed | | | (4,510 | ) | | | (10,880 | ) | | | (2,098 | ) | | | (6,238 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | (1,374 | ) | | | 5,674 | | | | 1,519 | | | | (2,399 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 99 | | | | 2,965 | | | | 701 | | | | 448 | |
Reinvested | | | 283 | | | | 149 | | | | 196 | | | | 79 | |
Redeemed | | | (1,046 | ) | | | (671 | ) | | | (662 | ) | | | (782 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (664 | ) | | | 2,443 | | | | 235 | | | | (255 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 5,124 | | | | 34,733 | | | | 4,202 | | | | 2,997 | |
Reinvested | | | 2,241 | | | | 1,069 | | | | 615 | | | | 231 | |
Redeemed | | | (10,766 | ) | | | (13,483 | ) | | | (2,461 | ) | | | (4,614 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (3,401 | ) | | | 22,319 | | | | 2,356 | | | | (1,386 | ) |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 4,599 | | | | 9,579 | |
Reinvested | | | — | | | | — | | | | 1,206 | | | | 640 | |
Redeemed | | | — | | | | — | | | | (8,689 | ) | | | (9,866 | ) |
| | | | | | | | | | | | | | | | |
Change in Class L Shares | | | — | | | | — | | | | (2,884 | ) | | | 353 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Issued | | | 51 | | | | 248 | | | | 212 | | | | 236 | |
Reinvested | | | 8 | | | | 3 | | | | 135 | | | | 62 | |
Redeemed | | | (57 | ) | | | (106 | ) | | | (291 | ) | | | (568 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | 2 | | | | 145 | | | | 56 | | | | (270 | ) |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Issued | | | 48 | | | | 2 | | | | 9 | | | | — | |
Reinvested | | | 3 | | | | — | (b) | | | — | (b) | | | — | |
Redeemed | | | (3 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 48 | | | | 2 | | | | 9 | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Issued | | | — | (b) | | | 1 | | | | 1 | | | | — | |
Reinvested | | | — | (b) | | | — | (b) | | | — | (b) | | | — | |
Redeemed | | | — | | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | (b) | | | 1 | | | | 1 | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Issued | | | 1,776 | | | | 10,246 | | | | 136 | | | | 137 | |
Reinvested | | | 1,052 | | | | 541 | | | | 8 | | | | 2 | |
Redeemed | | | (3,917 | ) | | | (16,447 | ) | | | (5 | ) | | | (68 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | (1,089 | ) | | | (5,660 | ) | | | 139 | | | | 71 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | 8,110 | | | | 18,906 | | | | 11,443 | | | | 6,529 | |
Reinvested | | | 1,298 | | | | 372 | | | | 3,044 | | | | 1,091 | |
Redeemed | | | (2,905 | ) | | | (2,294 | ) | | | (6,219 | ) | | | (6,293 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 6,503 | | | | 16,984 | | | | 8,268 | | | | 1,327 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Small Cap Growth Fund and September 9, 2016 for Small Cap Equity Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Small Cap Value Fund | | | U.S. Small Company Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 38,430 | | | $ | 164,312 | | | $ | 22,152 | | | $ | 110,173 | |
Distributions reinvested | | | 23,159 | | | | 2,757 | | | | 12,503 | | | | 184 | |
Cost of shares redeemed | | | (176,417 | ) | | | (295,769 | ) | | | (61,674 | ) | | | (135,423 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | (114,828 | ) | | $ | (128,700 | ) | | $ | (27,019 | ) | | $ | (25,066 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,323 | | | $ | 6,479 | | | $ | 2,940 | | | $ | 13,089 | |
Distributions reinvested | | | 2,006 | | | | 145 | | | | 2,725 | | | | 3 | |
Cost of shares redeemed | | | (14,217 | ) | | | (14,435 | ) | | | (8,241 | ) | | | (17,634 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (10,888 | ) | | $ | (7,811 | ) | | $ | (2,576 | ) | | $ | (4,542 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 67,805 | | | $ | 154,661 | | | $ | 52,212 | | | $ | 151,877 | |
Distributions reinvested | | | 22,219 | | | | 1,883 | | | | 24,709 | | | | 921 | |
Cost of shares redeemed | | | (61,782 | ) | | | (126,507 | ) | | | (51,685 | ) | | | (113,193 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 28,242 | | | $ | 30,037 | | | $ | 25,236 | | | $ | 39,605 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 51,697 | | | $ | 318,606 | |
Distributions reinvested | | | — | | | | — | | | | 40,197 | | | | 3,378 | |
Cost of shares redeemed | | | — | | | | — | | | | (140,156 | ) | | | (322,926 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class L capital transactions | | $ | — | | | $ | — | | | $ | (48,262 | ) | | $ | (942 | ) |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 7,453 | | | $ | 27,657 | | | $ | 8,027 | | | $ | 24,052 | |
Distributions reinvested | | | 3,431 | | | | 203 | | | | 2,439 | | | | 2 | |
Cost of shares redeemed | | | (11,467 | ) | | | (23,402 | ) | | | (13,408 | ) | | | (13,867 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | (583 | ) | | $ | 4,458 | | | $ | (2,942 | ) | | $ | 10,187 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 7,406 | | | $ | 15,085 | | | $ | 4,369 | | | $ | 9,868 | |
Distributions reinvested | | | 761 | | | | 2 | | | | 870 | | | | — | (b) |
Cost of shares redeemed | | | (9,306 | ) | | | (1,818 | ) | | | (751 | ) | | | (478 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | (1,139 | ) | | $ | 13,269 | | | $ | 4,488 | | | $ | 9,390 | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 47 | | | $ | 37 | | | $ | 3,449 | | | $ | 862 | |
Distributions reinvested | | | 5 | | | | — | (b) | | | 270 | | | | — | (b) |
Cost of shares redeemed | | | — | (b) | | | — | | | | (144 | ) | | | (81 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 52 | | | $ | 37 | | | $ | 3,575 | | | $ | 781 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 11,408 | | | $ | 74,810 | | | $ | 144 | | | $ | 142 | |
Distributions reinvested | | | 7,496 | | | | 736 | | | | 18 | | | | — | (b) |
Cost of shares redeemed | | | (18,855 | ) | | | (59,662 | ) | | | (12 | ) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 49 | | | $ | 15,884 | | | $ | 150 | | | $ | 142 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 107,885 | | | $ | 310,196 | | | $ | 104,784 | | | $ | 178,533 | |
Distributions reinvested | | | 62,567 | | | | 7,344 | | | | 23,112 | | | | 1,023 | |
Cost of shares redeemed | | | (159,464 | ) | | | (203,402 | ) | | | (43,759 | ) | | | (53,305 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 10,988 | | | $ | 114,138 | | | $ | 84,137 | | | $ | 126,251 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (88,107 | ) | | $ | 41,312 | | | $ | 36,787 | | | $ | 155,806 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Small Company Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 57 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Small Cap Value Fund | | | U.S. Small Company Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 1,299 | | | | 5,807 | | | | 1,200 | | | | 6,362 | |
Reinvested | | | 803 | | | | 95 | | | | 690 | | | | 10 | |
Redeemed | | | (6,030 | ) | | | (10,507 | ) | | | (3,336 | ) | | | (7,832 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | (3,928 | ) | | | (4,605 | ) | | | (1,446 | ) | | | (1,460 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 53 | | | | 269 | | | | 167 | | | | 773 | |
Reinvested | | | 84 | | | | 6 | | | | 157 | | | | — | (a) |
Redeemed | | | (568 | ) | | | (608 | ) | | | (464 | ) | | | (1,055 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (431 | ) | | | (333 | ) | | | (140 | ) | | | (282 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 2,151 | | | | 5,207 | | | | 2,764 | | | | 8,467 | |
Reinvested | | | 727 | | | | 62 | | | | 1,332 | | | | 50 | |
Redeemed | | | (1,985 | ) | | | (4,216 | ) | | | (2,733 | ) | | | (6,374 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 893 | | | | 1,053 | | | | 1,363 | | | | 2,143 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 2,757 | | | | 18,258 | |
Reinvested | | | — | | | | — | | | | 2,166 | | | | 181 | |
Redeemed | | | — | | | | — | | | | (7,478 | ) | | | (18,084 | ) |
| | | | | | | | | | | | | | | | |
Change in Class L Shares | | | — | | | | — | | | | (2,555 | ) | | | 355 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Issued | | | 256 | | | | 979 | | | | 443 | | | | 1,399 | |
Reinvested | | | 120 | | | | 7 | | | | 137 | | | | — | (a) |
Redeemed | | | (391 | ) | | | (835 | ) | | | (739 | ) | | | (814 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | (15 | ) | | | 151 | | | | (159 | ) | | | 585 | |
| | | | | | | | | | | | | | | | |
Class R3 (b) | | | | | | | | | | | | | | | | |
Issued | | | 246 | | | | 520 | | | | 236 | | | | 557 | |
Reinvested | | | 27 | | | | — | (a) | | | 48 | | | | — | (a) |
Redeemed | | | (311 | ) | | | (61 | ) | | | (40 | ) | | | (27 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | (38 | ) | | | 459 | | | | 244 | | | | 530 | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | | | | | | | | | | | | | | | | |
Issued | | | 2 | | | | 1 | | | | 180 | | | | 47 | |
Reinvested | | | — | (a) | | | — | (a) | | | 15 | | | | — | (a) |
Redeemed | | | — | (a) | | | — | | | | (8 | ) | | | (4 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | 2 | | | | 1 | | | | 187 | | | | 43 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Issued | | | 365 | | | | 2,462 | | | | 8 | | | | 8 | |
Reinvested | | | 245 | | | | 24 | | | | 1 | | | | — | (a) |
Redeemed | | | (601 | ) | | | (1,978 | ) | | | (1 | ) | | | — | (a) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 9 | | | | 508 | | | | 8 | | | | 8 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | 3,478 | | | | 10,248 | | | | 5,586 | | | | 9,897 | |
Reinvested | | | 2,044 | | | | 240 | | | | 1,243 | | | | 55 | |
Redeemed | | | (5,055 | ) | | | (6,799 | ) | | | (2,288 | ) | | | (2,985 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 467 | | | | 3,689 | | | | 4,541 | | | | 6,967 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective September 9, 2016. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Small Company Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 59 | |
FINANCIAL HIGHLIGHTS
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
realized
gain | |
Dynamic Small Cap Growth Fund | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 22.03 | | | $ | (0.10 | ) | | $ | 3.93 | | | $ | 3.83 | | | $ | (2.72 | ) |
Year Ended June 30, 2017 | | | 19.14 | | | | (0.16 | ) | | | 6.24 | | | | 6.08 | | | | (3.19 | ) |
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 | )(f) | | | 5.17 | | | | 5.03 | | | | (0.76 | ) |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.12 | | | | (0.12 | ) | | | 3.03 | | | | 2.91 | | | | (2.72 | ) |
Year Ended June 30, 2017 | | | 15.58 | | | | (0.21 | ) | | | 4.94 | | | | 4.73 | | | | (3.19 | ) |
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 | )(f) | | | 4.55 | | | | 4.33 | | | | (0.76 | ) |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 24.83 | | | | (0.08 | ) | | | 4.44 | | | | 4.36 | | | | (2.72 | ) |
Year Ended June 30, 2017 | | | 21.17 | | | | (0.12 | ) | | | 6.97 | | | | 6.85 | | | | (3.19 | ) |
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 | )(f) | | | 5.51 | | | | 5.44 | | | | (0.76 | ) |
| (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) | 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 Class I 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 Class I Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 23.14 | | | | 17.69 | % | | $ | 76,613 | | | | 1.24 | % | | | (0.82 | )% | | | 1.38 | % | | | 21 | % |
| | 22.03 | | | | 34.99 | | | | 66,189 | | | | 1.25 | | | | (0.78 | ) | | | 1.48 | | | | 41 | |
| | 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 | )(f) | | | 1.44 | | | | 65 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.31 | | | | 17.39 | | | | 38,365 | | | | 1.74 | | | | (1.33 | ) | | | 1.86 | | | | 21 | |
| | 17.12 | | | | 34.25 | | | | 36,707 | | | | 1.74 | | | | (1.28 | ) | | | 2.04 | | | | 41 | |
| | 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 | )(f) | | | 1.94 | | | | 65 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 26.47 | | | | 17.83 | | | | 82,956 | | | | 0.99 | | | | (0.57 | ) | | | 1.10 | | | | 21 | |
| | 24.83 | | | | 35.29 | | | | 67,496 | | | | 1.00 | | | | (0.53 | ) | | | 1.18 | | | | 41 | |
| | 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 | )(f) | | | 1.19 | | | | 65 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 61 | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 52.32 | | | $ | 0.02 | (e) | | $ | 5.02 | | | $ | 5.04 | | | $ | (0.01 | ) | | $ | (4.38 | ) | | $ | (4.39 | ) |
Year Ended June 30, 2017 | | | 45.88 | | | | (0.04 | )(e) | | | 11.81 | | | | 11.77 | | | | (0.20 | ) | | | (5.13 | ) | | | (5.33 | ) |
May 31, 2016 (f) through June 30, 2016 | | | 45.81 | | | | 0.02 | (e)(g) | | | 0.05 | | | | 0.07 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 52.14 | | | | (0.12 | )(e) | | | 5.00 | | | | 4.88 | | | | — | | | | (4.38 | ) | | | (4.38 | ) |
Year Ended June 30, 2017 | | | 45.86 | | | | (0.24 | )(e) | | | 11.74 | | | | 11.50 | | | | (0.09 | ) | | | (5.13 | ) | | | (5.22 | ) |
May 31, 2016 (f) through June 30, 2016 | | | 45.81 | | | | — | (e)(g)(h) | | | 0.05 | | | | 0.05 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 52.58 | | | | 0.12 | (e) | | | 5.02 | | | | 5.14 | | | | (0.17 | ) | | | (4.38 | ) | | | (4.55 | ) |
January 3, 2017 (f) through June 30, 2017 | | | 50.44 | | | | 0.07 | (e) | | | 2.07 | | | | 2.14 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 53.24 | | | | (0.02 | )(e) | | | 4.38 | | | | 4.36 | | | | (0.04 | ) | | | (4.38 | ) | | | (4.42 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 53.24 | | | | 0.04 | (e) | | | 4.38 | | | | 4.42 | | | | (0.09 | ) | | | (4.38 | ) | | | (4.47 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 53.24 | | | | 0.10 | (e) | | | 4.38 | | | | 4.48 | | | | (0.14 | ) | | | (4.38 | ) | | | (4.52 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 52.64 | | | | 0.14 | (e) | | | 5.06 | | | | 5.20 | | | | (0.17 | ) | | | (4.38 | ) | | | (4.55 | ) |
Year Ended June 30, 2017 | | | 45.90 | | | | 0.20 | (e) | | | 11.83 | | | | 12.03 | | | | (0.16 | ) | | | (5.13 | ) | | | (5.29 | ) |
Year Ended June 30, 2016 | | | 56.18 | | | | 0.15 | (e)(g) | | | (5.25 | ) | | | (5.10 | ) | | | (0.32 | ) | | | (4.86 | ) | | | (5.18 | ) |
Year Ended June 30, 2015 | | | 58.70 | | | | 0.37 | (e) | | | 3.20 | | | | 3.57 | | | | (0.10 | ) | | | (5.99 | ) | | | (6.09 | ) |
Year Ended June 30, 2014 | | | 48.11 | | | | 0.15 | (i) | | | 13.44 | | | | 13.59 | | | | (0.27 | ) | | | (2.73 | ) | | | (3.00 | ) |
Year Ended June 30, 2013 | | | 37.54 | | | | 0.37 | (j) | | | 10.63 | | | | 11.00 | | | | (0.43 | ) | | | — | | | | (0.43 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 52.57 | | | | 0.18 | (e) | | | 5.03 | | | | 5.21 | | | | (0.20 | ) | | | (4.38 | ) | | | (4.58 | ) |
Year Ended June 30, 2017 | | | 45.90 | | | | 0.29 | (e) | | | 11.76 | | | | 12.05 | | | | (0.25 | ) | | | (5.13 | ) | | | (5.38 | ) |
May 31, 2016 (f) through June 30, 2016 | | | 45.81 | | | | 0.04 | (e)(g) | | | 0.05 | | | | 0.09 | | | | — | | | | — | | | | — | |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
| (g) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09 and the net investment income (loss) ratio would have been 0.17% for Class R5 Shares. |
| (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 $0.19 and the net investment income (loss) ratio would have been 0.44% for Class R5 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 52.97 | | | | 9.70 | % | | $ | 3,294 | | | | 1.24 | % | | | 0.08 | % | | | 1.42 | % | | | 15 | % |
| | 52.32 | | | | 26.29 | | | | 2,203 | | | | 1.24 | | | | (0.07 | ) | | | 1.45 | | | | 61 | |
| | 45.88 | | | | 0.15 | | | | 23 | | | | 1.25 | | | | 0.56 | (g) | | | 1.39 | | | | 58 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 52.64 | | | | 9.41 | | | | 1,410 | | | | 1.74 | | | | (0.43 | ) | | | 1.91 | | | | 15 | |
| | 52.14 | | | | 25.68 | | | | 1,017 | | | | 1.74 | | | | (0.47 | ) | | | 1.96 | | | | 61 | |
| | 45.86 | | | | 0.11 | | | | 20 | | | | 1.74 | | | | 0.06 | (g) | | | 1.89 | | | | 58 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.17 | | | | 9.82 | | | | 23,238 | | | | 0.99 | | | | 0.45 | | | | 1.14 | | | | 15 | |
| | 52.58 | | | | 4.24 | | | | 3,545 | | | | 0.99 | | | | 0.26 | | | | 1.21 | | | | 61 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.18 | | | | 8.24 | | | | 22 | | | | 1.49 | | | | (0.07 | ) | | | 1.63 | | | | 15 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.19 | | | | 8.36 | | | | 22 | | | | 1.24 | | | | 0.18 | | | | 1.38 | | | | 15 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.20 | | | | 8.48 | | | | 22 | | | | 0.99 | | | | 0.43 | | | | 1.13 | | | | 15 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.29 | | | | 9.93 | | | | 196,862 | | | | 0.79 | | | | 0.49 | | | | 0.99 | | | | 15 | |
| | 52.64 | | | | 26.87 | | | | 187,198 | | | | 0.79 | | | | 0.40 | | | | 1.11 | | | | 61 | |
| | 45.90 | | | | (8.97 | ) | | | 164,573 | | | | 0.80 | | | | 0.30 | (g) | | | 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 | (i) | | | 1.12 | | | | 51 | |
| | 48.11 | | | | 29.50 | | | | 522,295 | | | | 0.79 | | | | 0.84 | (j) | | | 1.19 | | | | 55 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.20 | | | | 9.96 | | | | 41,359 | | | | 0.74 | | | | 0.65 | | | | 0.88 | | | | 15 | |
| | 52.57 | | | | 26.94 | | | | 16,782 | | | | 0.74 | | | | 0.56 | | | | 0.98 | | | | 61 | |
| | 45.90 | | | | 0.20 | | | | 20 | | | | 0.74 | | | | 1.06 | (g) | | | 0.88 | | | | 58 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 63 | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 48.63 | | | $ | 0.05 | | | $ | 3.93 | | | $ | 3.98 | | | $ | (0.10 | ) | | $ | (2.87 | ) | | $ | (2.97 | ) |
Year Ended June 30, 2017 | | | 41.68 | | | | 0.11 | | | | 8.21 | | | | 8.32 | | | | (0.12 | ) | | | (1.25 | ) | | | (1.37 | ) |
Year Ended June 30, 2016 | | | 44.68 | | | | 0.13 | (f) | | | 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 | (g) | | | 8.97 | | | | 9.07 | | | | (0.07 | ) | | | (2.38 | ) | | | (2.45 | ) |
Year Ended June 30, 2013 | | | 36.02 | | | | 0.29 | (h) | | | 7.39 | | | | 7.68 | | | | (0.36 | ) | | | (3.40 | ) | | | (3.76 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.07 | | | | (0.06 | ) | | | 2.99 | | | | 2.93 | | | | — | | | | (2.87 | ) | | | (2.87 | ) |
Year Ended June 30, 2017 | | | 32.21 | | | | (0.09 | ) | | | 6.31 | | | | 6.22 | | | | (0.11 | ) | | | (1.25 | ) | | | (1.36 | ) |
Year Ended June 30, 2016 | | | 35.32 | | | | (0.06 | )(f) | | | 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 | )(g) | | | 7.38 | | | | 7.28 | | | | — | | | | (2.38 | ) | | | (2.38 | ) |
Year Ended June 30, 2013 | | | 30.46 | | | | 0.09 | (h) | | | 6.15 | | | | 6.24 | | | | (0.24 | ) | | | (3.40 | ) | | | (3.64 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 55.69 | | | | 0.13 | | | | 4.51 | | | | 4.64 | | | | (0.23 | ) | | | (2.87 | ) | | | (3.10 | ) |
Year Ended June 30, 2017 | | | 47.50 | | | | 0.28 | | | | 9.37 | | | | 9.65 | | | | (0.21 | ) | | | (1.25 | ) | | | (1.46 | ) |
Year Ended June 30, 2016 | | | 50.31 | | | | 0.25 | (f) | | | 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 | (g) | | | 9.94 | | | | 10.20 | | | | (0.18 | ) | | | (2.38 | ) | | | (2.56 | ) |
Year Ended June 30, 2013 | | | 39.41 | | | | 0.44 | (h) | | | 8.15 | | | | 8.59 | | | | (0.46 | ) | | | (3.40 | ) | | | (3.86 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 47.81 | | | | (0.01 | ) | | | 3.86 | | | | 3.85 | | | | (0.02 | ) | | | (2.87 | ) | | | (2.89 | ) |
Year Ended June 30, 2017 | | | 41.08 | | | | — | (i) | | | 8.08 | | | | 8.08 | | | | (0.10 | ) | | | (1.25 | ) | | | (1.35 | ) |
Year Ended June 30, 2016 | | | 44.04 | | | | 0.01 | (f) | | | 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 | )(g) | | | 8.86 | | | | 8.85 | | | | — | | | | (2.38 | ) | | | (2.38 | ) |
Year Ended June 30, 2013 | | | 35.67 | | | | 0.20 | (h) | | | 7.31 | | | | 7.51 | | | | (0.26 | ) | | | (3.40 | ) | | | (3.66 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 48.54 | | | | 0.09 | | | | 3.88 | | | | 3.97 | | | | (0.29 | ) | | | (2.87 | ) | | | (3.16 | ) |
September 9, 2016(k) through June 30, 2017 | | | 43.22 | | | | 0.12 | | | | 6.68 | | | | 6.80 | | | | (0.23 | ) | | | (1.25 | ) | | | (1.48 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 55.64 | | | | 0.14 | | | | 4.49 | | | | 4.63 | | | | (0.27 | ) | | | (2.87 | ) | | | (3.14 | ) |
September 9, 2016(k) through June 30, 2017 | | | 49.28 | | | | 0.23 | | | | 7.63 | | | | 7.86 | | | | (0.25 | ) | | | (1.25 | ) | | | (1.50 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 55.84 | | | | 0.19 | | | | 4.53 | | | | 4.72 | | | | (0.35 | ) | | | (2.87 | ) | | | (3.22 | ) |
Year Ended June 30, 2017 | | | 47.57 | | | | 0.36 | | | | 9.42 | | | | 9.78 | | | | (0.26 | ) | | | (1.25 | ) | | | (1.51 | ) |
Year Ended June 30, 2016 | | | 50.43 | | | | 0.36 | (f) | | | 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 | (g) | | | 9.96 | | | | 10.32 | | | | (0.27 | ) | | | (2.38 | ) | | | (2.65 | ) |
Year Ended June 30, 2013 | | | 39.47 | | | | 0.52 | (h) | | | 8.16 | | | | 8.68 | | | | (0.54 | ) | | | (3.40 | ) | | | (3.94 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 55.83 | | | | 0.22 | | | | 4.51 | | | | 4.73 | | | | (0.38 | ) | | | (2.87 | ) | | | (3.25 | ) |
Year Ended June 30, 2017 | | | 47.57 | | | | 0.46 | | | | 9.34 | | | | 9.80 | | | | (0.29 | ) | | | (1.25 | ) | | | (1.54 | ) |
May 31, 2016(k) through June 30, 2016 | | | 47.04 | | | | 0.06 | (f) | | | 0.47 | | | | 0.53 | | | | — | | | | — | | | | — | |
| (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) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 49.64 | | | | 8.24 | % | | $ | 1,090,763 | | | | 1.24 | % | | | 0.22 | % | | | 1.26 | % | | | 8 | % |
| | 48.63 | | | | 20.14 | | | | 1,135,394 | | | | 1.29 | | | | 0.24 | | | | 1.35 | | | | 21 | |
| | 41.68 | | | | 1.10 | | | | 736,629 | | | | 1.29 | | | | 0.31 | (f) | | | 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 | (g) | | | 1.37 | | | | 30 | |
| | 39.94 | | | | 23.11 | | | | 696,784 | | | | 1.29 | | | | 0.78 | (h) | | | 1.39 | | | | 25 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.13 | | | | 7.97 | | | | 146,949 | | | | 1.74 | | | | (0.31 | ) | | | 1.76 | | | | 8 | |
| | 37.07 | | | | 19.53 | | | | 171,352 | | | | 1.79 | | | | (0.25 | ) | | | 1.84 | | | | 21 | |
| | 32.21 | | | | 0.63 | | | | 70,176 | | | | 1.79 | | | | (0.20 | )(f) | | | 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 | )(g) | | | 1.87 | | | | 30 | |
| | 33.06 | | | | 22.50 | | | | 37,039 | | | | 1.79 | | | | 0.28 | (h) | | | 1.88 | | | | 25 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 57.23 | | | | 8.38 | | | | 2,602,851 | | | | 0.99 | | | | 0.47 | | | | 1.01 | | | | 8 | |
| | 55.69 | | | | 20.50 | | | | 2,722,213 | | | | 0.99 | | | | 0.54 | | | | 1.07 | | | | 21 | |
| | 47.50 | | | | 1.41 | | | | 1,261,772 | | | | 0.99 | | | | 0.54 | (f) | | | 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 | (g) | | | 1.12 | | | | 30 | |
| | 44.14 | | | | 23.48 | | | | 1,134,887 | | | | 0.99 | | | | 1.07 | (h) | | | 1.14 | | | | 25 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 48.77 | | | | 8.10 | | | | 13,444 | | | | 1.50 | | | | (0.04 | ) | | | 1.53 | | | | 8 | |
| | 47.81 | | | | 19.85 | | | | 13,078 | | | | 1.53 | | | | 0.00 | (j) | | | 1.73 | | | | 21 | |
| | 41.08 | | | | 0.85 | | | | 5,313 | | | | 1.54 | | | | 0.03 | (f) | | | 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 | )(g) | | | 1.62 | | | | 30 | |
| | 39.52 | | | | 22.80 | | | | 4,909 | | | | 1.54 | | | | 0.53 | (h) | | | 1.64 | | | | 25 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 49.35 | | | | 8.23 | | | | 2,496 | | | | 1.24 | | | | 0.37 | | | | 1.39 | | | | 8 | |
| | 48.54 | | | | 15.92 | | | | 104 | | | | 1.24 | | | | 0.32 | | | | 1.36 | | | | 21 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 57.13 | | | | 8.37 | | | | 87 | | | | 0.99 | | | | 0.50 | | | | 1.33 | | | | 8 | |
| | 55.64 | | | | 16.14 | | | | 60 | | | | 0.99 | | | | 0.55 | | | | 1.14 | | | | 21 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 57.34 | | | | 8.49 | | | | 1,239,127 | | | | 0.79 | | | | 0.67 | | | | 0.86 | | | | 8 | |
| | 55.84 | | | | 20.74 | | | | 1,267,593 | | | | 0.79 | | | | 0.68 | | | | 0.86 | | | | 21 | |
| | 47.57 | | | | 1.62 | | | | 1,349,107 | | | | 0.79 | | | | 0.78 | (f) | | | 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 | (g) | | | 0.92 | | | | 30 | |
| | 44.21 | | | | 23.71 | | | | 814,942 | | | | 0.79 | | | | 1.25 | (h) | | | 0.94 | | | | 25 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 57.31 | | | | 8.51 | | | | 1,377,269 | | | | 0.74 | | | | 0.76 | | | | 0.76 | | | | 8 | |
| | 55.83 | | | | 20.80 | | | | 978,649 | | | | 0.74 | | | | 0.85 | | | | 0.76 | | | | 21 | |
| | 47.57 | | | | 1.13 | | | | 25,933 | | | | 0.73 | | | | 1.60 | (f) | | | 0.75 | | | | 32 | |
| (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), $(0.21), $0.10, $(0.15) and $0.20 for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been (0.09)%, (0.59)%, 0.21%, (0.34)% and 0.41% for Class A, Class C, Class I, Class R2 and Class R5 Class Shares, respectively. |
| (h) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.05, $(0.11), $0.18, $(0.04) and $0.26 for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been 0.14%, (0.36)%, 0.44%, (0.10)% and 0.62% for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively. |
| (i) | Amount rounds to less than $0.005. |
| (j) | Amount rounds to less than 0.005%. |
| (k) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 65 | |
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 | |
Small Cap Growth Fund | |
Class A | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 14.81 | | | $ | (0.07 | ) | | $ | 2.67 | | | $ | 2.60 | | | $ | (1.33 | ) |
Year Ended June 30, 2017 | | | 11.43 | | | | (0.10 | ) | | | 3.94 | | | | 3.84 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 14.50 | | | | (0.09 | ) | | | (1.94 | ) | | | (2.03 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 13.96 | | | | (0.11 | )(f) | | | 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 | )(g) | | | 2.94 | | | | 2.88 | | | | (1.01 | ) |
|
Class C | |
Six Months Ended December 31, 2017 (Unaudited) | | | 11.23 | | | | (0.08 | ) | | | 2.01 | | | | 1.93 | | | | (1.33 | ) |
Year Ended June 30, 2017 | | | 8.82 | | | | (0.13 | ) | | | 3.00 | | | | 2.87 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 11.50 | | | | (0.12 | ) | | | (1.52 | ) | | | (1.64 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 11.36 | | | | (0.14 | )(f) | | | 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 | )(g) | | | 2.47 | | | | 2.37 | | | | (1.01 | ) |
|
Class I | |
Six Months Ended December 31, 2017 (Unaudited) | | | 16.18 | | | | (0.05 | ) | | | 2.91 | | | | 2.86 | | | | (1.33 | ) |
Year Ended June 30, 2017 | | | 12.42 | | | | (0.07 | ) | | | 4.29 | | | | 4.22 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 15.61 | | | | (0.07 | ) | | | (2.08 | ) | | | (2.15 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 14.91 | | | | (0.08 | )(f) | | | 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 | )(g) | | | 3.11 | | | | 3.08 | | | | (1.01 | ) |
|
Class L | |
Six Months Ended December 31, 2017 (Unaudited) | | | 16.60 | | | | (0.04 | ) | | | 2.99 | | | | 2.95 | | | | (1.33 | ) |
Year Ended June 30, 2017 | | | 12.72 | | | | (0.05 | ) | | | 4.39 | | | | 4.34 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 15.93 | | | | (0.05 | ) | | | (2.12 | ) | | | (2.17 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 15.17 | | | | (0.06 | )(f) | | | 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 | )(g) | | | 3.14 | | | | 3.13 | | | | (1.01 | ) |
|
Class R2 | |
Six Months Ended December 31, 2017 (Unaudited) | | | 14.39 | | | | (0.08 | ) | | | 2.58 | | | | 2.50 | | | | (1.33 | ) |
Year Ended June 30, 2017 | | | 11.15 | | | | (0.13 | ) | | | 3.83 | | | | 3.70 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 14.20 | | | | (0.12 | ) | | | (1.89 | ) | | | (2.01 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 13.73 | | | | (0.14 | )(f) | | | 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 | )(g) | | | 2.91 | | | | 2.82 | | | | (1.01 | ) |
|
Class R3 | |
July 31, 2017(h) through December 31, 2017 (Unaudited) | | | 15.17 | | | | (0.05 | ) | | | 2.29 | | | | 2.24 | | | | (1.33 | ) |
|
Class R4 | |
July 31, 2017(h) through December 31, 2017 (Unaudited) | | | 15.17 | | | | (0.04 | ) | | | 2.30 | | | | 2.26 | | | | (1.33 | ) |
|
Class R5 | |
Six Months Ended December 31, 2017 (Unaudited) | | | 16.60 | | | | (0.04 | ) | | | 3.00 | | | | 2.96 | | | | (1.33 | ) |
September 9, 2016(h) through June 30, 2017 | | | 13.75 | | | | (0.04 | ) | | | 3.35 | | | | 3.31 | | | | (0.46 | ) |
|
Class R6 | |
Six Months Ended December 31, 2017 (Unaudited) | | | 16.73 | | | | (0.03 | ) | | | 3.02 | | | | 2.99 | | | | (1.33 | ) |
Year Ended June 30, 2017 | | | 12.80 | | | | (0.04 | ) | | | 4.43 | | | | 4.39 | | | | (0.46 | ) |
Year Ended June 30, 2016 | | | 16.01 | | | | (0.03 | ) | | | (2.14 | ) | | | (2.17 | ) | | | (1.04 | ) |
Year Ended June 30, 2015 | | | 15.23 | | | | (0.05 | )(f) | | | 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 | | | | — | (g)(i) | | | 3.16 | | | | 3.16 | | | | (1.01 | ) |
| (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) | 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 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), $(0.07), $(0.05), $(0.12) and $(0.04) for Class A, Class C, Class I, Class L, Class R2 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.80)%, (1.30)%, (0.54)%, (0.40)%, (1.04)% and (0.29)% for Class A, Class C, Class I, Class L, Class R2 and Class R6 Shares, respectively. |
| (h) | Commencement of offering of class of shares. |
| (i) | Amount rounds to less than $0.005. |
| (j) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | |
| | |
| $ | 16.08 | | | | 17.78 | % | | $ | 237,676 | | | | 1.24 | % | | | (0.82 | )% | | | 1.29 | % | | | 24 | % |
| | 14.81 | | | | 34.36 | | | | 196,403 | | | | 1.24 | | | | (0.75 | ) | | | 1.40 | | | | 42 | |
| | 11.43 | | | | (14.17 | ) | | | 179,093 | | | | 1.25 | | | | (0.77 | ) | | | 1.50 | | | | 47 | |
| | 14.50 | | | | 13.04 | | | | 266,805 | | | | 1.25 | | | | (0.82 | )(f) | | | 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 | )(g) | | | 1.42 | | | | 60 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.83 | | | | 17.48 | | | | 24,221 | | | | 1.74 | | | | (1.33 | ) | | | 1.78 | | | | 24 | |
| | 11.23 | | | | 33.51 | | | | 20,352 | | | | 1.74 | | | | (1.25 | ) | | | 1.85 | | | | 42 | |
| | 8.82 | | | | (14.50 | ) | | | 18,218 | | | | 1.75 | | | | (1.27 | ) | | | 1.91 | | | | 47 | |
| | 11.50 | | | | 12.47 | | | | 26,297 | | | | 1.75 | | | | (1.32 | )(f) | | | 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 | )(g) | | | 1.92 | | | | 60 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.71 | | | | 17.88 | | | | 162,877 | | | | 0.99 | | | | (0.58 | ) | | | 1.02 | | | | 24 | |
| | 16.18 | | | | 34.69 | | | | 110,644 | | | | 1.00 | | | | (0.50 | ) | | | 1.12 | | | | 42 | |
| | 12.42 | | | | (13.92 | ) | | | 102,174 | | | | 1.00 | | | | (0.52 | ) | | | 1.18 | | | | 47 | |
| | 15.61 | | | | 13.29 | | | | 157,631 | | | | 1.00 | | | | (0.57 | )(f) | | | 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 | )(g) | | | 1.17 | | | | 60 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.22 | | | | 17.97 | | | | 342,800 | | | | 0.84 | | | | (0.43 | ) | | | 0.86 | | | | 24 | |
| | 16.60 | | | | 34.82 | | | | 360,044 | | | | 0.85 | | | | (0.35 | ) | | | 0.93 | | | | 42 | |
| | 12.72 | | | | (13.76 | ) | | | 271,369 | | | | 0.85 | | | | (0.35 | ) | | | 0.96 | | | | 47 | |
| | 15.93 | | | | 13.47 | | | | 279,248 | | | | 0.85 | | | | (0.42 | )(f) | | | 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 | )(g) | | | 1.02 | | | | 60 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.56 | | | | 17.60 | | | | 26,360 | | | | 1.49 | | | | (1.08 | ) | | | 1.52 | | | | 24 | |
| | 14.39 | | | | 33.96 | | | | 23,569 | | | | 1.49 | | | | (1.00 | ) | | | 1.70 | | | | 42 | |
| | 11.15 | | | | (14.34 | ) | | | 21,276 | | | | 1.50 | | | | (1.01 | ) | | | 1.85 | | | | 47 | |
| | 14.20 | | | | 12.74 | | | | 28,364 | | | | 1.50 | | | | (1.07 | )(f) | | | 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 | )(g) | | | 1.67 | | | | 60 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.08 | | | | 14.99 | | | | 143 | | | | 1.24 | | | | (0.72 | ) | | | 1.26 | | | | 24 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.10 | | | | 15.12 | | | | 23 | | | | 1.00 | | | | (0.52 | ) | | | 1.01 | | | | 24 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.23 | | | | 18.04 | | | | 3,829 | | | | 0.84 | | | | 0.40 | | | | 0.89 | | | | 24 | |
| | 16.60 | | | | 24.72 | | | | 1,186 | | | | 0.82 | | | | (0.31 | ) | | | 0.84 | | | | 42 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.39 | | | | 18.07 | | | | 815,686 | | | | 0.74 | | | | (0.32 | ) | | | 0.76 | | | | 24 | |
| | 16.73 | | | | 34.99 | | | | 603,730 | | | | 0.75 | | | | (0.25 | ) | | | 0.76 | | | | 42 | |
| | 12.80 | | | | (13.69 | ) | | | 445,008 | | | | 0.75 | | | | (0.25 | ) | | | 0.77 | | | | 47 | |
| | 16.01 | | | | 13.55 | | | | 486,724 | | | | 0.75 | | | | (0.31 | )(f) | | | 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 | (g)(j) | | | 0.92 | | | | 60 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 67 | |
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 Value Fund | |
Class A | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 29.18 | | | $ | 0.11 | | | $ | 1.52 | | | $ | 1.63 | | | $ | (0.17 | ) | | $ | (1.74 | ) | | $ | (1.91 | ) |
Year Ended June 30, 2017 | | | 24.64 | | | | 0.11 | (f) | | | 4.58 | | | | 4.69 | | | | (0.13 | ) | | | (0.02 | ) | | | (0.15 | ) |
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 | (g) | | | 4.87 | | | | 4.99 | | | | (0.11 | ) | | | (0.67 | ) | | | (0.78 | ) |
Year Ended June 30, 2013 | | | 18.75 | | | | 0.21 | (h) | | | 5.04 | | | | 5.25 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 24.55 | | | | 0.02 | | | | 1.28 | | | | 1.30 | | | | (0.11 | ) | | | (1.74 | ) | | | (1.85 | ) |
Year Ended June 30, 2017 | | | 20.82 | | | | (0.05 | )(f) | | | 3.87 | | | | 3.82 | | | | (0.07 | ) | | | (0.02 | ) | | | (0.09 | ) |
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 | | | | (0.02 | ) | | | 0.03 | | | | (0.11 | ) | | | (1.34 | ) | | | (1.45 | ) |
Year Ended June 30, 2014 | | | 20.73 | | | | (0.03 | )(g) | | | 4.22 | | | | 4.19 | | | | (0.06 | ) | | | (0.67 | ) | | | (0.73 | ) |
Year Ended June 30, 2013 | | | 16.40 | | | | 0.06 | (h) | | | 4.41 | | | | 4.47 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 30.80 | | | | 0.17 | | | | 1.59 | | | | 1.76 | | | | (0.21 | ) | | | (1.74 | ) | | | (1.95 | ) |
Year Ended June 30, 2017 | | | 25.97 | | | | 0.20 | (f) | | | 4.81 | | | | 5.01 | | | | (0.16 | ) | | | (0.02 | ) | | | (0.18 | ) |
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 | (g) | | | 5.09 | | | | 5.29 | | | | (0.17 | ) | | | (0.67 | ) | | | (0.84 | ) |
Year Ended June 30, 2013 | | | 19.58 | | | | 0.26 | (h) | | | 5.29 | | | | 5.55 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 28.94 | | | | 0.07 | | | | 1.50 | | | | 1.57 | | | | (0.13 | ) | | | (1.74 | ) | | | (1.87 | ) |
Year Ended June 30, 2017 | | | 24.48 | | | | 0.04 | (f) | | | 4.53 | | | | 4.57 | | | | (0.09 | ) | | | (0.02 | ) | | | (0.11 | ) |
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 | (g) | | | 4.83 | | | | 4.90 | | | | (0.07 | ) | | | (0.67 | ) | | | (0.74 | ) |
Year Ended June 30, 2013 | | | 18.68 | | | | 0.15 | (h) | | | 5.03 | | | | 5.18 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 29.14 | | | | 0.11 | | | | 1.52 | | | | 1.63 | | | | (0.17 | ) | | | (1.74 | ) | | | (1.91 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 25.89 | | | | 0.12 | (f) | | | 3.31 | | | | 3.43 | | | | (0.16 | ) | | | (0.02 | ) | | | (0.18 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 30.77 | | | | 0.19 | | | | 1.56 | | | | 1.75 | | | | (0.20 | ) | | | (1.74 | ) | | | (1.94 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 27.30 | | | | 0.18 | (f) | | | 3.49 | | | | 3.67 | | | | (0.18 | ) | | | (0.02 | ) | | | (0.20 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 30.80 | | | | 0.19 | | | | 1.60 | | | | 1.79 | | | | (0.23 | ) | | | (1.74 | ) | | | (1.97 | ) |
Year Ended June 30, 2017 | | | 25.97 | | | | 0.23 | (f) | | | 4.81 | | | | 5.04 | | | | (0.19 | ) | | | (0.02 | ) | | | (0.21 | ) |
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 | (g) | | | 5.09 | | | | 5.32 | | | | (0.19 | ) | | | (0.67 | ) | | | (0.86 | ) |
Year Ended June 30, 2013 | | | 19.58 | | | | 0.29 | (h) | | | 5.27 | | | | 5.56 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 30.83 | | | | 0.20 | | | | 1.61 | | | | 1.81 | | | | (0.25 | ) | | | (1.74 | ) | | | (1.99 | ) |
Year Ended June 30, 2017 | | | 25.99 | | | | 0.27 | (f) | | | 4.82 | | | | 5.09 | | | | (0.23 | ) | | | (0.02 | ) | | | (0.25 | ) |
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 | (g) | | | 5.09 | | | | 5.33 | | | | (0.20 | ) | | | (0.67 | ) | | | (0.87 | ) |
Year Ended June 30, 2013 | | | 19.59 | | | | 0.29 | (h) | | | 5.29 | | | | 5.58 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
| (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) | 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 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), $0.18, $0.05, $0.22 and $0.23 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 0.41%, (0.20)%, 0.66%, 0.20%, 0.79% and 0.82% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 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 $0.12, $(0.01), $0.17, $0.06, $0.19 and $0.20 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 0.57%, (0.08)%, 0.77%, 0.27%, 0.86% and 0.89% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | |
| | |
| $ | 28.90 | | | | 5.64 | % | | $ | 400,023 | | | | 1.24 | % | | | 0.74 | % | | | 1.32 | % | | | 16 | % |
| | 29.18 | | | | 19.01 | | | | 518,464 | | | | 1.24 | | | | 0.39 | (f) | | | 1.44 | | | | 41 | |
| | 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 | (g) | | | 1.40 | | | | 40 | |
| | 23.77 | | | | 28.08 | | | | 332,177 | | | | 1.24 | | | | 0.98 | (h) | | | 1.39 | | | | 38 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 24.00 | | | | 5.34 | | | | 29,107 | | | | 1.76 | | | | 0.19 | | | | 1.78 | | | | 16 | |
| | 24.55 | | | | 18.32 | | | | 40,349 | | | | 1.85 | | | | (0.21 | )(f) | | | 1.86 | | | | 41 | |
| | 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 | )(g) | | | 1.89 | | | | 40 | |
| | 20.73 | | | | 27.35 | | | | 41,108 | | | | 1.85 | | | | 0.34 | (h) | | | 1.89 | | | | 38 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 30.61 | | | | 5.77 | | | | 370,112 | | | | 0.99 | | | | 1.07 | | | | 1.01 | | | | 16 | |
| | 30.80 | | | | 19.30 | | | | 344,875 | | | | 0.99 | | | | 0.67 | (f) | | | 1.11 | | | | 41 | |
| | 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 | (g) | | | 1.15 | | | | 40 | |
| | 24.86 | | | | 28.47 | | | | 266,018 | | | | 0.99 | | | | 1.19 | (h) | | | 1.14 | | | | 38 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.64 | | | | 5.48 | | | | 59,231 | | | | 1.55 | | | | 0.49 | | | | 1.59 | | | | 16 | |
| | 28.94 | | | | 18.68 | | | | 60,282 | | | | 1.52 | | | | 0.14 | (f) | | | 1.75 | | | | 41 | |
| | 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 | (g) | | | 1.66 | | | | 40 | |
| | 23.67 | | | | 27.79 | | | | 15,500 | | | | 1.49 | | | | 0.69 | (h) | | | 1.64 | | | | 38 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.86 | | | | 5.64 | | | | 12,164 | | | | 1.25 | | | | 0.72 | | | | 1.27 | | | | 16 | |
| | 29.14 | | | | 13.24 | | | | 13,390 | | | | 1.27 | | | | 0.53 | (f) | | | 1.28 | | | | 41 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 30.58 | | | | 5.75 | | | | 89 | | | | 1.05 | | | | 1.22 | | | | 1.54 | | | | 16 | |
| | 30.77 | | | | 13.44 | | | | 39 | | | | 1.06 | | | | 0.75 | (f) | | | 1.10 | | | | 41 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 30.62 | | | | 5.87 | | | | 129,836 | | | | 0.85 | | | | 1.19 | | | | 0.87 | | | | 16 | |
| | 30.80 | | | | 19.43 | | | | 130,338 | | | | 0.88 | | | | 0.77 | (f) | | | 0.89 | | | | 41 | |
| | 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 | (g) | | | 0.95 | | | | 40 | |
| | 24.85 | | | | 28.53 | | | | 32,304 | | | | 0.90 | | | | 1.28 | (h) | | | 0.94 | | | | 38 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 30.65 | | | | 5.92 | | | | 1,015,819 | | | | 0.75 | | | | 1.30 | | | | 0.76 | | | | 16 | |
| | 30.83 | | | | 19.59 | | | | 1,007,466 | | | | 0.76 | | | | 0.90 | (f) | | | 0.76 | | | | 41 | |
| | 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 | (g) | | | 0.90 | | | | 40 | |
| | 24.87 | | | | 28.62 | | | | 207,613 | | | | 0.85 | | | | 1.32 | (h) | | | 0.89 | | | | 38 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 69 | |
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 | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 18.10 | | | $ | 0.01 | | | $ | 1.39 | | | $ | 1.40 | | | $ | — | | | $ | (1.19 | ) | | $ | (1.19 | ) |
Year Ended June 30, 2017 | | | 15.09 | | | | — | (f)(g) | | | 3.02 | | | | 3.02 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
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 | )(h) | | | 3.39 | | | | 3.38 | | | | (0.01 | ) | | | (0.29 | ) | | | (0.30 | ) |
Year Ended June 30, 2013 | | | 10.31 | | | | 0.04 | (i) | | | 2.89 | | | | 2.93 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.40 | | | | (0.04 | ) | | | 1.34 | | | | 1.30 | | | | — | | | | (1.19 | ) | | | (1.19 | ) |
Year Ended June 30, 2017 | | | 14.57 | | | | (0.08 | )(g) | | | 2.91 | | | | 2.83 | | | | — | | | | — | (f) | | | — | (f) |
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 | )(h) | | | 3.32 | | | | 3.24 | | | | — | | | | (0.29 | ) | | | (0.29 | ) |
Year Ended June 30, 2013 | | | 10.14 | | | | (0.02 | )(i) | | | 2.83 | | | | 2.81 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.47 | | | | 0.03 | | | | 1.42 | | | | 1.45 | | | | (0.03 | ) | | | (1.19 | ) | | | (1.22 | ) |
Year Ended June 30, 2017 | | | 15.40 | | | | 0.04 | (g) | | | 3.08 | | | | 3.12 | | | | (0.05 | ) | | | — | (f) | | | (0.05 | ) |
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 | (h) | | | 3.45 | | | | 3.48 | | | | (0.03 | ) | | | (0.29 | ) | | | (0.32 | ) |
Year Ended June 30, 2013 | | | 10.45 | | | | 0.08 | (i) | | | 2.92 | | | | 3.00 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| | | | | | | |
Class L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.46 | | | | 0.05 | | | | 1.42 | | | | 1.47 | | | | (0.06 | ) | | | (1.19 | ) | | | (1.25 | ) |
Year Ended June 30, 2017 | | | 15.39 | | | | 0.08 | (g) | | | 3.08 | | | | 3.16 | | | | (0.09 | ) | | | — | (f) | | | (0.09 | ) |
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 | (h) | | | 3.44 | | | | 3.50 | | | | (0.05 | ) | | | (0.29 | ) | | | (0.34 | ) |
Year Ended June 30, 2013 | | | 10.43 | | | | 0.10 | (i) | | | 2.92 | | | | 3.02 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.81 | | | | (0.02 | ) | | | 1.38 | | | | 1.36 | | | | — | | | | (1.19 | ) | | | (1.19 | ) |
Year Ended June 30, 2017 | | | 14.88 | | | | (0.04 | )(g) | | | 2.97 | | | | 2.93 | | | | — | | | | — | (f) | | | — | (f) |
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 | )(h) | | | 3.38 | | | | 3.33 | | | | (0.01 | ) | | | (0.29 | ) | | | (0.30 | ) |
Year Ended June 30, 2013 | | | 10.25 | | | | (0.02 | )(i) | | | 2.90 | | | | 2.88 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.03 | | | | 0.01 | | | | 1.39 | | | | 1.40 | | | | (0.03 | ) | | | (1.19 | ) | | | (1.22 | ) |
September 9, 2016 (j) through June 30, 2017 | | | 16.02 | | | | 0.04 | (g) | | | 2.04 | | | | 2.08 | | | | (0.07 | ) | | | — | (f) | | | (0.07 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.44 | | | | 0.06 | | | | 1.40 | | | | 1.46 | | | | (0.07 | ) | | | (1.19 | ) | | | (1.26 | ) |
September 9, 2016 (j) through June 30, 2017 | | | 16.36 | | | | 0.13 | (g) | | | 2.04 | | | | 2.17 | | | | (0.09 | ) | | | — | (f) | | | (0.09 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.45 | | | | 0.05 | | | | 1.41 | | | | 1.46 | | | | (0.07 | ) | | | (1.19 | ) | | | (1.26 | ) |
September 9, 2016 (j) through June 30, 2017 | | | 16.35 | | | | 0.07 | (g) | | | 2.13 | | | | 2.20 | | | | (0.10 | ) | | | — | (f) | | | (0.10 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.48 | | | | 0.06 | | | | 1.42 | | | | 1.48 | | | | (0.08 | ) | | | (1.19 | ) | | | (1.27 | ) |
Year Ended June 30, 2017 | | | 15.40 | | | | 0.10 | (g) | | | 3.08 | | | | 3.18 | | | | (0.10 | ) | | | — | (f) | | | (0.10 | ) |
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 | (h) | | | 3.46 | | | | 3.52 | | | | (0.06 | ) | | | (0.29 | ) | | | (0.35 | ) |
Year Ended June 30, 2013 | | | 10.43 | | | | 0.11 | (i) | | | 2.91 | | | | 3.02 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| (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) | Amount rounds to less than $0.005. |
| (g) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
| (h) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income(loss) per share would have been $(0.02), $(0.09), $0.02, $0.05, $(0.05), and $0.06 for Class A, Class C, Class I, Class L, Class R2 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.12)%, (0.61)%, 0.13%, 0.34%, (0.36)% and 0.38% for Class A, Class C, Class I, Class L, Class R2 and Class R6 Class Shares, respectively. |
| (i) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.01), $(0.07), $0.03, $0.05, $(0.07) and $0.07 for Class A, Class C, Class I, Class L, Class R2 and Class R6 Class Shares, respectively, and the net investment income (loss) ratio would have been (0.08)%, (0.57)%, 0.25%, 0.41%, (0.58)% and 0.56% for Class A, Class C, Class I, Class L, Class R2 and Class R6 Shares, respectively. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 70 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | |
| | |
| $ | 18.31 | | | | 7.81 | % | | $ | 221,320 | | | | 1.22 | % | | | 0.07 | % | | | 1.23 | % | | | 21 | % |
| | 18.10 | | | | 20.04 | | | | 244,958 | | | | 1.25 | | | | (0.01 | )(g) | | | 1.35 | | | | 53 | |
| | 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 | )(h) | | | 1.34 | | | | 51 | |
| | 13.17 | | | | 28.54 | | | | 49,607 | | | | 1.25 | | | | 0.31 | (i) | | | 1.43 | | | | 54 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.51 | | | | 7.54 | | | | 47,789 | | | | 1.73 | | | | (0.42 | ) | | | 1.74 | | | | 21 | |
| | 17.40 | | | | 19.43 | | | | 49,946 | | | | 1.75 | | | | (0.51 | )(g) | | | 1.85 | | | | 53 | |
| | 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 | )(h) | | | 1.84 | | | | 51 | |
| | 12.91 | | | | 27.83 | | | | 6,972 | | | | 1.75 | | | | (0.18 | )(i) | | | 1.93 | | | | 54 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.70 | | | | 7.94 | | | | 417,383 | | | | 0.96 | | | | 0.35 | | | | 0.97 | | | | 21 | |
| | 18.47 | | | | 20.29 | | | | 387,043 | | | | 1.01 | | | | 0.25 | (g) | | | 1.05 | | | | 53 | |
| | 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 | (h) | | | 1.09 | | | | 51 | |
| | 13.37 | | | | 28.81 | | | | 66,928 | | | | 1.00 | | | | 0.64 | (i) | | | 1.21 | | | | 54 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.68 | | | | 8.03 | | | | 671,857 | | | | 0.81 | | | | 0.49 | | | | 0.82 | | | | 21 | |
| | 18.46 | | | | 20.50 | | | | 711,139 | | | | 0.82 | | | | 0.43 | (g) | | | 0.87 | | | | 53 | |
| | 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 | (h) | | | 0.94 | | | | 51 | |
| | 13.35 | | | | 29.08 | | | | 30,226 | | | | 0.82 | | | | 0.79 | (i) | | | 1.05 | | | | 54 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.98 | | | | 7.71 | | | | 49,127 | | | | 1.48 | | | | (0.17 | ) | | | 1.48 | | | | 21 | |
| | 17.81 | | | | 19.70 | | | | 51,511 | | | | 1.50 | | | | (0.24 | )(g) | | | 1.69 | | | | 53 | |
| | 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 | )(h) | | | 1.59 | | | | 51 | |
| | 13.09 | | | | 28.19 | | | | 1,744 | | | | 1.50 | | | | (0.20 | )(i) | | | 1.65 | | | | 54 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.21 | | | | 7.85 | | | | 14,089 | | | | 1.21 | | | | 0.14 | | | | 1.22 | | | | 21 | |
| | 18.03 | | | | 13.01 | | | | 9,560 | | | | 1.23 | | | | 0.25 | (g) | | | 1.24 | | | | 53 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.64 | | | | 7.97 | | | | 4,286 | | | | 0.97 | | | | 0.58 | | | | 1.24 | | | | 21 | |
| | 18.44 | | | | 13.24 | | | | 794 | | | | 1.00 | | | | 0.89 | (g) | | | 1.07 | | | | 53 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.65 | | | | 7.96 | | | | 299 | | | | 0.85 | | | | 0.54 | | | | 0.97 | | | | 21 | |
| | 18.45 | | | | 13.44 | | | | 145 | | | | 0.83 | | | | 0.51 | (g) | | | 0.90 | | | | 53 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.69 | | | | 8.07 | | | | 384,847 | | | | 0.71 | | | | 0.62 | | | | 0.72 | | | | 21 | |
| | 18.48 | | | | 20.64 | | | | 296,577 | | | | 0.72 | | | | 0.55 | (g) | | | 0.72 | | | | 53 | |
| | 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 | (h) | | | 0.84 | | | | 51 | |
| | 13.35 | | | | 29.17 | | | | 17,232 | | | | 0.75 | | | | 0.95 | (i) | | | 0.97 | | | | 54 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 71 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
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 Class I | | JPM I | | Diversified |
| Small Cap Core Fund | | Class A, Class C, Class I, Class R2*, Class R3*, Class R4*, Class R5 and Class R6 | | JPM I | | Diversified |
| Small Cap Equity Fund | | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM I | | Diversified |
| Small Cap Growth Fund | | Class A, Class C, Class I, Class L, Class R2, Class R3**, Class R4**, Class R5 and Class R6 | | JPM II | | Diversified |
| Small Cap Value Fund | | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM II | | Diversified |
| U.S. Small Company Fund | | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM I | | Diversified |
| * | Class R2, Class R3 and Class R4 commenced operations on July 31, 2017 for Small Cap Core Fund. |
| ** | Class R3 and Class R4 commenced operations on July 31, 2017 for Small Cap Growth 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 are publicly offered only on a limited basis. Class L Shares for the Small Cap Growth Fund and U.S. Small Company Fund are publicly offered 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.
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 I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
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) | | $ | 197,988 | | | $ | — | | | $ | — | | | $ | 197,988 | |
| | | | | | | | | | | | | | | | |
| | | | |
Small Cap Core Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (b) | | $ | 268,551 | | | $ | — | | | $ | — | (c) | | $ | 268,551 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | |
Futures Contracts (b) | | $ | (12 | ) | | $ | — | | | $ | — | | | $ | (12 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
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) | | $ | 6,471,476 | | | $ | — | | | $ | — | | | $ | 6,471,476 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 73 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (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) | | $ | 1,632,645 | | | $ | — | | | $ | — | | | $ | 1,632,645 | |
| | | | | | | | | | | | | | | | |
| | | | |
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) | | $ | 2,019,010 | | | $ | — | | | $ | — | (c) | | $ | 2,019,010 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | |
Futures Contracts (b) | | $ | 68 | | | $ | — | | | $ | — | | | $ | 68 | |
| | | | | | | | | | | | | | | | |
| | | | |
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 (b) | | $ | 1,815,882 | | | $ | — | | | $ | — | (c) | | $ | 1,815,882 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | |
Futures Contracts (b) | | $ | 423 | | | $ | — | | | $ | — | | | $ | 423 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (b) | Portfolio holdings designated in 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. |
There were no transfers among any levels during the six months ended December 31, 2017.
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 buy futures contracts to invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
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.
| | | | | | |
| | | |
| 74 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
The table below discloses the volume of the Funds’ futures contracts activity during the six months ended December 31, 2017 (amounts in thousands):
| | | | | | | | | | | | |
| | | Small Cap
Core Fund | | | Small Cap
Value Fund | | | U.S. Small
Company Fund | |
Futures Contracts — Equity: | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 6,214 | | | $ | 32,579 | | | $ | 54,166 | |
Ending Notional Balance Long | | | 6,530 | | | | 13,752 | | | | 41,639 | |
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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | | | Total | |
Dynamic Small Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 11 | | | $ | 1 | | | $ | 2 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | $ | 14 | |
Small Cap Core Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 1 | | | | — | (a) | | | 1 | | | | n/a | | | $ | — | (a) | | $ | — | (a) | | $ | — | (a) | | $ | 3 | | | $ | — | (a) | | | 5 | |
Small Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 38 | | | | 5 | | | | 34 | | | | n/a | | | | 1 | | | | 1 | | | | — | (a) | | | 9 | | | | 11 | | | | 99 | |
Small Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 28 | | | | 2 | | | | 4 | | | $ | 2 | | | | 1 | | | | — | (a) | | | — | (a) | | | — | (a) | | | 3 | | | | 40 | |
Small Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 138 | | | | 3 | | | | 6 | | | | n/a | | | | 25 | | | | 1 | | | | — | (a) | | | 3 | | | | 17 | | | | 193 | |
U.S. Small Company Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 14 | | | | 4 | | | | 7 | | | | 7 | | | | 4 | | | | — | (a) | | | 3 | | | | — | (a) | | | 6 | | | | 45 | |
| (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 December 31, 2017, 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 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 75 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to 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 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 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 six months ended December 31, 2017, 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 “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal 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, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class R2 | | | Class R3 | |
Dynamic Small Cap Growth Fund | | | 0.25 | % | | | 0.75 | % | | | n/a | | | | n/a | |
Small Cap Core Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | % | | | 0.25 | % |
Small Cap Equity Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Small Cap Growth Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Small Cap Value Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
U.S. Small Company Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
In addition, the JPMDS 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 six months ended December 31, 2017, the JPMDS retained the following (amounts in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Dynamic Small Cap Growth Fund | | $ | — | (a) | | $ | — | |
Small Cap Core Fund | | | 2 | | | | — | |
Small Cap Equity Fund | | | 17 | | | | 1 | |
Small Cap Growth Fund | | | 35 | | | | — | (a) |
Small Cap Value Fund | | | 5 | | | | — | (a) |
U.S. Small Company Fund | | | 6 | | | | — | (a) |
| (a) | Amount rounds to less than 500. |
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the JPMDS under which the JPMDS provides certain support services to the shareholders. For performing these services, the JPMDS receives a fee, except for Class R6 Shares which do not charge a service 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | |
Dynamic Small Cap Growth Fund | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Small Cap Core Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.10 | % |
Small Cap Equity Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Small Cap Growth Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | % | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Small Cap Value Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
U.S. Small Company Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
The JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The JPMDS waived service 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 JPMDS 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | |
Dynamic Small Cap Growth Fund* | | | 1.24 | % | | | 1.74 | % | | | 0.99 | % | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Small Cap Core Fund | | | 1.24 | ** | | | 1.74 | ** | | | 0.99 | ** | | | n/a | | | | 1.49 | % | | | 1.24 | % | | | 0.99 | % | | | 0.80 | % | | | 0.74 | %** |
Small Cap Equity Fund | | | 1.24 | *** | | | 1.74 | *** | | | 0.99 | *** | | | n/a | | | | 1.49 | *** | | | 1.24 | *** | | | 0.99 | *** | | | 0.80 | | | | 0.74 | *** |
Small Cap Growth Fund | | | 1.24 | ^ | | | 1.74 | ^ | | | 0.99 | ^ | | | 0.85 | % | | | 1.49 | ^ | | | 1.24 | | | | 0.99 | | | | 0.84 | ^ | | | 0.74 | ^ |
Small Cap Value Fund^^ | | | 1.24 | | | | 1.74 | | | | 0.99 | | | | n/a | | | | 1.49 | | | | 1.24 | | | | 0.99 | | | | 0.84 | | | | 0.74 | |
U.S. Small Company Fund | | | 1.26 | | | | 1.76 | | | | 1.01 | | | | 0.83 | | | | 1.51 | | | | 1.26 | | | | 1.01 | | | | 0.86 | | | | 0.76 | |
| * | | The contractual expense percentages for Dynamic Small Cap Growth Fund in the table above are in place until October 31, 2019. Prior to November 1, 2017, the contractual expense limitations were 1.25%, 1.75% and 1.00%, for Class A, Class C and Class I Shares, respectively. |
| ** | | The contractual expense percentages for Small Cap Core Fund in the table above are in place until October 31, 2019. Prior to November 1, 2017, the contractual expense limitations were 1.25%, 1.75%, 1.00% and 0.75%, for Class A, Class C, Class I and Class R6 Shares, respectively. |
| *** | | The contractual expense percentages for Small Cap Equity Fund in the table above are in place until October 31, 2019. Prior to November 1, 2017, the contractual expense limitations were 1.30%, 1.80%, 1.00%, 1.55%, 1.25%, 1.00% and 0.75%, for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares, respectively. |
| ^ | | The contractual expense percentages for Small Cap Growth Fund in the table above are in place until October 31, 2019. Prior to November 1, 2017, the contractual expense limitations were 1.25%, 1.75%, 1.00%, 1.50%, 0.85% and 0.75%, for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| ^^ | | The contractual expense percentages for Small Cap Value Fund in the table above are in place until October 31, 2019. Prior to November 1, 2017, the contractual expense limitations were 1.25%, 1.86%, 1.00%, 1.61%, 1.36%, 1.11%, 0.91% and 0.86%, for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. |
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2017. The contractual expense limitation percentages in the table above are in place until at least October 31, 2018 unless noted otherwise.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 77 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
For the six months ended December 31, 2017, 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 Fees | | | Administration Fees | | | Service Fees | | | Total | | | Contractual
Reimbursements | |
Dynamic Small Cap Growth Fund | | $ | 60 | | | $ | 40 | | | $ | 11 | | | $ | 111 | | | $ | — | |
Small Cap Core Fund | | | 97 | | | | 64 | | | | 51 | | | | 212 | | | | — | (a) |
Small Cap Equity Fund | | | 160 | | | | 107 | | | | 335 | | | | 602 | | | | 9 | |
Small Cap Growth Fund | | | 66 | | | | 44 | | | | 35 | | | | 145 | | | | 3 | |
Small Cap Value Fund | | | 49 | | | | 31 | | | | 179 | | | | 259 | | | | 1 | |
U.S. Small Company Fund | | | — | | | | — | | | | 1 | | | | 1 | | | | 2 | |
| (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). The Adviser, Administrator and/or JPMDS, 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.
The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2017 was as follows (amounts in thousands):
| | | | |
Dynamic Small Cap Growth Fund | | $ | 3 | |
Small Cap Core Fund | | | 6 | |
Small Cap Equity Fund | | | 271 | |
Small Cap Growth Fund | | | 30 | |
Small Cap Value Fund | | | 34 | |
U.S. Small Company Fund | | | 56 | |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and the JPMDS. 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 six months ended December 31, 2017, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Funds may use related party broker-dealers. For the six months ended December 31, 2017, 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 Equity Fund | | | 1 | |
Small Cap Growth Fund | | | — | (a) |
Small Cap Value Fund | | | — | (a) |
U.S. Small Company Fund | | | 2 | |
| (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.
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
4. Investment Transactions
During the six months ended December 31, 2017, 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 | | $ | 39,219 | | | $ | 44,957 | |
Small Cap Core Fund | | | 71,308 | | | | 34,307 | |
Small Cap Equity Fund | | | 476,885 | | | | 812,917 | |
Small Cap Growth Fund | | | 366,753 | | | | 332,016 | |
Small Cap Value Fund | | | 328,753 | | | | 493,061 | |
U.S. Small Company Fund | | | 366,046 | | | | 389,847 | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Dynamic Small Cap Growth Fund | | $ | 120,030 | | | $ | 81,099 | | | $ | 3,141 | | | $ | 77,958 | |
Small Cap Core Fund | | | 199,295 | | | | 76,730 | | | | 7,486 | | | | 69,244 | |
Small Cap Equity Fund | | | 4,596,804 | | | | 1,950,984 | | | | 76,312 | | | | 1,874,672 | |
Small Cap Growth Fund | | | 1,067,269 | | | | 595,215 | | | | 29,839 | | | | 565,376 | |
Small Cap Value Fund | | | 1,539,549 | | | | 582,837 | | | | 103,308 | | | | 479,529 | |
U.S. Small Company Fund | | | 1,482,032 | | | | 417,383 | | | | 83,110 | | | | 334,273 | |
At June 30, 2017, the Funds did not have any 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 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).
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 5, 2018.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 79 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
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 December 31, 2017, the Funds had omnibus which each owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | |
| | | Number of
Non-Affiliated
Omnibus Accounts | | | % of
the Fund | |
Dynamic Small Cap Growth Fund | | | 3 | | | | 60.4 | % |
Small Cap Core Fund | | | 1 | | | | 15.3 | |
U.S. Small Company Fund | | | 2 | | | | 24.9 | |
As of December 31, 2017, the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:
| | | | |
| | | JPMorgan
SmartRetirement
Funds | |
Small Cap Growth Fund | | | 24.6 | % |
Small Cap Value Fund | | | 18.5 | |
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.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
| | | | | | |
| | | |
| 80 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
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, July 1, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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 July 1, 2017 | | | Ending Account Value December 31, 2017 | | | Expenses Paid During the Period | | | Annualized Expense Ratio | |
Dynamic Small Cap Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,176.90 | | | $ | 6.80 | | | | 1.24 | % |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,173.90 | | | | 9.53 | | | | 1.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.43 | | | | 8.84 | | | | 1.74 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,178.30 | | | | 5.44 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
| | | | |
Small Cap Core Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,097.00 | | | | 6.55 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,094.10 | | | | 9.18 | | | | 1.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.43 | | | | 8.84 | | | | 1.74 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,098.20 | | | | 5.24 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,082.40 | | | | 6.50 | | | | 1.49 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.69 | | | | 7.58 | | | | 1.49 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,083.60 | | | | 5.42 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,084.80 | | | | 4.33 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 81 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value July 1, 2017 | | | Ending Account Value December 31, 2017 | | | Expenses Paid During the Period | | | Annualized Expense Ratio | |
Small Cap Core Fund (continued) | | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,099.30 | | | $ | 4.18 | | | | 0.79 | % |
Hypothetical* | | | 1,000.00 | | | | 1,021.22 | | | | 4.02 | | | | 0.79 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,099.60 | | | | 3.92 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
| | | | |
Small Cap Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,082.40 | | | | 6.51 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,079.70 | | | | 9.12 | | | | 1.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.43 | | | | 8.84 | | | | 1.74 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,083.80 | | | | 5.20 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,081.00 | | | | 7.87 | | | | 1.50 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.64 | | | | 7.63 | | | | 1.50 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,082.30 | | | | 6.51 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,083.70 | | | | 5.20 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,084.90 | | | | 4.15 | | | | 0.79 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.22 | | | | 4.02 | | | | 0.79 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,085.10 | | | | 3.89 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
| | | | |
Small Cap Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,177.80 | | | | 6.81 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,174.80 | | | | 9.54 | | | | 1.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.43 | | | | 8.84 | | | | 1.74 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,178.80 | | | | 5.44 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,179.70 | | | | 4.61 | | | | 0.84 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.97 | | | | 4.28 | | | | 0.84 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,176.00 | | | | 8.17 | | | | 1.49 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.69 | | | | 7.58 | | | | 1.49 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,149.90 | | | | 5.59 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,151.20 | | | | 4.51 | | | | 1.00 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.16 | | | | 5.09 | | | | 1.00 | |
| | | | | | |
| | | |
| 82 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value July 1, 2017 | | | Ending Account Value December 31, 2017 | | | Expenses Paid During the Period | | | Annualized Expense Ratio | |
Small Cap Growth Fund (continued) | | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,180.40 | | | $ | 4.62 | | | | 0.84 | % |
Hypothetical* | | | 1,000.00 | | | | 1,020.97 | | | | 4.28 | | | | 0.84 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,180.70 | | | | 4.07 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
| | | | |
Small Cap Value Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,056.40 | | | | 6.43 | | | | 1.24 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,053.40 | | | | 9.11 | | | | 1.76 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.33 | | | | 8.94 | | | | 1.76 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,057.70 | | | | 5.13 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,054.80 | | | | 8.03 | | | | 1.55 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.39 | | | | 7.88 | | | | 1.55 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,056.40 | | | | 6.48 | | | | 1.25 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,057.50 | | | | 5.45 | | | | 1.05 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.91 | | | | 5.35 | | | | 1.05 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,058.70 | | | | 4.41 | | | | 0.85 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.92 | | | | 4.33 | | | | 0.85 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,059.20 | | | | 3.89 | | | | 0.75 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.42 | | | | 3.82 | | | | 0.75 | |
| | | | |
U.S. Small Company Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,078.10 | | | | 6.39 | | | | 1.22 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.06 | | | | 6.21 | | | | 1.22 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,075.40 | | | | 9.05 | | | | 1.73 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.48 | | | | 8.79 | | | | 1.73 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,079.40 | | | | 5.03 | | | | 0.96 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.37 | | | | 4.89 | | | | 0.96 | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,080.30 | | | | 4.25 | | | | 0.81 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.12 | | | | 4.13 | | | | 0.81 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,077.10 | | | | 7.75 | | | | 1.48 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.74 | | | | 7.53 | | | | 1.48 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,078.50 | | | | 6.34 | | | | 1.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.11 | | | | 6.16 | | | | 1.21 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,079.70 | | | | 5.08 | | | | 0.97 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.32 | | | | 4.94 | | | | 0.97 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 83 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value July 1, 2017 | | | Ending Account Value December 31, 2017 | | | Expenses Paid During the Period | | | Annualized Expense Ratio | |
U.S. Small Company Fund (continued) | | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,079.60 | | | $ | 4.46 | | | | 0.85 | % |
Hypothetical* | | | 1,000.00 | | | | 1,020.92 | | | | 4.33 | | | | 0.85 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,080.70 | | | | 3.72 | | | | 0.71 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.63 | | | | 3.62 | | | | 0.71 | |
| * | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | Expense is equal to the Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 154/365 (to reflect the actual period). Commencement of operations was July 31, 2017. |
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| 84 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no
representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 85 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of
scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Small Cap Growth Fund and Small Cap Value Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Dynamic Small Cap Growth Fund, Small Cap Core Fund, Small Cap Equity Fund, and U.S. Small Company Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater
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| 86 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Dynamic Small Cap Growth Fund’s performance for Class A shares was in the fourth quintile based upon both the Peer Group and Universe for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in the fifth, third and fourth quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. They requested, however, that the Adviser provide additional Fund performance information to be reviewed with the members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Small Cap Core Fund’s performance for Class R5 shares was in the fifth, second and first quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively . The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Small Cap Equity Fund’s performance for Class A shares was in the third, second and first quintiles based upon the Peer Group, and in the third, first and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I Shares was in the third, first, and first quintiles based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Small Cap Growth Fund’s performance for Class A shares was in the fourth, fifth and fourth quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fifth and fifth quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. They requested, however, that the Adviser provide additional Fund performance information to be reviewed with the members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Small Cap Value Fund’s performance for Class A shares was in the second, third and third quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2016, respectively, and in the second quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 87 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
the first, third and first quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2016, respectively, and in the second quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the U.S. Small Company Fund’s performance for Class A shares was in fourth, first and first quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in fourth, second and first quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Dynamic Small Cap Growth Fund’s net advisory fee for both Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for both Class A and Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the
Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Small Cap Core Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R5 shares were in the first quintile based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Small Cap Equity Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Small Cap Growth Fund’s net advisory fee and actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the third and second quintiles based upon both the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, in light of this information, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Small Cap Value Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After
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| 88 | | | | J.P. MORGAN SMALL CAP FUNDS | | DECEMBER 31, 2017 |
considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the U.S. Small Company Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and
Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
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| DECEMBER 31, 2017 | | J.P. MORGAN SMALL CAP FUNDS | | | | | 89 | |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-SC-1217 |
Semi-Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
December 31, 2017 (Unaudited)
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
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
| | |
 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 1 | |
J.P. Morgan Mid Cap/Multi-Cap Funds
MARKET OVERVIEW
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month.
In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year and on November 3, 2017 fell to its lowest-ever level.
Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period.
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| 2 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Growth Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 14.25% | |
| Russell 3000 Growth Index | | | 13.98% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 8,028,738 | |
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, outperformed the Russell 3000 Growth Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the health care sector and its underweight position in the consumer staples sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection and underweight position in the producer durables sector and its security selection in the consumer discretionary sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc. and Arista Networks Inc., and its underweight position in Celgene Corp. Shares of Kite Pharma, a drug maker, rose on news reports that the company had agreed to an acquisition offer from Gilead Sciences Inc. Shares of Arista Networks, a provider of cloud networking technology, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017. Shares of Celgene, a drug maker not held by the Fund, fell after the company halted development of its drug for Crohn’s disease and reported lower-than-expected revenue for the third quarter of 2017.
Leading individual detractors from relative performance included the Fund’s overweight positions in Acadia Healthcare Corp. and Evolent Health Inc. and its underweight position in Boeing Co. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Evolent Health, a provider of health care consulting, fell after the company reported slower earnings growth and announced plans to raise capital through an issuance of common stock. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan.
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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Alphabet, Inc., Class C | | | 6.3 | % |
| | 2. | | | Apple, Inc. | | | 5.4 | |
| | 3. | | | Amazon.com, Inc. | | | 4.7 | |
| | 4. | | | UnitedHealth Group, Inc. | | | 3.6 | |
| | 5. | | | Facebook, Inc., Class A | | | 3.5 | |
| | 6. | | | Waste Connections, Inc., (Canada) | | | 2.8 | |
| | 7. | | | Charles Schwab Corp. (The) | | | 2.2 | |
| | 8. | | | Mohawk Industries, Inc. | | | 2.2 | |
| | 9. | | | Visa, Inc., Class A | | | 2.0 | |
| | 10. | | | Mastercard, Inc., Class A | | | 1.9 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 42.5 | % |
| Consumer Discretionary | | | 14.3 | |
| Industrials | | | 13.3 | |
| Health Care | | | 13.2 | |
| Financials | | | 7.6 | |
| Energy | | | 1.6 | |
| Materials | | | 1.4 | |
| Others (each less than 1.0%) | | | 1.6 | |
| Short-Term Investment | | | 4.5 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 3 | |
JPMorgan Growth Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | October 29, 1999 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 8.28 | % | | | 28.09 | % | | | 17.31 | % | | | 9.29 | % |
Without Sales Charge | | | | | 14.25 | | | | 35.19 | | | | 18.58 | | | | 9.88 | |
CLASS C SHARES | | May 1, 2006 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 13.00 | | | | 33.52 | | | | 18.00 | | | | 9.32 | |
Without CDSC | | | | | 14.00 | | | | 34.52 | | | | 18.00 | | | | 9.32 | |
CLASS I SHARES | | May 1, 2006 | | | 14.45 | | | | 35.51 | | | | 18.82 | | | | 10.11 | |
CLASS R2 SHARES | | July 31, 2017 | | | 14.11 | | | | 34.85 | | | | 18.29 | | | | 9.63 | |
CLASS R3 SHARES | | May 31, 2017 | | | 14.31 | | | | 35.25 | | | | 18.60 | | | | 9.91 | |
CLASS R4 SHARES | | May 31, 2017 | | | 14.39 | | | | 35.44 | | | | 18.87 | | | | 10.17 | |
CLASS R5 SHARES | | January 8, 2009 | | | 14.49 | | | | 35.69 | | | | 19.03 | | | | 10.30 | |
CLASS R6 SHARES | | December 23, 2013 | | | 14.54 | | | | 35.83 | | | | 19.13 | | | | 10.34 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R2 and Class R3 Shares would have been lower than those shown because Class R2 and Class R3 Shares have higher expenses than Class A Shares.
Returns for Class R4 and Class R5 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class I 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 22, 2013 and Class I 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 Class I 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 December 31, 2007 to
December 31, 2017. 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 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.
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| 4 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Mid Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 9.49% | |
| Russell Midcap Index | | | 9.75% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 3,025,575 | |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the materials & processing and consumer staples sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection and overweight position in the technology sector and its security selection in the consumer discretionary sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Acadia Healthcare Inc., Intercept Pharmaceuticals Inc. and Newell Brands Inc. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Intercept Pharmaceuticals, a drug maker focused on liver diseases, fell amid investor concerns about the safety of the company’s Ocaliva drug. Shares of Newell Brands, a consumer products maker, fell after the company reported lower-than-expected earnings and sales and reduced its earnings forecast for the full year 2017.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma, Hilton Worldwide Holdings Inc. and Arista Networks Inc. Shares of Kite Pharma, a drug maker, rose on news reports that the company had agreed to an acquisition offer from Gilead Sciences Inc. Shares of Hilton Worldwide Holdings, a hotels and property company, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017 and raised its full year 2017 earnings forecast. Shares of Arista Networks, a provider of cloud networking technology, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017.
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 they 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. | | | 2.2 | % |
| | 2. | | | Waste Connections, Inc., (Canada) | | | 1.4 | |
| | 3. | | | Hilton Worldwide Holdings, Inc. | | | 1.4 | |
| | 4. | | | Amphenol Corp., Class A | | | 1.3 | |
| | 5. | | | Ameriprise Financial, Inc. | | | 1.1 | |
| | 6. | | | Fortune Brands Home & Security, Inc. | | | 1.1 | |
| | 7. | | | Progressive Corp. (The) | | | 1.0 | |
| | 8. | | | Energen Corp. | | | 1.0 | |
| | 9. | | | Concho Resources, Inc. | | | 1.0 | |
| | 10. | | | S&P Global, Inc. | | | 0.9 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 19.4 | % |
| Financials | | | 16.9 | |
| Consumer Discretionary | | | 16.8 | |
| Industrials | | | 13.3 | |
| Health Care | | | 9.0 | |
| Real Estate | | | 5.7 | |
| Energy | | | 4.2 | |
| Utilities | | | 4.1 | |
| Consumer Staples | | | 3.7 | |
| Materials | | | 3.6 | |
| Short-Term Investment | | | 3.3 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 5 | |
JPMorgan Mid Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | November 2, 2009 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 3.58 | % | | | 14.61 | % | | | 13.40 | % | | | 8.21 | % |
Without Sales Charge | | | | | 9.32 | | | | 20.96 | | | | 14.63 | | | | 8.79 | |
CLASS C SHARES | | November 2, 2009 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 8.03 | | | | 19.34 | | | | 14.06 | | | | 8.35 | |
Without CDSC | | | | | 9.03 | | | | 20.34 | | | | 14.06 | | | | 8.35 | |
CLASS I SHARES | | January 1, 1997 | | | 9.49 | | | | 21.35 | | | | 15.03 | | | | 9.10 | |
CLASS R2 SHARES | | March 14, 2014 | | | 9.17 | | | | 20.63 | | | | 14.41 | | | | 8.69 | |
CLASS R5 SHARES | | March 14, 2014 | | | 9.55 | | | | 21.46 | | | | 15.12 | | | | 9.14 | |
CLASS R6 SHARES | | March 14, 2014 | | | 9.57 | | | | 21.54 | | | | 15.16 | | | | 9.16 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I 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 Class I Shares.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares from November 2, 2009 to March 13, 2014 and Class I 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 Class I Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class I 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 Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in the Class I Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, the Lipper Multi-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index from December 31, 2007 to December 31, 2017. The performance of the
Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Core Funds Index and 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 Mid-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index are indices based on total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I 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.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 12.02% | |
| Russell Midcap Growth Index | | | 12.45% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 3,501,658 | |
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 Class I Shares underperformed the Russell Midcap Growth Index (the “Benchmark”) for the six months ended December 31, 2017. 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 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 Acadia Healthcare Inc., Intercept Pharma Inc. and Premier Inc. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Intercept Pharmaceuticals, a drug maker focused on liver diseases, fell amid investor concerns about the safety of the company’s Ocaliva drug. Shares of Premier, a health care supply chain services company, fell after the company reported lower-than-expected earnings for its fiscal fourth quarter of 2017.
Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc., Arista Networks Inc. and Splunk Inc. Shares of Kite Pharma, a drug maker not held in the Benchmark, rose on news reports that the company had agreed to an acquisition offer from Gilead Sciences Inc. Shares of Arista Networks, a provider of cloud networking technology, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017. Shares of Splunk, a software provider, rose after the company reported better-than-expected earnings and sales for the third quarter of 2017.
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. | | | Waste Connections, Inc., (Canada) | | | 2.8 | % |
| | 2. | | | Mohawk Industries, Inc. | | | 2.3 | |
| | 3. | | | Concho Resources, Inc. | | | 2.0 | |
| | 4. | | | S&P Global, Inc. | | | 1.8 | |
| | 5. | | | Global Payments, Inc. | | | 1.8 | |
| | 6. | | | Ross Stores, Inc. | | | 1.7 | |
| | 7. | | | Illumina, Inc. | | | 1.7 | |
| | 8. | | | Hilton Worldwide Holdings, Inc. | | | 1.5 | |
| | 9. | | | Lennox International, Inc. | | | 1.5 | |
| | 10. | | | Eagle Materials, Inc. | | | 1.5 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 29.7 | % |
| Industrials | | | 18.2 | |
| Consumer Discretionary | | | 17.3 | |
| Health Care | | | 11.8 | |
| Financials | | | 11.2 | |
| Materials | | | 2.8 | |
| Energy | | | 2.3 | |
| Consumer Staples | | | 1.1 | |
| Real Estate | | | 1.1 | |
| Short-Term Investment | | | 4.5 | |
| * | | 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 December 31 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 7 | |
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 18, 1992 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 5.95 | % | | | 22.31 | % | | | 14.48 | % | | | 7.90 | % |
Without Sales Charge | | | | | 11.82 | | | | 29.07 | | | | 15.72 | | | | 8.48 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 10.57 | | | | 27.43 | | | | 15.15 | | | | 7.92 | |
Without CDSC | | | | | 11.57 | | | | 28.43 | | | | 15.15 | | | | 7.92 | |
CLASS I SHARES | | March 2, 1989 | | | 12.02 | | | | 29.50 | | | | 16.08 | | | | 8.81 | |
CLASS R2 SHARES | | June 19, 2009 | | | 11.71 | | | | 28.80 | | | | 15.52 | | | | 8.31 | |
CLASS R3 SHARES | | September 9, 2016 | | | 11.83 | | | | 29.05 | | | | 15.72 | | | | 8.48 | |
CLASS R4 SHARES | | September 9, 2016 | | | 11.96 | | | | 29.39 | | | | 16.01 | | | | 8.76 | |
CLASS R5 SHARES | | November 1, 2011 | | | 12.06 | | | | 29.68 | | | | 16.23 | | | | 8.91 | |
CLASS R6 SHARES | | November 1, 2011 | | | 12.08 | | | | 29.72 | | | | 16.30 | | | | 8.94 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3, Class R4, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. Prior performance for Class R2, Class R3 and Class R4 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 Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index, the Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index from December 31, 2007 to December 31, 2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all
dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Growth Funds Index and 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 Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index are indices based on total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I 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.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class L Shares)* | | | 6.92% | |
| Russell Midcap Value Index | | | 7.76% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 19,142,055 | |
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 Class L Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the materials and consumer staples sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s underweight position and security selection in the real estate sector and its security selection in the information technology sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Newell Brands Inc., Expedia Inc. and Ball Corp. Shares of Newell Brands, a consumer products maker, fell after the company reported lower-than-expected earnings and sales and reduced its earnings forecast for the full year 2017. Shares of Expedia, an online travel booking company not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Ball, a packaging manufacturer, fell after the company reported lower-than-expected earnings and sales for the third quarter of 2017.
Leading individual contributors to relative performance included the Fund’s overweight positions in Gap Inc., Kohl’s Corp. and PBF Energy Inc. Shares of Gap, a brand apparel retailer, rose on better-than-expected earnings for the third quarter of 2017 and amid investor expectations the company would benefit from the Tax Cut and Jobs Act of 2017. Shares of Kohl’s, a department store chain, rose amid improvements in the company’s store traffic trends and expense controls. Shares of PBF Energy, a petroleum refiner, rose amid a rise in U.S. fuel prices in the wake of Hurricanes Harvey and Irma.
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. | | | Energen Corp. | | | 2.0 | % |
| | 2. | | | Mohawk Industries, Inc. | | | 2.0 | |
| | 3. | | | EQT Corp. | | | 1.8 | |
| | 4. | | | Loews Corp. | | | 1.8 | |
| | 5. | | | M&T Bank Corp. | | | 1.7 | |
| | 6. | | | Xcel Energy, Inc. | | | 1.6 | |
| | 7. | | | Williams Cos., Inc. (The) | | | 1.6 | |
| | 8. | | | CMS Energy Corp. | | | 1.5 | |
| | 9. | | | WEC Energy Group, Inc. | | | 1.5 | |
| | 10. | | | T Rowe Price Group, Inc. | | | 1.5 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 22.8 | % |
| Consumer Discretionary | | | 15.9 | |
| Real Estate | | | 9.9 | |
| Information Technology | | | 8.7 | |
| Utilities | | | 8.2 | |
| Industrials | | | 8.1 | |
| Consumer Staples | | | 6.1 | |
| Energy | | | 6.1 | |
| Health Care | | | 5.9 | |
| Materials | | | 4.4 | |
| Short-Term Investment | | | 3.9 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 9 | |
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | April 30, 2001 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 1.08 | % | | | 7.20 | % | | | 12.33 | % | | | 8.48 | % |
Without Sales Charge | | | | | 6.66 | | | | 13.13 | | | | 13.55 | | | | 9.07 | |
CLASS C SHARES | | April 30, 2001 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 5.38 | | | | 11.54 | | | | 12.96 | | | | 8.52 | |
Without CDSC | | | | | 6.38 | | | | 12.54 | | | | 12.96 | | | | 8.52 | |
CLASS I SHARES | | October 31, 2001 | | | 6.79 | | | | 13.41 | | | | 13.82 | | | | 9.34 | |
CLASS L SHARES | | November 13, 1997 | | | 6.92 | | | | 13.67 | | | | 14.10 | | | | 9.61 | |
CLASS R2 SHARES | | November 3, 2008 | | | 6.52 | | | | 12.86 | | | | 13.25 | | | | 8.81 | |
CLASS R3 SHARES | | September 9, 2016 | | | 6.66 | | | | 13.15 | | | | 13.55 | | | | 9.07 | |
CLASS R4 SHARES | | September 9, 2016 | | | 6.78 | | | | 13.37 | | | | 13.81 | | | | 9.34 | |
CLASS R5 SHARES | | September 9, 2016 | | | 6.85 | | | | 13.58 | | | | 14.07 | | | | 9.60 | |
CLASS R6 SHARES | | September 9, 2016 | | | 6.90 | | | | 13.68 | | | | 14.10 | | | | 9.61 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R2 and Class R3 Shares would have been lower than those shown because Class R2 and Class R3 Shares have higher expenses than Class A Shares.
Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower because Class R4 Shares have higher expenses than Class I Shares.
Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Class L Shares. The actual returns for Class R6 Shares would have been similar to those shown because Class R6 Shares have similar expenses to Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L 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 December 31, 2007 to December 31, 2017. 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 designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class L 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.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 4.01% | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | | | 0.55% | |
| |
| Net Assets as of 12/31/17 (In Thousands) | | $ | 124,055 | |
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 Class I Shares outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the six months ended December 31, 2017. U.S. equity securities, which were not included in the Benchmark, generally outperformed U.S. Treasury bonds during the reporting period. The Fund’s overall security selection in the consumer discretionary and health care sectors helped the Fund’s performance relative to the Benchmark, while the Fund’s overall security selection in the real estate and financials sectors detracted from relative performance.
Leading individual contributors to Fund returns included its long positions in NRG Energy Inc. and United Rentals Inc. and its short position in Envision Healthcare Corp. Shares of NRG Energy, an electricity utility, rose after the company unveiled a plan to sell assets and cut operation costs. Shares of United Rentals, an equipment rental company, rose after reporting several consecutive quarters of better-than-expected earnings. Shares of Envision Healthcare, an owner/operator of surgical centers and hospitals, fell amid lower-than-expected earnings for the third quarter of 2017 and investor concerns about billing practices as a company subsidiary.
Leading individual detractors from Fund returns included its short positions in Interactive Brokers Group Inc., Cavium Inc. and Wex Inc. Shares of Interactive Brokers Group, an investment broker/dealer and securities trading company, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2017. Shares of Cavium, a semiconductor manufacturer, rose after the company agreed to be acquired for about $6 billion by Marvell Technology Group Ltd. Shares of Wex, a provider of payment processing and information management services, rose after the company reported better-than-expected earnings for the third quarter of 2017.
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 based on these factors were selected by the Fund’s portfolio managers for possible short sales.
| | | | | | | | |
| TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | |
| | 1. | | | Best Buy Co., Inc. | | | 1.1 | % |
| | 2. | | | Huntsman Corp. | | | 1.1 | |
| | 3. | | | Owens Corning | | | 1.0 | |
| | 4. | | | Boeing Co. (The) | | | 1.0 | |
| | 5. | | | United Rentals, Inc. | | | 1.0 | |
| | 6. | | | Caterpillar, Inc. | | | 1.0 | |
| | 7. | | | Centene Corp. | | | 1.0 | |
| | 8. | | | Total System Services, Inc. | | | 1.0 | |
| | 9. | | | Synovus Financial Corp. | | | 1.0 | |
| | 10. | | | AbbVie, Inc. | | | 1.0 | |
| | | | | | | | |
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | |
| | 1. | | | WEX, Inc. | | | 1.2 | % |
| | 2. | | | Compass Minerals International, Inc. | | | 1.2 | |
| | 3. | | | Trinity Industries, Inc. | | | 1.2 | |
| | 4. | | | Casey’s General Stores, Inc. | | | 1.2 | |
| | 5. | | | Hexcel Corp. | | | 1.2 | |
| | 6. | | | ViaSat, Inc. | | | 1.2 | |
| | 7. | | | Watsco, Inc. | | | 1.2 | |
| | 8. | | | Vulcan Materials Co. | | | 1.1 | |
| | 9. | | | Akamai Technologies, Inc. | | | 1.1 | |
| | 10. | | | Snap-on, Inc. | | | 1.1 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 11 | |
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | |
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 22.5 | % |
| Industrials | | | 16.2 | |
| Consumer Discretionary | | | 15.1 | |
| Health Care | | | 11.0 | |
| Financials | | | 6.6 | |
| Consumer Staples | | | 5.7 | |
| Materials | | | 4.2 | |
| Utilities | | | 3.8 | |
| Energy | | | 3.0 | |
| Real Estate | | | 1.2 | |
| Short-Term Investment | | | 10.7 | |
| | | | |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | |
| Information Technology | | | 25.4 | % |
| Industrials | | | 20.3 | |
| Consumer Discretionary | | | 15.3 | |
| Health Care | | | 12.5 | |
| Financials | | | 6.7 | |
| Consumer Staples | | | 6.1 | |
| Materials | | | 4.8 | |
| Utilities | | | 4.1 | |
| Energy | | | 2.7 | |
| Real Estate | | | 1.1 | |
| Others (each less than 1.0%) | | | 1.0 | |
| * | | 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 long investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| **** | | Percentages indicated are based on total short investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | May 23, 2003 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | (1.52 | )% | | | (2.36 | )% | | | 0.57 | % | | | (0.28 | )% |
Without Sales Charge | | | | | 3.91 | | | | 3.08 | | | | 1.66 | | | | 0.25 | |
CLASS C SHARES | | May 23, 2003 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 2.65 | | | | 1.55 | | | | 1.14 | | | | (0.39 | ) |
Without CDSC | | | | | 3.65 | | | | 2.55 | | | | 1.14 | | | | (0.39 | ) |
CLASS I SHARES | | May 23, 2003 | | | 4.01 | | | | 3.30 | | | | 1.91 | | | | 0.49 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I 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 December 31, 2007 to December 31, 2017. 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 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.
Class I 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 13 | |
JPMorgan Value Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class L Shares)* | | | 9.47% | |
| Russell 3000 Value Index | | | 8.51% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 12,266,834 | |
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 Class L Shares outperformed the Russell 3000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrials sector and its overweight position in the financials sector were leading contributors to performance relative to the Benchmark, while the Fund’s security section in the materials and consumer discretionary sectors was a leading detractor from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight position in General Electric Co. and its overweight positions in T. Rowe Price Group Inc. and Kohl’s Corp. Shares of General Electric, an industrial conglomerate not held by the Fund, fell amid the company’s efforts to implement a restructuring plan. Shares of T. Rowe Price Group, a provider of mutual funds and financial advisory services, rose amid growth in the company’s assets under management and the overall strength of the financials sector. Shares of Kohl’s, a department store chain, rose amid improvements in the company’s store traffic trends and expense controls.
Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Corp. and Ball Corp. and its underweight position in Intel Corp. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Ball, a packaging manufacturer, fell after the company reported lower-than-expected earnings and sales for the third quarter of 2017. Shares of Intel, a semiconductor maker not held by the Fund, rose amid gains in the broader semiconductor sector.
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 positions were in 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 health care sector.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Wells Fargo & Co. | | | 3.2 | % |
| | 2. | | | Bank of America Corp. | | | 3.1 | |
| | 3. | | | Capital One Financial Corp. | | | 2.4 | |
| | 4. | | | Pfizer, Inc. | | | 2.3 | |
| | 5. | | | Delta Air Lines, Inc. | | | 1.9 | |
| | 6. | | | Exxon Mobil Corp. | | | 1.8 | |
| | 7. | | | Loews Corp. | | | 1.7 | |
| | 8. | | | Johnson & Johnson | | | 1.6 | |
| | 9. | | | M&T Bank Corp. | | | 1.6 | |
| | 10. | | | PNC Financial Services Group, Inc. (The) | | | 1.6 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 31.2 | % |
| Consumer Discretionary | | | 13.8 | |
| Health Care | | | 8.5 | |
| Energy | | | 7.5 | |
| Industrials | | | 7.1 | |
| Information Technology | | | 6.9 | |
| Consumer Staples | | | 6.2 | |
| Real Estate | | | 6.0 | |
| Utilities | | | 4.6 | |
| Materials | | | 4.0 | |
| Telecommunication Services | | | 0.8 | |
| 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | February 28, 2005 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | 3.48 | % | | | 7.69 | % | | | 12.24 | % | | | 8.32 | % |
Without Sales Charge | | | | | | | 9.21 | | | | 13.67 | | | | 13.46 | | | | 8.90 | |
CLASS C SHARES | | | February 28, 2005 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 7.95 | | | | 12.11 | | | | 12.90 | | | | 8.36 | |
Without CDSC | | | | | | | 8.95 | | | | 13.11 | | | | 12.90 | | | | 8.36 | |
CLASS I SHARES | | | February 28, 2005 | | | | 9.35 | | | | 13.96 | | | | 13.75 | | | | 9.18 | |
CLASS L SHARES | | | February 28, 2005 | | | | 9.47 | | | | 14.23 | | | | 14.03 | | | | 9.46 | |
CLASS R2 SHARES | | | July 31, 2017 | | | | 9.07 | | | | 13.37 | | | | 13.18 | | | | 8.63 | |
CLASS R3 SHARES | | | September 9, 2016 | | | | 9.20 | | | | 13.65 | | | | 13.46 | | | | 8.90 | |
CLASS R4 SHARES | | | September 9, 2016 | | | | 9.32 | | | | 13.94 | | | | 13.75 | | | | 9.18 | |
CLASS R5 SHARES | | | September 9, 2016 | | | | 9.43 | | | | 14.12 | | | | 14.01 | | | | 9.45 | |
CLASS R6 SHARES | | | September 9, 2016 | | | | 9.50 | | | | 14.23 | | | | 14.04 | | | | 9.46 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares. Returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Class L Shares. The actual returns for Class R6 Shares would have been similar to those shown because Class R6 Shares have similar expenses to Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from December 31, 2007 to December 31, 2017. 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.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 15 | |
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 95.5% | |
| | | | Consumer Discretionary — 14.3% | |
| | | | Automobiles — 0.5% | |
| | 143 | | | Tesla, Inc. (a) | | | 44,430 | |
| | | | | | | | |
| | | | Distributors — 1.1% | |
| | 2,107 | | | LKQ Corp. (a) | | | 85,679 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 2.4% | |
| | 1,153 | | | Hilton Grand Vacations, Inc. (a) | | | 48,370 | |
| | 1,170 | | | Hilton Worldwide Holdings, Inc. | | | 93,471 | |
| | 975 | | | Norwegian Cruise Line Holdings Ltd. (a) | | | 51,935 | |
| | | | | | | | |
| | | | | | | 193,776 | |
| | | | | | | | |
| | | | Household Durables — 2.2% | |
| | 649 | | | Mohawk Industries, Inc. (a) | | | 178,976 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 7.5% | | | | |
| | 321 | | | Amazon.com, Inc. (a) | | | 374,932 | |
| | 439 | | | Netflix, Inc. (a) | | | 84,232 | |
| | 52 | | | Priceline Group, Inc. (The) (a) | | | 90,710 | |
| | 620 | | | Wayfair, Inc., Class A (a) | | | 49,800 | |
| | | | | | | | |
| | | | | | | 599,674 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.6% | |
| | 1,466 | | | Gildan Activewear, Inc., (Canada) | | | 47,355 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 1,149,890 | |
| | | | | | | | |
| | | | Consumer Staples — 0.7% | |
| | | | Beverages — 0.7% | |
| | 851 | | | Monster Beverage Corp. (a) | | | 53,860 | |
| | | | | | | | |
| | | | Energy — 1.6% | |
| | | | Oil, Gas & Consumable Fuels — 1.6% | |
| | 512 | | | Concho Resources, Inc. (a) | | | 76,867 | |
| | 493 | | | EOG Resources, Inc. | | | 53,146 | |
| | | | | | | | |
| | | | Total Energy | | | 130,013 | |
| | | | | | | | |
| | | | Financials — 7.6% | |
| | | | Banks — 2.4% | |
| | 807 | | | Comerica, Inc. | | | 70,056 | |
| | 1,345 | | | East West Bancorp, Inc. | | | 81,816 | |
| | 480 | | | First Republic Bank | | | 41,604 | |
| | | | | | | | |
| | | | | | | 193,476 | |
| | | | | | | | |
| | | | Capital Markets — 5.2% | |
| | 132 | | | BlackRock, Inc. | | | 67,861 | |
| | 3,488 | | | Charles Schwab Corp. (The) | | | 179,184 | |
| | 646 | | | Nasdaq, Inc. | | | 49,594 | |
| | 721 | | | S&P Global, Inc. | | | 122,171 | |
| | | | | | | | |
| | | | | | | 418,810 | |
| | | | | | | | |
| | | | Total Financials | | | 612,286 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Health Care — 13.2% | |
| | | | Biotechnology — 2.7% | |
| | 878 | | | Exact Sciences Corp. (a) | | | 46,114 | |
| | 513 | | | Intercept Pharmaceuticals, Inc. (a) | | | 29,987 | |
| | 199 | | | Sage Therapeutics, Inc. (a) | | | 32,843 | |
| | 546 | | | Spark Therapeutics, Inc. (a) | | | 28,086 | |
| | 519 | | | Vertex Pharmaceuticals, Inc. (a) | | | 77,792 | |
| | | | | | | | |
| | | | | | | 214,822 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.6% | |
| | 974 | | | DENTSPLY SIRONA, Inc. | | | 64,092 | |
| | 168 | | | Intuitive Surgical, Inc. (a) | | | 61,383 | |
| | | | | | | | |
| | | | | | | 125,475 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 5.4% | |
| | 1,883 | | | Acadia Healthcare Co., Inc. (a) | | | 61,455 | |
| | 235 | | | Humana, Inc. | | | 58,371 | |
| | 809 | | | Teladoc, Inc. (a) | | | 28,180 | |
| | 1,297 | | | UnitedHealth Group, Inc. | | | 285,915 | |
| | | | | | | | |
| | | | | | | 433,921 | |
| | | | | | | | |
| | | | Health Care Technology — 0.8% | |
| | 2,202 | | | Evolent Health, Inc., Class A (a) | | | 27,084 | |
| | 724 | | | Veeva Systems, Inc., Class A (a) | | | 40,012 | |
| | | | | | | | |
| | | | | | | 67,096 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.9% | |
| | 346 | | | Illumina, Inc. (a) | | | 75,488 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.8% | |
| | 437 | | | Jazz Pharmaceuticals plc (a) | | | 58,856 | |
| | 1,221 | | | Revance Therapeutics, Inc. (a) | | | 43,658 | |
| | 6,300 | | | TherapeuticsMD, Inc. (a) | | | 38,053 | |
| | | | | | | | |
| | | | | | | 140,567 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,057,369 | |
| | | | | | | | |
| | | | Industrials — 13.3% | |
| | | | Airlines — 1.5% | |
| | 1,001 | | | Delta Air Lines, Inc. | | | 56,067 | |
| | 953 | | | Southwest Airlines Co. | | | 62,400 | |
| | | | | | | | |
| | | | | | | 118,467 | |
| | | | | | | | |
| | | | Building Products — 2.2% | |
| | 1,024 | | | Fortune Brands Home & Security, Inc. | | | 70,110 | |
| | 511 | | | Lennox International, Inc. | | | 106,317 | |
| | | | | | | | |
| | | | | | | 176,427 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Commercial Services & Supplies — 3.6% | |
| | 1,536 | | | Copart, Inc. (a) | | | 66,340 | |
| | 3,122 | | | Waste Connections, Inc., (Canada) | | | 221,457 | |
| | | | | | | | |
| | | | | | | 287,797 | |
| | | | | | | | |
| | | | Machinery — 4.9% | |
| | 383 | | | John Bean Technologies Corp. | | | 42,470 | |
| | 300 | | | Middleby Corp. (The) (a) | | | 40,498 | |
| | 858 | | | Oshkosh Corp. | | | 78,002 | |
| | 211 | | | Parker-Hannifin Corp. | | | 42,052 | |
| | 625 | | | Stanley Black & Decker, Inc. | | | 106,039 | |
| | 599 | | | WABCO Holdings, Inc. (a) | | | 85,913 | |
| | | | | | | | |
| | | | | | | 394,974 | |
| | | | | | | | |
| | | | Road & Rail — 1.1% | |
| | 692 | | | Old Dominion Freight Line, Inc. | | | 91,039 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,068,704 | |
| | | | | | | | |
| | | | Information Technology — 42.5% | |
| | | | Communications Equipment — 1.3% | |
| | 266 | | | Arista Networks, Inc. (a) | | | 62,771 | |
| | 297 | | | Palo Alto Networks, Inc. (a) | | | 43,076 | |
| | | | | | | | |
| | | | | | | 105,847 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 1.8% | |
| | 803 | | | Amphenol Corp., Class A | | | 70,486 | |
| | 2,254 | | | Corning, Inc. | | | 72,093 | |
| | | | | | | | |
| | | | | | | 142,579 | |
| | | | | | | | |
| | | | Internet Software & Services — 10.8% | |
| | 483 | | | Alphabet, Inc., Class C (a) | | | 505,730 | |
| | 1,585 | | | Facebook, Inc., Class A (a) | | | 279,672 | |
| | 1,583 | | | GoDaddy, Inc., Class A (a) | | | 79,613 | |
| | | | | | | | |
| | | | | | | 865,015 | |
| | | | | | | | |
| | | | IT Services — 8.0% | |
| | 1,091 | | | Global Payments, Inc. | | | 109,382 | |
| | 1,020 | | | Mastercard, Inc., Class A | | | 154,372 | |
| | 1,298 | | | PayPal Holdings, Inc. (a) | | | 95,581 | |
| | 878 | | | Square, Inc., Class A (a) | | | 30,447 | |
| | 1,223 | | | Vantiv, Inc., Class A (a) | | | 89,974 | |
| | 1,400 | | | Visa, Inc., Class A | | | 159,582 | |
| | | | | | | | |
| | | | | | | 639,338 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 5.7% | |
| | 1,444 | | | Applied Materials, Inc. | | | 73,802 | |
| | 508 | | | Broadcom Ltd. | | | 130,377 | |
| | 996 | | | Cavium, Inc. (a) | | | 83,520 | |
| | 310 | | | Lam Research Corp. | | | 57,080 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Semiconductors & Semiconductor Equipment — continued | |
| | 599 | | | NVIDIA Corp. | | | 115,906 | |
| | | | | | | | |
| | | | | | | 460,685 | |
| | | | | | | | |
| | | | Software — 9.5% | |
| | 528 | | | Adobe Systems, Inc. (a) | | | 92,579 | |
| | 1,096 | | | Electronic Arts, Inc. (a) | | | 115,135 | |
| | 589 | | | Guidewire Software, Inc. (a) | | | 43,717 | |
| | 1,680 | | | Microsoft Corp. | | | 143,733 | |
| | 428 | | | Red Hat, Inc. (a) | | | 51,343 | |
| | 978 | | | salesforce.com, Inc. (a) | | | 99,971 | |
| | 589 | | | ServiceNow, Inc. (a) | | | 76,787 | |
| | 1,055 | | | Splunk, Inc. (a) | | | 87,388 | |
| | 514 | | | Take-Two Interactive Software, Inc. (a) | | | 56,399 | |
| | | | | | | | |
| | | | | | | 767,052 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 5.4% | |
| | 2,560 | | | Apple, Inc. | | | 433,203 | |
| | | | | | | | |
| | | | Total Information Technology | | | 3,413,719 | |
| | | | | | | | |
| | | | Materials — 1.4% | |
| | | | Construction Materials — 1.4% | |
| | 982 | | | Eagle Materials, Inc. | | | 111,204 | |
| | | | | | | | |
| | | | Real Estate — 0.9% | |
| | | | Real Estate Management & Development — 0.9% | |
| | 1,709 | | | CBRE Group, Inc., Class A (a) | | | 74,017 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $4,517,978) | | | 7,671,062 | |
| | | | | | | | |
| | Short-Term Investment — 4.6% | |
| | | | Investment Company — 4.6% | |
| | 365,445 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $365,445) | | | 365,445 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $4,883,423) | | | 8,036,507 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (7,769 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 8,028,738 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 17 | |
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 96.4% | |
| | | | Consumer Discretionary — 16.8% | |
| | | | Auto Components — 0.4% | |
| | 253 | | | BorgWarner, Inc. | | | 12,925 | |
| | | | | | | | |
| | | | Automobiles — 0.7% | |
| | 19 | | | Tesla, Inc. (a) | | | 5,916 | |
| | 101 | | | Thor Industries, Inc. | | | 15,207 | |
| | | | | | | | |
| | | | | | | 21,123 | |
| | | | | | | | |
| | | | Distributors — 1.2% | |
| | 129 | | | Genuine Parts Co. | | | 12,230 | |
| | 545 | | | LKQ Corp. (a) | | | 22,145 | |
| | | | | | | | |
| | | | | | | 34,375 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.4% | |
| | 121 | | | Bright Horizons Family Solutions, Inc. (a) | | | 11,365 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 3.2% | |
| | 254 | | | Hilton Grand Vacations, Inc. (a) | | | 10,660 | |
| | 530 | | | Hilton Worldwide Holdings, Inc. | | | 42,300 | |
| | 51 | | | Marriott International, Inc., Class A | | | 6,941 | |
| | 190 | | | Norwegian Cruise Line Holdings Ltd. (a) | | | 10,138 | |
| | 457 | | | Red Rock Resorts, Inc., Class A | | | 15,429 | |
| | 57 | | | Vail Resorts, Inc. | | | 12,196 | |
| | | | | | | | |
| | | | | | | 97,664 | |
| | | | | | | | |
| | | | Household Durables — 2.6% | |
| | 238 | | | Mohawk Industries, Inc. (a) | | | 65,577 | |
| | 401 | | | Newell Brands, Inc. | | | 12,383 | |
| | | | | | | | |
| | | | | | | 77,960 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.9% | |
| | 149 | | | Expedia, Inc. | | | 17,856 | |
| | 130 | | | Wayfair, Inc., Class A (a) | | | 10,419 | |
| | | | | | | | |
| | | | | | | 28,275 | |
| | | | | | | | |
| | | | Media — 0.7% | |
| | 174 | | | CBS Corp. (Non-Voting), Class B | | | 10,252 | |
| | 248 | | | DISH Network Corp., Class A (a) | | | 11,837 | |
| | | | | | | | |
| | | | | | | 22,089 | |
| | | | | | | | |
| | | | Multiline Retail — 0.8% | |
| | 295 | | | Kohl's Corp. | | | 15,998 | |
| | 185 | | | Nordstrom, Inc. | | | 8,758 | |
| | | | | | | | |
| | | | | | | 24,756 | |
| | | | | | | | |
| | | | Specialty Retail — 3.6% | |
| | 24 | | | AutoZone, Inc. (a) | | | 16,761 | |
| | 216 | | | Best Buy Co., Inc. | | | 14,813 | |
| | 412 | | | Gap, Inc. (The) | | | 14,038 | |
| | 66 | | | O'Reilly Automotive, Inc. (a) | | | 15,852 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Specialty Retail — continued | |
| | 331 | | | Ross Stores, Inc. | | | 26,595 | |
| | 109 | | | Tiffany & Co. | | | 11,378 | |
| | 38 | | | Ulta Beauty, Inc. (a) | | | 8,454 | |
| | | | | | | | |
| | | | | | | 107,891 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 2.3% | |
| | 660 | | | Gildan Activewear, Inc., (Canada) | | | 21,304 | |
| | 140 | | | Lululemon Athletica, Inc. (a) | | | 10,987 | |
| | 126 | | | PVH Corp. | | | 17,315 | |
| | 98 | | | Ralph Lauren Corp. | | | 10,130 | |
| | 215 | | | Tapestry, Inc. | | | 9,509 | |
| | | | | | | | |
| | | | | | | 69,245 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 507,668 | |
| | | | | | | | |
| | | | Consumer Staples — 3.8% | |
| | | | Beverages — 1.7% | |
| | 69 | | | Constellation Brands, Inc., Class A | | | 15,685 | |
| | 193 | | | Dr Pepper Snapple Group, Inc. | | | 18,738 | |
| | 83 | | | Molson Coors Brewing Co., Class B | | | 6,830 | |
| | 156 | | | Monster Beverage Corp. (a) | | | 9,848 | |
| | | | | | | | |
| | | | | | | 51,101 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 0.8% | |
| | 72 | | | Casey's General Stores, Inc. | | | 8,004 | |
| | 544 | | | Kroger Co. (The) | | | 14,944 | |
| | | | | | | | |
| | | | | | | 22,948 | |
| | | | | | | | |
| | | | Food Products — 0.3% | |
| | 68 | | | Pinnacle Foods, Inc. | | | 4,030 | |
| | 48 | | | Post Holdings, Inc. (a) | | | 3,786 | |
| | | | | | | | |
| | | | | | | 7,816 | |
| | | | | | | | |
| | | | Household Products — 0.2% | |
| | 125 | | | Energizer Holdings, Inc. | | | 6,013 | |
| | | | | | | | |
| | | | Personal Products — 0.8% | |
| | 648 | | | Coty, Inc., Class A | | | 12,892 | |
| | 210 | | | Edgewell Personal Care Co. (a) | | | 12,474 | |
| | | | | | | | |
| | | | | | | 25,366 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 113,244 | |
| | | | | | | | |
| | | | Energy — 4.2% | |
| | | | Oil, Gas & Consumable Fuels — 4.2% | |
| | 200 | | | Concho Resources, Inc. (a) | | | 30,014 | |
| | 533 | | | Energen Corp. (a) | | | 30,695 | |
| | 493 | | | EQT Corp. | | | 28,064 | |
| | 271 | | | PBF Energy, Inc., Class A | | | 9,618 | |
| | 302 | | | Range Resources Corp. | | | 5,147 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Oil, Gas & Consumable Fuels — continued | |
| | 778 | | | Williams Cos., Inc. (The) | | | 23,735 | |
| | | | | | | | |
| | | | Total Energy | | | 127,273 | |
| | | | | | | | |
| | | | Financials — 16.5% | |
| | | | Banks — 5.3% | |
| | 420 | | | Citizens Financial Group, Inc. | | | 17,644 | |
| | 179 | | | Comerica, Inc. | | | 15,548 | |
| | 262 | | | East West Bancorp, Inc. | | | 15,913 | |
| | 729 | | | Fifth Third Bancorp | | | 22,124 | |
| | 270 | | | First Republic Bank | | | 23,433 | |
| | 803 | | | Huntington Bancshares, Inc. | | | 11,692 | |
| | 146 | | | M&T Bank Corp. | | | 24,959 | |
| | 342 | | | SunTrust Banks, Inc. | | | 22,086 | |
| | 127 | | | Zions Bancorp | | | 6,447 | |
| | | | | | | | |
| | | | | | | 159,846 | |
| | | | | | | | |
| | | | Capital Markets — 6.0% | |
| | 63 | | | Affiliated Managers Group, Inc. | | | 12,972 | |
| | 205 | | | Ameriprise Financial, Inc. | | | 34,741 | |
| | 432 | | | Invesco Ltd. | | | 15,793 | |
| | 203 | | | Nasdaq, Inc. | | | 15,612 | |
| | 173 | | | Northern Trust Corp. | | | 17,317 | |
| | 165 | | | Raymond James Financial, Inc. | | | 14,726 | |
| | 166 | | | S&P Global, Inc. | | | 28,154 | |
| | 215 | | | T Rowe Price Group, Inc. | | | 22,577 | |
| | 409 | | | TD Ameritrade Holding Corp. | | | 20,927 | |
| | | | | | | | |
| | | | | | | 182,819 | |
| | | | | | | | |
| | | | Consumer Finance — 0.5% | |
| | 501 | | | Ally Financial, Inc. | | | 14,608 | |
| | | | | | | | |
| | | | Insurance — 4.7% | |
| | 13 | | | Alleghany Corp. (a) | | | 8,044 | |
| | 49 | | | Chubb Ltd. | | | 7,137 | |
| | 352 | | | Hartford Financial Services Group, Inc. (The) | | | 19,829 | |
| | 532 | | | Loews Corp. | | | 26,619 | |
| | 184 | | | Marsh & McLennan Cos., Inc. | | | 14,940 | |
| | 555 | | | Progressive Corp. (The) | | | 31,237 | |
| | 237 | | | Unum Group | | | 13,029 | |
| | 94 | | | WR Berkley Corp. | | | 6,746 | |
| | 425 | | | XL Group Ltd., (Bermuda) | | | 14,945 | |
| | | | | | | | |
| | | | | | | 142,526 | |
| | | | | | | | |
| | | | Total Financials | | | 499,799 | |
| | | | | | | | |
| | | | Health Care — 9.0% | |
| | | | Biotechnology — 2.0% | |
| | 196 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 5,902 | |
| | 100 | | | BioMarin Pharmaceutical, Inc. (a) | | | 8,872 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Biotechnology — continued | |
| | 84 | | | Bioverativ, Inc. (a) | | | 4,535 | |
| | 346 | | | Exelixis, Inc. (a) | | | 10,512 | |
| | 79 | | | Incyte Corp. (a) | | | 7,473 | |
| | 132 | | | Intercept Pharmaceuticals, Inc. (a) | | | 7,729 | |
| | 89 | | | Spark Therapeutics, Inc. (a) | | | 4,566 | |
| | 70 | | | Vertex Pharmaceuticals, Inc. (a) | | | 10,430 | |
| | | | | | | | |
| | | | | | | 60,019 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.4% | |
| | 189 | | | DENTSPLY SIRONA, Inc. | | | 12,431 | |
| | 149 | | | DexCom, Inc. (a) | | | 8,562 | |
| | 77 | | | Edwards Lifesciences Corp. (a) | | | 8,707 | |
| | 90 | | | Zimmer Biomet Holdings, Inc. | | | 10,818 | |
| | | | | | | | |
| | | | | | | 40,518 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 4.0% | |
| | 370 | | | Acadia Healthcare Co., Inc. (a) | | | 12,060 | |
| | 163 | | | AmerisourceBergen Corp. | | | 14,977 | |
| | 127 | | | Centene Corp. (a) | | | 12,823 | |
| | 89 | | | Cigna Corp. | | | 18,120 | |
| | 118 | | | Henry Schein, Inc. (a) | | | 8,222 | |
| | 55 | | | Humana, Inc. | | | 13,532 | |
| | 78 | | | Laboratory Corp. of America Holdings (a) | | | 12,485 | |
| | 407 | | | Premier, Inc., Class A (a) | | | 11,877 | |
| | 149 | | | Teladoc, Inc. (a) | | | 5,207 | |
| | 114 | | | Universal Health Services, Inc., Class B | | | 12,905 | |
| | | | | | | | |
| | | | | | | 122,208 | |
| | | | | | | | |
| | | | Health Care Technology — 0.3% | |
| | 180 | | | Veeva Systems, Inc., Class A (a) | | | 9,928 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.9% | |
| | 119 | | | Illumina, Inc. (a) | | | 26,105 | |
| | | | | | | | |
| | | | Pharmaceuticals — 0.4% | |
| | 94 | | | Jazz Pharmaceuticals plc (a) | | | 12,671 | |
| | | | | | | | |
| | | | Total Health Care | | | 271,449 | |
| | | | | | | | |
| | | | Industrials — 13.3% | |
| | | | Aerospace & Defense — 0.4% | |
| | 154 | | | HEICO Corp., Class A | | | 12,191 | |
| | | | | | | | |
| | | | Airlines — 0.4% | |
| | 193 | | | Southwest Airlines Co. | | | 12,632 | |
| | | | | | | | |
| | | | Building Products — 1.9% | |
| | 472 | | | Fortune Brands Home & Security, Inc. | | | 32,277 | |
| | 113 | | | Lennox International, Inc. | | | 23,521 | |
| | | | | | | | |
| | | | | | | 55,798 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 19 | |
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Commercial Services & Supplies — 2.0% | |
| | 431 | | | Copart, Inc. (a) | | | 18,623 | |
| | 604 | | | Waste Connections, Inc., (Canada) | | | 42,869 | |
| | | | | | | | |
| | | | | | | 61,492 | |
| | | | | | | | |
| | | | Electrical Equipment — 1.4% | |
| | 65 | | | Acuity Brands, Inc. | | | 11,389 | |
| | 188 | | | AMETEK, Inc. | | | 13,630 | |
| | 106 | | | Hubbell, Inc. | | | 14,316 | |
| | 30 | | | Regal Beloit Corp. | | | 2,274 | |
| | | | | | | | |
| | | | | | | 41,609 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 0.5% | |
| | 135 | | | Carlisle Cos., Inc. | | | 15,293 | |
| | | | | | | | |
| | | | Machinery — 5.5% | |
| | 94 | | | AGCO Corp. | | | 6,729 | |
| | 302 | | | Fortive Corp. | | | 21,857 | |
| | 114 | | | IDEX Corp. | | | 15,097 | |
| | 81 | | | Middleby Corp. (The) (a) | | | 10,944 | |
| | 108 | | | Nordson Corp. | | | 15,797 | |
| | 165 | | | Oshkosh Corp. | | | 15,015 | |
| | 90 | | | Parker-Hannifin Corp. | | | 18,022 | |
| | 118 | | | Snap-on, Inc. | | | 20,489 | |
| | 124 | | | Stanley Black & Decker, Inc. | | | 21,092 | |
| | 154 | | | WABCO Holdings, Inc. (a) | | | 22,128 | |
| | | | | | | | |
| | | | | | | 167,170 | |
| | | | | | | | |
| | | | Road & Rail — 0.7% | |
| | 158 | | | Old Dominion Freight Line, Inc. | | | 20,759 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.5% | |
| | 160 | | | MSC Industrial Direct Co., Inc., Class A | | | 15,470 | |
| | | | | | | | |
| | | | Total Industrials | | | 402,414 | |
| | | | | | | | |
| | | | Information Technology — 19.4% | |
| | | | Communications Equipment — 1.6% | |
| | 71 | | | Arista Networks, Inc. (a) | | | 16,818 | |
| | 442 | | | CommScope Holding Co., Inc. (a) | | | 16,709 | |
| | 105 | | | Palo Alto Networks, Inc. (a) | | | 15,228 | |
| | | | | | | | |
| | | | | | | 48,755 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 4.0% | |
| | 460 | | | Amphenol Corp., Class A | | | 40,369 | |
| | 220 | | | Arrow Electronics, Inc. (a) | | | 17,719 | |
| | 276 | | | CDW Corp. | | | 19,176 | |
| | 441 | | | Corning, Inc. | | | 14,117 | |
| | 68 | | | IPG Photonics Corp. (a) | | | 14,625 | |
| | 383 | | | Keysight Technologies, Inc. (a) | | | 15,949 | |
| | | | | | | | |
| | | | | | | 121,955 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Internet Software & Services — 1.0% | |
| | 337 | | | GoDaddy, Inc., Class A (a) | | | 16,964 | |
| | 105 | | | GrubHub, Inc. (a) | | | 7,525 | |
| | 228 | | | Match Group, Inc. (a) | | | 7,143 | |
| | | | | | | | |
| | | | | | | 31,632 | |
| | | | | | | | |
| | | | IT Services — 3.5% | |
| | 185 | | | DXC Technology Co. | | | 17,594 | |
| | 134 | | | Gartner, Inc. (a) | | | 16,478 | |
| | 279 | | | Global Payments, Inc. | | | 27,967 | |
| | 116 | | | Jack Henry & Associates, Inc. | | | 13,552 | |
| | 226 | | | Square, Inc., Class A (a) | | | 7,822 | |
| | 295 | | | Vantiv, Inc., Class A (a) | | | 21,697 | |
| | | | | | | | |
| | | | | | | 105,110 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.4% | |
| | 840 | | | Advanced Micro Devices, Inc. (a) | | | 8,638 | |
| | 126 | | | Analog Devices, Inc. | | | 11,251 | |
| | 150 | | | Applied Materials, Inc. | | | 7,683 | |
| | 40 | | | Broadcom Ltd. | | | 10,199 | |
| | 240 | | | Cavium, Inc. (a) | | | 20,086 | |
| | 108 | | | Lam Research Corp. | | | 19,861 | |
| | 52 | | | NVIDIA Corp. | | | 10,062 | |
| | 335 | | | Teradyne, Inc. | | | 14,010 | |
| | | | | | | | |
| | | | | | �� | 101,790 | |
| | | | | | | | |
| | | | Software — 5.9% | |
| | 171 | | | Atlassian Corp. plc, (Australia), Class A (a) | | | 7,766 | |
| | 121 | | | Autodesk, Inc. (a) | | | 12,632 | |
| | 169 | | | Electronic Arts, Inc. (a) | | | 17,787 | |
| | 134 | | | Guidewire Software, Inc. (a) | | | 9,958 | |
| | 109 | | | Paycom Software, Inc. (a) | | | 8,748 | |
| | 102 | | | Proofpoint, Inc. (a) | | | 9,023 | |
| | 168 | | | Red Hat, Inc. (a) | | | 20,189 | |
| | 162 | | | ServiceNow, Inc. (a) | | | 21,162 | |
| | 244 | | | Splunk, Inc. (a) | | | 20,205 | |
| | 149 | | | Synopsys, Inc. (a) | | | 12,717 | |
| | 138 | | | Take-Two Interactive Software, Inc. (a) | | | 15,183 | |
| | 54 | | | Tyler Technologies, Inc. (a) | | | 9,578 | |
| | 123 | | | Workday, Inc., Class A (a) | | | 12,555 | |
| | | | | | | | |
| | | | | | | 177,503 | |
| | | | | | | | |
| | | | Total Information Technology | | | 586,745 | |
| | | | | | | | |
| | | | Materials — 3.6% | |
| | | | Chemicals — 0.4% | |
| | 30 | | | Sherwin-Williams Co. (The) | | | 12,471 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Construction Materials — 1.4% | |
| | 202 | | | Eagle Materials, Inc. | | | 22,909 | |
| | 156 | | | Vulcan Materials Co. | | | 19,962 | |
| | | | | | | | |
| | | | | | | 42,871 | |
| | | | | | | | |
| | | | Containers & Packaging — 1.8% | |
| | 547 | | | Ball Corp. | | | 20,692 | |
| | 462 | | | Silgan Holdings, Inc. | | | 13,572 | |
| | 326 | | | WestRock Co. | | | 20,612 | |
| | | | | | | | |
| | | | | | | 54,876 | |
| | | | | | | | |
| | | | Total Materials | | | 110,218 | |
| | | | | | | | |
| | | | Real Estate — 5.7% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 4.4% | |
| | 149 | | | American Campus Communities, Inc. | | | 6,105 | |
| | 239 | | | American Homes 4 Rent, Class A | | | 5,217 | |
| | 75 | | | AvalonBay Communities, Inc. | | | 13,429 | |
| | 501 | | | Brixmor Property Group, Inc. | | | 9,341 | |
| | 28 | | | Essex Property Trust, Inc. | | | 6,874 | |
| | 73 | | | Federal Realty Investment Trust | | | 9,675 | |
| | 208 | | | GGP, Inc. | | | 4,859 | |
| | 114 | | | HCP, Inc. | | | 2,974 | |
| | 94 | | | JBG SMITH Properties | | | 3,279 | |
| | 492 | | | Kimco Realty Corp. | | | 8,935 | |
| | 407 | | | Outfront Media, Inc. | | | 9,433 | |
| | 249 | | | Park Hotels & Resorts, Inc. | | | 7,171 | |
| | 320 | | | Rayonier, Inc. | | | 10,114 | |
| | 103 | | | Regency Centers Corp. | | | 7,159 | |
| | 167 | | | Vornado Realty Trust | | | 13,065 | |
| | 286 | | | Weyerhaeuser Co. | | | 10,098 | |
| | 76 | | | WP Carey, Inc. | | | 5,265 | |
| | | | | | | | |
| | | | | | | 132,993 | |
| | | | | | | | |
| | | | Office — 0.4% | |
| | 98 | | | Boston Properties, Inc. | | | 12,804 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.9% | |
| | 636 | | | CBRE Group, Inc., Class A (a) | | | 27,539 | |
| | | | | | | | |
| | | | Total Real Estate | | | 173,336 | |
| | | | | | | | |
| | | | Utilities — 4.1% | |
| | | | Electric Utilities — 1.4% | |
| | 225 | | | Edison International | | | 14,212 | |
| | 88 | | | Westar Energy, Inc. | | | 4,629 | |
| | 495 | | | Xcel Energy, Inc. | | | 23,825 | |
| | | | | | | | |
| | | | | | | 42,666 | |
| | | | | | | | |
| | | | Gas Utilities — 0.5% | |
| | 251 | | | National Fuel Gas Co. | | | 13,802 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Multi-Utilities — 2.2% | |
| | 150 | | | CenterPoint Energy, Inc. | | | 4,263 | |
| | 493 | | | CMS Energy Corp. | | | 23,320 | |
| | 164 | | | Sempra Energy | | | 17,545 | |
| | 345 | | | WEC Energy Group, Inc. | | | 22,945 | |
| | | | | | | | |
| | | | | | | 68,073 | |
| | | | | | | | |
| | | | Total Utilities | | | 124,541 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,950,395) | | | 2,916,687 | |
| | | | | | | | |
| | Master Limited Partnership — 0.4% | |
| | | | Financials — 0.4% | | | | |
| | | | Capital Markets — 0.4% | | | | |
| | 280 | | | Oaktree Capital Group LLC
(Cost $13,090) | | | 11,805 | |
| | | | | | | | |
| | Short-Term Investment — 3.3% | |
| | | | Investment Company — 3.3% | |
| | 100,898 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $100,898) | | | 100,898 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $2,064,383) | | | 3,029,390 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (3,815 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 3,025,575 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 21 | |
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — 94.9% | |
| | | | Consumer Discretionary — 17.3% | |
| | | | Automobiles — 1.4% | |
| | 44 | | | Tesla, Inc. (a) | | | 13,559 | |
| | 234 | | | Thor Industries, Inc. | | | 35,193 | |
| | | | | | | | |
| | | | | | | 48,752 | |
| | | | | | | | |
| | | | Distributors — 1.4% | |
| | 1,246 | | | LKQ Corp. (a) | | | 50,663 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.7% | |
| | 277 | | | Bright Horizons Family Solutions, Inc. (a) | | | 26,010 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 4.7% | |
| | 581 | | | Hilton Grand Vacations, Inc. (a) | | | 24,393 | |
| | 676 | | | Hilton Worldwide Holdings, Inc. | | | 53,981 | |
| | 436 | | | Norwegian Cruise Line Holdings Ltd. (a) | | | 23,209 | |
| | 1,047 | | | Red Rock Resorts, Inc., Class A | | | 35,309 | |
| | 131 | | | Vail Resorts, Inc. | | | 27,876 | |
| | | | | | | | |
| | | | | | | 164,768 | |
| | | | | | | | |
| | | | Household Durables — 2.3% | |
| | 291 | | | Mohawk Industries, Inc. (a) | | | 80,389 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.7% | |
| | 297 | | | Wayfair, Inc., Class A (a) | | | 23,842 | |
| | | | | | | | |
| | | | Specialty Retail — 3.3% | |
| | 152 | | | O'Reilly Automotive, Inc. (a) | | | 36,650 | |
| | 758 | | | Ross Stores, Inc. | | | 60,852 | |
| | 87 | | | Ulta Beauty, Inc. (a) | | | 19,540 | |
| | | | | | | | |
| | | | | | | 117,042 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 2.8% | |
| | 1,521 | | | Gildan Activewear, Inc., (Canada) | | | 49,121 | |
| | 323 | | | Lululemon Athletica, Inc. (a) | | | 25,400 | |
| | 492 | | | Tapestry, Inc. | | | 21,761 | |
| | | | | | | | |
| | | | | | | 96,282 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 607,748 | |
| | | | | | | | |
| | | | Consumer Staples — 1.2% | |
| | | | Beverages — 0.7% | |
| | 356 | | | Monster Beverage Corp. (a) | | | 22,549 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 0.5% | |
| | 164 | | | Casey's General Stores, Inc. | | | 18,313 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 40,862 | |
| | | | | | | | |
| | | | Energy — 2.3% | |
| | | | Oil, Gas & Consumable Fuels — 2.3% | |
| | 457 | | | Concho Resources, Inc. (a) | | | 68,684 | |
| | 691 | | | Range Resources Corp. | | | 11,791 | |
| | | | | | | | |
| | | | Total Energy | | | 80,475 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | Financials — 10.4% | |
| | | | Banks — 2.7% | |
| | 410 | | | Comerica, Inc. | | | 35,592 | |
| | 599 | | | East West Bancorp, Inc. | | | 36,409 | |
| | 282 | | | First Republic Bank | | | 24,398 | |
| | | | | | | | |
| | | | | | | 96,399 | |
| | | | | | | | |
| | | | Capital Markets — 6.4% | |
| | 145 | | | Affiliated Managers Group, Inc. | | | 29,702 | |
| | 274 | | | Ameriprise Financial, Inc. | | | 46,486 | |
| | 465 | | | Nasdaq, Inc. | | | 35,726 | |
| | 380 | | | S&P Global, Inc. | | | 64,394 | |
| | 937 | | | TD Ameritrade Holding Corp. | | | 47,900 | |
| | | | | | | | |
| | | | | | | 224,208 | |
| | | | | | | | |
| | | | Insurance — 1.3% | |
| | 793 | | | Progressive Corp. (The) | | | 44,656 | |
| | | | | | | | |
| | | | Total Financials | | | 365,263 | |
| | | | | | | | |
| | | | Health Care — 11.8% | |
| | | | Biotechnology — 3.9% | |
| | 449 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 13,514 | |
| | 228 | | | BioMarin Pharmaceutical, Inc. (a) | | | 20,313 | |
| | 193 | | | Bioverativ, Inc. (a) | | | 10,412 | |
| | 792 | | | Exelixis, Inc. (a) | | | 24,068 | |
| | 181 | | | Incyte Corp. (a) | | | 17,114 | |
| | 303 | | | Intercept Pharmaceuticals, Inc. (a) | | | 17,694 | |
| | 205 | | | Spark Therapeutics, Inc. (a) | | | 10,546 | |
| | 159 | | | Vertex Pharmaceuticals, Inc. (a) | | | 23,886 | |
| | | | | | | | |
| | | | | | | 137,547 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.9% | |
| | 432 | | | DENTSPLY SIRONA, Inc. | | | 28,439 | |
| | 342 | | | DexCom, Inc. (a) | | | 19,610 | |
| | 177 | | | Edwards Lifesciences Corp. (a) | | | 19,938 | |
| | | | | | | | |
| | | | | | | 67,987 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.8% | |
| | 846 | | | Acadia Healthcare Co., Inc. (a) | | | 27,593 | |
| | 291 | | | Centene Corp. (a) | | | 29,346 | |
| | 931 | | | Premier, Inc., Class A (a) | | | 27,181 | |
| | 344 | | | Teladoc, Inc. (a) | | | 11,978 | |
| | | | | | | | |
| | | | | | | 96,098 | |
| | | | | | | | |
| | | | Health Care Technology — 0.7% | |
| | 411 | | | Veeva Systems, Inc., Class A (a) | | | 22,723 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 1.7% | |
| | 274 | | | Illumina, Inc. (a) | | | 59,796 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Pharmaceuticals — 0.8% | |
| | 215 | | | Jazz Pharmaceuticals plc (a) | | | 28,986 | |
| | | | | | | | |
| | | | Total Health Care | | | 413,137 | |
| | | | | | | | |
| | | | Industrials — 18.3% | |
| | | | Aerospace & Defense — 0.8% | |
| | 353 | | | HEICO Corp., Class A | | | 27,909 | |
| | | | | | | | |
| | | | Airlines — 0.8% | |
| | 438 | | | Southwest Airlines Co. | | | 28,667 | |
| | | | | | | | |
| | | | Building Products — 2.7% | |
| | 577 | | | Fortune Brands Home & Security, Inc. | | | 39,469 | |
| | 258 | | | Lennox International, Inc. | | | 53,821 | |
| | | | | | | | |
| | | | | | | 93,290 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 4.0% | |
| | 987 | | | Copart, Inc. (a) | | | 42,611 | |
| | 1,382 | | | Waste Connections, Inc., (Canada) | | | 98,060 | |
| | | | | | | | |
| | | | | | | 140,671 | |
| | | | | | | | |
| | | | Machinery — 8.6% | |
| | 217 | | | AGCO Corp. | | | 15,472 | |
| | 695 | | | Fortive Corp. | | | 50,283 | |
| | 187 | | | Middleby Corp. (The) (a) | | | 25,269 | |
| | 247 | | | Nordson Corp. | | | 36,175 | |
| | 379 | | | Oshkosh Corp. | | | 34,466 | |
| | 207 | | | Parker-Hannifin Corp. | | | 41,328 | |
| | 284 | | | Stanley Black & Decker, Inc. | | | 48,260 | |
| | 353 | | | WABCO Holdings, Inc. (a) | | | 50,613 | |
| | | | | | | | |
| | | | | | | 301,866 | |
| | | | | | | | |
| | | | Road & Rail — 1.4% | |
| | 361 | | | Old Dominion Freight Line, Inc. | | | 47,503 | |
| | | | | | | | |
| | | | Total Industrials | | | 639,906 | |
| | | | | | | | |
| | | | Information Technology — 29.7% | |
| | | �� | Communications Equipment — 2.1% | |
| | 165 | | | Arista Networks, Inc. (a) | | | 38,757 | |
| | 240 | | | Palo Alto Networks, Inc. (a) | | | 34,846 | |
| | | | | | | | |
| | | | | | | 73,603 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 3.3% | |
| | 577 | | | Amphenol Corp., Class A | | | 50,690 | |
| | 1,010 | | | Corning, Inc. | | | 32,300 | |
| | 156 | | | IPG Photonics Corp. (a) | | | 33,469 | |
| | | | | | | | |
| | | | | | | 116,459 | |
| | | | | | | | |
| | | | Internet Software & Services — 1.6% | |
| | 772 | | | GoDaddy, Inc., Class A (a) | | | 38,816 | |
| | 240 | | | GrubHub, Inc. (a) | | | 17,232 | |
| | | | | | | | |
| | | | | | | 56,048 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | |
| | | | IT Services — 6.0% | |
| | 428 | | | DXC Technology Co. | | | 40,627 | |
| | 305 | | | Gartner, Inc. (a) | | | 37,534 | |
| | 638 | | | Global Payments, Inc. | | | 63,983 | |
| | 516 | | | Square, Inc., Class A (a) | | | 17,893 | |
| | 675 | | | Vantiv, Inc., Class A (a) | | | 49,642 | |
| | | | | | | | |
| | | | | | | 209,679 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 5.9% | |
| | 1,923 | | | Advanced Micro Devices, Inc. (a) | | | 19,769 | |
| | 347 | | | Applied Materials, Inc. | | | 17,749 | |
| | 91 | | | Broadcom Ltd. | | | 23,335 | |
| | 548 | | | Cavium, Inc. (a) | | | 45,955 | |
| | 249 | | | Lam Research Corp. | | | 45,887 | |
| | 120 | | | NVIDIA Corp. | | | 23,220 | |
| | 773 | | | Teradyne, Inc. | | | 32,349 | |
| | | | | | | | |
| | | | | | | 208,264 | |
| | | | | | | | |
| | | | Software — 10.8% | |
| | 391 | | | Atlassian Corp. plc, (Australia), Class A (a) | | | 17,776 | |
| | 276 | | | Autodesk, Inc. (a) | | | 28,975 | |
| | 391 | | | Electronic Arts, Inc. (a) | | | 41,079 | |
| | 307 | | | Guidewire Software, Inc. (a) | | | 22,800 | |
| | 249 | | | Paycom Software, Inc. (a) | | | 20,034 | |
| | 233 | | | Proofpoint, Inc. (a) | | | 20,657 | |
| | 385 | | | Red Hat, Inc. (a) | | | 46,202 | |
| | 371 | | | ServiceNow, Inc. (a) | | | 48,397 | |
| | 562 | | | Splunk, Inc. (a) | | | 46,584 | |
| | 317 | | | Take-Two Interactive Software, Inc. (a) | | | 34,756 | |
| | 124 | | | Tyler Technologies, Inc. (a) | | | 21,937 | |
| | 282 | | | Workday, Inc., Class A (a) | | | 28,733 | |
| | | | | | | | |
| | | | | | | 377,930 | |
| | | | | | | | |
| | | | Total Information Technology | | | 1,041,983 | |
| | | | | | | | |
| | | | Materials — 2.8% | |
| | | | Construction Materials — 2.8% | |
| | 463 | | | Eagle Materials, Inc. | | | 52,404 | |
| | 359 | | | Vulcan Materials Co. | | | 46,080 | |
| | | | | | | | |
| | | | Total Materials | | | 98,484 | |
| | | | | | | | |
| | | | Real Estate — 1.1% | |
| | | | Real Estate Management & Development — 1.1% | |
| | 868 | | | CBRE Group, Inc., Class A (a) | | | 37,586 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $2,415,081) | | | 3,325,444 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 23 | |
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | Master Limited Partnership — 0.8% | |
| | | | Financials — 0.8% | |
| | | | Capital Markets — 0.8% | |
| | 642 | | | Oaktree Capital Group LLC
(Cost $30,388) | | | 27,011 | |
| | | | | | | | |
| | Short-Term Investment — 4.5% | |
| | | | Investment Company — 4.5% | |
| | 156,459 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $156,459) | | | 156,459 | |
| | | | | | | | |
| | | | Total Investments — 100.2%
(Cost $2,601,928) | | | 3,508,914 | |
| | | | Liabilities in Excess of
Other Assets — (0.2)% | | | (7,256 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 3,501,658 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 96.5% | |
| | | | Consumer Discretionary — 15.9% | |
| | | | Auto Components — 0.8% | |
| | 3,213 | | | BorgWarner, Inc. | | | 164,146 | |
| | | | | | | | |
| | | | Distributors — 0.8% | |
| | 1,628 | | | Genuine Parts Co. | | | 154,719 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.7% | |
| | 2,963 | | | Hilton Worldwide Holdings, Inc. | | | 236,616 | |
| | 646 | | | Marriott International, Inc., Class A | | | 87,671 | |
| | | | | | | | |
| | | | | | | 324,287 | |
| | | | | | | | |
| | | | Household Durables — 2.8% | |
| | 1,396 | | | Mohawk Industries, Inc. (a) | | | 385,096 | |
| | 5,070 | | | Newell Brands, Inc. | | | 156,652 | |
| | | | | | | | |
| | | | | | | 541,748 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 1.2% | |
| | 1,896 | | | Expedia, Inc. | | | 227,086 | |
| | | | | | | | |
| | | | Media — 1.5% | |
| | 2,198 | | | CBS Corp. (Non-Voting), Class B | | | 129,706 | |
| | 3,136 | | | DISH Network Corp., Class A (a) | | | 149,721 | |
| | | | | | | | |
| | | | | | | 279,427 | |
| | | | | | | | |
| | | | Multiline Retail — 1.6% | |
| | 3,727 | | | Kohl's Corp. | | | 202,122 | |
| | 2,331 | | | Nordstrom, Inc. | | | 110,455 | |
| | | | | | | | |
| | | | | | | 312,577 | |
| | | | | | | | |
| | | | Specialty Retail — 3.8% | |
| | 300 | | | AutoZone, Inc. (a) | | | 213,136 | |
| | 2,733 | | | Best Buy Co., Inc. | | | 187,147 | |
| | 5,188 | | | Gap, Inc. (The) | | | 176,700 | |
| | 1,383 | | | Tiffany & Co. | | | 143,712 | |
| | | | | | | | |
| | | | | | | 720,695 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.7% | |
| | 1,598 | | | PVH Corp. | | | 219,261 | |
| | 1,012 | | | Ralph Lauren Corp. | | | 104,916 | |
| | | | | | | | |
| | | | | | | 324,177 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 3,048,862 | |
| | | | | | | | |
| | | | Consumer Staples — 6.2% | |
| | | | Beverages — 2.8% | |
| | 877 | | | Constellation Brands, Inc., Class A | | | 200,474 | |
| | 2,439 | | | Dr Pepper Snapple Group, Inc. | | | 236,750 | |
| | 1,048 | | | Molson Coors Brewing Co., Class B | | | 85,997 | |
| | | | | | | | |
| | | | | | | 523,221 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.0% | |
| | 6,979 | | | Kroger Co. (The) | | | 191,571 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Food Products — 0.5% | |
| | 853 | | | Pinnacle Foods, Inc. | | | 50,729 | |
| | 603 | | | Post Holdings, Inc. (a) | | | 47,760 | |
| | | | | | | | |
| | | | | | | 98,489 | |
| | | | | | | | |
| | | | Household Products — 0.4% | |
| | 1,584 | | | Energizer Holdings, Inc. | | | 76,022 | |
| | | | | | | | |
| | | | Personal Products — 1.5% | |
| | 7,205 | | | Coty, Inc., Class A | | | 143,307 | |
| | 2,450 | | | Edgewell Personal Care Co. (a) | | | 145,532 | |
| | | | | | | | |
| | | | | | | 288,839 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 1,178,142 | |
| | | | | | | | |
| | | | Energy — 6.1% | |
| | | | Oil, Gas & Consumable Fuels — 6.1% | |
| | 6,746 | | | Energen Corp. (a) | | | 388,342 | |
| | 6,206 | | | EQT Corp. | | | 353,238 | |
| | 3,434 | | | PBF Energy, Inc., Class A | | | 121,746 | |
| | 9,798 | | | Williams Cos., Inc. (The) | | | 298,735 | |
| | | | | | | | |
| | | | Total Energy | | | 1,162,061 | |
| | | | | | | | |
| | | | Financials — 22.9% | |
| | | | Banks — 7.8% | |
| | 5,305 | | | Citizens Financial Group, Inc. | | | 222,723 | |
| | 9,225 | | | Fifth Third Bancorp | | | 279,885 | |
| | 1,869 | | | First Republic Bank | | | 161,908 | |
| | 10,157 | | | Huntington Bancshares, Inc. | | | 147,882 | |
| | 1,905 | | | M&T Bank Corp. | | | 325,701 | |
| | 4,326 | | | SunTrust Banks, Inc. | | | 279,412 | |
| | 1,614 | | | Zions Bancorp | | | 82,037 | |
| | | | | | | | |
| | | | | | | 1,499,548 | |
| | | | | | | | |
| | | | Capital Markets — 5.6% | |
| | 1,076 | | | Ameriprise Financial, Inc. | | | 182,420 | |
| | 5,500 | | | Invesco Ltd. | | | 200,959 | |
| | 2,190 | | | Northern Trust Corp. | | | 218,780 | |
| | 2,086 | | | Raymond James Financial, Inc. | | | 186,279 | |
| | 2,722 | | | T Rowe Price Group, Inc. | | | 285,605 | |
| | | | | | | | |
| | | | | | | 1,074,043 | |
| | | | | | | | |
| | | | Consumer Finance — 1.0% | |
| | 6,515 | | | Ally Financial, Inc. | | | 189,974 | |
| | | | | | | | |
| | | | Insurance — 8.2% | |
| | 171 | | | Alleghany Corp. (a) | | | 101,710 | |
| | 621 | | | Chubb Ltd. | | | 90,816 | |
| | 4,736 | | | Hartford Financial Services Group, Inc. (The) | | | 266,534 | |
| | 6,763 | | | Loews Corp. | | | 338,368 | |
| | 2,326 | | | Marsh & McLennan Cos., Inc. | | | 189,341 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 25 | |
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Insurance — continued | |
| | 2,677 | | | Progressive Corp. (The) | | | 150,767 | |
| | 3,002 | | | Unum Group | | | 164,803 | |
| | 1,190 | | | WR Berkley Corp. | | | 85,298 | |
| | 5,377 | | | XL Group Ltd., (Bermuda) | | | 189,064 | |
| | | | | | | | |
| | | | | | | 1,576,701 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 0.3% | |
| | 2,341 | | | Starwood Property Trust, Inc. | | | 49,985 | |
| | | | | | | | |
| | | | Total Financials | | | 4,390,251 | |
| | | | | | | | |
| | | | Health Care — 5.9% | |
| | | | Health Care Equipment & Supplies — 0.7% | |
| | 1,121 | | | Zimmer Biomet Holdings, Inc. | | | 135,312 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 5.2% | |
| | 2,055 | | | AmerisourceBergen Corp. | | | 188,725 | |
| | 1,129 | | | Cigna Corp. | | | 229,215 | |
| | 1,484 | | | Henry Schein, Inc. (a) | | | 103,725 | |
| | 687 | | | Humana, Inc. | | | 170,442 | |
| | 988 | | | Laboratory Corp. of America Holdings (a) | | | 157,669 | |
| | 1,348 | | | Universal Health Services, Inc., Class B | | | 152,820 | |
| | | | | | | | |
| | | | | | | 1,002,596 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,137,908 | |
| | | | | | | | |
| | | | Industrials — 8.1% | |
| | | | Building Products — 1.0% | |
| | 2,806 | | | Fortune Brands Home & Security, Inc. | | | 192,056 | |
| | | | | | | | |
| | | | Electrical Equipment — 2.7% | |
| | 812 | | | Acuity Brands, Inc. | | | 142,970 | |
| | 2,374 | | | AMETEK, Inc. | | | 172,047 | |
| | 1,348 | | | Hubbell, Inc. | | | 182,428 | |
| | 376 | | | Regal Beloit Corp. | | | 28,778 | |
| | | | | | | | |
| | | | | | | 526,223 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.0% | |
| | 1,713 | | | Carlisle Cos., Inc. | | | 194,703 | |
| | | | | | | | |
| | | | Machinery — 2.4% | |
| | 1,445 | | | IDEX Corp. | | | 190,715 | |
| | 1,487 | | | Snap-on, Inc. | | | 259,189 | |
| | | | | | | | |
| | | | | | | 449,904 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.0% | |
| | 2,017 | | | MSC Industrial Direct Co., Inc., Class A | | | 195,006 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,557,892 | |
| | | | | | | | |
| | | | Information Technology — 8.8% | |
| | | | Communications Equipment — 1.1% | |
| | 5,578 | | | CommScope Holding Co., Inc. (a) | | | 210,998 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 4.7% | |
| | 2,645 | | | Amphenol Corp., Class A | | | 232,248 | |
| | 2,788 | | | Arrow Electronics, Inc. (a) | | | 224,147 | |
| | 3,491 | | | CDW Corp. | | | 242,585 | |
| | 4,850 | | | Keysight Technologies, Inc. (a) | | | 201,763 | |
| | | | | | | | |
| | | | | | | 900,743 | |
| | | | | | | | |
| | | | Internet Software & Services — 0.5% | |
| | 2,905 | | | Match Group, Inc. (a) | | | 90,961 | |
| | | | | | | | |
| | | | IT Services — 0.9% | |
| | 1,475 | | | Jack Henry & Associates, Inc. | | | 172,477 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 0.8% | |
| | 1,598 | | | Analog Devices, Inc. | | | 142,310 | |
| | | | | | | | |
| | | | Software — 0.8% | |
| | 1,881 | | | Synopsys, Inc. (a) | | | 160,344 | |
| | | | | | | | |
| | | | Total Information Technology | | | 1,677,833 | |
| | | | | | | | |
| | | | Materials — 4.4% | |
| | | | Chemicals — 0.8% | |
| | 381 | | | Sherwin-Williams Co. (The) | | | 156,265 | |
| | | | | | | | |
| | | | Containers & Packaging — 3.6% | |
| | 6,879 | | | Ball Corp. | | | 260,389 | |
| | 5,842 | | | Silgan Holdings, Inc. | | | 171,685 | |
| | 4,125 | | | WestRock Co. | | | 260,755 | |
| | | | | | | | |
| | | | | | | 692,829 | |
| | | | | | | | |
| | | | Total Materials | | | 849,094 | |
| | | | | | | | |
| | | | Real Estate — 10.0% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 8.4% | |
| | 1,894 | | | American Campus Communities, Inc. | | | 77,692 | |
| | 3,020 | | | American Homes 4 Rent, Class A | | | 65,962 | |
| | 951 | | | AvalonBay Communities, Inc. | | | 169,666 | |
| | 5,830 | | | Brixmor Property Group, Inc. | | | 108,779 | |
| | 360 | | | Essex Property Trust, Inc. | | | 86,923 | |
| | 927 | | | Federal Realty Investment Trust | | | 123,093 | |
| | 2,582 | | | GGP, Inc. | | | 60,384 | |
| | 1,451 | | | HCP, Inc. | | | 37,840 | |
| | 1,201 | | | JBG SMITH Properties | | | 41,721 | |
| | 6,208 | | | Kimco Realty Corp. | | | 112,681 | |
| | 5,141 | | | Outfront Media, Inc. | | | 119,261 | |
| | 3,159 | | | Park Hotels & Resorts, Inc. | | | 90,833 | |
| | 4,044 | | | Rayonier, Inc. | | | 127,912 | |
| | 1,308 | | | Regency Centers Corp. | | | 90,521 | |
| | 2,111 | | | Vornado Realty Trust | | | 165,073 | |
| | 3,622 | | | Weyerhaeuser Co. | | | 127,708 | |
| | | | | | | | |
| | | | | | | 1,606,049 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Office — 0.9% | |
| | 1,253 | | | Boston Properties, Inc. | | | 162,933 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.7% | |
| | 3,245 | | | CBRE Group, Inc., Class A (a) | | | 140,529 | |
| | | | | | | | |
| | | | Total Real Estate | | | 1,909,511 | |
| | | | | | | | |
| | | | Utilities — 8.2% | |
| | | | Electric Utilities — 2.8% | |
| | 2,826 | | | Edison International | | | 178,692 | |
| | 1,108 | | | Westar Energy, Inc. | | | 58,514 | |
| | 6,228 | | | Xcel Energy, Inc. | | | 299,611 | |
| | | | | | | | |
| | | | | | | 536,817 | |
| | | | | | | | |
| | | | Gas Utilities — 0.9% | |
| | 3,179 | | | National Fuel Gas Co. | | | 174,586 | |
| | | | | | | | |
| | | | Multi-Utilities — 4.5% | |
| | 1,900 | | | CenterPoint Energy, Inc. | | | 53,879 | |
| | 6,200 | | | CMS Energy Corp. | | | 293,281 | |
| | 2,066 | | | Sempra Energy | | | 220,929 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Multi-Utilities – continued | | | | |
| | 4,344 | | | WEC Energy Group, Inc. | | | 288,590 | |
| | | | | | | | |
| | | | | | | 856,679 | |
| | | | | | | | |
| | | | Total Utilities | | | 1,568,082 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $11,261,483) | | | 18,479,636 | |
| | | | | | | | |
| | Short-Term Investment — 3.9% | |
| | | | Investment Company — 3.9% | |
| | 747,223 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $747,223) | | | 747,223 | |
| | | | | | | | |
| | | | Total Investments — 100.4%
(Cost $12,008,706) | | | 19,226,859 | |
| | | | Liabilities in Excess of
Other Assets — (0.4)% | | | (84,804 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 19,142,055 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 27 | |
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Long Positions — 99.2% | |
| | Common Stocks — 88.6% | |
| | | | Consumer Discretionary — 14.9% | |
| | | | Auto Components — 0.5% | |
| | 3 | | | Aptiv plc | | | 259 | |
| | 1 | | | Delphi Technologies plc (a) | | | 53 | |
| | 2 | | | Lear Corp. | | | 389 | |
| | | | | | | | |
| | | | | | | 701 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 1.0% | |
| | 13 | | | H&R Block, Inc. | | | 336 | |
| | 18 | | | ServiceMaster Global Holdings, Inc. (a) | | | 941 | |
| | | | | | | | |
| | | | | | | 1,277 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 4.0% | |
| | 2 | | | Dunkin' Brands Group, Inc. | | | 145 | |
| | 14 | | | Hilton Worldwide Holdings, Inc. | | | 1,104 | |
| | 17 | | | Las Vegas Sands Corp. | | | 1,183 | |
| | 3 | | | Marriott International, Inc., Class A | | | 394 | |
| | 9 | | | Scientific Games Corp., Class A (a) | | | 437 | |
| | 5 | | | Wyndham Worldwide Corp. | | | 614 | |
| | 6 | | | Wynn Resorts Ltd. | | | 1,062 | |
| | | | | | | | |
| | | | | | | 4,939 | |
| | | | | | | | |
| | | | Household Durables — 2.4% | |
| | — | (h) | | NVR, Inc. (a) (j) | | | 439 | |
| | 12 | | | PulteGroup, Inc. | | | 390 | |
| | 24 | | | Toll Brothers, Inc. | | | 1,158 | |
| | 16 | | | Tupperware Brands Corp. | | | 975 | |
| | | | | | | | |
| | | | | | | 2,962 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.6% | |
| | 31 | | | Liberty Interactive Corp. QVC Group, Class A (a) | | | 758 | |
| | | | | | | | |
| | | | Media — 1.9% | |
| | 10 | | | CBS Corp. (Non-Voting), Class B | | | 581 | |
| | 11 | | | Sinclair Broadcast Group, Inc., Class A | | | 425 | |
| | 185 | | | Sirius XM Holdings, Inc. | | | 992 | |
| | 23 | | | TEGNA, Inc. | | | 324 | |
| | | | | | | | |
| | | | | | | 2,322 | |
| | | | | | | | |
| | | | Multiline Retail — 0.9% | |
| | 21 | | | Kohl's Corp. | | | 1,136 | |
| | | | | | | | |
| | | | Specialty Retail — 1.6% | |
| | 20 | | | Best Buy Co., Inc. (j) | | | 1,335 | |
| | 7 | | | Tiffany & Co. | | | 681 | |
| | | | | | | | |
| | | | | | | 2,016 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 2.0% | |
| | 12 | | | Michael Kors Holdings Ltd. (a) | | | 746 | |
| | 7 | | | PVH Corp. | | | 998 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — continued | |
| | 7 | | | Ralph Lauren Corp. | | | 695 | |
| | | | | | | | |
| | | | | | | 2,439 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 18,550 | |
| | | | | | | | |
| | | | Consumer Staples — 5.6% | |
| | | | Food & Staples Retailing — 1.5% | |
| | 5 | | | CVS Health Corp. | | | 353 | |
| | 7 | | | Sysco Corp. (j) | | | 451 | |
| | 11 | | | Wal-Mart Stores, Inc. | | | 1,074 | |
| | | | | | | | |
| | | | | | | 1,878 | |
| | | | | | | | |
| | | | Food Products — 2.9% | |
| | 11 | | | Conagra Brands, Inc. | | | 408 | |
| | 4 | | | JM Smucker Co. (The) | | | 484 | |
| | 31 | | | Pilgrim's Pride Corp. (a) (j) | | | 963 | |
| | — | (h) | | Seaboard Corp. | | | 661 | |
| | 14 | | | Tyson Foods, Inc., Class A | | | 1,105 | |
| | | | | | | | |
| | | | | | | 3,621 | |
| | | | | | | | |
| | | | Household Products — 0.2% | |
| | 6 | | | Energizer Holdings, Inc. | | | 296 | |
| | | | | | | | |
| | | | Personal Products — 1.0% | |
| | 18 | | | Nu Skin Enterprises, Inc., Class A (j) | | | 1,208 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 7,003 | |
| | | | | | | | |
| | | | Energy — 3.0% | |
| | | | Energy Equipment & Services — 0.7% | |
| | 74 | | | Transocean Ltd. (a) | | | 792 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 2.3% | |
| | 14 | | | ConocoPhillips | | | 751 | |
| | 11 | | | Devon Energy Corp. | | | 448 | |
| | 9 | | | HollyFrontier Corp. | | | 447 | |
| | 4 | | | Marathon Petroleum Corp. | | | 282 | |
| | 7 | | | Occidental Petroleum Corp. | | | 488 | |
| | 5 | | | Valero Energy Corp. | | | 464 | |
| | | | | | | | |
| | | | | | | 2,880 | |
| | | | | | | | |
| | | | Total Energy | | | 3,672 | |
| | | | | | | | |
| | | | Financials — 6.6% | |
| | | | Banks — 3.7% | |
| | 9 | | | BOK Financial Corp. | | | 803 | |
| | 19 | | | CIT Group, Inc. | | | 926 | |
| | 10 | | | Citigroup, Inc. | | | 707 | |
| | 10 | | | Comerica, Inc. | | | 907 | |
| | 25 | | | Synovus Financial Corp. | | | 1,215 | |
| | | | | | | | |
| | | | | | | 4,558 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Long Positions — continued | |
| | Common Stocks — continued | |
| | | | Capital Markets — 1.5% | |
| | 2 | | | Ameriprise Financial, Inc. | | | 369 | |
| | 9 | | | MSCI, Inc. | | | 1,139 | |
| | 2 | | | S&P Global, Inc. | | | 398 | |
| | | | | | | | |
| | | | | | | 1,906 | |
| | | | | | | | |
| | | | Consumer Finance — 0.4% | |
| | 33 | | | Navient Corp. | | | 440 | |
| | | | | | | | |
| | | | Insurance — 0.2% | |
| | 6 | | | Assured Guaranty Ltd. | | | 209 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 0.2% | |
| | 18 | | | Two Harbors Investment Corp. | | | 296 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 0.6% | |
| | 55 | | | MGIC Investment Corp. (a) | | | 771 | |
| | | | | | | | |
| | | | Total Financials | | | 8,180 | |
| | | | | | | | |
| | | | Health Care — 10.9% | |
| | | | Biotechnology — 3.2% | |
| | 13 | | | AbbVie, Inc. (j) | | | 1,211 | |
| | 6 | | | Amgen, Inc. (j) | | | 1,118 | |
| | 12 | | | Gilead Sciences, Inc. (j) | | | 890 | |
| | 3 | | | United Therapeutics Corp. (a) | | | 497 | |
| | 2 | | | Vertex Pharmaceuticals, Inc. (a) | | | 285 | |
| | | | | | | | |
| | | | | | | 4,001 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.9% | |
| | 17 | | | Baxter International, Inc. | | | 1,101 | |
| | 4 | | | Hill-Rom Holdings, Inc. | | | 369 | |
| | 7 | | | Medtronic plc | | | 559 | |
| | 3 | | | Varian Medical Systems, Inc. (a) | | | 350 | |
| | | | | | | | |
| | | | | | | 2,379 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 4.4% | |
| | — | (h) | | Anthem, Inc. | | | 62 | |
| | 12 | | | Centene Corp. (a) | | | 1,228 | |
| | 12 | | | Express Scripts Holding Co. (a) (j) | | | 903 | |
| | 5 | | | Humana, Inc. | | | 1,191 | |
| | 3 | | | McKesson Corp. | | | 401 | |
| | 7 | | | Molina Healthcare, Inc. (a) | | | 558 | |
| | 5 | | | WellCare Health Plans, Inc. (a) | | | 1,081 | |
| | | | | | | | |
| | | | | | | 5,424 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.3% | |
| | 4 | | | PerkinElmer, Inc. | | | 325 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.1% | |
| | 3 | | | Allergan plc | | | 532 | |
| | 24 | | | Horizon Pharma plc (a) | | | 355 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Pharmaceuticals — continued | |
| | 13 | | | Mallinckrodt plc (a) | | | 287 | |
| | 3 | | | Perrigo Co. plc | | | 222 | |
| | | | | | | | |
| | | | | | | 1,396 | |
| | | | | | | | |
| | | | Total Health Care | | | 13,525 | |
| | | | | | | | |
| | | | Industrials — 16.0% | |
| | | | Aerospace & Defense — 1.2% | |
| | 4 | | | Boeing Co. (The) (j) | | | 1,253 | |
| | 4 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 308 | |
| | | | | | | | |
| | | | | | | 1,561 | |
| | | | | | | | |
| | | | Airlines — 1.3% | |
| | 6 | | | American Airlines Group, Inc. | | | 312 | |
| | 7 | | | Copa Holdings SA, (Panama), Class A | | | 976 | |
| | 6 | | | Delta Air Lines, Inc. | | | 339 | |
| | | | | | | | |
| | | | | | | 1,627 | |
| | | | | | | | |
| | | | Building Products — 1.0% | |
| | 14 | | | Owens Corning | | | 1,260 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 0.5% | |
| | 60 | | | Pitney Bowes, Inc. (j) | | | 667 | |
| | | | | | | | |
| | | | Construction & Engineering — 1.3% | |
| | 5 | | | EMCOR Group, Inc. | | | 437 | |
| | 18 | | | Jacobs Engineering Group, Inc. | | | 1,158 | |
| | | | | | | | |
| | | | | | | 1,595 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.8% | |
| | 5 | | | Regal Beloit Corp. | | | 362 | |
| | 3 | | | Rockwell Automation, Inc. | | | 613 | |
| | | | | | | | |
| | | | | | | 975 | |
| | | | | | | | |
| | | | Machinery — 6.7% | |
| | 9 | | | AGCO Corp. | | | 643 | |
| | 26 | | | Allison Transmission Holdings, Inc. (j) | | | 1,119 | |
| | 8 | | | Caterpillar, Inc. | | | 1,229 | |
| | 6 | | | Cummins, Inc. | | | 998 | |
| | 18 | | | Donaldson Co., Inc. | | | 898 | |
| | 12 | | | Lincoln Electric Holdings, Inc. | | | 1,138 | |
| | 4 | | | Parker-Hannifin Corp. | | | 739 | |
| | 16 | | | Pentair plc, (United Kingdom) | | | 1,151 | |
| | 8 | | | Terex Corp. | | | 376 | |
| | | | | | | | |
| | | | | | | 8,291 | |
| | | | | | | | |
| | | | Professional Services — 0.9% | |
| | 9 | | | ManpowerGroup, Inc. (j) | | | 1,085 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 29 | |
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Long Positions — continued | |
| | Common Stocks — continued | |
| | | | Road & Rail — 1.3% | |
| | 4 | | | Kansas City Southern | | | 413 | |
| | 11 | | | Landstar System, Inc. (j) | | | 1,189 | |
| | | | | | | | |
| | | | | | | 1,602 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.0% | |
| | 7 | | | United Rentals, Inc. (a) (j) | | | 1,246 | |
| | | | | | | | |
| | | | Total Industrials | | | 19,909 | |
| | | | | | | | |
| | | | Information Technology — 22.4% | |
| | | | Communications Equipment — 0.4% | |
| | 3 | | | Harris Corp. | | | 446 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 1.3% | |
| | 20 | | | Jabil, Inc. | | | 525 | |
| | 11 | | | Zebra Technologies Corp., Class A (a) | | | 1,157 | |
| | | | | | | | |
| | | | | | | 1,682 | |
| | | | | | | | |
| | | | Internet Software & Services — 0.8% | |
| | 8 | | | VeriSign, Inc. (a) (j) | | | 941 | |
| | | | | | | | |
| | | | IT Services — 5.3% | |
| | 12 | | | DXC Technology Co. | | | 1,179 | |
| | 59 | | | First Data Corp., Class A (a) | | | 993 | |
| | 7 | | | International Business Machines Corp. (j) | | | 1,101 | |
| | 4 | | | Science Applications International Corp. | | | 343 | |
| | 15 | | | Teradata Corp. (a) | | | 595 | |
| | 15 | | | Total System Services, Inc. | | | 1,220 | |
| | 58 | | | Western Union Co. (The) | | | 1,109 | |
| | | | | | | | |
| | | | | | | 6,540 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.7% | |
| | 17 | | | Applied Materials, Inc. | | | 867 | |
| | 7 | | | First Solar, Inc. (a) | | | 461 | |
| | 6 | | | Lam Research Corp. (j) | | | 1,120 | |
| | 13 | | | Marvell Technology Group Ltd., (Bermuda) | | | 281 | |
| | 7 | | | Micron Technology, Inc. (a) | | | 307 | |
| | 26 | | | ON Semiconductor Corp. (a) | | | 538 | |
| | 3 | | | Skyworks Solutions, Inc. | | | 306 | |
| | 17 | | | Teradyne, Inc. | | | 704 | |
| | | | | | | | |
| | | | | | | 4,584 | |
| | | | | | | | |
| | | | Software — 7.4% | |
| | 6 | | | Autodesk, Inc. (a) | | | 671 | |
| | 33 | | | CA, Inc. | | | 1,088 | |
| | 27 | | | Cadence Design Systems, Inc. (a) | | | 1,126 | |
| | 14 | | | Citrix Systems, Inc. (a) | | | 1,201 | |
| | 2 | | | Electronic Arts, Inc. (a) | | | 205 | |
| | 12 | | | Fortinet, Inc. (a) | | | 536 | |
| | 39 | | | Nuance Communications, Inc. (a) (j) | | | 636 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Software — continued | |
| | 10 | | | Red Hat, Inc. (a) | | | 1,144 | |
| | 15 | | | SS&C Technologies Holdings, Inc. | | | 603 | |
| | 8 | | | Take-Two Interactive Software, Inc. (a) | | | 914 | |
| | 13 | | | TiVo Corp. | | | 195 | |
| | 7 | | | VMware, Inc., Class A (a) | | | 928 | |
| | | | | | | | |
| | | | | | | 9,247 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 3.5% | |
| | 3 | | | Apple, Inc. | | | 541 | |
| | 53 | | | HP, Inc. (j) | | | 1,106 | |
| | 12 | | | NetApp, Inc. (j) | | | 657 | |
| | 13 | | | Western Digital Corp. | | | 1,022 | |
| | 33 | | | Xerox Corp. | | | 974 | |
| | | | | | | | |
| | | | | | | 4,300 | |
| | | | | | | | |
| | | | Total Information Technology | | | 27,740 | |
| | | | | | | | |
| | | | Materials — 4.2% | | | | |
| | | | Chemicals — 1.7% | | | | |
| | 7 | | | Cabot Corp. (j) | | | 403 | |
| | 39 | | | Huntsman Corp. | | | 1,300 | |
| | 4 | | | LyondellBasell Industries NV, Class A | | | 438 | |
| | | | | | | | |
| | | | | | | 2,141 | |
| | | | | | | | |
| | | | Containers & Packaging — 1.0% | |
| | 6 | | | Berry Global Group, Inc. (a) | | | 354 | |
| | 4 | | | Packaging Corp. of America | | | 506 | |
| | 6 | | | WestRock Co. | | | 376 | |
| | | | | | | | |
| | | | | | | 1,236 | |
| | | | | | | | |
| | | | Metals & Mining — 1.5% | |
| | 15 | | | Alcoa Corp. (a) | | | 816 | |
| | 21 | | | Steel Dynamics, Inc. | | | 909 | |
| | 4 | | | United States Steel Corp. | | | 144 | |
| | | | | | | | |
| | | | | | | 1,869 | |
| | | | | | | | |
| | | | Total Materials | | | 5,246 | |
| | | | | | | | |
| | | | Real Estate — 1.2% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 0.5% | |
| | 5 | | | GEO Group, Inc. (The) | | | 107 | |
| | 67 | | | VEREIT, Inc. | | | 519 | |
| | | | | | | | |
| | | | | | | 626 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.7% | |
| | 9 | | | CBRE Group, Inc., Class A (a) | | | 386 | |
| | 17 | | | Realogy Holdings Corp. | | | 463 | |
| | | | | | | | |
| | | | | | | 849 | |
| | | | | | | | |
| | | | Total Real Estate | | | 1,475 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Long Positions — continued | |
| | Common Stocks — continued | |
| | | | Utilities — 3.8% | |
| | | | Electric Utilities — 0.5% | |
| | 19 | | | FirstEnergy Corp. | | | 595 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity
Producers — 1.6% | |
| | 79 | | | AES Corp. | | | 853 | |
| | 40 | | | NRG Energy, Inc. (j) | | | 1,151 | |
| | | | | | | | |
| | | | | | | 2,004 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.7% | |
| | 34 | | | CenterPoint Energy, Inc. | | | 956 | |
| | 43 | | | MDU Resources Group, Inc. (j) | | | 1,163 | |
| | | | | | | | |
| | | | | | | 2,119 | |
| | | | | | | | |
| | | | Total Utilities | | | 4,718 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $86,178) | | | 110,018 | |
| | | | | | | | |
| | Short-Term Investment — 10.6% | |
| | | | Investment Company — 10.6% | |
| | 13,115 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $13,115) | | | 13,115 | |
| | | | | | | | |
| | | | Total Investments — 99.2%
(Cost $99,293) | | | 123,133 | |
| | | | Other Assets in Excess of
Liabilities — 0.8% | | | 922 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 124,055 | |
| | | | | | | | |
| | Short Positions — 86.9% | |
| | Common Stocks — 86.9% | |
| | | | Consumer Discretionary — 13.3% | |
| | | | Automobiles — 0.3% | |
| | 1 | | | Tesla, Inc. (a) | | | 405 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 5.2% | |
| | 3 | | | Chipotle Mexican Grill, Inc. (a) | | | 910 | |
| | 7 | | | Darden Restaurants, Inc. | | | 660 | |
| | 36 | | | MGM Resorts International | | | 1,186 | |
| | 6 | | | Norwegian Cruise Line Holdings Ltd. (a) | | | 315 | |
| | 7 | | | Six Flags Entertainment Corp. | | | 476 | |
| | 21 | | | Starbucks Corp. | | | 1,206 | |
| | 14 | | | Texas Roadhouse, Inc. | | | 759 | |
| | 4 | | | Vail Resorts, Inc. | | | 930 | |
| | | | | | | | |
| | | | | | | 6,442 | |
| | | | | | | | |
| | | | Household Durables — 1.2% | |
| | 10 | | | Leggett & Platt, Inc. | | | 454 | |
| | 4 | | | Mohawk Industries, Inc. (a) | | | 1,048 | |
| | | | | | | | |
| | | | | | | 1,502 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.7% | |
| | 3 | | | Netflix, Inc. (a) | | | 557 | |
| | 8 | | | TripAdvisor, Inc. (a) | | | 275 | |
| | | | | | | | |
| | | | | | | 832 | |
| | | | | | | | |
| | | | Leisure Products — 0.8% | |
| | 68 | | | Mattel, Inc. | | | 1,046 | |
| | | | | | | | |
| | | | Media — 0.6% | |
| | 8 | | | Cinemark Holdings, Inc. | | | 285 | |
| | 14 | | | Liberty Media Corp.-Liberty Formula One, Class A (a) | | | 462 | |
| | — | (h) | | Lions Gate Entertainment Corp., Class A (a) | | | — | (h) |
| | | | | | | | |
| | | | | | | 747 | |
| | | | | | | | |
| | | | Specialty Retail — 2.9% | |
| | 4 | | | Advance Auto Parts, Inc. | | | 354 | |
| | 11 | | | L Brands, Inc. | | | 653 | |
| | 14 | | | Murphy USA, Inc. (a) | | | 1,131 | |
| | 15 | | | Tractor Supply Co. | | | 1,143 | |
| | 1 | | | Ulta Beauty, Inc. (a) | | | 269 | |
| | | | | | | | |
| | | | | | | 3,550 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.6% | |
| | 19 | | | NIKE, Inc., Class B | | | 1,218 | |
| | 51 | | | Under Armour, Inc., Class A (a) | | | 736 | |
| | | | | | | | |
| | | | | | | 1,954 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 16,478 | |
| | | | | | | | |
| | | | Consumer Staples — 5.3% | |
| | | | Beverages — 1.7% | |
| | 17 | | | Brown-Forman Corp., Class B | | | 1,188 | |
| | 4 | | | Constellation Brands, Inc., Class A | | | 863 | |
| | | | | | | | |
| | | | | | | 2,051 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.0% | |
| | 11 | | | Casey's General Stores, Inc. | | | 1,259 | |
| | | | | | | | |
| | | | Food Products — 1.4% | |
| | 22 | | | Blue Buffalo Pet Products, Inc. (a) | | | 712 | |
| | 10 | | | Kraft Heinz Co. (The) | | | 793 | |
| | 6 | | | Snyder's-Lance, Inc. | | | 293 | |
| | | | | | | | |
| | | | | | | 1,798 | |
| | | | | | | | |
| | | | Personal Products — 1.2% | |
| | 56 | | | Coty, Inc., Class A | | | 1,123 | |
| | 3 | | | Estee Lauder Cos., Inc. (The), Class A | | | 354 | |
| | | | | | | | |
| | | | | | | 1,477 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 6,585 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 31 | |
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short Positions — continued | |
| | Common Stocks — continued | |
| | | | Energy — 2.4% | |
| | | | Oil, Gas & Consumable Fuels — 2.4% | |
| | 20 | | | EQT Corp. | | | 1,120 | |
| | 58 | | | Kosmos Energy Ltd., (Ghana) (a) | | | 394 | |
| | 32 | | | Noble Energy, Inc. | | | 945 | |
| | 17 | | | Parsley Energy, Inc., Class A (a) | | | 497 | |
| | | | | | | | |
| | | | Total Energy | | | 2,956 | |
| | | | | | | | |
| | | | Financials — 5.8% | |
| | | | Banks — 0.9% | |
| | 61 | | | People's United Financial, Inc. | | | 1,147 | |
| | | | | | | | |
| | | | Capital Markets — 2.2% | |
| | 17 | | | Artisan Partners Asset Management, Inc., Class A | | | 662 | |
| | 5 | | | CME Group, Inc. | | | 756 | |
| | 2 | | | Federated Investors, Inc., Class B | | | 89 | |
| | 20 | | | Interactive Brokers Group, Inc., Class A | | | 1,174 | |
| | | | | | | | |
| | | | | | | 2,681 | |
| | | | | | | | |
| | | | Insurance — 1.0% | |
| | 2 | | | Cincinnati Financial Corp. | | | 142 | |
| | 1 | | | Markel Corp. (a) | | | 1,111 | |
| | | | | | | | |
| | | | | | | 1,253 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 1.7% | |
| | 86 | | | New York Community Bancorp, Inc. | | | 1,115 | |
| | 71 | | | TFS Financial Corp. | | | 1,060 | |
| | | | | | | | |
| | | | | | | 2,175 | |
| | | | | | | | |
| | | | Total Financials | | | 7,256 | |
| | | | | | | | |
| | | | Health Care — 10.8% | |
| | | | Biotechnology — 4.1% | |
| | 14 | | | ACADIA Pharmaceuticals, Inc. (a) | | | 416 | |
| | 15 | | | Alkermes plc (a) | | | 815 | |
| | 12 | | | BioMarin Pharmaceutical, Inc. (a) | | | 1,048 | |
| | 2 | | | Bluebird Bio, Inc. (a) | | | 343 | |
| | 8 | | | Incyte Corp. (a) | | | 793 | |
| | 7 | | | Juno Therapeutics, Inc. (a) | | | 303 | |
| | 82 | | | OPKO Health, Inc. (a) | | | 404 | |
| | 1 | | | Puma Biotechnology, Inc. (a) | | | 121 | |
| | 1 | | | Regeneron Pharmaceuticals, Inc. (a) | | | 197 | |
| | 5 | | | Seattle Genetics, Inc. (a) | | | 251 | |
| | 5 | | | TESARO, Inc. (a) | | | 406 | |
| | | | | | | | |
| | | | | | | 5,097 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.7% | |
| | 9 | | | DexCom, Inc. (a) | | | 516 | |
| | 9 | | | Hologic, Inc. (a) | | | 386 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — continued | |
| | 6 | | | ICU Medical, Inc. (a) | | | 1,215 | |
| | | | | | | | |
| | | | | | | 2,117 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.9% | |
| | 14 | | | Acadia Healthcare Co., Inc. (a) | | | 454 | |
| | 22 | | | Envision Healthcare Corp. (a) | | | 755 | |
| | 15 | | | Henry Schein, Inc. (a) | | | 1,031 | |
| | 17 | | | LifePoint Health, Inc. (a) | | | 839 | |
| | 24 | | | Patterson Cos., Inc. | | | 868 | |
| | 8 | | | Universal Health Services, Inc., Class B | | | 910 | |
| | | | | | | | |
| | | | | | | 4,857 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.1% | |
| | 7 | | | Medicines Co. (The) (a) | | | 183 | |
| | 16 | | | Zoetis, Inc. | | | 1,180 | |
| | | | | | | | |
| | | | | | | 1,363 | |
| | | | | | | | |
| | | | Total Health Care | | | 13,434 | |
| | | | | | | | |
| | | | Industrials — 17.7% | |
| | | | Aerospace & Defense — 2.5% | |
| | 8 | | | BWX Technologies, Inc. | | | 496 | |
| | 20 | | | Hexcel Corp. | | | 1,255 | |
| | 3 | | | Textron, Inc. | | | 194 | |
| | 4 | | | TransDigm Group, Inc. | | | 1,174 | |
| | | | | | | | |
| | | | | | | 3,119 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.1% | |
| | 1 | | | CH Robinson Worldwide, Inc. | | | 78 | |
| | | | | | | | |
| | | | Airlines — 0.2% | |
| | 6 | | | Spirit Airlines, Inc. (a) | | | 289 | |
| | | | | | | | |
| | | | Building Products — 0.6% | |
| | 21 | | | Johnson Controls International plc | | | 783 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.1% | |
| | 71 | | | Covanta Holding Corp. | | | 1,199 | |
| | 4 | | | Rollins, Inc. | | | 169 | |
| | | | | | | | |
| | | | | | | 1,368 | |
| | | | | | | | |
| | | | Construction & Engineering — 1.3% | |
| | 12 | | | Fluor Corp. | | | 630 | |
| | 16 | | | KBR, Inc. | | | 317 | |
| | 16 | | | Quanta Services, Inc. (a) | | | 626 | |
| | | | | | | | |
| | | | | | | 1,573 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.9% | |
| | 6 | | | Acuity Brands, Inc. | | | 1,074 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short Positions — continued | |
| | Common Stocks — continued | |
| | | | Industrial Conglomerates — 0.9% | |
| | 62 | | | General Electric Co. | | | 1,084 | |
| | | | | | | | |
| | | | Machinery — 5.0% | |
| | 22 | | | Flowserve Corp. | | | 922 | |
| | 12 | | | ITT, Inc. | | | 651 | |
| | 13 | | | Kennametal, Inc. | | | 615 | |
| | 1 | | | Middleby Corp. (The) (a) | | | 111 | |
| | 7 | | | Snap-on, Inc. | | | 1,233 | |
| | 34 | | | Trinity Industries, Inc. | | | 1,262 | |
| | 15 | | | Wabtec Corp. | | | 1,217 | |
| | 4 | | | Xylem, Inc. | | | 241 | |
| | | | | | | | |
| | | | | | | 6,252 | |
| | | | | | | | |
| | | | Marine — 0.7% | |
| | 13 | | | Kirby Corp. (a) | | | 892 | |
| | | | | | | | |
| | | | Professional Services — 0.3% | |
| | 8 | | | IHS Markit Ltd. (a) | | | 370 | |
| | | | | | | | |
| | | | Road & Rail — 2.1% | |
| | 3 | | | AMERCO | | | 1,190 | |
| | 13 | | | Genesee & Wyoming, Inc., Class A (a) | | | 1,024 | |
| | 8 | | | Knight-Swift Transportation Holdings, Inc. | | | 370 | |
| | | | | | | | |
| | | | | | | 2,584 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 2.0% | |
| | 23 | | | Fastenal Co. | | | 1,231 | |
| | 7 | | | Watsco, Inc. | | | 1,246 | |
| | | | | | | | |
| | | | | | | 2,477 | |
| | | | | | | | |
| | | | Total Industrials | | | 21,943 | |
| | | | | | | | |
| | | | Information Technology — 22.1% | |
| | | | Communications Equipment — 1.2% | |
| | 7 | | | CommScope Holding Co., Inc. (a) | | | 246 | |
| | 17 | | | ViaSat, Inc. (a) | | | 1,246 | |
| | | | | | | | |
| | | | | | | 1,492 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 4.2% | |
| | 7 | | | Amphenol Corp., Class A | | | 588 | |
| | 27 | | | Avnet, Inc. | | | 1,069 | |
| | 2 | | | Coherent, Inc. (a) | | | 557 | |
| | 9 | | | Keysight Technologies, Inc. (a) | | | 380 | |
| | 6 | | | Littelfuse, Inc. | | | 1,177 | |
| | 8 | | | SYNNEX Corp. | | | 1,023 | |
| | 3 | | | Universal Display Corp. | | | 432 | |
| | | | | | | | |
| | | | | | | 5,226 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Internet Software & Services — 2.9% | |
| | 19 | | | Akamai Technologies, Inc. (a) | | | 1,236 | |
| | 2 | | | Facebook, Inc., Class A (a) | | | 327 | |
| | 18 | | | GoDaddy, Inc., Class A (a) | | | 894 | |
| | 4 | | | LogMeIn, Inc. | | | 429 | |
| | 23 | | | Twilio, Inc., Class A (a) | | | 535 | |
| | 4 | | | Yelp, Inc. (a) | | | 158 | |
| | | | | | | | |
| | | | | | | 3,579 | |
| | | | | | | | |
| | | | IT Services — 4.6% | |
| | 18 | | | DST Systems, Inc. | | | 1,117 | |
| | 9 | | | Gartner, Inc. (a) | | | 1,124 | |
| | 10 | | | Jack Henry & Associates, Inc. | | | 1,199 | |
| | 14 | | | Paychex, Inc. | | | 939 | |
| | 9 | | | WEX, Inc. (a) | | | 1,303 | |
| | | | | | | | |
| | | | | | | 5,682 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.6% | |
| | 73 | | | Advanced Micro Devices, Inc. (a) | | | 748 | |
| | 9 | | | Analog Devices, Inc. | | | 826 | |
| | 14 | | | Cavium, Inc. (a) | | | 1,140 | |
| | 9 | | | MACOM Technology Solutions Holdings, Inc. (a) | | | 277 | |
| | 11 | | | Monolithic Power Systems, Inc. | | | 1,183 | |
| | 2 | | | NVIDIA Corp. | | | 290 | |
| | | | | | | | |
| | | | | | | 4,464 | |
| | | | | | | | |
| | | | Software — 5.6% | |
| | 12 | | | Ellie Mae, Inc. (a) | | | 1,053 | |
| | 32 | | | FireEye, Inc. (a) | | | 461 | |
| | 15 | | | Guidewire Software, Inc. (a) | | | 1,108 | |
| | 11 | | | Manhattan Associates, Inc. (a) | | | 552 | |
| | 3 | | | Proofpoint, Inc. (a) | | | 269 | |
| | 9 | | | PTC, Inc. (a) | | | 529 | |
| | 6 | | | salesforce.com, Inc. (a) | | | 634 | |
| | 6 | | | Tyler Technologies, Inc. (a) | | | 1,133 | |
| | 6 | | | Ultimate Software Group, Inc. (The) (a) | | | 1,200 | |
| | | | | | | | |
| | | | | | | 6,939 | |
| | | | | | | | |
| | | | Total Information Technology | | | 27,382 | |
| | | | | | | | |
| | | | Materials — 4.2% | |
| | | | Chemicals — 0.8% | |
| | 6 | | | Air Products & Chemicals, Inc. | | | 941 | |
| | | | | | | | |
| | | | Construction Materials — 1.0% | |
| | 10 | | | Vulcan Materials Co. | | | 1,239 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.9% | |
| | 30 | | | Ball Corp. | | | 1,146 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 33 | |
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short Positions — continued | |
| | Common Stocks — continued | |
| | | | Metals & Mining — 1.5% | |
| | 18 | | | Compass Minerals International, Inc. | | | 1,279 | |
| | 12 | | | Southern Copper Corp., (Peru) | | | 579 | |
| | | | | | | | |
| | | | | | | 1,858 | |
| | | | | | | | |
| | | | Total Materials | | | 5,184 | |
| | | | | | | | |
| | | | Real Estate — 1.0% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 1.0% | |
| | 13 | | | Life Storage, Inc. | | | 1,198 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.8% | |
| | | | Diversified Telecommunication Services — 0.2% | |
| | 8 | | | Zayo Group Holdings, Inc. (a) | | | 290 | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.6% | |
| | 27 | | | Telephone & Data Systems, Inc. | | | 759 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 1,049 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
| | | | Utilities — 3.5% | |
| | | | Electric Utilities — 1.5% | |
| | 25 | | | Great Plains Energy, Inc. | | | 801 | |
| | 23 | | | Southern Co. (The) | | | 1,107 | |
| | | | | | | | |
| | | | | | | 1,908 | |
| | | | | | | | |
| | | | Gas Utilities — 0.2% | |
| | 3 | | | Atmos Energy Corp. | | | 238 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.8% | |
| | 15 | | | Dominion Energy, Inc. | | | 1,177 | |
| | 10 | | | Sempra Energy | | | 1,061 | |
| | | | | | | | |
| | | | | | | 2,238 | |
| | | | | | | | |
| | | | Total Utilities | | | 4,384 | |
| | | | | | | | |
| | | | Total Securities Sold Short
(Proceeds $105,382) | | $ | 107,849 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-Mini Index | | | (6 | ) | | | 03/2018 | | | | USD | | | | (803 | ) | | | (3 | ) |
S&P Midcap 400 E-Mini Index | | | (8 | ) | | | 03/2018 | | | | USD | | | | (1,522 | ) | | | (6 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.1% | |
| | | | Consumer Discretionary — 13.8% | | | | |
| | | | Distributors — 0.5% | | | | |
| | 616 | | | Genuine Parts Co. | | | 58,540 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.7% | | | | |
| | 1,643 | | | Brinker International, Inc. | | | 63,832 | |
| | 1,065 | | | Hilton Worldwide Holdings, Inc. | | | 85,036 | |
| | 3,408 | | | La Quinta Holdings, Inc. (a) | | | 62,918 | |
| | | | | | | | |
| | | | | | | 211,786 | |
| | | | | | | | |
| | | | Household Durables — 0.2% | |
| | 683 | | | Newell Brands, Inc. | | | 21,093 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.5% | | | | |
| | 522 | | | Expedia, Inc. | | | 62,566 | |
| | | | | | | | |
| | | | Media — 4.9% | | | | |
| | 1,946 | | | CBS Corp. (Non-Voting), Class B | | | 114,789 | |
| | 311 | | | Charter Communications, Inc., Class A (a) | | | 104,479 | |
| | 2,932 | | | Clear Channel Outdoor Holdings, Inc., Class A | | | 13,488 | |
| | 3,432 | | | DISH Network Corp., Class A (a) | | | 163,855 | |
| | 4,598 | | | Entercom Communications Corp., Class A | | | 49,659 | |
| | 1,187 | | | Nexstar Media Group, Inc., Class A | | | 92,831 | |
| | 746 | | | Time Warner, Inc. | | | 68,199 | |
| | | | | | | | |
| | | | | | | 607,300 | |
| | | | | | | | |
| | | | Multiline Retail — 1.5% | |
| | 2,070 | | | Kohl's Corp. | | | 112,241 | |
| | 1,493 | | | Nordstrom, Inc. | | | 70,743 | |
| | | | | | | | |
| | | | | | | 182,984 | |
| | | | | | | | |
| | | | Specialty Retail — 3.8% | |
| | 198 | | | AutoZone, Inc. (a) | | | 140,819 | |
| | 952 | | | Best Buy Co., Inc. | | | 65,168 | |
| | 1,594 | | | Gap, Inc. (The) | | | 54,308 | |
| | 464 | | | Home Depot, Inc. (The) | | | 87,983 | |
| | 808 | | | Murphy USA, Inc. (a) | | | 64,940 | |
| | 569 | | | Tiffany & Co. | | | 59,157 | |
| | | | | | | | |
| | | | | | | 472,375 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.7% | |
| | 1,173 | | | Columbia Sportswear Co. | | | 84,318 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 1,700,962 | |
| | | | | | | | |
| | | | Consumer Staples — 6.2% | | | | |
| | | | Beverages — 1.5% | | | | |
| | 968 | | | Dr Pepper Snapple Group, Inc. | | | 93,913 | |
| | 1,148 | | | Molson Coors Brewing Co., Class B | | | 94,246 | |
| | | | | | | | |
| | | | | | | 188,159 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.1% | |
| | 925 | | | CVS Health Corp. | | | 67,039 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Food & Staples Retailing — continued | |
| | 3,784 | | | Kroger Co. (The) | | | 103,881 | |
| | 1,141 | | | Walgreens Boots Alliance, Inc. | | | 82,881 | |
| | | | | | | | |
| | | | | | | 253,801 | |
| | | | | | | | |
| | | | Food Products — 0.9% | |
| | 1,096 | | | Post Holdings, Inc. (a) | | | 86,804 | |
| | 617 | | | TreeHouse Foods, Inc. (a) | | | 30,512 | |
| | | | | | | | |
| | | | | | | 117,316 | |
| | | | | | | | |
| | | | Household Products — 1.2% | |
| | 478 | | | Energizer Holdings, Inc. | | | 22,952 | |
| | 1,296 | | | Procter & Gamble Co. (The) | | | 119,098 | |
| | | | | | | | |
| | | | | | | 142,050 | |
| | | | | | | | |
| | | | Personal Products — 0.5% | |
| | 3,189 | | | Coty, Inc., Class A | | | 63,438 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 764,764 | |
| | | | | | | | |
| | | | Energy — 7.6% | | | | |
| | | | Oil, Gas & Consumable Fuels — 7.6% | | | | |
| | 1,345 | | | Apache Corp. | | | 56,782 | |
| | 1,887 | | | ConocoPhillips | | | 103,592 | |
| | 1,136 | | | EQT Corp. | | | 64,655 | |
| | 2,623 | | | Exxon Mobil Corp. | | | 219,422 | |
| | 5,135 | | | Kinder Morgan, Inc. | | | 92,791 | |
| | 1,823 | | | Marathon Petroleum Corp. | | | 120,282 | |
| | 1,189 | | | Occidental Petroleum Corp. | | | 87,604 | |
| | 1,923 | | | PBF Energy, Inc., Class A | | | 68,158 | |
| | 1,154 | | | Phillips 66 | | | 116,695 | |
| | | | | | | | |
| | | | Total Energy | | | 929,981 | |
| | | | | | | | |
| | | | Financials — 31.4% | | | | |
| | | | Banks — 15.6% | | | | |
| | 13,152 | | | Bank of America Corp. | | | 388,247 | |
| | 2,201 | | | Citigroup, Inc. | | | 163,764 | |
| | 3,423 | | | Citizens Financial Group, Inc. | | | 143,702 | |
| | 2,738 | | | Fifth Third Bancorp | | | 83,084 | |
| | 825 | | | First Republic Bank | | | 71,492 | |
| | 1,171 | | | M&T Bank Corp. | | | 200,266 | |
| | 1,366 | | | PNC Financial Services Group, Inc. (The) | | | 197,112 | |
| | 2,315 | | | SunTrust Banks, Inc. | | | 149,550 | |
| | 2,296 | | | US Bancorp | | | 123,020 | |
| | 6,486 | | | Wells Fargo & Co. | | | 393,508 | |
| | | | | | | | |
| | | | | | | 1,913,745 | |
| | | | | | | | |
| | | | Capital Markets — 4.3% | |
| | 2,063 | | | Charles Schwab Corp. (The) | | | 105,966 | |
| | 1,840 | | | Invesco Ltd. | | | 67,225 | |
| | 1,740 | | | Morgan Stanley | | | 91,284 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 35 | |
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Capital Markets — continued | |
| | 784 | | | Northern Trust Corp. | | | 78,319 | |
| | 1,800 | | | T Rowe Price Group, Inc. | | | 188,857 | |
| | | | | | | | |
| | | | | | | 531,651 | |
| | | | | | | | |
| | | | Consumer Finance — 3.3% | |
| | 3,654 | | | Ally Financial, Inc. | | | 106,560 | |
| | 2,943 | | | Capital One Financial Corp. | | | 293,023 | |
| | | | | | | | |
| | | | | | | 399,583 | |
| | | | | | | | |
| | | | Insurance — 8.2% | |
| | 73 | | | Alleghany Corp. (a) | | | 43,631 | |
| | 2,840 | | | American International Group, Inc. | | | 169,236 | |
| | 710 | | | Chubb Ltd. | | | 103,686 | |
| | 1,679 | | | CNO Financial Group, Inc. | | | 41,467 | |
| | 87 | | | Fairfax Financial Holdings Ltd., (Canada) | | | 46,133 | |
| | 2,134 | | | Hartford Financial Services Group, Inc. (The) | | | 120,089 | |
| | 4,066 | | | Loews Corp. | | | 203,397 | |
| | 378 | | | Marsh & McLennan Cos., Inc. | | | 30,736 | |
| | 492 | | | Prudential Financial, Inc. | | | 56,621 | |
| | 879 | | | Travelers Cos., Inc. (The) | | | 119,183 | |
| | 1,251 | | | Unum Group | | | 68,689 | |
| | | | | | | | |
| | | | | | | 1,002,868 | |
| | | | | | | | |
| | | | Total Financials | | | 3,847,847 | |
| | | | | | | | |
| | | | Health Care — 8.6% Health Care Providers & Services — 2.7% | |
| | 402 | | | Aetna, Inc. | | | 72,494 | |
| | 264 | | | Cigna Corp. | | | 53,639 | |
| | 902 | | | HCA Healthcare, Inc. (a) | | | 79,191 | |
| | 564 | | | UnitedHealth Group, Inc. | | | 124,347 | |
| | | | | | | | |
| | | | | | | 329,671 | |
| | | | | | | | |
| | | | Pharmaceuticals — 5.9% | |
| | 509 | | | Allergan plc | | | 83,194 | |
| | 1,443 | | | Johnson & Johnson | | | 201,661 | |
| | 2,794 | | | Merck & Co., Inc. | | | 157,221 | |
| | 7,802 | | | Pfizer, Inc. | | | 282,603 | |
| | | | | | | | |
| | | | | | | 724,679 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,054,350 | |
| | | | | | | | |
| | | | Industrials — 7.1% | | | | |
| | | | Aerospace & Defense — 1.0% | | | | |
| | 960 | | | United Technologies Corp. | | | 122,412 | |
| | | | | | | | |
| | | | Airlines — 2.3% | | | | |
| | 4,222 | | | Delta Air Lines, Inc. | | | 236,459 | |
| | 763 | | | Southwest Airlines Co. | | | 49,925 | |
| | | | | | | | |
| | | | | | | 286,384 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Industrial Conglomerates — 2.1% | |
| | 1,011 | | | Carlisle Cos., Inc. | | | 114,845 | |
| | 903 | | | Honeywell International, Inc. | | | 138,548 | |
| | | | | | | | |
| | | | | | | 253,393 | |
| | | | | | | | |
| | | | Machinery — 1.7% | |
| | 985 | | | Dover Corp. | | | 99,497 | |
| | 454 | | | Illinois Tool Works, Inc. | | | 75,729 | |
| | 303 | | | Middleby Corp. (The) (a) | | | 40,917 | |
| | | | | | | | |
| | | | | | | 216,143 | |
| | | | | | | | |
| | | | Total Industrials | | | 878,332 | |
| | | | | | | | |
| | | | Information Technology — 6.9% | | | | |
| | | | Communications Equipment — 1.6% | | | | |
| | 3,217 | | | Cisco Systems, Inc. | | | 123,203 | |
| | 1,991 | | | CommScope Holding Co., Inc. (a) | | | 75,335 | |
| | | | | | | | |
| | | | | | | 198,538 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 0.6% | |
| | 907 | | | Arrow Electronics, Inc. (a) | | | 72,909 | |
| | | | | | | | |
| | | | IT Services — 0.4% | | | | |
| | 745 | | | PayPal Holdings, Inc. (a) | | | 54,862 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 2.4% | |
| | 326 | | | KLA-Tencor Corp. | | | 34,272 | |
| | 1,433 | | | QUALCOMM, Inc. | | | 91,717 | |
| | 1,568 | | | Texas Instruments, Inc. | | | 163,748 | |
| | | | | | | | |
| | | | | | | 289,737 | |
| | | | | | | | |
| | | | Software — 1.5% | |
| | 761 | | | Micro Focus International plc, (United Kingdom), ADR (a) | | | 25,554 | |
| | 1,779 | | | Microsoft Corp. | | | 152,203 | |
| | | | | | | | |
| | | | | | | 177,757 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 0.4% | |
| | 3,828 | | | Hewlett Packard Enterprise Co. | | | 54,966 | |
| | | | | | | | |
| | | | Total Information Technology | | | 848,769 | |
| | | | | | | | |
| | | | Materials — 4.0% | | | | |
| | | | Chemicals — 0.3% | | | | |
| | 810 | | | AdvanSix, Inc. (a) | | | 34,077 | |
| | | | | | | | |
| | | | Construction Materials — 0.9% | | | | |
| | 472 | | | Martin Marietta Materials, Inc. | | | 104,237 | |
| | | | | | | | |
| | | | Containers & Packaging — 2.5% | | | | |
| | 3,703 | | | Ball Corp. | | | 140,165 | |
| | 3,758 | | | Graphic Packaging Holding Co. | | | 58,063 | |
| | 1,799 | | | WestRock Co. | | | 113,701 | |
| | | | | | | | |
| | | | | | | 311,929 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Paper & Forest Products — 0.3% | |
| | 1,681 | | | KapStone Paper and Packaging Corp. | | | 38,131 | |
| | | | | | | | |
| | | | Total Materials | | | 488,374 | |
| | | | | | | | |
| | | | Real Estate — 6.0% | | | | |
| | | | Equity Real Estate Investment Trusts (REITs) — 5.4% | |
| | 3,160 | | | American Homes 4 Rent, Class A | | | 69,025 | |
| | 4,405 | | | Brixmor Property Group, Inc. | | | 82,203 | |
| | 653 | | | EastGroup Properties, Inc. | | | 57,756 | |
| | 3,912 | | | Kimco Realty Corp. | | | 71,002 | |
| | 764 | | | Mid-America Apartment Communities, Inc. | | | 76,782 | |
| | 2,874 | | | Outfront Media, Inc. | | | 66,666 | |
| | 840 | | | Park Hotels & Resorts, Inc. | | | 24,161 | |
| | 368 | | | Public Storage | | | 76,975 | |
| | 2,825 | | | Rayonier, Inc. | | | 89,360 | |
| | 1,253 | | | Weyerhaeuser Co. | | | 44,177 | |
| | | | | | | | |
| | | | | | | 658,107 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.6% | |
| | 1,807 | | | CBRE Group, Inc., Class A (a) | | | 78,252 | |
| | | | | | | | |
| | | | Total Real Estate | | | 736,359 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.8% | |
| | | | Diversified Telecommunication Services — 0.8% | |
| | 1,803 | | | Verizon Communications, Inc. | | | 95,458 | |
| | | | | | | | |
| | | | Utilities — 4.7% | | | | |
| | | | Electric Utilities — 4.5% | | | | |
| | 1,778 | | | American Electric Power Co., Inc. | | | 130,802 | |
| | 667 | | | Duke Energy Corp. | | | 56,075 | |
| | 949 | | | Edison International | | | 60,015 | |
| | 1,018 | | | Eversource Energy | | | 64,305 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electric Utilities — continued | | | | |
| | 802 | | | NextEra Energy, Inc. | | | 125,216 | |
| | 2,385 | | | Xcel Energy, Inc. | | | 114,759 | |
| | | | | | | | |
| | | | | | | 551,172 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.2% | |
| | 204 | | | Sempra Energy | | | 21,805 | |
| | | | | | | | |
| | | | Total Utilities | | | 572,977 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $8,539,964) | | | 11,918,173 | |
| | | | | | | | |
NUMBER
OF RIGHTS | | | | | | |
| | Rights — 0.0% (g) | |
| | | | Consumer Discretionary — 0.0% (g) | |
| | | | Media — 0.0% (g) | |
| | 2,982 | | | Media General, Inc., CVR, expiring (a) (bb)
(Cost $–) | | | 146 | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | Short-Term Investment — 3.5% | |
| | | | Investment Company — 3.5% | | | | |
| | 424,781 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $424,781) | | | 424,781 | |
| | | | | | | | |
| | | | Total Investments — 100.6%
(Cost $8,964,745) | | | 12,343,100 | |
| | | | Liabilities in Excess of
Other Assets — (0.6)% | | | (76,266 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 12,266,834 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 37 | |
J.P. Morgan Mid Cap/Multi-Cap Funds
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| CVR | | — Contingent Value Rights |
| REIT | | — Real Estate Investment Trust |
| 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. |
| (j) | | — All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $20,637,000 and $108,487,000, respectively. |
| (l) | | — The rate shown is the current yield as of December 31, 2017. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
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| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 39 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(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 | | $ | 7,671,062 | | | $ | 2,928,492 | | | $ | 3,352,455 | |
Investments in affiliates, at value | | | 365,445 | | | | 100,898 | | | | 156,459 | |
Cash | | | — | | | | — | | | | — | (a) |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | 2,477 | | | | 1,187 | | | | 1,143 | |
Fund shares sold | | | 8,048 | | | | 2,200 | | | | 4,325 | |
Dividends from non-affiliates | | | 1,207 | | | | 2,778 | | | | 1,177 | |
Dividends from affiliates | | | 309 | | | | 97 | | | | 125 | |
| | | | | | | | | | | | |
Total Assets | | | 8,048,548 | | | | 3,035,652 | | | | 3,515,684 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | — | (a) | | | — | | | | — | |
Investment securities purchased | | | 7,650 | | | | 404 | | | | 673 | |
Fund shares redeemed | | | 6,029 | | | | 7,418 | | | | 10,264 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 3,944 | | | | 1,497 | | | | 1,877 | |
Administration fees | | | 265 | | | | 101 | | | | 227 | |
Distribution fees | | | 767 | | | | 104 | | | | 267 | |
Service fees | | | 764 | | | | 153 | | | | 366 | |
Custodian and accounting fees | | | 61 | | | | 25 | | | | 31 | |
Trustees’ and Chief Compliance Officer’s fees | | | 7 | | | | — | | | | — | |
Other | | | 323 | | | | 375 | | | | 321 | |
| | | | | | | | | | | | |
Total Liabilities | | | 19,810 | | | | 10,077 | | | | 14,026 | |
| | | | | | | | | | | | |
Net Assets | | $ | 8,028,738 | | | $ | 3,025,575 | | | $ | 3,501,658 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | |
Growth
Advantage
Fund | | | Mid Cap Equity Fund | | | Mid Cap
Growth
Fund | |
NET ASSETS: | | | | | | | | | | | | |
Paid-in-Capital | | $ | 4,867,665 | | | $ | 2,048,033 | | | $ | 2,556,481 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (24,479 | ) | | | (575 | ) | | | (11,642 | ) |
Accumulated net realized gains (losses) | | | 32,468 | | | | 13,110 | | | | 49,833 | |
Net unrealized appreciation (depreciation) | | | 3,153,084 | | | | 965,007 | | | | 906,986 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 8,028,738 | | | $ | 3,025,575 | | | $ | 3,501,658 | |
| | | | | | | | | | | | |
| | | |
Net Assets: | | | | | | | | | | | | |
Class A | | $ | 1,693,319 | | | $ | 401,373 | | | $ | 931,185 | |
Class C | | | 639,685 | | | | 29,401 | | | | 81,203 | |
Class I | | | 1,329,706 | | | | 361,931 | | | | 1,061,416 | |
Class R2 | | | 24 | | | | 411 | | | | 36,591 | |
Class R3 | | | 275 | | | | — | | | | 2,153 | |
Class R4 | | | 23 | | | | — | | | | 4,463 | |
Class R5 | | | 109,303 | | | | 5,659 | | | | 282,628 | |
Class R6 | | | 4,256,403 | | | | 2,226,800 | | | | 1,102,019 | |
| | | | | | | | | | | | |
Total | | $ | 8,028,738 | | | $ | 3,025,575 | | | $ | 3,501,658 | |
| | | | | | | | | | | | |
| | | |
Outstanding units of beneficial interest (shares) | | | | | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 86,065 | | | | 8,002 | | | | 31,966 | |
Class C | | | 36,790 | | | | 607 | | | | 3,518 | |
Class I | | | 65,763 | | | | 7,121 | | | | 31,752 | |
Class R2 | | | 1 | | | | 8 | | | | 1,155 | |
Class R3 | | | 14 | | | | — | | | | 65 | |
Class R4 | | | 1 | | | | — | | | | 133 | |
Class R5 | | | 5,316 | | | | 111 | | | | 8,364 | |
Class R6 | | | 206,076 | | | | 43,805 | | | | 32,484 | |
| | | |
Net Asset Value (a): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 19.67 | | | $ | 50.16 | | | $ | 29.13 | |
Class C — Offering price per share (b) | | | 17.39 | | | | 48.42 | | | | 23.08 | |
Class I — Offering and redemption price per share | | | 20.22 | | | | 50.83 | | | | 33.43 | |
Class R2 — Offering and redemption price per share | | | 19.65 | | | | 49.74 | | | | 31.68 | |
Class R3 — Offering and redemption price per share | | | 19.68 | | | | — | | | | 33.28 | |
Class R4 — Offering and redemption price per share | | | 20.21 | | | | — | | | | 33.40 | |
Class R5 — Offering and redemption price per share | | | 20.56 | | | | 50.82 | | | | 33.79 | |
Class R6 — Offering and redemption price per share | | | 20.65 | | | | 50.83 | | | | 33.92 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 20.76 | | | $ | 52.94 | | | $ | 30.74 | |
| | | | | | | | | | | | |
| | | |
Cost of investments in non-affiliates | | $ | 4,517,978 | | | $ | 1,963,485 | | | $ | 2,445,469 | |
Cost of investments in affiliates | | | 365,445 | | | | 100,898 | | | | 156,459 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 41 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited) (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 | | $ | 18,479,636 | | | $ | 110,018 | | | $ | 11,918,319 | |
Investments in affiliates, at value | | | 747,223 | | | | 13,115 | | | | 424,781 | |
Restricted cash for securities sold short | | | — | | | | 13 | | | | — | |
Cash | | | 1 | | | | 123 | | | | — | |
Deposits at broker for futures contracts | | | — | | | | 160 | | | | — | |
Deposits at broker for securities sold short | | | — | | | | 108,474 | | | | — | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | 9,029 | | | | 240 | | | | — | |
Fund shares sold | | | 21,941 | | | | — | | | | 9,928 | |
Dividends from non-affiliates | | | 28,753 | | | | 123 | | | | 10,851 | |
Dividends from affiliates | | | 680 | | | | 12 | | | | 391 | |
Variation margin on futures contracts | | | — | | | | 12 | | | | — | |
| | | | | | | | | | | | |
Total Assets | | | 19,287,263 | | | | 232,290 | | | | 12,364,270 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Securities sold short, at value | | | — | | | | 107,849 | | | | — | |
Dividend expense to non-affiliates on securities sold short | | | — | | | | 89 | | | | — | |
Investment securities purchased | | | 1,008 | | | | 179 | | | | — | |
Fund shares redeemed | | | 129,380 | | | | 7 | | | | 87,612 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 10,472 | | | | 62 | | | | 6,053 | |
Administration fees | | | 1,322 | | | | — | | | | 414 | |
Distribution fees | | | 687 | | | | 2 | | | | 753 | |
Service fees | | | 966 | | | | 26 | | | | 1,334 | |
Custodian and accounting fees | | | 158 | | | | 11 | | | | 101 | |
Trustees’ and Chief Compliance Officer’s fees | | | 70 | | | | — | | | | 31 | |
Other | | | 1,145 | | | | 10 | | | | 1,138 | |
| | | | | | | | | | | | |
Total Liabilities | | | 145,208 | | | | 108,235 | | | | 97,436 | |
| | | | | | | | | | | | |
Net Assets | | $ | 19,142,055 | | | $ | 124,055 | | | $ | 12,266,834 | |
| | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | | Mid Cap
Value Fund | | |
Multi-Cap
Market
Neutral Fund | | | Value
Advantage
Fund | |
NET ASSETS: | | | | | | | | | | | | |
Paid-in-Capital | | $ | 11,853,649 | | | $ | 111,673 | | | $ | 8,885,567 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (3,159 | ) | | | (260 | ) | | | (2,143 | ) |
Accumulated net realized gains (losses) | | | 73,412 | | | | (8,722 | ) | | | 5,055 | |
Net unrealized appreciation (depreciation) | | | 7,218,153 | | | | 21,364 | | | | 3,378,355 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 19,142,055 | | | $ | 124,055 | | | $ | 12,266,834 | |
| | | | | | | | | | | | |
| | | |
Net Assets: | | | | | | | | | | | | |
Class A | | $ | 2,215,850 | | | $ | 7,011 | | | $ | 1,532,975 | |
Class C | | | 255,149 | | | | 780 | | | | 672,156 | |
Class I | | | 3,087,279 | | | | 116,264 | | | | 2,509,432 | |
Class L | | | 12,578,641 | | | | — | | | | 4,082,008 | |
Class R2 | | | 88,752 | | | | — | | | | 27 | |
Class R3 | | | 53,094 | | | | — | | | | 861 | |
Class R4 | | | 14,884 | | | | — | | | | 1,991 | |
Class R5 | | | 88,600 | | | | — | | | | 5,276 | |
Class R6 | | | 759,806 | | | | — | | | | 3,462,108 | |
| | | | | | | | | | | | |
Total | | $ | 19,142,055 | | | $ | 124,055 | | | $ | 12,266,834 | |
| | | | | | | | | | | | |
| | | |
Outstanding units of beneficial interest (shares) | | | | | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 56,230 | | | | 677 | | | | 42,776 | |
Class C | | | 6,726 | | | | 81 | | | | 18,805 | |
Class I | | | 77,529 | | | | 10,926 | | | | 69,673 | |
Class L | | | 312,268 | | | | — | | | | 113,364 | |
Class R2 | | | 2,345 | | | | — | | | | 1 | |
Class R3 | | | 1,357 | | | | — | | | | 24 | |
Class R4 | | | 375 | | | | — | | | | 55 | |
Class R5 | | | 2,202 | | | | — | | | | 147 | |
Class R6 | | | 18,872 | | | | — | | | | 96,226 | |
| | | |
Net Asset Value (a): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 39.41 | | | $ | 10.36 | | | $ | 35.84 | |
Class C — Offering price per share (b) | | | 37.93 | | | | 9.65 | | | | 35.74 | |
Class I — Offering and redemption price per share | | | 39.82 | | | | 10.64 | | | | 36.02 | |
Class L — Offering and redemption price per share | | | 40.28 | | | | — | | | | 36.01 | |
Class R2 — Offering and redemption price per share | | | 37.85 | | | | — | | | | 35.72 | |
Class R3 — Offering and redemption price per share | | | 39.14 | | | | — | | | | 35.56 | |
Class R4 — Offering and redemption price per share | | | 39.68 | | | | — | | | | 35.88 | |
Class R5 — Offering and redemption price per share | | | 40.24 | | | | — | | | | 35.96 | |
Class R6 — Offering and redemption price per share | | | 40.26 | | | | — | | | | 35.98 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 41.59 | | | $ | 10.93 | | | $ | 37.83 | |
| | | | | | | | | | | | |
| | | |
Cost of investments in non-affiliates | | $ | 11,261,483 | | | $ | 86,178 | | | $ | 8,539,964 | |
Cost of investments in affiliates | | | 747,223 | | | | 13,115 | | | | 424,781 | |
Proceeds from securities sold short | | | — | | | | 105,382 | | | | — | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 43 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | | | | | |
| | |
Growth
Advantage
Fund | | | Mid Cap
Equity Fund | | | Mid Cap
Growth
Fund | |
INVESTMENT INCOME: | |
Interest income from affiliates | | $ | 5 | | | $ | 1 | | | $ | 1 | |
Dividend income from non-affiliates | | | 20,110 | | | | 16,380 | | | | 9,132 | |
Dividend income from affiliates | | | 1,309 | | | | 467 | | | | 584 | |
| | | | | | | | | | | | |
Total investment income | | | 21,424 | | | | 16,848 | | | | 9,717 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 24,852 | | | | 9,554 | | | | 10,744 | |
Administration fees | | | 3,113 | | | | 1,197 | | | | 1,346 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 2,045 | | | | 488 | | | | 1,146 | |
Class C | | | 2,366 | | | | 113 | | | | 333 | |
Class R2 (a) | | | — | (b) | | | 1 | | | | 94 | |
Class R3 | | | — | (b) | | | — | | | | 1 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 2,045 | | | | 488 | | | | 1,146 | |
Class C | | | 789 | | | | 38 | | | | 111 | |
Class I | | | 1,827 | | | | 645 | | | | 1,326 | |
Class R2 (a) | | | — | (b) | | | 1 | | | | 47 | |
Class R3 | | | — | (b) | | | — | | | | 1 | |
Class R4 | | | — | (b) | | | — | | | | 1 | |
Class R5 | | | 52 | | | | 2 | | | | 133 | |
Custodian and accounting fees | | | 97 | | | | 37 | | | | 49 | |
Professional fees | | | 80 | | | | 43 | | | | 43 | |
Trustees’ and Chief Compliance Officer’s fees | | | 16 | | | | 17 | | | | 18 | |
Printing and mailing costs | | | 198 | | | | 154 | | | | 128 | |
Registration and filing fees | | | 135 | | | | 80 | | | | 93 | |
Transfer agency fees (See Note 2.E.) | | | 121 | | | | 23 | | | | 245 | |
Other | | | 64 | | | | 22 | | | | 31 | |
| | | | | | | | | | | | |
Total expenses | | | 37,800 | | | | 12,903 | | | | 17,036 | |
| | | | | | | | | | | | |
Less fees waived | | | (1,869 | ) | | | (956 | ) | | | (955 | ) |
Less earnings credits | | | — | (b) | | | — | | | | — | (b) |
Less expense reimbursements | | | (5 | ) | | | — | | | | (16 | ) |
| | | | | | | | | | | | |
Net expenses | | | 35,926 | | | | 11,947 | | | | 16,065 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | (14,502 | ) | | | 4,901 | | | | (6,348 | ) |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from investments in non-affiliates | | | 314,450 | | | | 111,050 | | | | 183,499 | |
Change in net unrealized appreciation/depreciation on investments in non-affiliates | | | 715,462 | | | | 151,100 | | | | 193,194 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 1,029,912 | | | | 262,150 | | | | 376,693 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 1,015,410 | | | $ | 267,051 | | | $ | 370,345 | |
| | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Growth Advantage Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | | Mid Cap
Value Fund | | |
Multi-Cap
Market
Neutral Fund | | | Value
Advantage
Fund | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | | $ | — | | | $ | — | (a) | | $ | — | |
Interest income from affiliates | | | 8 | | | | — | (a) | | | 8 | |
Dividend income from non-affiliates | | | 156,946 | | | | 845 | | | | 127,066 | |
Dividend income from affiliates | | | 3,368 | | | | 59 | | | | 2,128 | |
Non-cash dividend income from non-affiliates | | | — | | | | 100 | | | | — | |
Interest income from non-affiliates on securities sold short | | | — | | | | 416 | | | | — | |
| | | | | | | | | | | | |
Total investment income | | | 160,322 | | | | 1,420 | | | | 129,202 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 61,108 | | | | 501 | | | | 38,077 | |
Administration fees | | | 7,655 | | | | 51 | | | | 4,769 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 2,667 | | | | 7 | | | | 1,824 | |
Class C | | | 1,476 | | | | 10 | | | | 2,695 | |
Class R2 (b) | | | 217 | | | | — | | | | — | (a) |
Class R3 | | | 43 | | | | — | | | | 1 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 2,667 | | | | 7 | | | | 1,824 | |
Class C | | | 492 | | | | 3 | | | | 898 | |
Class I | | | 3,764 | | | | 147 | | | | 2,959 | |
Class L | | | 6,272 | | | | — | | | | 1,956 | |
Class R2 (b) | | | 109 | | | | — | | | | — | (a) |
Class R3 | | | 43 | | | | — | | | | 1 | |
Class R4 | | | 11 | | | | — | | | | 1 | |
Class R5 | | | 35 | | | | — | | | | 2 | |
Custodian and accounting fees | | | 237 | | | | 17 | | | | 147 | |
Professional fees | | | 133 | | | | 24 | | | | 103 | |
Trustees’ and Chief Compliance Officer’s fees | | | 18 | | | | 13 | | | | 13 | |
Printing and mailing costs | | | 659 | | | | 5 | | | | 419 | |
Registration and filing fees | | | 337 | | | | 23 | | | | 230 | |
Transfer agency fees (See Note 2.E.) | | | 491 | | | | 2 | | | | 138 | |
Sub-transfer agency fees (See Note 2.E.) | | | — | (a) | | | — | | | | — | |
Other | | | 167 | | | | 25 | | | | 81 | |
Dividend expense to non-affiliates on securities sold short | | | — | | | | 853 | | | | — | |
| | | | | | | | | | | | |
Total expenses | | | 88,601 | | | | 1,688 | | | | 56,138 | |
| | | | | | | | | | | | |
Less fees waived | | | (7,280 | ) | | | (210 | ) | | | (4,093 | ) |
Less earnings credits | | | — | | | | — | | | | — | (a) |
Less expense reimbursements | | | (224 | ) | | | — | | | | (18 | ) |
| | | | | | | | | | | | |
Net expenses | | | 81,097 | | | | 1,478 | | | | 52,027 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 79,225 | | | | (58 | ) | | | 77,175 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments in non-affiliates | | | 173,349 | | | | 6,718 | | | | 86,981 | |
Futures contracts | | | — | | | | (139 | ) | | | — | |
Securities sold short | | | — | | | | (7,776 | ) | | | — | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 173,349 | | | | (1,197 | ) | | | 86,981 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | | | | | |
Investments in non-affiliates | | | 992,388 | | | | 6,194 | | | | 897,398 | |
Futures contracts | | | — | | | | (22 | ) | | | — | |
Securities sold short | | | — | | | | (29 | ) | | | — | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 992,388 | | | | 6,143 | | | | 897,398 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 1,165,737 | | | | 4,946 | | | | 984,379 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 1,244,962 | | | $ | 4,888 | | | $ | 1,061,554 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Value Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 45 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Growth Advantage Fund | | | Mid Cap Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | (14,502 | ) | | $ | (20,857 | ) | | $ | 4,901 | | | $ | 8,576 | |
Net realized gain (loss) | | | 314,450 | | | | 258,483 | | | | 111,050 | | | | 120,548 | |
Change in net unrealized appreciation/depreciation | | | 715,462 | | | | 1,188,472 | | | | 151,100 | | | | 282,160 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 1,015,410 | | | | 1,426,098 | | | | 267,051 | | | | 411,284 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | | | | (356 | ) |
From net realized gains | | | (69,162 | ) | | | — | | | | (21,659 | ) | | | (10,459 | ) |
Class C | | | | | | | | | | | | | | | | |
From net realized gains | | | (29,276 | ) | | | — | | | | (1,665 | ) | | | (964 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (521 | ) | | | (2,165 | ) |
From net realized gains | | | (52,479 | ) | | | — | | | | (19,740 | ) | | | (20,374 | ) |
Class R2 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | | | | — | (b) |
From net realized gains | | | (1 | ) | | | — | | | | (22 | ) | | | (19 | ) |
Class R3 (c) | | | | | | | | | | | | | | | | |
From net realized gains | | | (11 | ) | | | — | | | | — | | | | — | |
Class R4 (c) | | | | | | | | | | | | | | | | |
From net realized gains | | | (1 | ) | | | — | | | | — | | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (17 | ) | | | (11 | ) |
From net realized gains | | | (4,273 | ) | | | — | | | | (300 | ) | | | (84 | ) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (7,565 | ) | | | (6,472 | ) |
From net realized gains | | | (165,239 | ) | | | — | | | | (118,825 | ) | | | (46,392 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (320,442 | ) | | | — | | | | (170,314 | ) | | | (87,296 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 235,860 | | | | (291,788 | ) | | | 120,360 | | | | 120,141 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 930,828 | | | | 1,134,310 | | | | 217,097 | | | | 444,129 | |
Beginning of period | | | 7,097,910 | | | | 5,963,600 | | | | 2,808,478 | | | | 2,364,349 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 8,028,738 | | | $ | 7,097,910 | | | $ | 3,025,575 | | | $ | 2,808,478 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (24,479 | ) | | $ | (9,977 | ) | | $ | (575 | ) | | $ | 2,627 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Growth Advantage Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Mid Cap Growth Fund | | | Mid Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | (6,348 | ) | | $ | (9,289 | ) | | $ | 79,225 | | | $ | 140,662 | |
Net realized gain (loss) | | | 183,499 | | | | 128,903 | | | | 173,349 | | | | 458,502 | |
Change in net unrealized appreciation/depreciation | | | 193,194 | | | | 403,806 | | | | 992,388 | | | | 1,674,398 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 370,345 | | | | 523,420 | | | | 1,244,962 | | | | 2,273,562 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (10,151 | ) | | | (9,018 | ) |
From net realized gains | | | (64,175 | ) | | | (449 | ) | | | (40,349 | ) | | | (135,546 | ) |
Class C | | | | | | | | | | | | | | | | |
From net realized gains | | | (6,964 | ) | | | (55 | ) | | | (4,819 | ) | | | (33,147 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (21,474 | ) | | | (17,549 | ) |
From net realized gains | | | (64,653 | ) | | | (390 | ) | | | (54,995 | ) | | | (155,821 | ) |
Class L | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (115,010 | ) | | | (100,129 | ) |
From net realized gains | | | — | | | | — | | | | (224,024 | ) | | | (669,173 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (285 | ) | | | (133 | ) |
From net realized gains | | | (2,500 | ) | | | (11 | ) | | | (1,680 | ) | | | (4,114 | ) |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (401 | ) | | | — | (b) |
From net realized gains | | | (102 | ) | | | — | (b) | | | (954 | ) | | | (1 | ) |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (124 | ) | | | — | (b) |
From net realized gains | | | (242 | ) | | | — | (b) | | | (261 | ) | | | (1 | ) |
Class R5 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (715 | ) | | | — | (b) |
From net realized gains | | | (16,962 | ) | | | (96 | ) | | | (1,450 | ) | | | (1 | ) |
Class R6 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (6,725 | ) | | | (437 | ) |
From net realized gains | | | (63,898 | ) | | | (275 | ) | | | (12,644 | ) | | | (2,480 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (219,496 | ) | | | (1,276 | ) | | | (496,061 | ) | | | (1,127,550 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 262,531 | | | | (285,349 | ) | | | (9,858 | ) | | | 1,692,858 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 413,380 | | | | 236,795 | | | | 739,043 | | | | 2,838,870 | |
Beginning of period | | | 3,088,278 | | | | 2,851,483 | | | | 18,403,012 | | | | 15,564,142 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 3,501,658 | | | $ | 3,088,278 | | | $ | 19,142,055 | | | $ | 18,403,012 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (11,642 | ) | | $ | (5,294 | ) | | $ | (3,159 | ) | | $ | 72,501 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 47 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Multi-Cap Market Neutral Fund | | | Value Advantage Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | (58 | ) | | $ | (927 | ) | | $ | 77,175 | | | $ | 120,170 | |
Net realized gain (loss) | | | (1,197 | ) | | | 3,497 | | | | 86,981 | | | | 526,307 | |
Change in net unrealized appreciation/depreciation | | | 6,143 | | | | (141 | ) | | | 897,398 | | | | 1,078,370 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 4,888 | | | | 2,429 | | | | 1,061,554 | | | | 1,724,847 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (12,114 | ) | | | (17,004 | ) |
From net realized gains | | | — | | | | — | | | | (14,662 | ) | | | — | |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (1,306 | ) | | | (4,071 | ) |
From net realized gains | | | — | | | | — | | | | (6,508 | ) | | | — | |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (27,074 | ) | | | (17,338 | ) |
From net realized gains | | | — | | | | — | | | | (23,851 | ) | | | — | |
Class L | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (51,294 | ) | | | (51,645 | ) |
From net realized gains | | | — | | | | — | | | | (38,934 | ) | | | — | |
Class R2 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | — | (b) | | | — | |
From net realized gains | | | — | | | | — | | | | — | (b) | | | — | |
Class R3 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (9 | ) | | | — | (b) |
From net realized gains | | | — | | | | — | | | | (8 | ) | | | — | |
Class R4 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (24 | ) | | | — | (b) |
From net realized gains | | | — | | | | — | | | | (19 | ) | | | — | |
Class R5 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (65 | ) | | | — | (b) |
From net realized gains | | | — | | | | — | | | | (50 | ) | | | — | |
Class R6 (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (44,453 | ) | | | (44,017 | ) |
From net realized gains | | | — | | | | — | | | | (33,205 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | — | | | | — | | | | (253,576 | ) | | | (134,075 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | (5,218 | ) | | | (66,147 | ) | | | 400,830 | | | | (623,697 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | (330 | ) | | | (63,718 | ) | | | 1,208,808 | | | | 967,075 | |
Beginning of period | | | 124,385 | | | | 188,103 | | | | 11,058,026 | | | | 10,090,951 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 124,055 | | | $ | 124,385 | | | $ | 12,266,834 | | | $ | 11,058,026 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (260 | ) | | $ | (202 | ) | | $ | (2,143 | ) | | $ | 57,021 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Value Advantage Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Growth Advantage Fund | | | Mid Cap Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 178,364 | | | $ | 381,174 | | | $ | 32,398 | | | $ | 121,592 | |
Distributions reinvested | | | 67,889 | | | | — | | | | 21,589 | | | | 10,791 | |
Cost of shares redeemed | | | (249,414 | ) | | | (822,569 | ) | | | (43,585 | ) | | | (133,304 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | (3,161 | ) | | $ | (441,395 | ) | | $ | 10,402 | | | $ | (921 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | �� | $ | 67,016 | | | $ | 114,033 | | | $ | 1,374 | | | $ | 7,205 | |
Distributions reinvested | | | 27,784 | | | | — | | | | 1,665 | | | | 964 | |
Cost of shares redeemed | | | (113,527 | ) | | | (227,966 | ) | | | (5,146 | ) | | | (13,282 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (18,727 | ) | | $ | (113,933 | ) | | $ | (2,107 | ) | | $ | (5,113 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 335,815 | | | $ | 917,922 | | | $ | 50,731 | | | $ | 289,476 | |
Distributions reinvested | | | 48,329 | | | | — | | | | 19,948 | | | | 19,559 | |
Cost of shares redeemed | | | (886,320 | ) | | | (424,343 | ) | | | (504,247 | ) | | | (241,418 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (502,176 | ) | | $ | 493,579 | | | $ | (433,568 | ) | | $ | 67,617 | |
| | | | | | | | | | | | | | | | |
Class R2 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 22 | | | $ | — | | | $ | 34 | | | $ | 107 | |
Distributions reinvested | | | 1 | | | | — | | | | 19 | | | | 13 | |
Cost of shares redeemed | | | — | | | | — | | | | (264 | ) | | | (284 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 23 | | | $ | — | | | $ | (211 | ) | | $ | (164 | ) |
| | | | | | | | | | | | | | | | |
Class R3 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 248 | | | $ | 20 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 11 | | | | — | | | | — | | | | — | |
Cost of shares redeemed | | | (13 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 246 | | | $ | 20 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | (c) | | $ | 20 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 1 | | | $ | 20 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 9,111 | | | $ | 17,853 | | | $ | 3,656 | | | $ | 831 | |
Distributions reinvested | | | 4,273 | | | | — | | | | 317 | | | | 95 | |
Cost of shares redeemed | | | (9,738 | ) | | | (23,614 | ) | | | (229 | ) | | | (2,320 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 3,646 | | | $ | (5,761 | ) | | $ | 3,744 | | | $ | (1,394 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 893,983 | | | $ | 161,959 | | | $ | 534,283 | | | $ | 173,778 | |
Distributions reinvested | | | 165,238 | | | | — | | | | 126,386 | | | | 52,511 | |
Cost of shares redeemed | | | (303,213 | ) | | | (386,277 | ) | | | (118,569 | ) | | | (166,173 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 756,008 | | | $ | (224,318 | ) | | $ | 542,100 | | | $ | 60,116 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 235,860 | | | $ | (291,788 | ) | | $ | 120,360 | | | $ | 120,141 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Growth Advantage Fund. |
| (b) | Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund. |
| (c) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 49 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Growth Advantage Fund | | | Mid Cap Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 9,224 | | | | 23,931 | | | | 645 | | | | 2,680 | |
Reinvested | | | 3,464 | | | | — | | | | 435 | | | | 244 | |
Redeemed | | | (12,967 | ) | | | (51,511 | ) | | | (869 | ) | | | (2,942 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | (279 | ) | | | (27,580 | ) | | | 211 | | | | (18 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 3,908 | | | | 7,911 | | | | 28 | | | | 164 | |
Reinvested | | | 1,603 | | | | — | | | | 35 | | | | 22 | |
Redeemed | | | (6,619 | ) | | | (16,036 | ) | | | (106 | ) | | | (302 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (1,108 | ) | | | (8,125 | ) | | | (43 | ) | | | (116 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 17,170 | | | | 55,638 | | | | 1,010 | | | | 6,309 | |
Reinvested | | | 2,400 | | | | — | | | | 396 | | | | 436 | |
Redeemed | | | (45,738 | ) | | | (26,275 | ) | | | (10,129 | ) | | | (5,239 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (26,168 | ) | | | 29,363 | | | | (8,723 | ) | | | 1,506 | |
| | | | | | | | | | | | | | | | |
Class R2 (a) | | | | | | | | | | | | | | | | |
Issued | | | 1 | | | | — | | | | 1 | | | | 2 | |
Reinvested | | | — | (b) | | | — | | | | — | (b) | | | — | (b) |
Redeemed | | | — | | | | — | | | | (5 | ) | | | (6 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | 1 | | | | — | | | | (4 | ) | | | (4 | ) |
| | | | | | | | | | | | | | | | |
Class R3 (c) | | | | | | | | | | | | | | | | |
Issued | | | 13 | | | | 1 | | | | — | | | | — | |
Reinvested | | | — | (b) | | | — | | | | — | | | | — | |
Redeemed | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 13 | | | | 1 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | (b) | | | 1 | | | | — | | | | — | |
Reinvested | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | (b) | | | 1 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Issued | | | 455 | | | | 1,062 | | | | 73 | | | | 19 | |
Reinvested | | | 209 | | | | — | | | | 6 | | | | 2 | |
Redeemed | | | (482 | ) | | | (1,434 | ) | | | (5 | ) | | | (49 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 182 | | | | (372 | ) | | | 74 | | | | (28 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | 44,997 | | | | 9,786 | | | | 10,700 | | | | 3,807 | |
Reinvested | | | 8,033 | | | | — | | | | 2,502 | | | | 1,169 | |
Redeemed | | | (15,038 | ) | | | (23,089 | ) | | | (2,319 | ) | | | (3,615 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 37,992 | | | | (13,303 | ) | | | 10,883 | | | | 1,361 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Growth Advantage Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Mid Cap Growth Fund | | | Mid Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 59,100 | | | $ | 98,041 | | | $ | 273,856 | | | $ | 419,157 | |
Distributions reinvested | | | 61,743 | | | | 434 | | | | 45,299 | | | | 131,659 | |
Cost of shares redeemed | | | (141,617 | ) | | | (295,300 | ) | | | (342,168 | ) | | | (852,023 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | (20,774 | ) | | $ | (196,825 | ) | | $ | (23,013 | ) | | $ | (301,207 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 5,867 | | | $ | 16,838 | | | $ | 4,480 | | | $ | 23,292 | |
Distributions reinvested | | | 6,179 | | | | 49 | | | | 4,180 | | | | 26,948 | |
Cost of shares redeemed | | | (24,086 | ) | | | (38,935 | ) | | | (220,845 | ) | | | (180,218 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (12,040 | ) | | $ | (22,048 | ) | | $ | (212,185 | ) | | $ | (129,978 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 167,798 | | | $ | 310,137 | | | $ | 325,428 | | | $ | 963,041 | |
Distributions reinvested | | | 61,456 | | | | 339 | | | | 70,707 | | | | 157,140 | |
Cost of shares redeemed | | | (271,341 | ) | | | (362,253 | ) | | | (333,049 | ) | | | (727,688 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (42,087 | ) | | $ | (51,777 | ) | | $ | 63,086 | | | $ | 392,493 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 966,037 | | | $ | 3,537,449 | |
Distributions reinvested | | | — | | | | — | | | | 306,472 | | | | 668,445 | |
Cost of shares redeemed | | | — | | | | — | | | | (1,667,338 | ) | | | (2,817,548 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class L capital transactions | | $ | — | | | $ | — | | | $ | (394,829 | ) | | $ | 1,388,346 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 6,243 | | | $ | 17,018 | | | $ | 7,990 | | | $ | 37,304 | |
Distributions reinvested | | | 2,362 | | | | 10 | | | | 1,815 | | | | 3,910 | |
Cost of shares redeemed | | | (8,884 | ) | | | (19,788 | ) | | | (9,853 | ) | | | (26,653 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | (279 | ) | | $ | (2,760 | ) | | $ | (48 | ) | | $ | 14,561 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,992 | | | $ | 154 | | | $ | 34,667 | | | $ | 19,636 | |
Distributions reinvested | | | 102 | | | | — | (b) | | | 1,347 | | | | 1 | |
Cost of shares redeemed | | | (91 | ) | | | (12 | ) | | | (3,298 | ) | | | (706 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 2,003 | | | $ | 142 | | | $ | 32,716 | | | $ | 18,931 | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 4,346 | | | $ | 122 | | | $ | 12,566 | | | $ | 3,529 | |
Distributions reinvested | | | 242 | | | | — | (b) | | | 385 | | | | 1 | |
Cost of shares redeemed | | | (114 | ) | | | (2 | ) | | | (1,916 | ) | | | (38 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 4,474 | | | $ | 120 | | | $ | 11,035 | | | $ | 3,492 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 29,406 | | | $ | 40,930 | | | $ | 64,135 | | | $ | 30,405 | |
Distributions reinvested | | | 15,915 | | | | 91 | | | | 2,165 | | | | 1 | |
Cost of shares redeemed | | | (22,932 | ) | | | (60,912 | ) | | | (10,462 | ) | | | (421 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 22,389 | | | $ | (19,891 | ) | | $ | 55,838 | | | $ | 29,985 | |
| | | | | | | | | | | | | | | | |
Class R6 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 342,336 | | | $ | 197,543 | | | $ | 509,174 | | | $ | 292,949 | |
Distributions reinvested | | | 63,657 | | | | 274 | | | | 18,936 | | | | 2,917 | |
Cost of shares redeemed | | | (97,148 | ) | | | (190,127 | ) | | | (70,568 | ) | | | (19,631 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 308,845 | | | $ | 7,690 | | | $ | 457,542 | | | $ | 276,235 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 262,531 | | | $ | (285,349 | ) | | $ | (9,858 | ) | | $ | 1,692,858 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 51 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Mid Cap Growth Fund | | | Mid Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 2,003 | | | | 3,890 | | | | 7,078 | | | | 11,445 | |
Reinvested | | | 2,145 | | | | 18 | | | | 1,153 | | | | 3,648 | |
Redeemed | | | (4,879 | ) | | | (11,718 | ) | | | (8,865 | ) | | | (23,250 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | (731 | ) | | | (7,810 | ) | | | (634 | ) | | | (8,157 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 249 | | | | 818 | | | | 120 | | | | 663 | |
Reinvested | | | 271 | | | | 3 | | | | 111 | | | | 778 | |
Redeemed | | | (1,006 | ) | | | (1,896 | ) | | | (5,951 | ) | | | (5,080 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (486 | ) | | | (1,075 | ) | | | (5,720 | ) | | | (3,639 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 5,081 | | | | 10,786 | | | | 8,350 | | | | 26,028 | |
Reinvested | | | 1,861 | | | | 12 | | | | 1,778 | | | | 4,300 | |
Redeemed | | | (8,228 | ) | | | (12,803 | ) | | | (8,515 | ) | | | (19,566 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (1,286 | ) | | | (2,005 | ) | | | 1,613 | | | | 10,762 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 24,445 | | | | 94,419 | |
Reinvested | | | — | | | | — | | | | 7,611 | | | | 18,060 | |
Redeemed | | | — | | | | — | | | | (42,192 | ) | | | (75,042 | ) |
| | | | | | | | | | | | | | | | |
Change in Class L Shares | | | — | | | | — | | | | (10,136 | ) | | | 37,437 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Issued | | | 196 | | | | 629 | | | | 216 | | | | 1,050 | |
Reinvested | | | 75 | | | | — | (a) | | | 48 | | | | 113 | |
Redeemed | | | (279 | ) | | | (729 | ) | | | (266 | ) | | | (754 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | (8 | ) | | | (100 | ) | | | (2 | ) | | | 409 | |
| | | | | | | | | | | | | | | | |
Class R3 (b) | | | | | | | | | | | | | | | | |
Issued | | | 60 | | | | 5 | | | | 898 | | | | 530 | |
Reinvested | | | 3 | | | | — | (a) | | | 34 | | | | — | (a) |
Redeemed | | | (3 | ) | | | — | (a) | | | (86 | ) | | | (19 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 60 | | | | 5 | | | | 846 | | | | 511 | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | | | | | | | | | | | | | | | | |
Issued | | | 125 | | | | 4 | | | | 320 | | | | 94 | |
Reinvested | | | 7 | | | | — | (a) | | | 10 | | | | — | (a) |
Redeemed | | | (3 | ) | | | — | (a) | | | (48 | ) | | | (1 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | 129 | | | | 4 | | | | 282 | | | | 93 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Issued | | | 865 | | | | 1,404 | | | | 1,630 | | | | 795 | |
Reinvested | | | 477 | | | | 3 | | | | 54 | | | | — | (a) |
Redeemed | | | (678 | ) | | | (2,103 | ) | | | (266 | ) | | | (11 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 664 | | | | (696 | ) | | | 1,418 | | | | 784 | |
| | | | | | | | | | | | | | | | |
Class R6 (c) | | | | | | | | | | | | | | | | |
Issued | | | 10,160 | | | | 6,766 | | | | 12,903 | | | | 7,706 | |
Reinvested | | | 1,899 | | | | 10 | | | | 470 | | | | 79 | |
Redeemed | | | (2,858 | ) | | | (6,595 | ) | | | (1,771 | ) | | | (515 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 9,201 | | | | 181 | | | | 11,602 | | | | 7,270 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Multi-Cap Market Neutral Fund | | | Value Advantage Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,422 | | | $ | 1,341 | | | $ | 194,487 | | | $ | 526,758 | |
Distributions reinvested | | | — | | | | — | | | | 25,163 | | | | 16,190 | |
Cost of shares redeemed | | | (908 | ) | | | (2,701 | ) | | | (222,194 | ) | | | (1,438,824 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 1,514 | | | $ | (1,360 | ) | | $ | (2,544 | ) | | $ | (895,876 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 21 | | | $ | 57 | | | $ | 29,782 | | | $ | 124,351 | |
Distributions reinvested | | | — | | | | — | | | | 7,029 | | | | 3,544 | |
Cost of shares redeemed | | | (2,636 | ) | | | (2,962 | ) | | | (162,413 | ) | | | (223,429 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (2,615 | ) | | $ | (2,905 | ) | | $ | (125,602 | ) | | $ | (95,534 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 348 | | | $ | 1,846 | | | $ | 437,854 | | | $ | 1,247,895 | |
Distributions reinvested | | | — | | | | — | | | | 44,769 | | | | 12,528 | |
Cost of shares redeemed | | | (4,465 | ) | | | (63,728 | ) | | | (302,400 | ) | | | (728,849 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (4,117 | ) | | $ | (61,882 | ) | | $ | 180,223 | | | $ | 531,574 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 589,635 | | | $ | 1,631,959 | |
Distributions reinvested | | | — | | | | — | | | | 85,647 | | | | 45,687 | |
Cost of shares redeemed | | | — | | | | — | | | | (504,981 | ) | | | (3,876,760 | ) |
Redemptions in-kind (See Note 7) | | | — | | | | — | | | | — | | | | (644,712 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class L capital transactions | | $ | — | | | $ | — | | | $ | 170,301 | | | $ | (2,843,826 | ) |
| | | | | | | | | | | | | | | | |
Class R2 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 26 | | | $ | — | |
Distributions reinvested | | | — | | | | — | | | | — | (b) | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | — | | | $ | — | | | $ | 26 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R3 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 466 | | | $ | 393 | |
Distributions reinvested | | | — | | | | — | | | | 14 | | | | — | (b) |
Cost of shares redeemed | | | — | | | | — | | | | (51 | ) | | | (15 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | — | | | $ | — | | | $ | 429 | | | $ | 378 | |
| | | | | | | | | | | | | | | | |
Class R4 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 3,959 | | | $ | 31 | |
Distributions reinvested | | | — | | | | — | | | | 43 | | | | — | (b) |
Cost of shares redeemed | | | — | | | | — | | | | (2,097 | ) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | — | | | $ | — | | | $ | 1,905 | | | $ | 31 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 4,874 | | | $ | 415 | |
Distributions reinvested | | | — | | | | — | | | | 115 | | | | — | (b) |
Cost of shares redeemed | | | — | | | | — | | | | (402 | ) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | — | | | $ | — | | | $ | 4,587 | | | $ | 415 | |
| | | | | | | | | | | | | | | | |
Class R6 (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 233,832 | | | $ | 2,989,115 | |
Distributions reinvested | | | — | | | | — | | | | 77,658 | | | | 44,017 | |
Cost of shares redeemed | | | — | | | | — | | | | (139,985 | ) | | | (353,991 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | — | | | $ | — | | | $ | 171,505 | | | $ | 2,679,141 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (5,218 | ) | | $ | (66,147 | ) | | $ | 400,830 | | | $ | (623,697 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Value Advantage Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 53 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Multi-Cap Market Neutral Fund | | | Value Advantage Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 235 | | | | 133 | | | | 5,652 | | | | 16,726 | |
Reinvested | | | — | | | | — | | | | 704 | | | | 497 | |
Redeemed | | | (89 | ) | | | (270 | ) | | | (6,468 | ) | | | (45,710 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 146 | | | | (137 | ) | | | (112 | ) | | | (28,487 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 2 | | | | 6 | | | | 870 | | | | 3,919 | |
Reinvested | | | — | | | | — | | | | 198 | | | | 109 | |
Redeemed | | | (274 | ) | | | (315 | ) | | | (4,750 | ) | | | (7,093 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (272 | ) | | | (309 | ) | | | (3,682 | ) | | | (3,065 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 33 | | | | 180 | | | | 12,692 | | | | 38,266 | |
Reinvested | | | — | | | | — | | | | 1,245 | | | | 383 | |
Redeemed | | | (428 | ) | | | (6,171 | ) | | | (8,680 | ) | | | (23,245 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (395 | ) | | | (5,991 | ) | | | 5,257 | | | | 15,404 | |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 17,022 | | | | 51,361 | |
Reinvested | | | — | | | | — | | | | 2,380 | | | | 1,397 | |
Redeemed | | | — | | | | — | | | | (14,364 | ) | | | (129,686 | ) |
Redemptions in-kind (See Note 7) | | | — | | | | — | | | | — | | | | (19,228 | ) |
| | | | | | | | | | | | | | | | |
Change in Class L Shares | | | — | | | | — | | | | 5,038 | | | | (96,156 | ) |
| | | | | | | | | | | | | | | | |
Class R2 (a) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 1 | | | | — | |
Reinvested | | | — | | | | — | | | | — | (b) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | — | | | | — | | | | 1 | | | | — | |
| | | | | | | | | | | | | | | | |
Class R3 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 13 | | | | 12 | |
Reinvested | | | — | | | | — | | | | 1 | | | | — | (b) |
Redeemed | | | — | | | | — | | | | (2 | ) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | — | | | | — | | | | 12 | | | | 12 | |
| | | | | | | | | | | | | | | | |
Class R4 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 113 | | | | 1 | |
Reinvested | | | — | | | | — | | | | 1 | | | | — | (b) |
Redeemed | | | — | | | | — | | | | (60 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | | | | — | | | | 54 | | | | 1 | |
| | | | | | | | | | | | | | | | |
Class R5 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 143 | | | | 12 | |
Reinvested | | | — | | | | — | | | | 3 | | | | — | (b) |
Redeemed | | | — | | | | — | | | | (11 | ) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | — | | | | — | | | | 135 | | | | 12 | |
| | | | | | | | | | | | | | | | |
Class R6 (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 6,676 | | | | 100,995 | |
Reinvested | | | — | | | | — | | | | 2,160 | | | | 1,347 | |
Redeemed | | | — | | | | — | | | | (3,944 | ) | | | (11,008 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | — | | | | — | | | | 4,892 | | | | 91,334 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017 for Value Advantage Fund. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
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| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 55 | |
FINANCIAL HIGHLIGHTS
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 17.95 | | | $ | (0.06 | ) | | $ | 2.62 | | | $ | 2.56 | | | $ | — | | | $ | (0.84 | ) | | $ | (0.84 | ) |
Year Ended June 30, 2017 | | | 14.42 | | | | (0.09 | ) | | | 3.62 | | | | 3.53 | | | | — | | | | — | | | | — | |
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 | (f) | | | 1.97 | | | | 1.98 | | | | (0.01 | ) | | | (0.03 | ) | | | (0.04 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.99 | | | | (0.10 | ) | | | 2.34 | | | | 2.24 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
Year Ended June 30, 2017 | | | 12.91 | | | | (0.15 | ) | | | 3.23 | | | | 3.08 | | | | — | | | | — | | | | — | |
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 | )(f) | | | 1.81 | | | | 1.77 | | | | — | | | | (0.03 | ) | | | (0.03 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.40 | | | | (0.04 | ) | | | 2.70 | | | | 2.66 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
Year Ended June 30, 2017 | | | 14.75 | | | | (0.05 | ) | | | 3.70 | | | | 3.65 | | | | — | | | | — | | | | — | |
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 | (f) | | | 1.98 | | | | 2.02 | | | | (0.02 | ) | | | (0.03 | ) | | | (0.05 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (g) through December 31, 2017 (Unaudited) | | | 18.47 | | | | (0.07 | ) | | | 2.09 | | | | 2.02 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.96 | | | | (0.05 | ) | | | 2.61 | | | | 2.56 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
May 31, 2017 (g) through June 30, 2017 | | | 17.85 | | | | (0.01 | ) | | | 0.12 | | | | 0.11 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.40 | | | | (0.04 | ) | | | 2.69 | | | | 2.65 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
May 31, 2017 (g) through June 30, 2017 | | | 18.29 | | | | — | (h) | | | 0.11 | | | | 0.11 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.69 | | | | (0.02 | ) | | | 2.73 | | | | 2.71 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
Year Ended June 30, 2017 | | | 14.96 | | | | (0.03 | ) | | | 3.76 | | | | 3.73 | | | | — | | | | — | | | | — | |
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 | (f) | | | 2.01 | | | | 2.07 | | | | (0.05 | ) | | | (0.03 | ) | | | (0.08 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.76 | | | | (0.01 | ) | | | 2.74 | | | | 2.73 | | | | — | | | | (0.84 | ) | | | (0.84 | ) |
Year Ended June 30, 2017 | | | 15.00 | | | | (0.01 | ) | | | 3.77 | | | | 3.76 | | | | — | | | | — | | | | — | |
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 (g) through June 30, 2014 | | | 13.86 | | | | (0.01 | ) | | | 0.79 | | | | 0.78 | | | | — | | | | — | | | | — | |
| (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) | 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), $0.01 and $0.03 for Class A, Class C, Class I and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, 0.09% and 0.27% for Class A, Class C, Class I and Class R5 Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 19.67 | | | | 14.25 | % | | $ | 1,693,319 | | | | 1.20 | % | | | (0.64 | )% | | | 1.25 | % | | | 11 | % |
| | 17.95 | | | | 24.48 | | | | 1,550,092 | | | | 1.24 | | | | (0.56 | ) | | | 1.32 | | | | 34 | |
| | 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 | (f) | | | 1.28 | | | | 76 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.39 | | | | 14.00 | | | | 639,685 | | | | 1.70 | | | | (1.14 | ) | | | 1.75 | | | | 11 | |
| | 15.99 | | | | 23.86 | | | | 605,999 | | | | 1.74 | | | | (1.06 | ) | | | 1.82 | | | | 34 | |
| | 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 | )(f) | | | 1.78 | | | | 76 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.22 | | | | 14.45 | | | | 1,329,706 | | | | 0.95 | | | | (0.38 | ) | | | 1.00 | | | | 11 | |
| | 18.40 | | | | 24.75 | | | | 1,691,899 | | | | 1.00 | | | | (0.31 | ) | | | 1.04 | | | | 34 | |
| | 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 | (f) | | | 1.03 | | | | 76 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.65 | | | | 10.93 | | | | 24 | | | | 1.45 | | | | (0.81 | ) | | | 1.50 | | | | 11 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.68 | | | | 14.24 | | | | 275 | | | | 1.19 | | | | (0.54 | ) | | | 1.25 | | | | 11 | |
| | 17.96 | | | | 0.62 | | | | 20 | | | | 1.25 | | | | (0.55 | ) | | | 1.25 | | | | 34 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.21 | | | | 14.39 | | | | 23 | | | | 0.95 | | | | (0.39 | ) | | | 1.00 | | | | 11 | |
| | 18.40 | | | | 0.60 | | | | 20 | | | | 0.99 | | | | (0.29 | ) | | | 1.00 | | | | 34 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.56 | | | | 14.49 | | | | 109,303 | | | | 0.80 | | | | (0.24 | ) | | | 0.85 | | | | 11 | |
| | 18.69 | | | | 24.93 | | | | 95,952 | | | | 0.85 | | | | (0.17 | ) | | | 0.88 | | | | 34 | |
| | 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 | (f) | | | 0.84 | | | | 76 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.65 | | | | 14.54 | | | | 4,256,403 | | | | 0.70 | | | | (0.14 | ) | | | 0.75 | | | | 11 | |
| | 18.76 | | | | 25.07 | | | | 3,153,928 | | | | 0.74 | | | | (0.06 | ) | | | 0.75 | | | | 34 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 57 | |
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 | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 48.53 | | | $ | (0.02 | ) | | $ | 4.50 | | | $ | 4.48 | | | $ | — | | | $ | (2.85 | ) | | $ | (2.85 | ) |
Year Ended June 30, 2017 | | | 42.95 | | | | (0.02 | ) | | | 7.02 | | | | 7.00 | | | | (0.05 | ) | | | (1.37 | ) | | | (1.42 | ) |
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 | (f) | | | 7.36 | | | | 7.46 | | | | (0.07 | ) | | | (0.26 | ) | | | (0.33 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 47.05 | | | | (0.14 | ) | | | 4.36 | | | | 4.22 | | | | — | | | | (2.85 | ) | | | (2.85 | ) |
Year Ended June 30, 2017 | | | 41.85 | | | | (0.25 | ) | | | 6.82 | | | | 6.57 | | | | — | | | | (1.37 | ) | | | (1.37 | ) |
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 | )(f) | | | 7.29 | | | | 7.22 | | | | — | (g) | | | (0.26 | ) | | | (0.26 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.13 | | | | 0.06 | | | | 4.56 | | | | 4.62 | | | | (0.07 | ) | | | (2.85 | ) | | | (2.92 | ) |
Year Ended June 30, 2017 | | | 43.41 | | | | 0.14 | | | | 7.09 | | | | 7.23 | | | | (0.14 | ) | | | (1.37 | ) | | | (1.51 | ) |
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 | (f) | | | 7.40 | | | | 7.60 | | | | (0.17 | ) | | | (0.26 | ) | | | (0.43 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 48.21 | | | | (0.09 | ) | | | 4.47 | | | | 4.38 | | | | — | | | | (2.85 | ) | | | (2.85 | ) |
Year Ended June 30, 2017 | | | 42.75 | | | | (0.14 | ) | | | 6.98 | | | | 6.84 | | | | (0.01 | ) | | | (1.37 | ) | | | (1.38 | ) |
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 (h) through June 30, 2014 | | | 42.92 | | | | (0.05 | ) | | | 2.01 | | | | 1.96 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.17 | | | | 0.12 | | | | 4.53 | | | | 4.65 | | | | (0.15 | ) | | | (2.85 | ) | | | (3.00 | ) |
Year Ended June 30, 2017 | | | 43.43 | | | | 0.18 | | | | 7.11 | | | | 7.29 | | | | (0.18 | ) | | | (1.37 | ) | | | (1.55 | ) |
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 (h) through June 30, 2014 | | | 43.14 | | | | 0.04 | | | | 2.02 | | | | 2.06 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.18 | | | | 0.12 | | | | 4.55 | | | | 4.67 | | | | (0.17 | ) | | | (2.85 | ) | | | (3.02 | ) |
Year Ended June 30, 2017 | | | 43.44 | | | | 0.21 | | | | 7.09 | | | | 7.30 | | | | (0.19 | ) | | | (1.37 | ) | | | (1.56 | ) |
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 (h) through June 30, 2014 | | | 43.14 | | | | 0.04 | | | | 2.02 | | | | 2.06 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| (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) | 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 Class I 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 Class I Shares, respectively. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 50.16 | | | | 9.30 | % | | $ | 401,373 | | | | 1.21 | % | | | (0.06 | )% | | | 1.26 | % | | | 14 | % |
| | 48.53 | | | | 16.61 | | | | 378,055 | | | | 1.24 | | | | (0.05 | ) | | | 1.37 | | | | 38 | |
| | 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 | (f) | | | 1.49 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 48.42 | | | | 9.03 | | | | 29,401 | | | | 1.71 | | | | (0.57 | ) | | | 1.76 | | | | 14 | |
| | 47.05 | | | | 16.01 | | | | 30,596 | | | | 1.74 | | | | (0.56 | ) | | | 1.92 | | | | 38 | |
| | 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 | )(f) | | | 2.00 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.83 | | | | 9.47 | | | | 361,931 | | | | 0.89 | | | | 0.22 | | | | 1.01 | | | | 14 | |
| | 49.13 | | | | 17.01 | | | | 778,378 | | | | 0.89 | | | | 0.30 | | | | 1.08 | | | | 38 | |
| | 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 | (f) | | | 1.23 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 49.74 | | | | 9.15 | | | | 411 | | | | 1.46 | | | | (0.37 | ) | | | 1.58 | | | | 14 | |
| | 48.21 | | | | 16.30 | | | | 600 | | | | 1.49 | | | | (0.31 | ) | | | 1.69 | | | | 38 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.82 | | | | 9.53 | | | | 5,659 | | | | 0.77 | | | | 0.46 | | | | 0.86 | | | | 14 | |
| | 49.17 | | | | 17.14 | | | | 1,804 | | | | 0.79 | | | | 0.40 | | | | 0.87 | | | | 38 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.83 | | | | 9.57 | | | | 2,226,800 | | | | 0.70 | | | | 0.45 | | | | 0.76 | | | | 14 | |
| | 49.18 | | | | 17.18 | | | | 1,619,045 | | | | 0.74 | | | | 0.45 | | | | 0.75 | | | | 38 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 59 | |
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 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 27.99 | | | $ | (0.10 | ) | | $ | 3.38 | | | $ | 3.28 | | | $ | (2.14 | ) |
Year Ended June 30, 2017 | | | 23.43 | | | | (0.14 | ) | | | 4.71 | | | | 4.57 | | | | (0.01 | ) |
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 | )(f) | | | 7.42 | | | | 7.29 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 19.52 | | | | (0.04 | )(g) | | | 4.50 | | | | 4.46 | | | | (0.99 | ) |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 22.64 | | | | (0.14 | ) | | | 2.72 | | | | 2.58 | | | | (2.14 | ) |
Year Ended June 30, 2017 | | | 19.05 | | | | (0.22 | ) | | | 3.82 | | | | 3.60 | | | | (0.01 | ) |
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 | )(f) | | | 6.39 | | | | 6.17 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 17.17 | | | | (0.12 | )(g) | | | 3.91 | | | | 3.79 | | | | (0.99 | ) |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 31.79 | | | | (0.06 | ) | | | 3.84 | | | | 3.78 | | | | (2.14 | ) |
Year Ended June 30, 2017 | | | 26.52 | | | | (0.07 | ) | | | 5.35 | | | | 5.28 | | | | (0.01 | ) |
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 | )(f) | | | 8.16 | | | | 8.10 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 21.15 | | | | 0.03 | (g) | | | 4.89 | | | | 4.92 | | | | (0.99 | ) |
| | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 30.31 | | | | (0.14 | ) | | | 3.65 | | | | 3.51 | | | | (2.14 | ) |
Year Ended June 30, 2017 | | | 25.41 | | | | (0.21 | ) | | | 5.12 | | | | 4.91 | | | | (0.01 | ) |
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 | )(f) | | | 7.97 | | | | 7.77 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 20.83 | | | | (0.07 | )(g) | | | 4.79 | | | | 4.72 | | | | (0.99 | ) |
| | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 31.71 | | | | (0.11 | ) | | | 3.82 | | | | 3.71 | | | | (2.14 | ) |
September 9, 2016 (h) through June 30, 2017 | | | 27.06 | | | | (0.13 | ) | | | 4.79 | | | | 4.66 | | | | (0.01 | ) |
| | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 31.77 | | | | (0.06 | ) | | | 3.83 | | | | 3.77 | | | | (2.14 | ) |
September 9, 2016 (h) through June 30, 2017 | | | 27.06 | | | | (0.06 | ) | | | 4.78 | | | | 4.72 | | | | (0.01 | ) |
| | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 32.09 | | | | (0.03 | ) | | | 3.87 | | | | 3.84 | | | | (2.14 | ) |
Year Ended June 30, 2017 | | | 26.74 | | | | (0.03 | ) | | | 5.39 | | | | 5.36 | | | | (0.01 | ) |
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 | )(f) | | | 8.18 | | | | 8.16 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 21.18 | | | | 0.06 | (g) | | | 4.90 | | | | 4.96 | | | | (0.99 | ) |
| | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 32.20 | | | | (0.02 | ) | | | 3.88 | | | | 3.86 | | | | (2.14 | ) |
Year Ended June 30, 2017 | | | 26.82 | | | | (0.02 | ) | | | 5.41 | | | | 5.39 | | | | (0.01 | ) |
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 | | | | — | (f)(i) | | | 8.19 | | | | 8.19 | | | | (2.79 | ) |
Year Ended June 30, 2013 | | | 21.19 | | | | 0.08 | (g) | | | 4.89 | | | | 4.97 | | | | (0.99 | ) |
| (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) | 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), $(0.06), $(0.20), $(0.02) and $(0.01) and for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.53)%, (1.03)%, (0.22)%, (0.73)%, (0.08)%, (0.03)% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 29.13 | | | | 11.82 | % | | $ | 931,185 | | | | 1.23 | % | | | (0.65 | )% | | | 1.29 | % | | | 23 | % |
| | 27.99 | | | | 19.52 | | | | 915,226 | | | | 1.23 | | | | (0.56 | ) | | | 1.36 | | | | 41 | |
| | 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 | )(f) | | | 1.37 | | | | 69 | |
| | 22.99 | | | | 23.70 | | | | 586,787 | | | | 1.23 | | | | (0.17 | )(g) | | | 1.45 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 23.08 | | | | 11.52 | | | | 81,203 | | | | 1.73 | | | | (1.15 | ) | | | 1.77 | | | | 23 | |
| | 22.64 | | | | 18.92 | | | | 90,640 | | | | 1.73 | | | | (1.06 | ) | | | 1.85 | | | | 41 | |
| | 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 | )(f) | | | 1.86 | | | | 69 | |
| | 19.97 | | | | 23.03 | | | | 23,745 | | | | 1.73 | | | | (0.67 | )(g) | | | 1.95 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.43 | | | | 11.98 | | | | 1,061,416 | | | | 0.92 | | | | (0.33 | ) | | | 1.01 | | | | 23 | |
| | 31.79 | | | | 19.92 | | | | 1,050,151 | | | | 0.92 | | | | (0.25 | ) | | | 1.08 | | | | 41 | |
| | 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 | )(f) | | | 1.12 | | | | 69 | |
| | 25.08 | | | | 24.06 | | | | 894,740 | | | | 0.93 | | | | 0.14 | (g) | | | 1.20 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 31.68 | | | | 11.68 | | | | 36,591 | | | | 1.48 | | | | (0.90 | ) | | | 1.56 | | | | 23 | |
| | 30.31 | | | | 19.34 | | | | 35,242 | | | | 1.42 | | | | (0.74 | ) | | | 1.69 | | | | 41 | |
| | 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 | )(f) | | | 1.59 | | | | 69 | |
| | 24.56 | | | | 23.46 | | | | 320 | | | | 1.39 | | | | (0.32 | )(g) | | | 1.71 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.28 | | | | 11.79 | | | | 2,153 | | | | 1.23 | | | | (0.62 | ) | | | 1.30 | | | | 23 | |
| | 31.71 | | | | 17.24 | | | | 152 | | | | 1.23 | | | | (0.54 | ) | | | 1.42 | | | | 41 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.40 | | | | 11.96 | | | | 4,463 | | | | 0.98 | | | | (0.38 | ) | | | 1.05 | | | | 23 | |
| | 31.77 | | | | 17.46 | | | | 129 | | | | 0.98 | | | | (0.23 | ) | | | 1.10 | | | | 41 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.79 | | | | 12.06 | | | | 282,628 | | | | 0.78 | | | | (0.19 | ) | | | 0.86 | | | | 23 | |
| | 32.09 | | | | 20.06 | | | | 247,068 | | | | 0.78 | | | | (0.10 | ) | | | 0.89 | | | | 41 | |
| | 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 | )(f) | | | 0.92 | | | | 69 | |
| | 25.15 | | | | 24.22 | | | | 17,848 | | | | 0.79 | | | | 0.28 | (g) | | | 1.00 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.92 | | | | 12.08 | | | | 1,102,019 | | | | 0.73 | | | | (0.15 | ) | | | 0.76 | | | | 23 | |
| | 32.20 | | | | 20.11 | | | | 749,670 | | | | 0.73 | | | | (0.06 | ) | | | 0.76 | | | | 41 | |
| | 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 | )(f) | | | 0.86 | | | | 69 | |
| | 25.17 | | | | 24.26 | | | | 47,434 | | | | 0.74 | | | | 0.34 | (g) | | | 0.98 | | | | 70 | |
| (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 $(0.09), $(0.17), $(0.02), $(0.13), $0.01 and $0.02 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.42)%, (0.92)%, (0.10)%, (0.57)%, 0.04% and 0.09% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (h) | Commencement of offering of class of shares. |
| (i) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 61 | |
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 Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 37.80 | | | $ | 0.09 | | | $ | 2.42 | | | $ | 2.51 | | | $ | (0.18 | ) | | $ | (0.72 | ) | | $ | (0.90 | ) |
Year Ended June 30, 2017 | | | 35.41 | | | | 0.17 | | | | 4.60 | | | | 4.77 | | | | (0.14 | ) | | | (2.24 | ) | | | (2.38 | ) |
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 | (f) | | | 7.02 | | | | 7.17 | | | | (0.15 | ) | | | (1.45 | ) | | | (1.60 | ) |
Year Ended June 30, 2013 | | | 25.80 | | | | 0.19 | (g) | | | 6.20 | | | | 6.39 | | | | (0.29 | ) | | | (0.22 | ) | | | (0.51 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 36.35 | | | | (0.02 | ) | | | 2.32 | | | | 2.30 | | | | — | | | | (0.72 | ) | | | (0.72 | ) |
Year Ended June 30, 2017 | | | 34.17 | | | | (0.02 | ) | | | 4.44 | | | | 4.42 | | | | — | | | | (2.24 | ) | | | (2.24 | ) |
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 | )(f) | | | 6.83 | | | | 6.80 | | | | — | (h) | | | (1.45 | ) | | | (1.45 | ) |
Year Ended June 30, 2013 | | | 25.14 | | | | 0.05 | (g) | | | 6.03 | | | | 6.08 | | | | (0.16 | ) | | | (0.22 | ) | | | (0.38 | ) |
|
Class I | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.24 | | | | 0.14 | | | | 2.44 | | | | 2.58 | | | | (0.28 | ) | | | (0.72 | ) | | | (1.00 | ) |
Year Ended June 30, 2017 | | | 35.79 | | | | 0.27 | | | | 4.66 | | | | 4.93 | | | | (0.24 | ) | | | (2.24 | ) | | | (2.48 | ) |
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 | (f) | | | 7.10 | | | | 7.33 | | | | (0.22 | ) | | | (1.45 | ) | | | (1.67 | ) |
Year Ended June 30, 2013 | | | 26.01 | | | | 0.27 | (g) | | | 6.24 | | | | 6.51 | | | | (0.35 | ) | | | (0.22 | ) | | | (0.57 | ) |
| | | | | | | |
Class L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.70 | | | | 0.19 | | | | 2.48 | | | | 2.67 | | | | (0.37 | ) | | | (0.72 | ) | | | (1.09 | ) |
Year Ended June 30, 2017 | | | 36.19 | | | | 0.36 | | | | 4.71 | | | | 5.07 | | | | (0.32 | ) | | | (2.24 | ) | | | (2.56 | ) |
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 | (f) | | | 7.17 | | | | 7.49 | | | | (0.31 | ) | | | (1.45 | ) | | | (1.76 | ) |
Year Ended June 30, 2013 | | | 26.24 | | | | 0.34 | (g) | | | 6.31 | | | | 6.65 | | | | (0.41 | ) | | | (0.22 | ) | | | (0.63 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 36.33 | | | | 0.04 | | | | 2.32 | | | | 2.36 | | | | (0.12 | ) | | | (0.72 | ) | | | (0.84 | ) |
Year Ended June 30, 2017 | | | 34.14 | | | | 0.07 | | | | 4.43 | | | | 4.50 | | | | (0.07 | ) | | | (2.24 | ) | | | (2.31 | ) |
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 | (f) | | | 6.82 | | | | 6.88 | | | | (0.10 | ) | | | (1.45 | ) | | | (1.55 | ) |
Year Ended June 30, 2013 | | | 25.18 | | | | 0.12 | (g) | | | 6.03 | | | | 6.15 | | | | (0.30 | ) | | | (0.22 | ) | | | (0.52 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.67 | | | | 0.10 | | | | 2.39 | | | | 2.49 | | | | (0.30 | ) | | | (0.72 | ) | | | (1.02 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 35.78 | | | | 0.26 | | | | 4.15 | | | | 4.41 | | | | (0.28 | ) | | | (2.24 | ) | | | (2.52 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.16 | | | | 0.16 | | | | 2.42 | | | | 2.58 | | | | (0.34 | ) | | | (0.72 | ) | | | (1.06 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 36.18 | | | | 0.38 | | | | 4.15 | | | | 4.53 | | | | (0.31 | ) | | | (2.24 | ) | | | (2.55 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.67 | | | | 0.19 | | | | 2.45 | | | | 2.64 | | | | (0.35 | ) | | | (0.72 | ) | | | (1.07 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 36.60 | | | | 0.36 | | | | 4.28 | | | | 4.64 | | | | (0.33 | ) | | | (2.24 | ) | | | (2.57 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.69 | | | | 0.21 | | | | 2.45 | | | | 2.66 | | | | (0.37 | ) | | | (0.72 | ) | | | (1.09 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 36.60 | | | | 0.32 | | | | 4.34 | | | | 4.66 | | | | (0.33 | ) | | | (2.24 | ) | | | (2.57 | ) |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 39.41 | | | | 6.66 | % | | $ | 2,215,850 | | | | 1.23 | % | | | 0.47 | % | | | 1.25 | % | | | 6 | % |
| | 37.80 | | | | 13.83 | | | | 2,149,689 | | | | 1.23 | | | | 0.45 | | | | 1.36 | | | | 23 | |
| | 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 | (f) | | | 1.37 | | | | 25 | |
| | 31.68 | | | | 25.06 | | | | 3,157,503 | | | | 1.23 | | | | 0.67 | (g) | | | 1.38 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.93 | | | | 6.35 | | | | 255,149 | | | | 1.74 | | | | (0.12 | ) | | | 1.75 | | | | 6 | |
| | 36.35 | | | | 13.27 | | | | 452,351 | | | | 1.74 | | | | (0.06 | ) | | | 1.80 | | | | 23 | |
| | 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 | )(f) | | | 1.87 | | | | 25 | |
| | 30.84 | | | | 24.43 | | | | 534,813 | | | | 1.74 | | | | 0.16 | (g) | | | 1.88 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 39.82 | | | | 6.76 | | | | 3,087,279 | | | | 0.98 | | | | 0.72 | | | | 1.00 | | | | 6 | |
| | 38.24 | | | | 14.15 | | | | 2,902,646 | | | | 0.98 | | | | 0.72 | | | | 1.07 | | | | 23 | |
| | 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 | (f) | | | 1.12 | | | | 25 | |
| | 31.95 | | | | 25.35 | | | | 2,870,752 | | | | 0.98 | | | | 0.92 | (g) | | | 1.13 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.28 | | | | 6.92 | | | | 12,578,641 | | | | 0.74 | | | | 0.96 | | | | 0.85 | | | | 6 | |
| | 38.70 | | | | 14.39 | | | | 12,478,637 | | | | 0.74 | | | | 0.96 | | | | 0.91 | | | | 23 | |
| | 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 | (f) | | | 0.97 | | | | 25 | |
| | 32.26 | | | | 25.68 | | | | 6,627,529 | | | | 0.74 | | | | 1.16 | (g) | | | 0.98 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.85 | | | | 6.52 | | | | 88,752 | | | | 1.49 | | | | 0.21 | | | | 1.51 | | | | 6 | |
| | 36.33 | | | | 13.53 | | | | 85,287 | | | | 1.49 | | | | 0.21 | | | | 1.65 | | | | 23 | |
| | 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 | (f) | | | 1.62 | | | | 25 | |
| | 30.81 | | | | 24.71 | | | | 57,003 | | | | 1.49 | | | | 0.43 | (g) | | | 1.63 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 39.14 | | | | 6.63 | | | | 53,094 | | | | 1.24 | | | | 0.51 | | | | 1.25 | | | | 6 | |
| | 37.67 | | | | 12.70 | | | | 19,262 | | | | 1.24 | | | | 0.87 | | | | 1.35 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 39.68 | | | | 6.78 | | | | 14,884 | | | | 0.99 | | | | 0.81 | | | | 1.00 | | | | 6 | |
| | 38.16 | | | | 12.89 | | | | 3,537 | | | | 0.99 | | | | 1.26 | | | | 1.10 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.24 | | | | 6.85 | | | | 88,600 | | | | 0.84 | | | | 0.97 | | | | 0.85 | | | | 6 | |
| | 38.67 | | | | 13.06 | | | | 30,334 | | | | 0.84 | | | | 1.18 | | | | 1.02 | | | | 23 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.26 | | | | 6.90 | | | | 759,806 | | | | 0.74 | | | | 1.08 | | | | 0.75 | | | | 6 | |
| | 38.69 | | | | 13.13 | | | | 281,269 | | | | 0.74 | | | | 1.05 | | | | 0.75 | | | | 23 | |
| (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 $0.14, $(0.03), $0.23, $0.32 and $0.05 for Class A, Class C, Class I, Class L and Class R2 Shares, respectively and the net investment income (loss) ratio would have been 0.41%, (0.10)%, 0.66%, 0.90% and 0.16% for Class A, Class C, Class I, Class L and Class R2 Shares, respectively. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.16, $0.01, $0.23, $0.31 and $0.09 for Class A, Class C, Class I, Class L and Class R2 Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.04%, 0.80%, 1.04% and 0.31% for Class A, Class C, Class I, Class L and Class R2 Shares, respectively. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 63 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | |
| | | | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Multi-Cap Market Neutral Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 9.97 | | | $ | (0.01 | ) | | $ | 0.40 | | | $ | 0.39 | |
Year Ended June 30, 2017 | | | 9.90 | | | | (0.08 | ) | | | 0.15 | | | | 0.07 | |
Year Ended June 30, 2016 | | | 9.87 | | | | (0.10 | ) | | | 0.13 | | | | 0.03 | |
Year Ended June 30, 2015 | | | 9.91 | | | | (0.11 | ) | | | 0.07 | | | | (0.04 | ) |
Year Ended June 30, 2014 | | | 9.79 | | | | (0.13 | ) | | | 0.25 | | | | 0.12 | |
Year Ended June 30, 2013 | | | 9.69 | | | | (0.11 | )(g) | | | 0.21 | | | | 0.10 | |
| | | | |
Class C | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 9.31 | | | | (0.05 | ) | | | 0.39 | | | | 0.34 | |
Year Ended June 30, 2017 | | | 9.29 | | | | (0.12 | ) | | | 0.14 | | | | 0.02 | |
Year Ended June 30, 2016 | | | 9.31 | | | | (0.14 | ) | | | 0.12 | | | | (0.02 | ) |
Year Ended June 30, 2015 | | | 9.40 | | | | (0.15 | ) | | | 0.06 | | | | (0.09 | ) |
Year Ended June 30, 2014 | | | 9.33 | | | | (0.17 | ) | | | 0.24 | | | | 0.07 | |
Year Ended June 30, 2013 | | | 9.30 | | | | (0.17 | )(g) | | | 0.20 | | | | 0.03 | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 10.23 | | | | — | (h) | | | 0.41 | | | | 0.41 | |
Year Ended June 30, 2017 | | | 10.13 | | | | (0.06 | ) | | | 0.16 | | | | 0.10 | |
Year Ended June 30, 2016 | | | 10.07 | | | | (0.08 | ) | | | 0.14 | | | | 0.06 | |
Year Ended June 30, 2015 | | | 10.09 | | | | (0.09 | ) | | | 0.07 | | | | (0.02 | ) |
Year Ended June 30, 2014 | | | 9.94 | | | | (0.11 | ) | | | 0.26 | | | | 0.15 | |
Year Ended June 30, 2013 | | | 9.82 | | | | (0.09 | )(g) | | | 0.21 | | | | 0.12 | |
| (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% or unless otherwise noted. |
| (f) | 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 1.23% and 1.60% for the six months ended December 31, 2017, 1.23% and 1.60% for the year ended June 30, 2017, 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 and 1.48% and 1.88% for the year ended June 30, 2013; for Class C are 1.73% and 2.06% for the six months ended December 31, 2017, 1.73% and 2.10% for the year ended June 30, 2017, 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 and 2.15% and 2.38% for the year ended June 30, 2013; for Class I are 0.97% and 1.30% for the six months ended December 31, 2017, 0.97% and 1.24% for the year ended June 30, 2017, 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, respectively. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.13), $(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. |
| (h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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
(including
dividend and
interest
expense for
securities sold
short) (e)(f) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits
(including dividend
and interest expense
for securities sold
short) (f) | | | Portfolio
turnover
rate (c) | | | Portfolio
turnover rate
(including short
sales) (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.36 | | | | 3.91 | % | | $ | 7,011 | | | | 2.59 | % | | | (0.22 | )% | | | 2.96 | % | | | 44 | % | | | 101 | % |
| | 9.97 | | | | 0.71 | | | | 5,295 | | | | 2.38 | | | | (0.78 | ) | | | 2.75 | | | | 78 | | | | 229 | |
| | 9.90 | | | | 0.30 | | | | 6,608 | | | | 2.52 | | | | (0.97 | ) | | | 2.94 | | | | 111 | | | | 258 | |
| | 9.87 | | | | (0.40 | ) | | | 6,273 | | | | 2.68 | | | | (1.14 | ) | | | 3.15 | | | | 74 | | | | 204 | |
| | 9.91 | | | | 1.23 | | | | 10,301 | | | | 2.78 | | | | (1.36 | ) | | | 3.20 | | | | 106 | | | | 227 | |
| | 9.79 | | | | 1.03 | | | | 14,101 | | | | 3.04 | | | | (1.13 | )(g) | | | 3.44 | | | | 94 | | | | 251 | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 9.65 | | | | 3.65 | | | | 780 | | | | 3.09 | | | | (1.09 | ) | | | 3.42 | | | | 44 | | | | 101 | |
| | 9.31 | | | | 0.22 | | | | 3,286 | | | | 2.88 | | | | (1.31 | ) | | | 3.25 | | | | 78 | | | | 229 | |
| | 9.29 | | | | (0.21 | ) | | | 6,147 | | | | 3.02 | | | | (1.47 | ) | | | 3.45 | | | | 111 | | | | 258 | |
| | 9.31 | | | | (0.96 | ) | | | 6,760 | | | | 3.18 | | | | (1.62 | ) | | | 3.65 | | | | 74 | | | | 204 | |
| | 9.40 | | | | 0.75 | | | | 8,602 | | | | 3.28 | | | | (1.85 | ) | | | 3.70 | | | | 106 | | | | 227 | |
| | 9.33 | | | | 0.32 | | | | 11,181 | | | | 3.69 | | | | (1.81 | )(g) | | | 3.92 | | | | 94 | | | | 251 | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10.64 | | | | 4.01 | | | | 116,264 | | | | 2.33 | | | | (0.06 | ) | | | 2.66 | | | | 44 | | | | 101 | |
| | 10.23 | | | | 0.99 | | | | 115,804 | | | | 2.12 | | | | (0.54 | ) | | | 2.39 | | | | 78 | | | | 229 | |
| | 10.13 | | | | 0.60 | | | | 175,348 | | | | 2.28 | | | | (0.74 | ) | | | 2.55 | | | | 111 | | | | 258 | |
| | 10.07 | | | | (0.20 | ) | | | 277,647 | | | | 2.43 | | | | (0.89 | ) | | | 2.84 | | | | 74 | | | | 204 | |
| | 10.09 | | | | 1.51 | | | | 431,890 | | | | 2.52 | | | | (1.07 | ) | | | 2.94 | | | | 106 | | | | 227 | |
| | 9.94 | | | | 1.22 | | | | 317,974 | | | | 2.78 | | | | (0.90 | )(g) | | | 3.18 | | | | 94 | | | | 251 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 65 | |
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 | |
Value Advantage Fund | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 33.40 | | | $ | 0.18 | | | $ | 2.89 | | | $ | 3.07 | | | $ | (0.28 | ) | | $ | (0.35 | ) | | $ | (0.63 | ) |
Year Ended June 30, 2017 | | | 28.66 | | | | 0.27 | | | | 4.77 | | | | 5.04 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.20 | | | | 0.09 | | | | 2.87 | | | | 2.96 | | | | (0.07 | ) | | | (0.35 | ) | | | (0.42 | ) |
Year Ended June 30, 2017 | | | 28.52 | | | | 0.11 | | | | 4.74 | | | | 4.85 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.62 | | | | 0.22 | | | | 2.92 | | | | 3.14 | | | | (0.39 | ) | | | (0.35 | ) | | | (0.74 | ) |
Year Ended June 30, 2017 | | | 28.86 | | | | 0.35 | | | | 4.80 | | | | 5.15 | | | | (0.39 | ) | | | — | | | | (0.39 | ) |
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 | ) |
| | | | | | | |
Class L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.63 | | | | 0.26 | | | | 2.92 | | | | 3.18 | | | | (0.45 | ) | | | (0.35 | ) | | | (0.80 | ) |
Year Ended June 30, 2017 | | | 28.86 | | | | 0.41 | | | | 4.82 | | | | 5.23 | | | | (0.46 | ) | | | — | | | | (0.46 | ) |
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 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 34.04 | | | | 0.11 | | | | 2.28 | | | | 2.39 | | | | (0.36 | ) | | | (0.35 | ) | | | (0.71 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.24 | | | | 0.17 | | | | 2.89 | | | | 3.06 | | | | (0.39 | ) | | | (0.35 | ) | | | (0.74 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 29.33 | | | | 0.29 | | | | 4.06 | | | | 4.35 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.55 | | | | 0.26 | | | | 2.86 | | | | 3.12 | | | | (0.44 | ) | | | (0.35 | ) | | | (0.79 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 29.56 | | | | 0.27 | | | | 4.18 | | | | 4.45 | | | | (0.46 | ) | | | — | | | | (0.46 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.59 | | | | 0.24 | | | | 2.93 | | | | 3.17 | | | | (0.45 | ) | | | (0.35 | ) | | | (0.80 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 29.57 | | | | 0.30 | | | | 4.20 | | | | 4.50 | | | | (0.48 | ) | | | — | | | | (0.48 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 33.61 | | | | 0.26 | | | | 2.92 | | | | 3.18 | | | | (0.46 | ) | | | (0.35 | ) | | | (0.81 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 29.57 | | | | 0.36 | | | | 4.17 | | | | 4.53 | | | | (0.49 | ) | | | — | | | | (0.49 | ) |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 35.84 | | | | 9.21 | % | | $ | 1,532,975 | | | | 1.20 | % | | | 1.01 | % | | | 1.25 | % | | | 9 | % |
| | 33.40 | | | | 17.60 | | | | 1,432,370 | | | | 1.24 | | | | 0.85 | | | | 1.36 | | | | 24 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.74 | | | | 8.92 | | | | 672,156 | | | | 1.70 | | | | 0.51 | | | | 1.76 | | | | 9 | |
| | 33.20 | | | | 17.02 | | | | 746,521 | | | | 1.74 | | | | 0.34 | | | | 1.81 | | | | 24 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 36.02 | | | | 9.35 | | | | 2,509,432 | | | | 0.95 | | | | 1.26 | | | | 1.00 | | | | 9 | |
| | 33.62 | | | | 17.89 | | | | 2,165,577 | | | | 0.99 | | | | 1.09 | | | | 1.04 | | | | 24 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 36.01 | | | | 9.47 | | | | 4,082,008 | | | | 0.74 | | | | 1.46 | | | | 0.85 | | | | 9 | |
| | 33.63 | | | | 18.17 | | | | 3,643,327 | | | | 0.75 | | | | 1.32 | | | | 0.87 | | | | 24 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.72 | | | | 7.04 | | | | 27 | | | | 1.44 | | | | 0.79 | | | | 1.51 | | | | 9 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.56 | | | | 9.20 | | | | 861 | | | | 1.19 | | | | 0.99 | | | | 1.29 | | | | 9 | |
| | 33.24 | | | | 14.87 | | | | 385 | | | | 1.24 | | | | 1.09 | | | | 1.36 | | | | 24 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.88 | | | | 9.32 | | | | 1,991 | | | | 0.89 | | | | 1.47 | | | | 1.15 | | | | 9 | |
| | 33.55 | | | | 15.10 | | | | 34 | | | | 1.00 | | | | 1.05 | | | | 1.08 | | | | 24 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.96 | | | | 9.43 | | | | 5,276 | | | | 0.80 | | | | 1.39 | | | | 0.92 | | | | 9 | |
| | 33.59 | | | | 15.27 | | | | 422 | | | | 0.83 | | | | 1.14 | | | | 0.89 | | | | 24 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 35.98 | | | | 9.47 | | | | 3,462,108 | | | | 0.70 | | | | 1.50 | | | | 0.75 | | | | 9 | |
| | 33.61 | | | | 15.35 | | | | 3,069,390 | | | | 0.74 | | | | 1.39 | | | | 0.75 | | | | 24 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 67 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
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 I, Class R2*, Class R3, Class R4, Class R5 and Class R6 | | JPMMFIT | | Diversified |
| Mid Cap Equity Fund | | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | JPM I | | Diversified |
| Mid Cap Growth Fund | | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM II | | Diversified |
| Mid Cap Value Fund | | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPMFMFG | | Diversified |
| Multi-Cap Market Neutral Fund | | Class A, Class C, and Class I | | JPM II | | Diversified |
| Value Advantage Fund | | Class A, Class C, Class I, Class L, Class R2*, Class R3, Class R4, Class R5 and Class R6 | | JPM I | | Diversified |
| * | Class R2 Shares commenced operations on July 31, 2017 for Growth Advantage Fund and Value Advantage Fund. |
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 December 1, 2016, Class L Shares of the Value Advantage Fund are publicly offered only on a limited basis. Investors are not eligible to purchase Class L Shares of the Fund unless they meet certain requirements as described in the Fund’s prospectus.
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 I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
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.
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) | | $ | 8,036,507 | | | $ | — | | | $ | — | | | $ | 8,036,507 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) | | $ | 3,029,390 | | | $ | — | | | $ | — | | | $ | 3,029,390 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) | | $ | 3,508,914 | | | $ | — | | | $ | — | | | $ | 3,508,914 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 69 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | |
| 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) | | $ | 19,226,859 | | | $ | — | | | $ | — | | | $ | 19,226,859 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) | | $ | 123,133 | | | $ | — | | | $ | — | | | $ | 123,133 | |
| | | | | | | | | | | | | | | | |
Total Liabilities for Securities Sold Short (a) | | $ | (107,849 | ) | | $ | — | | | $ | — | | | $ | (107,849 | ) |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | (9 | ) | | $ | — | | | $ | — | | | $ | (9 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| Value Advantage Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (b) | | $ | 12,342,954 | | | $ | — | | | $ | 146 | | | $ | 12,343,100 | |
| | | | | | | | | | | | | | | | |
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers among any levels during the six months ended December 31, 2017.
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 for securities sold short 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 amounts of income or fees are included as Interest income or Interest expense 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 December 31, 2017, 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
| | | | | | |
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| 70 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
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 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 six months ended December 31, 2017 (amounts in thousands):
| | | | |
| | | Multi-Cap Market
Neutral Fund | |
Futures Contracts: | | | | |
Average Notional Balance Long | | $ | 775 | (a) |
Average Notional Balance Short | | | 1,673 | |
Ending Notional Balance Long | | | — | |
Ending Notional Balance Short | | | 2,325 | |
| (a) | For the period July 1, 2017 through July 31, 2017. |
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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | | | Total | |
Growth Advantage Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 52 | | | $ | 26 | | | $ | 27 | | | | n/a | | | $ | — | (a) | | $ | — | (a) | | $ | — | (a) | | $ | 2 | | | $ | 14 | | | $ | 121 | |
Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 9 | | | | 1 | | | | 6 | | | | n/a | | | | — | (a) | | | n/a | | | | n/a | | | | — | (a) | | | 7 | | | | 23 | |
Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 185 | | | | 6 | | | | 17 | | | | n/a | | | | 12 | | | | — | (a) | | | — | (a) | | | 3 | | | | 22 | | | | 245 | |
Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 75 | | | | 10 | | | | 22 | | | $ | 375 | | | | 5 | | | | — | (a) | | | — | (a) | | | — | (a) | | | 4 | | | | 491 | |
Multi-Cap Market Neutral Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 1 | | | | — | (a) | | | 1 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 2 | |
Value Advantage Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 40 | | | | 27 | | | | 19 | | | | 37 | | | | — | (a) | | | — | (a) | | | 1 | | | | 2 | | | | 12 | | | | 138 | |
| (a) | Amount rounds to less than 500. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 71 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (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 December 31, 2017, 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. 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to 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 | |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to 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 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 six months ended December 31, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal 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, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class R2 | | | Class R3 | |
Growth Advantage Fund | | | 0.25 | % | | | 0.75 | % | | | 0.50 | % | | | 0.25 | % |
Mid Cap Equity Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | n/a | |
Mid Cap Growth Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Mid Cap Value Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Multi-Cap Market Neutral Fund | | | 0.25 | | | | 0.75 | | | | n/a | | | | n/a | |
Value Advantage Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
In addition, JPMDS 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 six months ended December 31, 2017, JPMDS retained the following (amounts in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Growth Advantage Fund | | $ | 177 | | | $ | 1 | |
Mid Cap Equity Fund | | | 57 | | | | — | (a) |
Mid Cap Growth Fund | | | 27 | | | | — | (a) |
Mid Cap Value Fund | | | 10 | | | | 1 | |
Multi-Cap Market Neutral Fund | | | — | (a) | | | — | |
Value Advantage Fund | | | 100 | | | | — | (a) |
| (a) | Amount rounds to less than 500. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | |
Growth Advantage Fund | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | n/a | | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.10 | % |
Mid Cap Equity Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | n/a | | | | n/a | | | | 0.10 | |
Mid Cap Growth Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Mid Cap Value Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | % | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Multi-Cap Market Neutral Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Value Advantage Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service 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 JPMDS 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | |
Growth Advantage Fund | | | 1.14 | %^ | | | 1.64 | %^ | | | 0.89 | %^ | | | n/a | | | | 1.39 | %^ | | | 1.14 | %^ | | | 0.89 | %^ | | | 0.74 | %^ | | | 0.64 | %^ |
Mid Cap Equity Fund | | | 1.14 | ^^ | | | 1.64 | ^^ | | | 0.89 | ^^ | | | n/a | | | | 1.39 | ^^ | | | n/a | | | | n/a | | | | 0.74 | ^^ | | | 0.64 | ^^ |
Mid Cap Growth Fund | | | 1.24 | | | | 1.74 | | | | 0.93 | | | | n/a | | | | 1.49 | | | | 1.24 | | | | 0.99 | | | | 0.79 | | | | 0.74 | |
Mid Cap Value Fund | | | 1.24 | | | | 1.75 | | | | 0.99 | | | | 0.75 | % | | | 1.50 | | | | 1.25 | | | | 1.00 | | | | 0.85 | | | | 0.75 | |
Multi-Cap Market Neutral Fund | | | 1.25 | | | | 1.75 | | | | 0.99 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Value Advantage Fund | | | 1.14 | ^^^ | | | 1.64 | ^^^ | | | 0.89 | ^^^ | | | 0.75 | | | | 1.39 | ^^^ | | | 1.14 | ^^^ | | | 0.89 | ^^^ | | | 0.74 | ^^^ | | | 0.64 | ^^^ |
| ^ | The contractual expense percentages for Growth Advantage Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Growth Advantage Fund were 1.24%, 1.74%, 0.99%, 1.50%, 1.25%, 1.00%, 0.85% and 0.75% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. |
| ^^ | The contractual expense percentages for Mid Cap Equity Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Mid Cap Equity Fund were 1.25%, 1.75%, 0.90%, 1.50%, 0.80% and 0.75% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| ^^^ | The contractual expense percentages for Value Advantage Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Value Advantage Fund were 1.24%, 1.74%, 0.99%, 1.50%, 1.25%, 1.00%, 0.85% and 0.75% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 73 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2017 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2018.
For the six months ended December 31, 2017, 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
Fees | | | Administration
Fees | | | Service
Fees | | | Total | | | Contractual
Reimbursements | |
Growth Advantage Fund | | $ | 841 | | | $ | 561 | | | $ | 202 | | | $ | 1,604 | | | $ | 5 | |
Mid Cap Equity Fund | | | 385 | | | | 256 | | | | 210 | | | | 851 | | | | — | |
Mid Cap Growth Fund | | | 148 | | | | 97 | | | | 589 | | | | 834 | | | | 16 | |
Mid Cap Value Fund | | | — | | | | — | | | | 6,575 | | | | 6,575 | | | | 224 | |
Multi-Cap Market Neutral Fund | | | 145 | | | | 51 | | | | 1 | | | | 197 | | | | — | |
Value Advantage Fund | | | 1,296 | | | | 864 | | | | 1,479 | | | | 3,639 | | | | 18 | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). 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.
The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2017 was as follows (amounts in thousands):
| | | | |
Growth Advantage Fund | | $ | 265 | |
Mid Cap Equity Fund | | | 105 | |
Mid Cap Growth Fund | | | 121 | |
Mid Cap Value Fund | | | 705 | |
Multi-Cap Market Neutral Fund | | | 13 | |
Value Advantage Fund | | | 454 | |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. 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 six months ended December 31, 2017, Mid Cap Equity Fund and Mid Cap Growth Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Funds may use related party broker-dealers. For the six months ended December 31, 2017, 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 | | | — | (a) |
Mid Cap Growth Fund | | | 1 | |
Mid Cap Value Fund | | | 2 | |
Multi-Cap Market Neutral Fund | | | — | (a) |
Value Advantage Fund | | | 2 | |
| (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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| 74 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
4. Investment Transactions
During the six months ended December 31, 2017, 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 | | $ | 789,718 | | | $ | 1,055,167 | | | $ | — | | | $ | — | |
Mid Cap Equity Fund | | | 390,147 | | | | 436,943 | | | | — | | | | — | |
Mid Cap Growth Fund | | | 730,188 | | | | 730,048 | | | | — | | | | — | |
Mid Cap Value Fund | | | 1,152,684 | | | | 1,417,942 | | | | — | | | | — | |
Multi-Cap Market Neutral Fund | | | 49,188 | | | | 63,466 | | | | 54,243 | | | | 63,515 | |
Value Advantage Fund | | | 1,202,931 | | | | 960,066 | | | | — | | | | — | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Growth Advantage Fund | | $ | 4,883,423 | | | $ | 3,198,679 | | | $ | 45,595 | | | $ | 3,153,084 | |
Mid Cap Equity Fund | | | 2,064,383 | | | | 1,012,495 | | | | 47,488 | | | | 965,007 | |
Mid Cap Growth Fund | | | 2,601,928 | | | | 994,759 | | | | 87,773 | | | | 906,986 | |
Mid Cap Value Fund | | | 12,008,706 | | | | 7,337,828 | | | | 119,675 | | | | 7,218,153 | |
Multi-Cap Market Neutral Fund* | | | (6,089 | ) | | | 33,634 | | | | 12,270 | | | | 21,364 | |
Value Advantage Fund | | | 8,964,745 | | | | 3,509,499 | | | | 131,144 | | | | 3,378,355 | |
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
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, 2017, the following Fund 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 | | $ | 7,367 | * |
| * | Amount includes capital loss carryforwards from business combinations, which are limited in future years under internal Revenue Code Sections 381-384. |
As of June 30, 2017, the following Fund 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 | | $ | 1,694 | | | $ | — | |
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).
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
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 75 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
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 5, 2018.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
7. Redemptions in-Kind
During the year ended June 30, 2017, certain Class L shareholders sold their shares of Value Advantage 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):
| | | | | | | | | | | | |
| March 17, 2017 | | Value | | | Realized Gains (Losses) | | | Type | |
Class L | | $ | 644,712 | * | | $ | 273,526 | | | | Redemption in-kind | |
| * | This amount includes cash of approximately $21,734,000 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 December 31, 2017, 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 the following Funds:
| | | | | | | | |
| | | J.P. Morgan
Investor Funds | | | JPMorgan
SmartRetirement
Funds | |
Growth Advantage Fund | | | n/a | | | | 35.6 | % |
Mid Cap Equity Fund | | | n/a | | | | 49.9 | |
Multi-Cap Market Neutral Fund | | | 89.2 | % | | | n/a | |
Value Advantage Fund | | | n/a | | | | 22.9 | |
As of December 31, 2017, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | | | | | | | | | |
| | | Number of
Affiliated
Omnibus
Accounts | | | % of the Fund | | | Number of
Non-affiliated
Omnibus
Accounts | | | % of the Fund | |
Growth Advantage Fund | | | 1 | | | | 11.6 | % | | | 1 | | | | 12.2 | % |
Mid Cap Equity Fund | | | — | | | | — | | | | 1 | | | | 21.1 | |
Mid Cap Value Fund | | | — | | | | — | | | | 1 | | | | 19.0 | |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
As of December 31, 2017, 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.
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
9. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
10. Reorganization
At a meeting held November 14–15, 2017, the Boards of Trustees of JPM I and JPM II, approved, subject to shareholder approval, the merger of Multi-Cap Market Neutral Fund into JPM Morgan Research Market Neutral Fund, a separate fund of JPM I. Completion of the merger is subject to a number of conditions, including approval by the shareholders of Multi-Cap Market Neutral Fund. This approval will be sought at a shareholder meeting.
11. Subsequent Event
During the period January 1, 2018 through February 21, 2018, JPMorgan Multi-Cap Market Neutral Fund had net redemptions of $32,586,531. This amount represented approximately 26.27% of the Fund’s net assets as of December 31, 2017.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 77 | |
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, July 1, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Growth Advantage Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,142.50 | | | $ | 6.48 | | | | 1.20 | % |
Hypothetical* | | | 1,000.00 | | | | 1,019.16 | | | | 6.11 | | | | 1.20 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,140.00 | | | | 9.17 | | | | 1.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.64 | | | | 8.64 | | | | 1.70 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,144.50 | | | | 5.14 | | | | 0.95 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.42 | | | | 4.84 | | | | 0.95 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,109.30 | | | | 6.41 | | | | 1.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.90 | | | | 7.38 | | | | 1.45 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,142.40 | | | | 6.43 | | | | 1.19 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.21 | | | | 6.06 | | | | 1.19 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,143.90 | | | | 5.13 | | | | 0.95 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.42 | | | | 4.84 | | | | 0.95 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,144.90 | | | | 4.33 | | | | 0.80 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.17 | | | | 4.08 | | | | 0.80 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,145.40 | | | | 3.79 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.68 | | | | 3.57 | | | | 0.70 | |
| | | | |
Mid Cap Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,093.00 | | | | 6.38 | | | | 1.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.11 | | | | 6.16 | | | | 1.21 | |
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Mid Cap Equity Fund (continued) | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,090.30 | | | $ | 9.01 | | | | 1.71 | % |
Hypothetical* | | | 1,000.00 | | | | 1,016.59 | | | | 8.69 | | | | 1.71 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,094.70 | | | | 4.70 | | | | 0.89 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.72 | | | | 4.53 | | | | 0.89 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,091.50 | | | | 7.70 | | | | 1.46 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.85 | | | | 7.43 | | | | 1.46 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,095.30 | | | | 4.07 | | | | 0.77 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.32 | | | | 3.92 | | | | 0.77 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,095.70 | | | | 3.70 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.68 | | | | 3.57 | | | | 0.70 | |
| | | | |
Mid Cap Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,118.20 | | | | 6.57 | | | | 1.23 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.00 | | | | 6.26 | | | | 1.23 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,115.20 | | | | 9.22 | | | | 1.73 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.48 | | | | 8.79 | | | | 1.73 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,119.80 | | | | 4.92 | | | | 0.92 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.57 | | | | 4.69 | | | | 0.92 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,116.80 | | | | 7.90 | | | | 1.48 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.74 | | | | 7.53 | | | | 1.48 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,117.90 | | | | 6.57 | | | | 1.23 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.00 | | | | 6.26 | | | | 1.23 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,119.60 | | | | 5.24 | | | | 0.98 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.27 | | | | 4.99 | | | | 0.98 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,120.60 | | | | 4.17 | | | | 0.78 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.27 | | | | 3.97 | | | | 0.78 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,120.80 | | | | 3.90 | | | | 0.73 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.53 | | | | 3.72 | | | | 0.73 | |
| | | | |
Mid Cap Value Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,066.60 | | | | 6.41 | | | | 1.23 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.00 | | | | 6.26 | | | | 1.23 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,063.50 | | | | 9.05 | | | | 1.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.43 | | | | 8.84 | | | | 1.74 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,067.60 | | | | 5.11 | | | | 0.98 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.27 | | | | 4.99 | | | | 0.98 | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,069.20 | | | | 3.86 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,065.20 | | | | 7.76 | | | | 1.49 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.69 | | | | 7.58 | | | | 1.49 | |
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 79 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Mid Cap Value Fund (continued) | | | | | | | | | | | | | | | | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,066.30 | | | $ | 6.46 | | | | 1.24 | % |
Hypothetical* | | | 1,000.00 | | | | 1,018.95 | | | | 6.31 | | | | 1.24 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,067.80 | | | | 5.16 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,068.50 | | | | 4.38 | | | | 0.84 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.97 | | | | 4.28 | | | | 0.84 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,069.00 | | | | 3.86 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
| | | | |
Multi-Cap Market Neutral Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,039.10 | | | | 13.31 | | | | 2.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,012.15 | | | | 13.14 | | | | 2.59 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,036.50 | | | | 15.86 | | | | 3.09 | |
Hypothetical* | | | 1,000.00 | | | | 1,009.63 | | | | 15.65 | | | | 3.09 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,040.10 | | | | 11.98 | | | | 2.33 | |
Hypothetical* | | | 1,000.00 | | | | 1,013.46 | | | | 11.82 | | | | 2.33 | |
| | | | |
Value Advantage Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,092.10 | | | | 6.33 | | | | 1.20 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.16 | | | | 6.11 | | | | 1.20 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,089.20 | | | | 8.95 | | | | 1.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,016.64 | | | | 8.64 | | | | 1.70 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,093.50 | | | | 5.01 | | | | 0.95 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.42 | | | | 4.84 | | | | 0.95 | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,094.70 | | | | 3.91 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.48 | | | | 3.77 | | | | 0.74 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,070.40 | | | | 6.25 | | | | 1.44 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.95 | | | | 7.32 | | | | 1.44 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,092.00 | | | | 6.27 | | | | 1.19 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.21 | | | | 6.06 | | | | 1.19 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,093.20 | | | | 4.70 | | | | 0.89 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.72 | | | | 4.53 | | | | 0.89 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,094.30 | | | | 4.22 | | | | 0.80 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.17 | | | | 4.08 | | | | 0.80 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,094.70 | | | | 3.70 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.68 | | | | 3.57 | | | | 0.70 | |
| * | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 154/365 (to reflect the actual period.) Commencement of operations was July 31, 2017. |
| | | | | | |
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| 80 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no
representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 81 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of
scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Growth Advantage Fund, Mid Cap Equity Fund, and Value Advantage Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and
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| 82 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Growth Advantage Fund’s performance for Class A shares was in third, second and first quintiles based upon the Peer Group, and in the fourth, second and first quintiles based upon the Universe, for the one-, three- and five year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the second, second and first quintiles based upon the Peer Group, and in the fourth, second and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Mid Cap Equity Fund’s performance for Class A shares was in the first, second and second quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2016, respectively, and in the
second quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2016, and in the first, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Mid Cap Growth Fund’s performance for Class A shares was in the fourth quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2016, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fifth, third and third quintiles based upon the Peer Group, and in the fourth, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Mid Cap Value Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2016, respectively, and in the first quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in the first, first and second quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 2016, respectively, and in the first quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Multi-Cap Market Neutral Fund’s performance for both Class A and Class I shares was in the
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 83 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
fourth quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Value Advantage Fund’s performance for Class A shares was in the second, second and third quintiles based upon the Peer Group, and in the third, second and second quintiles based upon the Universe, for one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the third, first and second quintiles based upon the both the Peer Group and Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Growth Advantage Fund’s net advisory fee and actual total expenses for Class A shares were in the fourth and third quintiles, based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the second and fourth quintiles based upon the Peer Group and Universe, respectively.
The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Mid Cap Equity Fund’s net advisory fee and actual total expenses for Class A shares were in the third and fourth quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Mid Cap Growth Fund’s net advisory fee for Class A shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I Shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Mid Cap Value Fund’s net advisory fee for Class A shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fourth quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Multi-Cap Market Neutral Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the first quintile based upon both the Peer Group and Universe. After
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| 84 | | | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | DECEMBER 31, 2017 |
considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Value Advantage Fund’s net advisory fee Class A shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for
Class I shares was in the fifth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the fourth quintile based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
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| DECEMBER 31, 2017 | | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | | | | | 85 | |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-MC-1217 |
Semi-Annual Report
J.P. Morgan Large Cap Funds
December 31, 2017 (Unaudited)
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
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
| | |
 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 1 | |
J.P. Morgan Large Cap Funds
MARKET OVERVIEW
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month.
In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period. For the six months ended December 31, 2017, the S&P 500 returned 11.42%.
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| 2 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 11.97% | |
| S&P 500 Index | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 221,064 | |
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’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection and overweight positions in both the financial services and health care sectors were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the materials & processing and consumer discretionary sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in T. Rowe Price Group Inc., Kohl’s Corp. and Ally Financial Inc. Shares of T. Rowe Price Group, a provider of mutual funds and financial advisory services, rose amid growth in the company’s assets under management and the overall strength of the financials sector. Shares of Kohl’s, a department store chain, rose amid improvements in the company’s store traffic trends and expense controls. Shares of Ally Financial, a consumer finance provider not held in the Benchmark, rose after the company reported better-than-expected earnings for the third quarter of 2017.
Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Corp., Acadia Healthcare Co. and American International Group Inc. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of American International Group, an insurance provider, fell amid investor expectations that losses from hurricanes and other natural disasters in 2017 would hurt the company’s 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 financial services and consumer discretionary sectors. The Fund’s largest underweight positions versus the Benchmark were in the consumer staples and health care sectors.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Alphabet, Inc., Class C | | | 5.6 | % |
| | 2. | | | Amazon.com, Inc. | | | 4.3 | |
| | 3. | | | Apple, Inc. | | | 4.1 | |
| | 4. | | | AutoZone, Inc. | | | 4.0 | |
| | 5. | | | UnitedHealth Group, Inc. | | | 3.9 | |
| | 6. | | | Capital One Financial Corp. | | | 3.6 | |
| | 7. | | | T. Rowe Price Group, Inc. | | | 3.6 | |
| | 8. | | | Delta Air Lines, Inc. | | | 3.4 | |
| | 9. | | | American International Group, Inc. | | | 3.2 | |
| | 10. | | | Mastercard, Inc., Class A | | | 3.2 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
Financials | | | 23.2 | % |
Information Technology | | | 21.6 | |
Consumer Discretionary | | | 17.0 | |
Health Care | | | 7.4 | |
Energy | | | 7.2 | |
Industrials | | | 7.0 | |
Materials | | | 4.2 | |
Real Estate | | | 3.8 | |
Consumer Staples | | | 3.2 | |
Utilities | | | 1.3 | |
Short-Term Investment | | | 4.1 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 3 | |
JPMorgan Equity Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | SINCE
INCEPTION | |
CLASS A SHARES | | | July 29, 2011 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | 5.98 | % | | | 17.54 | % | | | 14.74 | % | | | 13.07 | % |
Without Sales Charge | | | | | | | 11.84 | | | | 24.04 | | | | 15.98 | | | | 14.02 | |
CLASS C SHARES | | | July 29, 2011 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 10.55 | | | | 22.42 | | | | 15.41 | | | | 13.45 | |
Without CDSC | | | | | | | 11.55 | | | | 23.42 | | | | 15.41 | | | | 13.45 | |
CLASS I SHARES | | | July 29, 2011 | | | | 11.97 | | | | 24.34 | | | | 16.28 | | | | 14.31 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (7/29/11 TO 12/31/17)
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 Class I Shares of the JPMorgan Equity Focus Fund, the S&P 500 Index, the Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index from July 29, 2011 to December 31, 2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index and 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 Large-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index are indexes based on the total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I 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 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.
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| 4 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 11.27% | |
| Russell 1000 Value Index | | | 8.61% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 16,626,098 | |
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 Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrials sector and its security selection and overweight position in the information technology sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the consumer staples and materials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in General Electric Co. and its overweight positions in Home Depot Inc. and Texas Instruments Inc. Shares of General Electric, an industrial conglomerate, fell amid the company’s efforts to implement a restructuring plan. Shares of Home Depot, a home improvement retail chain not held in the Benchmark, rose after the company reported better-than-expected third quarter 2017 earnings, raised its profit forecast and unveiled a $15 billion stock repurchase plan. Shares of Texas Instruments, a semiconductor maker not held in the Benchmark, rose on better-than-expected earnings, an increase in the company’s dividend and strength in the broader semiconductors sector.
Leading individual detractors from relative performance included the Fund’s underweight positions in Intel Corp. and Walmart Inc. and its overweight position in L Brands Inc. Shares of Intel, a semiconductor maker not held by the Fund, rose amid gains in the broader semiconductor sector. Shares of Walmart, a super store retail chain not held in the Fund, rose amid an increase in consumer spending during the November-December holiday shopping season and investor expectations that the company will benefit from the 2017 Tax Cut and Jobs Act. Shares of L Brands, a branded apparel and beauty products retailer, fell after the company reported a decline in November sales.
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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Bank of America Corp. | | | 3.4 | % |
| | 2. | | | Chevron Corp. | | | 2.9 | |
| | 3. | | | PNC Financial Services Group, Inc. (The) | | | 2.7 | |
| | 4. | | | Johnson & Johnson | | | 2.6 | |
| | 5. | | | Wells Fargo & Co. | | | 2.5 | |
| | 6. | | | BlackRock, Inc. | | | 2.5 | |
| | 7. | | | Microsoft Corp. | | | 2.4 | |
| | 8. | | | Occidental Petroleum Corp. | | | 2.4 | |
| | 9. | | | Apple, Inc. | | | 2.2 | |
| | 10. | | | CME Group, Inc. | | | 2.2 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
Financials | | | 30.2 | % |
Information Technology | | | 11.1 | |
Health Care | | | 10.7 | |
Industrials | | | 10.6 | |
Energy | | | 9.9 | |
Consumer Staples | | | 8.2 | |
Consumer Discretionary | | | 6.1 | |
Materials | | | 3.8 | |
Utilities | | | 3.4 | |
Real Estate | | | 2.8 | |
Telecommunication Services | | | 1.5 | |
Short-Term Investment | | | 1.7 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 5 | |
JPMorgan Equity Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 18, 1992 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 5.28 | % | | | 11.05 | % | | | 13.07 | % | | | 8.13 | % |
Without Sales Charge | | | | | 11.12 | | | | 17.21 | | | | 14.29 | | | | 8.71 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 9.80 | | | | 15.59 | | | | 13.72 | | | | 8.15 | |
Without CDSC | | | | | 10.80 | | | | 16.59 | | | | 13.72 | | | | 8.15 | |
CLASS I SHARES | | July 2, 1987 | | | 11.27 | | | | 17.55 | | | | 14.57 | | | | 9.00 | |
CLASS R2 SHARES | | February 28, 2011 | | | 11.01 | | | | 16.92 | | | | 14.00 | | | | 8.49 | |
CLASS R3 SHARES | | September 9, 2016 | | | 11.08 | | | | 17.21 | | | | 14.28 | | | | 8.71 | |
CLASS R4 SHARES | | September 9, 2016 | | | 11.23 | | | | 17.51 | | | | 14.57 | | | | 9.00 | |
CLASS R5 SHARES | | February 28, 2011 | | | 11.36 | | | | 17.73 | | | | 14.80 | | | | 9.15 | |
CLASS R6 SHARES | | January 31, 2012 | | | 11.42 | | | | 17.84 | | | | 14.87 | | | | 9.19 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, Class R4, and Class R5 Shares prior to their inception dates are based on the performance of Class I 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 R4 would have been similar to those shown because Class R4 Shares had similar expenses to Class I Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class I Shares.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would have been similar than those shown because Class R3 currently have the same expenses as Class A 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, Class I 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 Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from December 31, 2007 to December 31, 2017.
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.
Class I 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.
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| 6 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Growth and Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 12.47% | |
| Russell 1000 Value Index | | | 8.61% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 578,191 | |
INVESTMENT OBJECTIVE**
The JPMorgan Growth and Income Fund (the “Fund”) seeks to provide capital growth over the long term and earn income from dividends.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, outperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection and overweight position in the information technology sector and its security selection in the health care sector were leading contributors to performance relative to the Benchmark. The Fund’s underweight position and security selection in the materials sector was the only sector detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Home Depot Inc., T. Rowe Price Group Inc. and Honeywell International Inc. Shares of Home Depot, a home improvement retail chain not held in the Benchmark, rose after the company reported better-than-expected third quarter 2017 earnings, raised its profit forecast and unveiled a $15 billion stock repurchase plan. Shares of T. Rowe Price Group, a provider of mutual funds and financial advisory services, rose amid growth in the company’s assets under management and the overall strength of the financials sector. Shares of Honeywell International, an industrial conglomerate, rose after the company reported better-than-expected revenue for the third quarter of 2017 and forecast earnings growth for the fourth quarter of 2017.
Leading individual detractors from relative performance included the Fund’s overweight position in Dish Network Co. and its underweight positions in Intel Corp. and Walmart Stores Inc. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Intel, a semiconductor maker not held by the Fund, rose amid gains in the broader semiconductor sector. Shares of Walmart, a superstore retail chain not held in the Fund, rose amid an increase in consumer spending during the November-December holiday shopping season and investor expectations that the company will benefit from the 2017 Tax Cut and Jobs Act.
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 financials sector, while its largest underweight position was in the consumer staples sector.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Bank of America Corp. | | | 3.7 | % |
| | 2. | | | Microsoft Corp. | | | 2.8 | |
| | 3. | | | Home Depot, Inc. (The) | | | 2.5 | |
| | 4. | | | Honeywell International, Inc. | | | 2.4 | |
| | 5. | | | Morgan Stanley | | | 2.3 | |
| | 6. | | | Apple, Inc. | | | 2.2 | |
| | 7. | | | BlackRock, Inc. | | | 2.2 | |
| | 8. | | | Chevron Corp. | | | 2.1 | |
| | 9. | | | Berkshire Hathaway, Inc., Class B | | | 2.0 | |
| | 10. | | | Wells Fargo & Co. | | | 1.9 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
Financials | | | 32.3 | % |
Information Technology | | | 10.9 | |
Health Care | | | 10.9 | |
Energy | | | 10.9 | |
Consumer Discretionary | | | 10.1 | |
Industrials | | | 8.3 | |
Consumer Staples | | | 6.2 | |
Real Estate | | | 2.9 | |
Utilities | | | 2.6 | |
Materials | | | 1.5 | |
Telecommunication Services | | | 1.3 | |
Short-Term Investment | | | 2.1 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 7 | |
JPMorgan Growth and Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | September 23, 1987 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 6.56 | % | | | 10.99 | % | | | 13.67 | % | | | 7.24 | % |
Without Sales Charge | | | | | 12.47 | | | | 17.14 | | | | 14.91 | | | | 7.82 | |
CLASS C SHARES | | January 2, 1998 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 11.19 | | | | 15.54 | | | | 14.33 | | | | 7.28 | |
Without CDSC | | | | | 12.19 | | | | 16.54 | | | | 14.33 | | | | 7.28 | |
CLASS I SHARES | | January 25, 1996 | | | 12.61 | | | | 17.43 | | | | 15.18 | | | | 8.11 | |
CLASS R2 SHARES | | November 2, 2015 | | | 12.33 | | | | 16.86 | | | | 14.78 | | | | 7.76 | |
CLASS R3 SHARES | | July 31, 2017 | | | 12.50 | | | | 17.17 | | | | 14.91 | | | | 7.82 | |
CLASS R4 SHARES | | July 31, 2017 | | | 12.61 | | | | 17.43 | | | | 15.18 | | | | 8.11 | |
CLASS R5 SHARES | | November 2, 2015 | | | 12.72 | | | | 17.66 | | | | 15.28 | | | | 8.16 | |
CLASS R6 SHARES | | November 2, 2015 | | | 12.73 | | | | 17.71 | | | | 15.30 | | | | 8.17 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception date are based on the performance of the Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class I 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 Class I 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, the Lipper Large-Cap Value Funds Index and the Lipper Large-Cap Core Funds
Index from December 31, 2007 to December 31, 2017. 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 Value Funds Index and 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 Value Funds Index and the Lipper Large-Cap Core Funds Index are indexes based on the total returns of certain mutual funds within designated categories 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 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.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 6.29% | |
| S&P 500 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) . . . . . . . . . . . . . . . . . . . . . . . . . . | | $ | 1,583,166 | |
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 Class I Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the six months ended December 31, 2017. 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 captured 55% of the Benchmark’s total return with about 59% of the Benchmark’s volatility during the six month reporting period.
The Fund’s security selection in the industrial cyclical and telecommunications sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the technology and health services & systems sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Boeing Co. and AbbVie Inc. and its overweight position in Allergan PLC. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan. Shares of AbbVie, a drug maker, rose after the company reported better-than-expected earnings, raised its profit forecast and announced positive clinical trial results for its psoriasis treatment. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition from generic formulations.
Leading individual contributors to relative performance included the Fund’s underweight position in Oracle Corp. and its overweight positions in Texas Instruments Inc. and UnitedHealth Group Inc. Shares of Oracle, a computer software provider, fell after the company reported lower-than-expected revenue from its cloud computing business. Shares of Texas Instruments, a semiconductor maker, rose on better-than-expected earnings, an increase in the company’s dividend and strength in the broader semiconductors sector. Shares of UnitedHealth, a health insurer, rose amid earnings and revenue growth throughout the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies,
while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The option overlay is known as a “Put/Spread Collar” strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments, while exposing the Fund to less risk than traditional long-only equity strategies.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Apple, Inc. | | | 4.0 | % |
| | 2. | | | Microsoft Corp. | | | 3.6 | |
| | 3. | | | Facebook, Inc., Class A | | | 2.1 | |
| | 4. | | | Bank of America Corp. | | | 1.9 | |
| | 5. | | | Amazon.com, Inc. | | | 1.8 | |
| | 6. | | | Alphabet, Inc., Class C | | | 1.7 | |
| | 7. | | | Alphabet, Inc., Class A | | | 1.6 | |
| | 8. | | | UnitedHealth Group, Inc. | | | 1.6 | |
| | 9. | | | Visa, Inc., Class A | | | 1.5 | |
| | 10. | | | Citigroup, Inc. | | | 1.5 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
Information Technology | | | 23.5 | % |
Financials | | | 13.9 | |
Health Care | | | 12.8 | |
Consumer Discretionary | | | 12.5 | |
Industrials | | | 9.6 | |
Consumer Staples | | | 7.6 | |
Energy | | | 5.8 | |
Materials | | | 2.8 | |
Utilities | | | 2.8 | |
Real Estate | | | 2.3 | |
Others (each less than 1.0%) | | | 1.7 | |
Short-Term Investments | | | 4.7 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 9 | |
JPMorgan Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 3 YEAR | | | SINCE
INCEPTION | |
CLASS A SHARES | | December 13, 2013 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 0.60 | % | | | 6.53 | % | | | 4.60 | % | | | 6.15 | % |
Without Sales Charge | | | | | 6.17 | | | | 12.45 | | | | 6.50 | | | | 7.57 | |
CLASS C SHARES | | December 13, 2013 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 4.93 | | | | 10.90 | | | | 5.97 | | | | 7.04 | |
Without CDSC | | | | | 5.93 | | | | 11.90 | | | | 5.97 | | | | 7.04 | |
CLASS I SHARES | | December 13, 2013 | | | 6.29 | | | | 12.70 | | | | 6.77 | | | | 7.84 | |
CLASS R5 SHARES | | December 13, 2013 | | | 6.37 | | | | 12.92 | | | | 6.97 | | | | 8.05 | |
CLASS R6 SHARES | | December 13, 2013 | | | 6.40 | | | | 12.92 | | | | 7.01 | | | | 8.09 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (12/13/13 TO 12/31/17)
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 Class I 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 December 31, 2017. 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 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 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 BofA Merrill Lynch 3-Month U.S.Treasury Bill 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 Fund’s designated category as determined by Lipper, Inc.
Class I 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 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.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 13.96% | |
| Russell 1000 Growth Index | | | 14.23% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 12,843,889 | |
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 Class I Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the consumer discretionary sector and its security selection and underweight position in the producer durables sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the financial services sector and its security selection and underweight position in the consumer staples sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Ulta Beauty Inc., Priceline Group Inc. and Delta Air Lines Inc. Shares of Ulta Beauty, a retailer of cosmetics and other personal care products, fell after the company reported slow sales growth for the third quarter of 2017 and forecast lower-than-expected fourth quarter 2017 earnings. Shares of Priceline Group, an online travel service, fell after the company forecast lower-than-expected earnings for the fourth quarter of 2017. Shares of Delta Air Lines, an airline operator that was not held in the Benchmark, fell early in the reporting period as passenger revenue growth lagged behind investor expectations, and amid investor concerns about rising fuel costs and pricing pressure.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nvidia Corp. and Mastercard Inc., and its underweight position in Celgene Corp. Shares of Nvidia, a maker of semiconductors and software, rose after the company reported strong results within its gaming and data center segments. Shares of Mastercard, a provider of payment processing services, rose on better-than-expected earnings and revenue for the third quarter of 2017. Shares of Celgene, a drug maker not held by the Fund, fell after the company reported lower-than-expected revenue for the third quarter of 2017 and halted development of its Crohn’s disease drug.
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. | | | Apple, Inc. | | | 5.6 | |
| | 3. | | | Amazon.com, Inc. | | | 5.4 | |
| | 4. | | | Mastercard, Inc., Class A | | | 4.3 | |
| | 5. | | | Home Depot, Inc. (The) | | | 4.2 | |
| | 6. | | | Facebook, Inc., Class A | | | 4.0 | |
| | 7. | | | Intuitive Surgical, Inc. | | | 3.6 | |
| | 8. | | | NVIDIA Corp. | | | 3.1 | |
| | 9. | | | Charles Schwab Corp. (The) | | | 2.8 | |
| | 10. | | | Broadcom Ltd. | | | 2.6 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 46.7 | % |
| Consumer Discretionary | | | 16.7 | |
| Health Care | | | 12.9 | |
| Industrials | | | 9.5 | |
| Financials | | | 7.4 | |
| Materials | | | 2.5 | |
| Consumer Staples | | | 2.4 | |
| Others (each less than 1.0%) | | | 0.9 | |
| Short-Term Investment | | | 1.0 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 11 | |
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 22, 1994 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 7.87 | % | | | 30.48 | % | | | 15.00 | % | | | 8.65 | % |
Without Sales Charge | | | | | 13.86 | | | | 37.71 | | | | 16.25 | | | | 9.24 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 12.55 | | | | 36.01 | | | | 15.66 | | | | 8.68 | |
Without CDSC | | | | | 13.55 | | | | 37.01 | | | | 15.66 | | | | 8.68 | |
CLASS I SHARES | | February 28, 1992 | | | 13.96 | | | | 37.99 | | | | 16.43 | | | | 9.45 | |
CLASS R2 SHARES | | November 3, 2008 | | | 13.67 | | | | 37.33 | | | | 15.95 | | | | 8.96 | |
CLASS R3 SHARES | | September 9, 2016 | | | 13.82 | | | | 37.63 | | | | 16.20 | | | | 9.26 | |
CLASS R4 SHARES | | September 9, 2016 | | | 13.96 | | | | 37.99 | | | | 16.43 | | | | 9.45 | |
CLASS R5 SHARES | | April 14, 2009 | | | 14.07 | | | | 38.22 | | | | 16.66 | | | | 9.63 | |
CLASS R6 SHARES | | November 30, 2010 | | | 14.13 | | | | 38.37 | | | | 16.75 | | | | 9.69 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, Class R3, Class R4 and Class R5 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R2 and Class R3 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns for Class R4 would have been similar to those shown because Class R4 Shares had similar expenses to Class I Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class I 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, Class I 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 Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large Cap Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from December 31, 2007 to December 31, 2017. 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.
Class I 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.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Large Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 10.91% | |
| Russell 1000 Value Index | | | 8.61% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 1,442,778 | |
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 Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s overweight position and security selection in the auto & transportation sector and its security selection in the consumer cyclical sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the pharmaceutical/medical technology and industrial cyclical sectors was a leading detractor from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in D.R. Horton Inc., Diamondback Energy Inc. and Voya Financial Inc. Shares of D.R. Horton, a home builder, rose on better-than-expected earnings and revenue for the company’s fiscal fourth quarter and continued strength in the U.S. housing market. Shares of Diamondback Energy, an oil and natural gas producer, rose after the company reported better-than-expected earnings for the third quarter of 2017 and raised its production forecast. Shares of Voya Financial, a financial services company, rose after the company agreed to sell its variable annuity business.
Leading individual detractors from relative performance included the Fund’s overweight positions in Allergan PLC, Dish Network Corp. and Brunswick Corp. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition from generic formulations. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Brunswick, a maker of recreational products and equipment, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017.
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. | | | 3.9 | % |
| | 2. | | | Wells Fargo & Co. | | | 3.8 | |
| | 3. | | | Bank of America Corp. | | | 3.7 | |
| | 4. | | | Delta Air Lines, Inc. | | | 2.9 | |
| | 5. | | | General Motors Co. | | | 2.8 | |
| | 6. | | | KeyCorp | | | 2.4 | |
| | 7. | | | Occidental Petroleum Corp. | | | 2.3 | |
| | 8. | | | Diamondback Energy, Inc. | | | 2.1 | |
| | 9. | | | Charles Schwab Corp. (The) | | | 2.1 | |
| | 10. | | | Pioneer Natural Resources Co. | | | 2.0 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 31.3 | % |
| Consumer Discretionary | | | 16.6 | |
| Industrials | | | 11.8 | |
| Energy | | | 10.7 | |
| Health Care | | | 9.0 | |
| Information Technology | | | 6.1 | |
| Materials | | | 4.9 | |
| Consumer Staples | | | 3.9 | |
| Telecommunication Services | | | 1.7 | |
| Real Estate | | | 0.5 | |
| Short-Term Investment | | | 3.5 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 13 | |
JPMorgan Large Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 18, 1992 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 4.93 | % | | | 11.34 | % | | | 15.56 | % | | | 7.48 | % |
Without Sales Charge | | | | | 10.76 | | | | 17.50 | | | | 16.81 | | | | 8.06 | |
CLASS C SHARES | | March 22, 1999 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 9.51 | | | | 15.93 | | | | 16.21 | | | | 7.49 | |
Without CDSC | | | | | 10.51 | | | | 16.93 | | | | 16.21 | | | | 7.49 | |
CLASS I SHARES | | March 1, 1991 | | | 10.91 | | | | 17.71 | | | | 16.99 | | | | 8.24 | |
CLASS R2 SHARES | | November 3, 2008 | | | 10.63 | | | | 17.15 | | | | 16.49 | | | | 7.77 | |
CLASS R5 SHARES | | May 15, 2006 | | | 10.96 | | | | 17.87 | | | | 17.22 | | | | 8.46 | |
CLASS R6 SHARES | | November 30, 2010 | | | 11.00 | | | | 17.92 | | | | 17.28 | | | | 8.50 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 I 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 Class I Shares of the JPMorgan Large Cap Value Fund, the Russell 1000 Value Index and the Lipper Large-Cap Value Funds Index from December 31, 2007 to December 31, 2017. 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.
Class I 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.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class L Shares)* | | | 11.54% | |
| S&P 500 Index | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | | $15,653,115 | |
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 Class L Shares outperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the software & services and energy sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrial cyclical and pharmaceutical/medical technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in UnitedHealth Group Inc. and Texas Instruments Inc. and its underweight position in Oracle Corp. Shares of UnitedHealth, a health insurer, rose after the company reported better-than-expected earnings. Share of Texas Instruments, a semiconductor maker not held in the Benchmark, rose on better-than-expected earnings, an increase in the company���s dividend and strength in the broader semiconductors sector. Shares of Oracle, a database software provider, fell after the company reported weak growth in its cloud computing business and issued a lower-than-expected earnings forecast
Leading individual detractors from relative performance included the Fund’s overweight positions in Allergan PLC and Dish Network Corp. and its underweight position in Boeing Co. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition from generic formulations. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan.
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 six months ended December 31, 2017 were in the insurance and media sectors, while the Fund’s largest underweight positions were in the real estate investment trusts and financial sectors.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Microsoft Corp. | | | 4.0 | % |
| | 2. | | | Apple, Inc. | | | 4.0 | |
| | 3. | | | Bank of America Corp. | | | 2.8 | |
| | 4. | | | Alphabet, Inc., Class A | | | 2.6 | |
| | 5. | | | UnitedHealth Group, Inc. | | | 2.4 | |
| | 6. | | | Pfizer, Inc. | | | 2.4 | |
| | 7. | | | Citigroup, Inc. | | | 2.4 | |
| | 8. | | | Amazon.com, Inc. | | | 2.4 | |
| | 9. | | | Walt Disney Co. (The) | | | 2.2 | |
| | 10. | | | Visa, Inc., Class A | | | 2.1 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 25.4 | % |
| Financials | | | 14.5 | |
| Health Care | | | 14.0 | |
| Consumer Discretionary | | | 13.8 | |
| Industrials | | | 12.6 | |
| Consumer Staples | | | 7.5 | |
| Energy | | | 6.1 | |
| Utilities | | | 2.5 | |
| Materials | | | 1.7 | |
| Others (each less than 1.0%) | | | 1.1 | |
| 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 15 | |
JPMorgan U.S. Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | September 10, 2001 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 5.39 | % | | | 14.74 | % | | | 14.40 | % | | | 8.28 | % |
Without Sales Charge | | | | | 11.26 | | | | 21.13 | | | | 15.64 | | | | 8.87 | |
CLASS C SHARES | | September 10, 2001 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 10.05 | | | | 19.49 | | | | 15.07 | | | | 8.33 | |
Without CDSC | | | | | 11.05 | | | | 20.49 | | | | 15.07 | | | | 8.33 | |
CLASS I SHARES | | September 10, 2001 | | | 11.42 | | | | 21.40 | | | | 15.86 | | | | 9.10 | |
CLASS L SHARES | | September 17, 1993 | | | 11.54 | | | | 21.52 | | | | 16.03 | | | | 9.26 | |
CLASS R2 SHARES | | November 3, 2008 | | | 11.14 | | | | 20.76 | | | | 15.35 | | | | 8.62 | |
CLASS R3 SHARES | | September 9, 2016 | | | 11.23 | | | | 21.03 | | | | 15.62 | | | | 8.86 | |
CLASS R4 SHARES | | September 9, 2016 | | | 11.45 | | | | 21.37 | | | | 15.87 | | | | 9.10 | |
CLASS R5 SHARES | | May 15, 2006 | | | 11.49 | | | | 21.58 | | | | 16.08 | | | | 9.31 | |
CLASS R6 SHARES | | November 30, 2010 | | | 11.59 | | | | 21.71 | | | | 16.16 | | | | 9.36 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 and Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R2 Shares and Class R3 Shares would have been lower than those shown because Class R2 Shares and Class R3 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.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses than Class I Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class L 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.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| Reporting Period Return: | |
| Fund (Class L Shares)* | | | 11.33% | |
| S&P 500 Index | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 7,760,445 | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Research Enhanced 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 Composite Stock Price Index.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares underperformed the S&P 500 Index
(the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrial cyclical and telecommunications sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and health services & systems sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Boeing Co. and AbbVie Inc. and its overweight position in Allergan PLC. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan. Shares of AbbVie, a drug maker, rose after the company reported better-than-expected earnings, raised its profit forecast and announced positive clinical trial results for its psoriasis treatment. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition from generic formulations.
Leading individual contributors to relative performance included the Fund’s underweight position in Oracle Corp. and its overweight positions in Texas Instruments Inc. and UnitedHealth Group Inc. Shares of Oracle, a computer software provider, fell after the company reported lower-than-expected revenue from its cloud computing business. Shares of Texas Instruments, a semiconductor maker, rose on better-than-expected earnings, an increase in the company’s dividend and strength in the broader semiconductors sector. Shares of UnitedHealth, a health insurer, rose amid earnings and revenue growth throughout the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of poten-
tial excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.
| | | | | | | | |
| TOP TEN HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Apple, Inc. | | | 4.2 | % |
| | 2. | | | Microsoft Corp. | | | 3.8 | |
| | 3. | | | Facebook, Inc., Class A | | | 2.3 | |
| | 4. | | | Bank of America Corp. | | | 2.0 | |
| | 5. | | | Amazon.com, Inc. | | | 1.9 | |
| | 6. | | | Alphabet, Inc., Class C | | | 1.8 | |
| | 7. | | | Alphabet, Inc., Class A | | | 1.7 | |
| | 8. | | | UnitedHealth Group, Inc. | | | 1.7 | |
| | 9. | | | Visa, Inc., Class A | | | 1.6 | |
| | 10. | | | Citigroup, Inc. | | | 1.6 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 24.8 | % |
| Financials | | | 14.6 | |
| Health Care | | | 13.5 | |
| Consumer Discretionary | | | 13.2 | |
| Industrials | | | 10.1 | |
| Consumer Staples | | | 8.0 | |
| Energy | | | 6.1 | |
| Materials | | | 3.0 | |
| Utilities | | | 3.0 | |
| Real Estate | | | 2.5 | |
| Telecommunication Services | | | 0.9 | |
| Short-Term Investments | | | 0.3 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 17 | |
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | September 28, 2001 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 5.38 | % | | | 14.87 | % | | | 13.49 | % | | | 7.70 | % |
Without Sales Charge | | | | | 11.23 | | | | 21.23 | | | | 14.72 | | | | 8.28 | |
CLASS I SHARES | | September 10, 2001 | | | 11.31 | | | | 21.49 | | | | 15.00 | | | | 8.55 | |
CLASS L SHARES | | January 3, 1997 | | | 11.33 | | | | 21.50 | | | | 15.12 | | | | 8.70 | |
CLASS R6 SHARES | | March 24, 2003 | | | 11.38 | | | | 21.63 | | | | 15.25 | | | | 8.81 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class L Shares of the JPMorgan U.S. Research Enhanced Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 95.8% | |
| | | | Consumer Discretionary — 17.0% | |
| | | | Household Durables — 1.6% | |
| | 13 | | | Mohawk Industries, Inc. (a) | | | 3,609 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 4.3% | |
| | 8 | | | Amazon.com, Inc. (a) | | | 9,461 | |
| | | | | | | | |
| | | | Media — 4.6% | |
| | 78 | | | CBS Corp. (Non-Voting), Class B | | | 4,585 | |
| | 117 | | | DISH Network Corp., Class A (a) | | | 5,588 | |
| | | | | | | | |
| | | | | | | 10,173 | |
| | | | | | | | |
| | | | Multiline Retail — 2.5% | |
| | 103 | | | Kohl’s Corp. | | | 5,571 | |
| | | | | | | | |
| | | | Specialty Retail — 4.0% | |
| | 12 | | | AutoZone, Inc. (a) | | | 8,752 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 37,566 | |
| | | | | | | | |
| | | | Consumer Staples — 3.2% | |
| | | | Beverages — 0.6% | |
| | 17 | | | Molson Coors Brewing Co., Class B | | | 1,421 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.6% | |
| | 79 | | | Walgreens Boots Alliance, Inc. | | | 5,711 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 7,132 | |
| | | | | | | | |
| | | | Energy — 7.2% | |
| | | | Oil, Gas & Consumable Fuels — 7.2% | |
| | 30 | | | Concho Resources, Inc. (a) | | | 4,545 | |
| | 349 | | | Kinder Morgan, Inc. | | | 6,310 | |
| | 78 | | | Marathon Petroleum Corp. | | | 5,126 | |
| | | | | | | | |
| | | | Total Energy | | | 15,981 | |
| | | | | | | | |
| | | | Financials — 23.1% | |
| | | | Banks — 3.0% | |
| | 110 | | | Wells Fargo & Co. | | | 6,660 | |
| | | | | | | | |
| | | | Capital Markets — 8.2% | |
| | 116 | | | Charles Schwab Corp. (The) | | | 5,936 | |
| | 25 | | | S&P Global, Inc. | | | 4,240 | |
| | 77 | | | T. Rowe Price Group, Inc. | | | 8,043 | |
| | | | | | | | |
| | | | | | | 18,219 | |
| | | | | | | | |
| | | | Consumer Finance — 6.3% | |
| | 199 | | | Ally Financial, Inc. | | | 5,816 | |
| | 81 | | | Capital One Financial Corp. | | | 8,056 | |
| | | | | | | | |
| | | | | | | 13,872 | |
| | | | | | | | |
| | | | Insurance — 5.6% | |
| | 119 | | | American International Group, Inc. | | | 7,085 | |
| | 106 | | | Loews Corp. | | | 5,308 | |
| | | | | | | | |
| | | | | | | 12,393 | |
| | | | | | | | |
| | | | Total Financials | | | 51,144 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Health Care — 7.4% | |
| | | | Biotechnology — 1.4% | |
| | 20 | | | Vertex Pharmaceuticals, Inc. (a) | | | 3,059 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.2% | |
| | 7 | | | Intuitive Surgical, Inc. (a) | | | 2,538 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 4.8% | |
| | 61 | | | Acadia Healthcare Co., Inc. (a) | | | 1,981 | |
| | 39 | | | UnitedHealth Group, Inc. | | | 8,694 | |
| | | | | | | | |
| | | | | | | 10,675 | |
| | | | | | | | |
| | | | Total Health Care | | | 16,272 | |
| | | | | | | | |
| | | | Industrials — 7.0% | |
| | | | Airlines — 3.4% | |
| | 136 | | | Delta Air Lines, Inc. | | | 7,600 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.5% | |
| | 45 | | | Waste Connections, Inc., (Canada) | | | 3,223 | |
| | | | | | | | |
| | | | Machinery — 2.1% | |
| | 27 | | | Stanley Black & Decker, Inc. | | | 4,612 | |
| | | | | | | | |
| | | | Total Industrials | | | 15,435 | |
| | | | | | | | |
| | | | Information Technology — 21.6% | |
| | | | Internet Software & Services — 8.2% | |
| | 12 | | | Alphabet, Inc., Class C (a) | | | 12,473 | |
| | 32 | | | Facebook, Inc., Class A (a) | | | 5,673 | |
| | | | | | | | |
| | | | | | | 18,146 | |
| | | | | | | | |
| | | | IT Services — 3.2% | |
| | 46 | | | Mastercard, Inc., Class A | | | 7,016 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.3% | |
| | 14 | | | Broadcom Ltd. | | | 3,638 | |
| | 19 | | | NVIDIA Corp. | | | 3,622 | |
| | | | | | | | |
| | | | | | | 7,260 | |
| | | | | | | | |
| | | | Software — 2.8% | |
| | 33 | | | Electronic Arts, Inc. (a) | | | 3,473 | |
| | 21 | | | ServiceNow, Inc. (a) | | | 2,771 | |
| | | | | | | | |
| | | | | | | 6,244 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 4.1% | |
| | 53 | | | Apple, Inc. | | | 9,025 | |
| | | | | | | | |
| | | | Total Information Technology | | | 47,691 | |
| | | | | | | | |
| | | | Materials — 4.2% | |
| | | | Containers & Packaging — 4.2% | |
| | 140 | | | Ball Corp. | | | 5,302 | |
| | 62 | | | WestRock Co. | | | 3,913 | |
| | | | | | | | |
| | | | Total Materials | | | 9,215 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 19 | |
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Real Estate — 3.8% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 3.8% | |
| | 43 | | | Federal Realty Investment Trust | | | 5,668 | |
| | 87 | | | Rayonier, Inc. | | | 2,765 | |
| | | | | | | | |
| | | | Total Real Estate | | | 8,433 | |
| | | | | | | | |
| | | | Utilities — 1.3% | |
| | | | Electric Utilities — 1.3% | |
| | 60 | | | Xcel Energy, Inc. | | | 2,880 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $162,132) | | | 211,749 | |
| | | | | | | | |
| | Short-Term Investment — 4.1% | |
| | | | Investment Company — 4.1% | |
| | 9,073 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $9,073) | | | 9,073 | |
| | | | | | | | |
| | | | Total Investments — 99.9%
(Cost $171,205) | | | 220,822 | |
| | | | Other Assets in Excess of
Liabilities — 0.1% | | | 242 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 221,064 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 98.4% | |
| | | | Consumer Discretionary — 6.1% | |
| | | | Distributors — 1.2% | |
| | 2,041 | | | Genuine Parts Co. | | | 193,925 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.1% | | | | |
| | 440 | | | McDonald’s Corp. | | | 75,706 | |
| | 830 | | | Starbucks Corp. | | | 47,685 | |
| | 505 | | | Wyndham Worldwide Corp. | | | 58,524 | |
| | | | | | | | |
| | | | | | | 181,915 | |
| | | | | | | | |
| | | | Media — 1.4% | | | | |
| | 5,100 | | | Comcast Corp., Class A | | | 204,241 | |
| | 401 | | | Time Warner, Inc. | | | 36,718 | |
| | | | | | | | |
| | | | | | | 240,959 | |
| | | | | | | | |
| | | | Specialty Retail — 2.1% | | | | |
| | 1,825 | | | Home Depot, Inc. (The) | | | 345,943 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.3% | | | | |
| | 629 | | | VF Corp. | | | 46,517 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 1,009,259 | |
| | | | | | | | |
| | | | Consumer Staples — 8.3% | |
| | | | Beverages — 3.0% | | | | |
| | 1,146 | | | Coca-Cola Co. (The) | | | 52,590 | |
| | 1,840 | | | Dr Pepper Snapple Group, Inc. | | | 178,634 | |
| | 1,389 | | | Molson Coors Brewing Co., Class B | | | 113,955 | |
| | 1,256 | | | PepsiCo, Inc. | | | 150,590 | |
| | | | | | | | |
| | | | | | | 495,769 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 0.8% | | | | |
| | 1,745 | | | Walgreens Boots Alliance, Inc. | | | 126,716 | |
| | | | | | | | |
| | | | Food Products — 1.5% | | | | |
| | 1,297 | | | Kraft Heinz Co. (The) | | | 100,841 | |
| | 3,510 | | | Mondelez International, Inc., Class A | | | 150,217 | |
| | | | | | | | |
| | | | | | | 251,058 | |
| | | | | | | | |
| | | | Household Products — 0.5% | | | | |
| | 457 | | | Kimberly-Clark Corp. | | | 55,196 | |
| | 359 | | | Procter & Gamble Co. (The) | | | 32,991 | |
| | | | | | | | |
| | | | | | | 88,187 | |
| | | | | | | | |
| | | | Tobacco — 2.5% | | | | |
| | 3,308 | | | Altria Group, Inc. | | | 236,191 | |
| | 1,665 | | | Philip Morris International, Inc. | | | 175,881 | |
| | | | | | | | |
| | | | | | | 412,072 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 1,373,802 | |
| | | | | | | | |
| | | | Energy — 9.9% | |
| | | | Energy Equipment & Services — 0.6% | | | | |
| | 1,581 | | | Schlumberger Ltd. | | | 106,521 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 9.3% | | | | |
| | 3,817 | | | Chevron Corp. | | | 477,857 | |
| | 6,119 | | | ConocoPhillips | | | 335,868 | |
| | 2,700 | | | Exxon Mobil Corp. | | | 225,853 | |
| | 5,431 | | | Occidental Petroleum Corp. | | | 400,047 | |
| | 1,164 | | | Valero Energy Corp. | | | 106,939 | |
| | | | | | | | |
| | | | | | | 1,546,564 | |
| | | | | | | | |
| | | | Total Energy | | | 1,653,085 | |
| | | | | | | | |
| | | | Financials — 30.2% | |
| | | | Banks — 11.9% | | | | |
| | 19,385 | | | Bank of America Corp. | | | 572,252 | |
| | 3,802 | | | BB&T Corp. | | | 189,033 | |
| | 944 | | | Cullen/Frost Bankers, Inc. | | | 89,320 | |
| | 431 | | | M&T Bank Corp. | | | 73,746 | |
| | 3,104 | | | PNC Financial Services Group, Inc. (The) | | | 447,946 | |
| | 3,508 | | | US Bancorp | | | 187,981 | |
| | 6,901 | | | Wells Fargo & Co. | | | 418,682 | |
| | | | | | | | |
| | | | | | | 1,978,960 | |
| | | | | | | | |
| | | | Capital Markets — 7.6% | | | | |
| | 517 | | | Ameriprise Financial, Inc. | | | 87,604 | |
| | 805 | | | BlackRock, Inc. | | | 413,353 | |
| | 2,475 | | | CME Group, Inc. | | | 361,401 | |
| | 1,613 | | | Northern Trust Corp. | | | 161,147 | |
| | 257 | | | S&P Global, Inc. | | | 43,516 | |
| | 1,823 | | | T. Rowe Price Group, Inc. | | | 191,296 | |
| | | | | | | | |
| | | | | | | 1,258,317 | |
| | | | | | | | |
| | | | Consumer Finance — 1.8% | | | | |
| | 1,796 | | | Capital One Financial Corp. | | | 178,872 | |
| | 1,689 | | | Discover Financial Services | | | 129,885 | |
| | | | | | | | |
| | | | | | | 308,757 | |
| | | | | | | | |
| | | | Insurance — 8.9% | | | | |
| | 1,534 | | | Arthur J Gallagher & Co. | | | 97,072 | |
| | 1,110 | | | Chubb Ltd. | | | 162,240 | |
| | 918 | | | Cincinnati Financial Corp. | | | 68,848 | |
| | 4,676 | | | Hartford Financial Services Group, Inc. (The) | | | 263,181 | |
| | 5,190 | | | MetLife, Inc. | | | 262,396 | |
| | 1,618 | | | Progressive Corp. (The) | | | 91,144 | |
| | 1,546 | | | Prudential Financial, Inc. | | | 177,719 | |
| | 2,356 | | | Travelers Cos., Inc. (The) | | | 319,545 | |
| | 672 | | | Validus Holdings Ltd. | | | 31,512 | |
| | | | | | | | |
| | | | | | | 1,473,657 | |
| | | | | | | | |
| | | | Total Financials | | | 5,019,691 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 21 | |
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Health Care — 10.7% | |
| | | | Biotechnology — 0.8% | | | | |
| | 417 | | | AbbVie, Inc. | | | 40,316 | |
| | 1,338 | | | Gilead Sciences, Inc. | | | 95,866 | |
| | | | | | | | |
| | | | | | | 136,182 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 2.0% | | | | |
| | 2,681 | | | Abbott Laboratories | | | 153,012 | |
| | 796 | | | Becton Dickinson and Co. | | | 170,413 | |
| | | | | | | | |
| | | | | | | 323,425 | |
| | | | | | | | |
| | | | Pharmaceuticals — 7.9% | | | | |
| | 2,475 | | | Bristol-Myers Squibb Co. | | | 151,664 | |
| | 1,503 | | | Eli Lilly & Co. | | | 126,938 | |
| | 3,129 | | | Johnson & Johnson | | | 437,212 | |
| | 5,244 | | | Merck & Co., Inc. | | | 295,080 | |
| | 8,476 | | | Pfizer, Inc. | | | 306,997 | |
| | | | | | | | |
| | | | | | | 1,317,891 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,777,498 | |
| | | | | | | | |
| | | | Industrials — 10.6% | |
| | | | Aerospace & Defense — 1.4% | | | | |
| | 1,144 | | | General Dynamics Corp. | | | 232,794 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.3% | | | | |
| | 3,264 | | | Republic Services, Inc. | | | 220,698 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.7% | | | | |
| | 531 | | | 3M Co. | | | 125,020 | |
| | 1,071 | | | Honeywell International, Inc. | | | 164,222 | |
| | | | | | | | |
| | | | | | | 289,242 | |
| | | | | | | | |
| | | | Machinery — 4.2% | | | | |
| | 2,497 | | | Dover Corp. | | | 252,195 | |
| | 1,632 | | | Illinois Tool Works, Inc. | | | 272,371 | |
| | 201 | | | Snap-on, Inc. | | | 35,004 | |
| | 837 | | | Stanley Black & Decker, Inc. | | | 141,947 | |
| | | | | | | | |
| | | | | | | 701,517 | |
| | | | | | | | |
| | | | Road & Rail — 2.0% | | | | |
| | 926 | | | Norfolk Southern Corp. | | | 134,186 | |
| | 1,432 | | | Union Pacific Corp. | | | 192,028 | |
| | | | | | | | |
| | | | | | | 326,214 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,770,465 | |
| | | | | | | | |
| | | | Information Technology — 11.1% | |
| | | | IT Services — 2.0% | | | | |
| | 539 | | | Accenture plc, Class A | | | 82,440 | |
| | 717 | | | Automatic Data Processing, Inc. | | | 84,013 | |
| | 1,719 | | | Fidelity National Information Services, Inc. | | | 161,735 | |
| | | | | | | | |
| | | | | | | 328,188 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 4.5% | |
| | 2,728 | | | Analog Devices, Inc. | | | 242,854 | |
| | 869 | | | KLA-Tencor Corp. | | | 91,335 | |
| | 1,558 | | | QUALCOMM, Inc. | | | 99,750 | |
| | 3,027 | | | Texas Instruments, Inc. | | | 316,090 | |
| | | | | | | | |
| | | | | | | 750,029 | |
| | | | | | | | |
| | | | Software — 2.4% | |
| | 4,749 | | | Microsoft Corp. | | | 406,188 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 2.2% | |
| | 2,175 | | | Apple, Inc. | | | 368,121 | |
| | | | | | | | |
| | | | Total Information Technology | | | 1,852,526 | |
| | | | | | | | |
| | | | Materials — 3.8% | |
| | | | Chemicals — 3.8% | | | | |
| | 1,030 | | | Air Products & Chemicals, Inc. | | | 168,986 | |
| | 2,162 | | | DowDuPont, Inc. | | | 153,968 | |
| | 218 | | | International Flavors & Fragrances, Inc. | | | 33,323 | |
| | 1,627 | | | PPG Industries, Inc. | | | 190,016 | |
| | 1,513 | | | RPM International, Inc. | | | 79,331 | |
| | | | | | | | |
| | | | Total Materials | | | 625,624 | |
| | | | | | | | |
| | | | Real Estate — 2.8% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.8% | |
| | 387 | | | Alexandria Real Estate Equities, Inc. | | | 50,592 | |
| | 772 | | | AvalonBay Communities, Inc. | | | 137,791 | |
| | 600 | | | Boston Properties, Inc. | | | 77,995 | |
| | 1,144 | | | Simon Property Group, Inc. | | | 196,415 | |
| | | | | | | | |
| | | | Total Real Estate | | | 462,793 | |
| | | | | | | | |
| | | | Telecommunication Services — 1.5% | |
| | | | Diversified Telecommunication Services — 1.5% | |
| | 4,633 | | | Verizon Communications, Inc. | | | 245,204 | |
| | | | | | | | |
| | | | Utilities — 3.4% | |
| | | | Electric Utilities — 2.0% | |
| | 609 | | | Edison International | | | 38,506 | |
| | 885 | | | NextEra Energy, Inc. | | | 138,229 | |
| | 3,211 | | | Xcel Energy, Inc. | | | 154,488 | |
| | | | | | | | |
| | | | | | | 331,223 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.4% | | | | |
| | 2,659 | | | CMS Energy Corp. | | | 125,759 | |
| | 239 | | | DTE Energy Co. | | | 26,192 | |
| | 3,366 | | | NiSource, Inc. | | | 86,402 | |
| | | | | | | | |
| | | | | | | 238,353 | |
| | | | | | | | |
| | | | Total Utilities | | | 569,576 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $11,462,326) | | | 16,359,523 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investment — 1.7% | | | | |
| | | | Investment Company — 1.7% | |
| | 285,987 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $285,987) | | | 285,987 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $11,748,313) | | | 16,645,510 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (19,412 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 16,626,098 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 23 | |
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 99.7% | |
| | | | Consumer Discretionary — 10.3% | |
| | | | Distributors — 0.7% | |
| | 45 | | | Genuine Parts Co. | | | 4,266 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 2.0% | |
| | 54 | | | Royal Caribbean Cruises Ltd. | | | 6,441 | |
| | 85 | | | Starbucks Corp. | | | 4,870 | |
| | | | | | | | |
| | | | | | | 11,311 | |
| | | | | | | | |
| | | | Media — 2.5% | |
| | 103 | | | DISH Network Corp., Class A (a) | | | 4,928 | |
| | 37 | | | Time Warner, Inc. | | | 3,403 | |
| | 56 | | | Walt Disney Co. (The) | | | 5,977 | |
| | | | | | | | |
| | | | | | | 14,308 | |
| | | | | | | | |
| | | | Multiline Retail — 1.1% | |
| | 242 | | | Macy’s, Inc. | | | 6,106 | |
| | | | | | | | |
| | | | Specialty Retail — 3.3% | |
| | 7 | | | AutoZone, Inc. (a) | | | 4,702 | |
| | 77 | | | Home Depot, Inc. (The) | | | 14,575 | |
| | | | | | | | |
| | | | | | | 19,277 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.7% | |
| | 65 | | | NIKE, Inc., Class B | | | 4,072 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 59,340 | |
| | | | | | | | |
| | | | Consumer Staples — 6.3% | |
| | | | Beverages — 2.7% | |
| | 44 | | | Dr Pepper Snapple Group, Inc. | | | 4,222 | |
| | 99 | | | Molson Coors Brewing Co., Class B | | | 8,141 | |
| | 25 | | | PepsiCo, Inc. | | | 2,986 | |
| | | | | | | | |
| | | | | | | 15,349 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.2% | |
| | 97 | | | Walgreens Boots Alliance, Inc. | | | 7,073 | |
| | | | | | | | |
| | | | Tobacco — 2.4% | |
| | 150 | | | Altria Group, Inc. | | | 10,683 | |
| | 33 | | | Philip Morris International, Inc. | | | 3,508 | |
| | | | | | | | |
| | | | | | | 14,191 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 36,613 | |
| | | | | | | | |
| | | | Energy — 11.1% | |
| | | | Energy Equipment & Services — 0.8% | |
| | 66 | | | Schlumberger Ltd. | | | 4,441 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 10.3% | |
| | 98 | | | Chevron Corp. | | | 12,319 | |
| | 164 | | | ConocoPhillips | | | 8,984 | |
| | 59 | | | EOG Resources, Inc. | | | 6,377 | |
| | 82 | | | Exxon Mobil Corp. | | | 6,874 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — continued | |
| | 147 | | | Occidental Petroleum Corp. | | | 10,843 | |
| | 43 | | | Phillips 66 | | | 4,370 | |
| | 23 | | | Pioneer Natural Resources Co. | | | 4,010 | |
| | 63 | | | Valero Energy Corp. | | | 5,800 | |
| | | | | | | | |
| | | | | | | 59,577 | |
| | | | | | | | |
| | | | Total Energy | | | 64,018 | |
| | | | | | | | |
| | | | Financials — 33.0% | |
| | | | Banks — 13.3% | |
| | 737 | | | Bank of America Corp. | | | 21,767 | |
| | 121 | | | BB&T Corp. | | | 6,001 | |
| | 73 | | | Citigroup, Inc. | | | 5,422 | |
| | 36 | | | Cullen/Frost Bankers, Inc. | | | 3,398 | |
| | 37 | | | M&T Bank Corp. | | | 6,275 | |
| | 62 | | | PNC Financial Services Group, Inc. (The) | | | 8,946 | |
| | 114 | | | SunTrust Banks, Inc. | | | 7,350 | |
| | 125 | | | US Bancorp | | | 6,676 | |
| | 183 | | | Wells Fargo & Co. | | | 11,103 | |
| | | | | | | | |
| | | | | | | 76,938 | |
| | | | | | | | |
| | | | Capital Markets — 9.6% | |
| | 25 | | | BlackRock, Inc. | | | 12,689 | |
| | 69 | | | Charles Schwab Corp. (The) | | | 3,519 | |
| | 31 | | | Goldman Sachs Group, Inc. (The) | | | 7,923 | |
| | 38 | | | Intercontinental Exchange, Inc. | | | 2,695 | |
| | 162 | | | Invesco Ltd. | | | 5,931 | |
| | 255 | | | Morgan Stanley | | | 13,390 | |
| | 91 | | | T. Rowe Price Group, Inc. | | | 9,559 | |
| | | | | | | | |
| | | | | | | 55,706 | |
| | | | | | | | |
| | | | Consumer Finance — 2.7% | |
| | 79 | | | Capital One Financial Corp. | | | 7,827 | |
| | 98 | | | Discover Financial Services | | | 7,530 | |
| | | | | | | | |
| | | | | | | 15,357 | |
| | | | | | | | |
| | | | Diversified Financial Services — 2.1% | |
| | 60 | | | Berkshire Hathaway, Inc., Class B (a) | | | 11,834 | |
| | | | | | | | |
| | | | Insurance — 5.3% | |
| | 46 | | | Chubb Ltd. | | | 6,775 | |
| | 195 | | | Hartford Financial Services Group, Inc. (The) | | | 10,946 | |
| | 56 | | | Loews Corp. | | | 2,802 | |
| | 82 | | | MetLife, Inc. | | | 4,146 | |
| | 53 | | | Prudential Financial, Inc. | | | 6,094 | |
| | | | | | | | |
| | | | | | | 30,763 | |
| | | | | | | | |
| | | | Total Financials | | | 190,598 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Health Care — 11.1% | |
| | | | Biotechnology — 1.2% | |
| | 99 | | | Gilead Sciences, Inc. | | | 7,092 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.1% | |
| | 28 | | | Becton Dickinson and Co. | | | 5,972 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.9% | |
| | 35 | | | Aetna, Inc. | | | 6,223 | |
| | 19 | | | Humana, Inc. | | | 4,813 | |
| | 27 | | | UnitedHealth Group, Inc. | | | 5,842 | |
| | | | | | | | |
| | | | | | | 16,878 | |
| | | | | | | | |
| | | | Pharmaceuticals — 5.9% | |
| | 145 | | | Bristol-Myers Squibb Co. | | | 8,861 | |
| | 44 | | | Eli Lilly & Co. | | | 3,674 | |
| | 43 | | | Johnson & Johnson | | | 6,008 | |
| | 109 | | | Merck & Co., Inc. | | | 6,143 | |
| | 264 | | | Pfizer, Inc. | | | 9,552 | |
| | | | | | | | |
| | | | | | | 34,238 | |
| | | | | | | | |
| | | | Total Health Care | | | 64,180 | |
| | | | | | | | |
| | | | Industrials — 8.4% | |
| | | | Aerospace & Defense — 1.8% | |
| | 27 | | | General Dynamics Corp. | | | 5,575 | |
| | 36 | | | United Technologies Corp. | | | 4,605 | |
| | | | | | | | |
| | | | | | | 10,180 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 4.1% | |
| | 41 | | | 3M Co. | | | 9,533 | |
| | 92 | | | Honeywell International, Inc. | | | 14,078 | |
| | | | | | | | |
| | | | | | | 23,611 | |
| | | | | | | | |
| | | | Machinery — 0.8% | |
| | 49 | | | Dover Corp. | | | 4,928 | |
| | | | | | | | |
| | | | Road & Rail — 0.7% | |
| | 34 | | | CSX Corp. | | | 1,876 | |
| | 19 | | | Kansas City Southern | | | 2,041 | |
| | | | | | | | |
| | | | | | | 3,917 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.0% | |
| | 35 | | | Watsco, Inc. | | | 6,020 | |
| | | | | | | | |
| | | | Total Industrials | | | 48,656 | |
| | | | | | | | |
| | | | Information Technology — 11.1% | |
| | | | Internet Software & Services — 1.2% | |
| | 7 | | | Alphabet, Inc., Class C (a) | | | 6,821 | |
| | | | | | | | |
| | | | IT Services — 0.8% | |
| | 51 | | | Fidelity National Information Services, Inc. | | | 4,780 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 4.0% | |
| | 77 | | | Analog Devices, Inc. | | | 6,873 | |
| | 97 | | | Applied Materials, Inc. | | | 4,959 | |
| | 35 | | | KLA-Tencor Corp. | | | 3,688 | |
| | 75 | | | Texas Instruments, Inc. | | | 7,875 | |
| | | | | | | | |
| | | | | | | 23,395 | |
| | | | | | | | |
| | | | Software — 2.9% | |
| | 193 | | | Microsoft Corp. | | | 16,509 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 2.2% | |
| | 75 | | | Apple, Inc. | | | 12,760 | |
| | | | | | | | |
| | | | Total Information Technology | | | 64,265 | |
| | | | | | | | |
| | | | Materials — 1.5% | |
| | | | Chemicals — 1.5% | |
| | 19 | | | Air Products & Chemicals, Inc. | | | 3,069 | |
| | 82 | | | DowDuPont, Inc. | | | 5,825 | |
| | | | | | | | |
| | | | Total Materials | | | 8,894 | |
| | | | | | | | |
| | | | Real Estate — 2.9% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.9% | |
| | 16 | | | AvalonBay Communities, Inc. | | | 2,908 | |
| | 32 | | | Crown Castle International Corp. | | | 3,541 | |
| | 56 | | | Macerich Co. (The) | | | 3,698 | |
| | 40 | | | Simon Property Group, Inc. | | | 6,835 | |
| | | | | | | | |
| | | | Total Real Estate | | | 16,982 | |
| | | | | | | | |
| | | | Telecommunication Services — 1.3% | |
| | | | Diversified Telecommunication Services — 1.3% | |
| | 148 | | | Verizon Communications, Inc. | | | 7,814 | |
| | | | | | | | |
| | | | Utilities — 2.7% | |
| | | | Electric Utilities — 1.3% | |
| | 24 | | | NextEra Energy, Inc. | | | 3,686 | |
| | 77 | | | Xcel Energy, Inc. | | | 3,695 | |
| | | | | | | | |
| | | | | | | 7,381 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.4% | |
| | 169 | | | CMS Energy Corp. | | | 7,989 | |
| | | | | | | | |
| | | | Total Utilities | | | 15,370 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $360,384) | | | 576,730 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 25 | |
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investment — 2.2% | |
| | | | Investment Company — 2.2% | |
| | 12,620 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $12,620) | | | 12,620 | |
| | | | | | | | |
| | | | Total Investments — 101.9%
(Cost $373,004) | | | 589,350 | |
| | | | Liabilities in Excess of
Other Assets — (1.9)% | | | (11,159 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 578,191 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.4% | |
| | | | Consumer Discretionary — 12.9% | |
| | | | Auto Components — 0.4% | |
| | 46 | | | Aptiv plc | | | 3,887 | |
| | 15 | | | Delphi Technologies plc (a) | | | 805 | |
| | 10 | | | Lear Corp. (o) | | | 1,748 | |
| | | | | | | | |
| | | | | | | 6,440 | |
| | | | | | | | |
| | | | Automobiles — 0.3% | |
| | 391 | | | Ford Motor Co. (o) | | | 4,880 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.0% (g) | |
| | 28 | | | H&R Block, Inc. | | | 729 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.0% | |
| | 51 | | | Hilton Worldwide Holdings, Inc. | | | 4,079 | |
| | 9 | | | McDonald’s Corp. | | | 1,497 | |
| | 59 | | | Royal Caribbean Cruises Ltd. | | | 7,086 | |
| | 41 | | | Yum Brands, Inc. | | | 3,356 | |
| | | | | | | | |
| | | | | | | 16,018 | |
| | | | | | | | |
| | | | Household Durables — 0.5% | |
| | 67 | | | DR Horton, Inc. | | | 3,407 | |
| | 25 | | | PulteGroup, Inc. | | | 836 | |
| | 68 | | | Toll Brothers, Inc. | | | 3,272 | |
| | | | | | | | |
| | | | | | | 7,515 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 2.1% | |
| | 25 | | | Amazon.com, Inc. (a) (o) | | | 29,419 | |
| | 2 | | | Priceline Group, Inc. (The) (a) | | | 3,210 | |
| | | | | | | | |
| | | | | | | 32,629 | |
| | | | | | | | |
| | | | Media — 3.9% | |
| | 32 | | | Charter Communications, Inc., Class A (a) (o) | | | 10,698 | |
| | 562 | | | Comcast Corp., Class A (o) | | | 22,517 | |
| | 81 | | | DISH Network Corp., Class A (a) | | | 3,879 | |
| | 391 | | | Sirius XM Holdings, Inc. | | | 2,097 | |
| | 16 | | | Time Warner, Inc. | | | 1,435 | |
| | 304 | | | Twenty-First Century Fox, Inc., Class A | | | 10,482 | |
| | 97 | | | Walt Disney Co. (The) | | | 10,472 | |
| | | | | | | | |
| | | | | | | 61,580 | |
| | | | | | | | |
| | | | Multiline Retail — 0.5% | |
| | 73 | | | Dollar Tree, Inc. (a) | | | 7,843 | |
| | | | | | | | |
| | | | Specialty Retail — 3.5% | |
| | 57 | | | Best Buy Co., Inc. | | | 3,895 | |
| | 104 | | | Home Depot, Inc. (The) (o) | | | 19,777 | |
| | 141 | | | Lowe’s Cos., Inc. (o) | | | 13,080 | |
| | 18 | | | O’Reilly Automotive, Inc. (a) | | | 4,422 | |
| | 88 | | | Ross Stores, Inc. | | | 7,089 | |
| | 83 | | | TJX Cos., Inc. (The) (o) | | | 6,355 | |
| | | | | | | | |
| | | | | | | 54,618 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.7% | |
| | 112 | | | NIKE, Inc., Class B | | | 7,015 | |
| | 27 | | | PVH Corp. | | | 3,760 | |
| | 11 | | | VF Corp. | | | 779 | |
| | | | | | | | |
| | | | | | | 11,554 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 203,806 | |
| | | | | | | | |
| | | | Consumer Staples — 7.9% | |
| | | | Beverages — 2.6% | |
| | 85 | | | Coca-Cola Co. (The) | | | 3,907 | |
| | 29 | | | Constellation Brands, Inc., Class A | | | 6,698 | |
| | 127 | | | Molson Coors Brewing Co., Class B (o) | | | 10,460 | |
| | 163 | | | PepsiCo, Inc. | | | 19,491 | |
| | | | | | | | |
| | | | | | | 40,556 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.4% | |
| | 51 | | | Costco Wholesale Corp. (o) | | | 9,554 | |
| | 48 | | | CVS Health Corp. | | | 3,444 | |
| | 35 | | | Kroger Co. (The) | | | 949 | |
| | 121 | | | Walgreens Boots Alliance, Inc. | | | 8,807 | |
| | | | | | | | |
| | | | | | | 22,754 | |
| | | | | | | | |
| | | | Food Products — 1.1% | |
| | 25 | | | Archer-Daniels-Midland Co. (o) | | | 992 | |
| | 4 | | | JM Smucker Co. (The) | | | 525 | |
| | 24 | | | Kraft Heinz Co. (The) (o) | | | 1,861 | |
| | 317 | | | Mondelez International, Inc., Class A (o) | | | 13,582 | |
| | | | | | | | |
| | | | | | | 16,960 | |
| | | | | | | | |
| | | | Household Products — 1.1% | |
| | 65 | | | Kimberly-Clark Corp. (o) | | | 7,824 | |
| | 109 | | | Procter & Gamble Co. (The) | | | 9,973 | |
| | | | | | | | |
| | | | | | | 17,797 | |
| | | | | | | | |
| | | | Personal Products — 0.3% | |
| | 36 | | | Estee Lauder Cos., Inc. (The), Class A | | | 4,593 | |
| | | | | | | | |
| | | | Tobacco — 1.4% | |
| | 206 | | | Philip Morris International, Inc. (o) | | | 21,726 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 124,386 | |
| | | | | | | | |
| | | | Energy — 6.0% | |
| | | | Energy Equipment & Services — 0.1% | |
| | 33 | | | Halliburton Co. | | | 1,590 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 5.9% | |
| | 85 | | | Anadarko Petroleum Corp. | | | 4,563 | |
| | 124 | | | Chevron Corp. | | | 15,488 | |
| | 41 | | | Concho Resources, Inc. (a) (o) | | | 6,124 | |
| | 58 | | | Diamondback Energy, Inc. (a) | | | 7,331 | |
| | 103 | | | EOG Resources, Inc. | | | 11,130 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 27 | |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Oil, Gas & Consumable Fuels — continued | |
| | 49 | | | EQT Corp. | | | 2,790 | |
| | 192 | | | Exxon Mobil Corp. (o) | | | 16,022 | |
| | 281 | | | Kinder Morgan, Inc. | | | 5,085 | |
| | 79 | | | Marathon Petroleum Corp. | | | 5,206 | |
| | 99 | | | Occidental Petroleum Corp. | | | 7,288 | |
| | 30 | | | ONEOK, Inc. | | | 1,598 | |
| | 60 | | | Pioneer Natural Resources Co. | | | 10,346 | |
| | | | | | | | |
| | | | | | | 92,971 | |
| | | | | | | | |
| | | | Total Energy | | | 94,561 | |
| | | | | | | | |
| | | | Financials — 14.3% | |
| | | | Banks — 5.9% | |
| | 1,033 | | | Bank of America Corp. (o) | | | 30,503 | |
| | 327 | | | Citigroup, Inc. | | | 24,323 | |
| | 47 | | | Citizens Financial Group, Inc. | | | 1,986 | |
| | 37 | | | Comerica, Inc. | | | 3,203 | |
| | 290 | | | KeyCorp | | | 5,843 | |
| | 51 | | | SunTrust Banks, Inc. | | | 3,291 | |
| | 10 | | | SVB Financial Group (a) | | | 2,242 | |
| | 363 | | | Wells Fargo & Co. (o) | | | 22,023 | |
| | | | | | | | |
| | | | | | | 93,414 | |
| | | | | | | | |
| | | | Capital Markets — 3.3% | |
| | 176 | | | Bank of New York Mellon Corp. (The) | | | 9,502 | |
| | 231 | | | Charles Schwab Corp. (The) (o) | | | 11,861 | |
| | 83 | | | Intercontinental Exchange, Inc. | | | 5,847 | |
| | 285 | | | Morgan Stanley (o) | | | 14,949 | |
| | 95 | | | State Street Corp. (o) | | | 9,295 | |
| | | | | | | | |
| | | | | | | 51,454 | |
| | | | | | | | |
| | | | Consumer Finance — 1.1% | |
| | 112 | | | American Express Co. | | | 11,124 | |
| | 61 | | | Capital One Financial Corp. | | | 6,103 | |
| | | | | | | | |
| | | | | | | 17,227 | |
| | | | | | | | |
| | | | Diversified Financial Services — 1.6% | |
| | 117 | | | Berkshire Hathaway, Inc., Class B (a) (o) | | | 23,129 | |
| | 48 | | | Voya Financial, Inc. | | | 2,356 | |
| | | | | | | | |
| | | | | | | 25,485 | |
| | | | | | | | |
| | | | Insurance — 2.4% | |
| | 153 | | | American International Group, Inc. | | | 9,111 | |
| | 44 | | | Arthur J Gallagher & Co. | | | 2,767 | |
| | 9 | | | Brighthouse Financial, Inc. (a) (o) | | | 532 | |
| | 66 | | | Chubb Ltd. | | | 9,604 | |
| | 10 | | | Everest Re Group Ltd. | | | 2,143 | |
| | 21 | | | Hartford Financial Services Group, Inc. (The) | | | 1,155 | |
| | 234 | | | MetLife, Inc. (o) | | | 11,845 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Insurance — continued | |
| | 36 | | | XL Group Ltd., (Bermuda) | | | 1,252 | |
| | | | | | | | |
| | | | | | | 38,409 | |
| | | | | | | | |
| | | | Total Financials | | | 225,989 | |
| | | | | | | | |
| | | | Health Care — 13.2% | |
| | | | Biotechnology — 2.4% | |
| | 29 | | | AbbVie, Inc. | | | 2,784 | |
| | 16 | | | Alexion Pharmaceuticals, Inc. (a) | | | 1,903 | |
| | 4 | | | Amgen, Inc. | | | 686 | |
| | 28 | | | Biogen, Inc. (a) | | | 9,017 | |
| | 7 | | | BioMarin Pharmaceutical, Inc. (a) | | | 603 | |
| | 88 | | | Celgene Corp. (a) | | | 9,231 | |
| | 100 | | | Gilead Sciences, Inc. | | | 7,143 | |
| | 39 | | | Vertex Pharmaceuticals, Inc. (a) | | | 5,894 | |
| | | | | | | | |
| | | | | | | 37,261 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 2.4% | |
| | 185 | | | Abbott Laboratories | | | 10,543 | |
| | 33 | | | Becton Dickinson and Co. | | | 7,161 | |
| | 327 | | | Boston Scientific Corp. (a) (o) | | | 8,100 | |
| | 4 | | | Cooper Cos., Inc. (The) | | | 781 | |
| | 47 | | | Danaher Corp. | | | 4,405 | |
| | 60 | | | Zimmer Biomet Holdings, Inc. | | | 7,222 | |
| | | | | | | | |
| | | | | | | 38,212 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.5% | |
| | 32 | | | AmerisourceBergen Corp. | | | 2,920 | |
| | 53 | | | Cigna Corp. | | | 10,675 | |
| | 5 | | | McKesson Corp. | | | 811 | |
| | 117 | | | UnitedHealth Group, Inc. (o) | | | 25,817 | |
| | | | | | | | |
| | | | | | | 40,223 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.7% | |
| | 49 | | | Agilent Technologies, Inc. | | | 3,287 | |
| | 14 | | | Illumina, Inc. (a) | | | 2,994 | |
| | 25 | | | Thermo Fisher Scientific, Inc. | | | 4,780 | |
| | | | | | | | |
| | | | | | | 11,061 | |
| | | | | | | | |
| | | | Pharmaceuticals — 5.2% | |
| | 52 | | | Allergan plc | | | 8,565 | |
| | 177 | | | Bristol-Myers Squibb Co. | | | 10,817 | |
| | 144 | | | Eli Lilly & Co. | | | 12,199 | |
| | 125 | | | Johnson & Johnson | | | 17,529 | |
| | 156 | | | Merck & Co., Inc. (o) | | | 8,798 | |
| | 38 | | | Mylan NV (a) | | | 1,601 | |
| | 612 | | | Pfizer, Inc. (o) | | | 22,171 | |
| | | | | | | | |
| | | | | | | 81,680 | |
| | | | | | | | |
| | | | Total Health Care | | | 208,437 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Industrials — 9.8% | |
| | | | Aerospace & Defense — 1.3% | |
| | 44 | | | General Dynamics Corp. (o) | | | 9,037 | |
| | 27 | | | Northrop Grumman Corp. | | | 8,376 | |
| | 29 | | | United Technologies Corp. | | | 3,713 | |
| | | | | | | | |
| | | | | | | 21,126 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.0% (g) | |
| | 3 | | | FedEx Corp. | | | 772 | |
| | | | | | | | |
| | | | Airlines — 0.7% | |
| | 142 | | | Delta Air Lines, Inc. | | | 7,959 | |
| | 35 | | | United Continental Holdings, Inc. (a) | | | 2,348 | |
| | | | | | | | |
| | | | | | | 10,307 | |
| | | | | | | | |
| | | | Building Products — 0.7% | |
| | 84 | | | Allegion plc | | | 6,675 | |
| | 83 | | | Masco Corp. | | | 3,646 | |
| | | | | | | | |
| | | | | | | 10,321 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.7% | |
| | 149 | | | Eaton Corp. plc | | | 11,767 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.7% | |
| | 415 | | | General Electric Co. | | | 7,239 | |
| | 131 | | | Honeywell International, Inc. (o) | | | 20,034 | |
| | | | | | | | |
| | | | | | | 27,273 | |
| | | | | | | | |
| | | | Machinery — 2.7% | |
| | 42 | | | Deere & Co. | | | 6,522 | |
| | 10 | | | Fortive Corp. (o) | | | 718 | |
| | 148 | | | Ingersoll-Rand plc | | | 13,176 | |
| | 44 | | | PACCAR, Inc. (o) | | | 3,161 | |
| | 13 | | | Parker-Hannifin Corp. (o) | | | 2,557 | |
| | 27 | | | Snap-on, Inc. | | | 4,727 | |
| | 74 | | | Stanley Black & Decker, Inc. | | | 12,608 | |
| | | | | | | | |
| | | | | | | 43,469 | |
| | | | | | | | |
| | | | Road & Rail — 2.0% | |
| | 9 | | | Canadian Pacific Railway Ltd., (Canada) | | | 1,573 | |
| | 73 | | | Norfolk Southern Corp. (o) | | | 10,599 | |
| | 140 | | | Union Pacific Corp. (o) | | | 18,804 | |
| | | | | | | | |
| | | | | | | 30,976 | |
| | | | | | | | |
| | | | Total Industrials | | | 156,011 | |
| | | | | | | | |
| | | | Information Technology — 24.2% | |
| | | | Communications Equipment — 0.4% | |
| | 115 | | | Cisco Systems, Inc. | | | 4,408 | |
| | 7 | | | Harris Corp. | | | 1,051 | |
| | | | | | | | |
| | | | | | | 5,459 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 0.4% | |
| | 73 | | | TE Connectivity Ltd. | | | 6,912 | |
| | | | | | | | |
| | | | Internet Software & Services — 5.6% | |
| | 25 | | | Alphabet, Inc., Class A (a) (o) | | | 26,665 | |
| | 26 | | | Alphabet, Inc., Class C (a) (o) | | | 27,315 | |
| | 197 | | | Facebook, Inc., Class A (a) (o) | | | 34,841 | |
| | | | | | | | |
| | | | | | | 88,821 | |
| | | | | | | | |
| | | | IT Services — 4.2% | |
| | 127 | | | Accenture plc, Class A (o) | | | 19,396 | |
| | 97 | | | Fidelity National Information Services, Inc. | | | 9,093 | |
| | 48 | | | International Business Machines Corp. (o) | | | 7,330 | |
| | 50 | | | Vantiv, Inc., Class A (a) | | | 3,711 | |
| | 221 | | | Visa, Inc., Class A | | | 25,172 | |
| | 12 | | | WEX, Inc. (a) | | | 1,671 | |
| | | | | | | | |
| | | | | | | 66,373 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.9% | |
| | 151 | | | Analog Devices, Inc. (o) | | | 13,407 | |
| | 62 | | | Broadcom Ltd. (o) | | | 16,031 | |
| | 44 | | | Microchip Technology, Inc. | | | 3,825 | |
| | 51 | | | Micron Technology, Inc. (a) | | | 2,089 | |
| | 41 | | | NVIDIA Corp. (o) | | | 7,934 | |
| | 183 | | | Texas Instruments, Inc. (o) | | | 19,115 | |
| | | | | | | | |
| | | | | | | 62,401 | |
| | | | | | | | |
| | | | Software — 5.3% | |
| | 99 | | | Adobe Systems, Inc. (a) (o) | | | 17,430 | |
| | 6 | | | CA, Inc. | | | 206 | |
| | 10 | | | Intuit, Inc. | | | 1,531 | |
| | 689 | | | Microsoft Corp. (o) | | | 58,899 | |
| | 40 | | | Oracle Corp. (o) | | | 1,895 | |
| | 40 | | | Symantec Corp. | | | 1,134 | |
| | 24 | | | Workday, Inc., Class A (a) | | | 2,422 | |
| | | | | | | | |
| | | | | | | 83,517 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 4.4% | |
| | 381 | | | Apple, Inc. (o) | | | 64,500 | |
| | 268 | | | HP, Inc. (o) | | | 5,633 | |
| | | | | | | | |
| | | | | | | 70,133 | |
| | | | | | | | |
| | | | Total Information Technology | | | 383,616 | |
| | | | | | | | |
| | | | Materials — 2.9% | |
| | | | Chemicals — 2.1% | |
| | 7 | | | Albemarle Corp. | | | 946 | |
| | 37 | | | Celanese Corp., Series A | | | 3,914 | |
| | 260 | | | DowDuPont, Inc. (o) | | | 18,495 | |
| | 101 | | | Eastman Chemical Co. | | | 9,324 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 29 | |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures and Options contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Chemicals — continued | |
| | 6 | | | Mosaic Co. (The) (o) | | | 161 | |
| | | | | | | | |
| | | | | | | 32,840 | |
| | | | | | | | |
| | | | Construction Materials — 0.0% (g) | |
| | 8 | | | Vulcan Materials Co. | | | 976 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.4% | |
| | 49 | | | Crown Holdings, Inc. (a) | | | 2,752 | |
| | 60 | | | WestRock Co. | | | 3,821 | |
| | | | | | | | |
| | | | | | | 6,573 | |
| | | | | | | | |
| | | | Metals & Mining — 0.4% | |
| | 69 | | | Alcoa Corp. (a) | | | 3,702 | |
| | 51 | | | Freeport-McMoRan, Inc. (a) | | | 967 | |
| | 33 | | | Newmont Mining Corp. | | | 1,242 | |
| | | | | | | | |
| | | | | | | 5,911 | |
| | | | | | | | |
| | | | Total Materials | | | 46,300 | |
| | | | | | | | |
| | | | Real Estate — 2.4% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.4% | |
| | 15 | | | American Tower Corp. | | | 2,128 | |
| | 30 | | | AvalonBay Communities, Inc. | | | 5,345 | |
| | 16 | | | Boston Properties, Inc. | | | 2,045 | |
| | 38 | | | Brixmor Property Group, Inc. | | | 705 | |
| | 10 | | | Digital Realty Trust, Inc. | | | 1,185 | |
| | 6 | | | Equinix, Inc. | | | 2,759 | |
| | 59 | | | Equity Residential | | | 3,762 | |
| | 3 | | | Essex Property Trust, Inc. | | | 733 | |
| | 26 | | | Extra Space Storage, Inc. | | | 2,270 | |
| | 21 | | | Federal Realty Investment Trust | | | 2,816 | |
| | 67 | | | HCP, Inc. (o) | | | 1,741 | |
| | 21 | | | Omega Healthcare Investors, Inc. | | | 583 | |
| | 24 | | | Prologis, Inc. | | | 1,567 | |
| | 27 | | | Public Storage | | | 5,669 | |
| | 9 | | | SBA Communications Corp. (a) | | | 1,541 | |
| | 41 | | | Vornado Realty Trust | | | 3,236 | |
| | | | | | | | |
| | | | Total Real Estate | | | 38,085 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.9% | |
| | | | Diversified Telecommunication Services — 0.7% | |
| | 121 | | | AT&T, Inc. | | | 4,719 | |
| | 128 | | | Verizon Communications, Inc. (o) | | | 6,785 | |
| | | | | | | | |
| | | | | | | 11,504 | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.2% | |
| | 48 | | | T-Mobile US, Inc. (a) | | | 3,064 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 14,568 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Utilities — 2.9% | |
| | | | Electric Utilities — 2.5% | |
| | 70 | | | American Electric Power Co., Inc. | | | 5,184 | |
| | 31 | | | Duke Energy Corp. | | | 2,628 | |
| | 31 | | | Entergy Corp. | | | 2,510 | |
| | 149 | | | Exelon Corp. | | | 5,878 | |
| | 79 | | | NextEra Energy, Inc. (o) | | | 12,408 | |
| | 230 | | | Xcel Energy, Inc. | | | 11,045 | |
| | | | | | | | |
| | | | | | | 39,653 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.4% | |
| | 44 | | | CMS Energy Corp. | | | 2,075 | |
| | 73 | | | NiSource, Inc. | | | 1,871 | |
| | 15 | | | Public Service Enterprise Group, Inc. | | | 778 | |
| | 27 | | | WEC Energy Group, Inc. | | | 1,760 | |
| | | | | | | | |
| | | | | | | 6,484 | |
| | | | | | | | |
| | | | Total Utilities | | | 46,137 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,347,563) | | | 1,541,896 | |
| | | | | | | | |
| | |
NUMBER OF
CONTRACTS | | | | | | |
| | Options Purchased — 0.9% | | | | |
| | | | Put Options — 0.9% | |
| | | | Index Options — 0.9% | |
| | 5,851 | | | S&P 500 Index, expiring 03/29/2018 at USD 2,530.00, European Style (a) Notional Amount: USD 1,564,329 Exchange Traded
(Cost $14,060) | | | 13,399 | |
| | | | | | | | |
| | |
PRINCIPAL AMOUNT($) | | | | | | |
| | Short-Term Investments — 4.8% | | | | |
| | | | U.S. Treasury Obligation — 0.0% (g) | |
| | 355 | | | U.S. Treasury Bills, 1.05%, 03/01/2018 (n) | | | 354 | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | | | Investment Company — 4.8% | |
| | 76,214 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l) | | | 76,214 | |
| | | | | | | | |
| | | | Total Short-Term Investments
(Cost $76,569) | | | 76,568 | |
| | | | | | | | |
| | | | Total Investments — 103.1%
(Cost $1,438,192) | | | 1,631,863 | |
| | | | Liabilities in Excess of
Other Assets — (3.1)% | | | (48,697 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,583,166 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT
($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
| S&P 500 E-Mini Index | | | 183 | | | | 03/2018 | | | | USD | | | | 24,485 | | | | 207 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 207 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Written Call Option Contracts as of December 31, 2017: | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL AMOUNT | | | EXERCISE PRICE | | | EXPIRATION
DATE | | | VALUE
($) | |
S&P 500 Index | | | Exchange Traded | | | | 5,851 | | | | USD 1,564,329 | | | | USD 2,750.00 | | | | 03/29/2018 | | | | (8,952 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| Written Put Option Contracts as of December 31, 2017: | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL AMOUNT | | | EXERCISE PRICE | | | EXPIRATION
DATE | | | VALUE
($) | |
S&P 500 Index | | | Exchange Traded | | | | 5,851 | | | | USD 1,564,329 | | | | USD 2,125.00 | | | | 03/29/2018 | | | | (1,960 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Written Options Contracts (Premiums Received $9,912) | | | | | | | | | | | | | | | | | | | | | | | (10,912 | ) |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 31 | |
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 99.6% | |
| | | | Consumer Discretionary — 16.8% | |
| | | | Automobiles — 0.5% | |
| | 232 | | | Tesla, Inc. (a) | | | 72,327 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 0.4% | |
| | 675 | | | Las Vegas Sands Corp. | | | 46,932 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 8.4% | |
| | 593 | | | Amazon.com, Inc. (a) | | | 693,969 | |
| | 925 | | | Netflix, Inc. (a) | | | 177,486 | |
| | 119 | | | Priceline Group, Inc. (The) (a) | | | 207,643 | |
| | | | | | | | |
| | | | | | | 1,079,098 | |
| | | | | | | | |
| | | | Media — 1.6% | |
| | 5,039 | | | Comcast Corp., Class A | | | 201,816 | |
| | | | | | | | |
| | | | Specialty Retail — 5.9% | |
| | 2,864 | | | Home Depot, Inc. (The) | | | 542,878 | |
| | 1,847 | | | Ross Stores, Inc. | | | 148,188 | |
| | 296 | | | Ulta Beauty, Inc. (a) | | | 66,164 | |
| | | | | | | | |
| | | | | | | 757,230 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 2,157,403 | |
| | | | | | | | |
| | | | Consumer Staples — 2.4% | |
| | | | Beverages — 2.4% | |
| | 596 | | | Constellation Brands, Inc., Class A | | | 136,273 | |
| | 2,805 | | | Monster Beverage Corp. (a) | | | 177,532 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 313,805 | |
| | | | | | | | |
| | | | Energy — 0.1% | |
| | | | Oil, Gas & Consumable Fuels — 0.1% | |
| | 81 | | | Pioneer Natural Resources Co. | | | 14,031 | |
| | | | | | | | |
| | | | Financials — 7.4% | |
| | | | Banks — 0.7% | |
| | 374 | | | SVB Financial Group (a) | | | 87,454 | |
| | | | | | | | |
| | | | Capital Markets — 6.7% | |
| | 7,178 | | | Charles Schwab Corp. (The) | | | 368,730 | |
| | 2,651 | | | Intercontinental Exchange, Inc. | | | 187,063 | |
| | 2,293 | | | Morgan Stanley | | | 120,293 | |
| | 1,093 | | | S&P Global, Inc. | | | 185,205 | |
| | | | | | | | |
| | | | | | | 861,291 | |
| | | | | | | | |
| | | | Total Financials | | | 948,745 | |
| | | | | | | | |
| | | | Health Care — 13.0% | |
| | | | Biotechnology — 2.4% | |
| | 524 | | | Incyte Corp. (a) | | | 49,647 | |
| | 60 | | | Regeneron Pharmaceuticals, Inc. (a) | | | 22,595 | |
| | 1,561 | | | Vertex Pharmaceuticals, Inc. (a) | | | 233,974 | |
| | | | | | | | |
| | | | | | | 306,216 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 7.1% | |
| | 1,274 | | | Becton Dickinson and Co. | | | 272,777 | |
| | 5,081 | | | Boston Scientific Corp. (a) | | | 125,965 | |
| | 817 | | | DexCom, Inc. (a) | | | 46,870 | |
| | 1,290 | | | Intuitive Surgical, Inc. (a) | | | 470,691 | |
| | | | | | | | |
| | | | | | | 916,303 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.7% | |
| | 93 | | | Humana, Inc. | | | 23,095 | |
| | 1,464 | | | UnitedHealth Group, Inc. | | | 322,759 | |
| | | | | | | | |
| | | | | | | 345,854 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.8% | |
| | 277 | | | Illumina, Inc. (a) | | | 60,625 | |
| | 190 | | | Thermo Fisher Scientific, Inc. | | | 36,032 | |
| | | | | | | | |
| | | | | | | 96,657 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,665,030 | |
| | | | | | | | |
| | | | Industrials — 9.6% | |
| | | | Aerospace & Defense — 2.8% | |
| | 859 | | | Boeing Co. (The) | | | 253,239 | |
| | 360 | | | Northrop Grumman Corp. | | | 110,580 | |
| | | | | | | | |
| | | | | | | 363,819 | |
| | | | | | | | |
| | | | Airlines — 2.5% | |
| | 2,718 | | | Delta Air Lines, Inc. | | | 152,225 | |
| | 2,539 | | | Southwest Airlines Co. | | | 166,194 | |
| | | | | | | | |
| | | | | | | 318,419 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.9% | |
| | 555 | | | Rockwell Automation, Inc. | | | 108,974 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 2.7% | |
| | 1,227 | | | Honeywell International, Inc. | | | 188,188 | |
| | 626 | | | Roper Technologies, Inc. | | | 162,056 | |
| | | | | | | | |
| | | | | | | 350,244 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.7% | |
| | 525 | | | United Rentals, Inc. (a) | | | 90,330 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,231,786 | |
| | | | | | | | |
| | | | Information Technology — 47.0% | |
| | | | Electronic Equipment, Instruments & Components — 1.1% | |
| | 592 | | | Amphenol Corp., Class A | | | 51,951 | |
| | 535 | | | Universal Display Corp. | | | 92,437 | |
| | | | | | | | |
| | | | | | | 144,388 | |
| | | | | | | | |
| | | | Internet Software & Services — 11.4% | |
| | 715 | | | Alphabet, Inc., Class C (a) | | | 748,240 | |
| | 2,937 | | | Facebook, Inc., Class A (a) | | | 518,285 | |
| | 524 | | | MercadoLibre, Inc., (Argentina) | | | 164,913 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Internet Software & Services — continued | |
| | 309 | | | Shopify, Inc., (Canada), Class A (a) | | | 31,209 | |
| | | | | | | | |
| | | | | | | 1,462,647 | |
| | | | | | | | |
| | | | IT Services — 9.8% | |
| | 3,668 | | | Mastercard, Inc., Class A | | | 555,174 | |
| | 3,937 | | | PayPal Holdings, Inc. (a) | | | 289,875 | |
| | 1,792 | | | Vantiv, Inc., Class A (a) | | | 131,831 | |
| | 2,432 | | | Visa, Inc., Class A | | | 277,342 | |
| | | | | | | | |
| | | | | | | 1,254,222 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 7.5% | |
| | 4,433 | | | Applied Materials, Inc. | | | 226,601 | |
| | 1,310 | | | Broadcom Ltd. | | | 336,507 | |
| | 2,085 | | | NVIDIA Corp. | | | 403,422 | |
| | | | | | | | |
| | | | | �� | | 966,530 | |
| | | | | | | | |
| | | | Software — 11.5% | |
| | 4,625 | | | Activision Blizzard, Inc. | | | 292,836 | |
| | 1,794 | | | Adobe Systems, Inc. (a) | | | 314,451 | |
| | 1,977 | | | Electronic Arts, Inc. (a) | | | 207,690 | |
| | 3,340 | | | Microsoft Corp. | | | 285,712 | |
| | 1,067 | | | salesforce.com, Inc. (a) | | | 109,059 | |
| | 1,854 | | | ServiceNow, Inc. (a) | | | 241,789 | |
| | 1,938 | | | Snap, Inc., Class A (a) | | | 28,308 | |
| | | | | | | | |
| | | | | | | 1,479,845 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 5.7% | |
| | 4,285 | | | Apple, Inc. | | | 725,136 | |
| | | | | | | | |
| | | | Total Information Technology | | | 6,032,768 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Materials — 2.5% | |
| | | | Chemicals — 2.0% | |
| | 431 | | | Albemarle Corp. | | | 55,108 | |
| | 634 | | | Ecolab, Inc. | | | 85,070 | |
| | 284 | | | Sherwin-Williams Co. (The) | | | 116,451 | |
| | | | | | | | |
| | | | | | | 256,629 | |
| | | | | | | | |
| | | | Construction Materials — 0.5% | |
| | 555 | | | Vulcan Materials Co. | | | 71,297 | |
| | | | | | | | |
| | | | Total Materials | | | 327,926 | |
| | | | | | | | |
| | | | Real Estate — 0.8% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 0.8% | |
| | 225 | | | Equinix, Inc. | | | 101,861 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $6,482,170) | | | 12,793,355 | |
| | | | | | | | |
| | Short-Term Investment — 1.1% | | | | |
| | | | Investment Company — 1.1% | |
| | 135,129 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $135,129) | | | 135,129 | |
| | | | | | | | |
| | | | Total Investments — 100.7%
(Cost $6,617,299) | | | 12,928,484 | |
| | | | Liabilities in Excess of
Other Assets — (0.7)% | | | (84,595 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 12,843,889 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 33 | |
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.7% | |
| | | | Consumer Discretionary — 16.8% | |
| | | | Auto Components — 2.3% | |
| | 76 | | | Delphi Technologies plc (a) | | | 3,981 | |
| | 524 | | | Magna International, Inc., (Canada) | | | 29,667 | |
| | | | | | | | |
| | | | | | | 33,648 | |
| | | | | | | | |
| | | | Automobiles — 4.4% | |
| | 1,860 | | | Ford Motor Co. | | | 23,232 | |
| | 987 | | | General Motors Co. | | | 40,449 | |
| | | | | | | | |
| | | | | | | 63,681 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 0.3% | |
| | 265 | | | Arcos Dorados Holdings, Inc., (Uruguay), Class A (a) | | | 2,740 | |
| | 5 | | | Chipotle Mexican Grill, Inc. (a) | | | 1,445 | |
| | | | | | | | |
| | | | | | | 4,185 | |
| | | | | | | | |
| | | | Household Durables — 3.5% | |
| | 161 | | | CalAtlantic Group, Inc. | | | 9,096 | |
| | 274 | | | DR Horton, Inc. | | | 13,993 | |
| | 228 | | | Lennar Corp., Class A | | | 14,406 | |
| | 284 | | | Toll Brothers, Inc. | | | 13,623 | |
| | | | | | | | |
| | | | | | | 51,118 | |
| | | | | | | | |
| | | | Leisure Products — 1.0% | |
| | 259 | | | Brunswick Corp. | | | 14,313 | |
| | | | | | | | |
| | | | Media — 2.1% | |
| | 382 | | | Comcast Corp., Class A | | | 15,279 | |
| | 309 | | | DISH Network Corp., Class A (a) | | | 14,756 | |
| | | | | | | | |
| | | | | | | 30,035 | |
| | | | | | | | |
| | | | Specialty Retail — 2.4% | |
| | 13 | | | AutoZone, Inc. (a) | | | 9,532 | |
| | 51 | | | Lowe’s Cos., Inc. | | | 4,740 | |
| | 137 | | | Murphy USA, Inc. (a) | | | 11,001 | |
| | 39 | | | O’Reilly Automotive, Inc. (a) | | | 9,261 | |
| | | | | | | | |
| | | | | | | 34,534 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.8% | |
| | 206 | | | Hanesbrands, Inc. | | | 4,299 | |
| | 152 | | | Tapestry, Inc. | | | 6,705 | |
| | | | | | | | |
| | | | | | | 11,004 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 242,518 | |
| | | | | | | | |
| | | | Consumer Staples — 3.9% | |
| | | | Food & Staples Retailing — 2.4% | |
| | 95 | | | CVS Health Corp. | | | 6,888 | |
| | 626 | | | Kroger Co. (The) | | | 17,173 | |
| | 159 | | | Walgreens Boots Alliance, Inc. | | | 11,539 | |
| | | | | | | | |
| | | | | | | 35,600 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Food Products — 1.2% | |
| | 117 | | | Lamb Weston Holdings, Inc. | | | 6,576 | |
| | 246 | | | Mondelez International, Inc., Class A | | | 10,546 | |
| | | | | | | | |
| | | | | | | 17,122 | |
| | | | | | | | |
| | | | Tobacco — 0.3% | |
| | 38 | | | Philip Morris International, Inc. | | | 4,015 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 56,737 | |
| | | | | | | | |
| | | | Energy — 10.9% | |
| | | | Energy Equipment & Services — 0.5% | |
| | 232 | | | Baker Hughes a GE Co. | | | 7,331 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 10.4% | |
| | 102 | | | Anadarko Petroleum Corp. | | | 5,445 | |
| | 238 | | | Diamondback Energy, Inc. (a) | | | 30,098 | |
| | 275 | | | EOG Resources, Inc. | | | 29,643 | |
| | 294 | | | EQT Corp. | | | 16,723 | |
| | 448 | | | Occidental Petroleum Corp. | | | 33,014 | |
| | 172 | | | Pioneer Natural Resources Co. | | | 29,730 | |
| | 223 | | | Plains GP Holdings LP, Class A | | | 4,888 | |
| | | | | | | | |
| | | | | | | 149,541 | |
| | | | | | | | |
| | | | Total Energy | | | 156,872 | |
| | | | | | | | |
| | | | Financials — 31.7% | |
| | | | Banks — 16.9% | |
| | 1,850 | | | Bank of America Corp. | | | 54,603 | |
| | 768 | | | Citigroup, Inc. | | | 57,119 | |
| | 640 | | | Huntington Bancshares, Inc. | | | 9,320 | |
| | 49 | | | IBERIABANK Corp. | | | 3,805 | |
| | 1,772 | | | KeyCorp | | | 35,743 | |
| | 65 | | | Signature Bank (a) | | | 8,950 | |
| | 176 | | | SunTrust Banks, Inc. | | | 11,349 | |
| | 29 | | | SVB Financial Group (a) | | | 6,747 | |
| | 913 | | | Wells Fargo & Co. | | | 55,408 | |
| | | | | | | | |
| | | | | | | 243,044 | |
| | | | | | | | |
| | | | Capital Markets — 6.7% | |
| | 230 | | | Bank of New York Mellon Corp. (The) | | | 12,377 | |
| | 586 | | | Charles Schwab Corp. (The) | | | 30,088 | |
| | 183 | | | Intercontinental Exchange, Inc. | | | 12,884 | |
| | 421 | | | Morgan Stanley | | | 22,090 | |
| | 201 | | | State Street Corp. | | | 19,629 | |
| | | | | | | | |
| | | | | | | 97,068 | |
| | | | | | | | |
| | | | Consumer Finance — 1.6% | |
| | 151 | | | Ally Financial, Inc. | | | 4,409 | |
| | 191 | | | Capital One Financial Corp. | | | 18,970 | |
| | | | | | | | |
| | | | | | | 23,379 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Diversified Financial Services — 2.5% | |
| | 75 | | | Berkshire Hathaway, Inc., Class B (a) | | | 14,886 | |
| | 417 | | | Voya Financial, Inc. | | | 20,649 | |
| | | | | | | | |
| | | | | | | 35,535 | |
| | | | | | | | |
| | | | Insurance — 4.0% | |
| | 35 | | | Brighthouse Financial, Inc. (a) | | | 2,063 | |
| | 201 | | | Lincoln National Corp. | | | 15,466 | |
| | 363 | | | MetLife, Inc. | | | 18,344 | |
| | 120 | | | Prudential Financial, Inc. | | | 13,809 | |
| | 234 | | | XL Group Ltd., (Bermuda) | | | 8,224 | |
| | | | | | | | |
| | | | | | | 57,906 | |
| | | | | | | | |
| | | | Total Financials | | | 456,932 | |
| | | | | | | | |
| | | | Health Care — 9.1% | |
| | | | Biotechnology — 1.6% | |
| | 20 | | | Biogen, Inc. (a) | | | 6,435 | |
| | 42 | | | Celgene Corp. (a) | | | 4,352 | |
| | 167 | | | Gilead Sciences, Inc. | | | 11,964 | |
| | | | | | | | |
| | | | | | | 22,751 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 2.2% | |
| | 275 | | | Boston Scientific Corp. (a) | | | 6,815 | |
| | 208 | | | Zimmer Biomet Holdings, Inc. | | | 25,135 | |
| | | | | | | | |
| | | | | | | 31,950 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 3.9% | |
| | 39 | | | Aetna, Inc. | | | 7,053 | |
| | 140 | | | AmerisourceBergen Corp. | | | 12,855 | |
| | 19 | | | Cigna Corp. | | | 3,838 | |
| | 57 | | | McKesson Corp. | | | 8,889 | |
| | 85 | | | UnitedHealth Group, Inc. | | | 18,695 | |
| | 42 | | | Universal Health Services, Inc., Class B | | | 4,761 | |
| | | | | | | | |
| | | | | | | 56,091 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.4% | |
| | 130 | | | Allergan plc | | | 21,249 | |
| | | | | | | | |
| | | | Total Health Care | | | 132,041 | |
| | | | | | | | |
| | | | Industrials — 12.0% | |
| | | | Airlines — 5.2% | |
| | 754 | | | Delta Air Lines, Inc. | | | 42,241 | |
| | 390 | | | JetBlue Airways Corp. (a) | | | 8,715 | |
| | 206 | | | Southwest Airlines Co. | | | 13,509 | |
| | 165 | | | United Continental Holdings, Inc. (a) | | | 11,104 | |
| | | | | | | | |
| | | | | | | 75,569 | |
| | | | | | | | |
| | | | Building Products — 0.5% | |
| | 83 | | | Allegion plc | | | 6,580 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electrical Equipment — 1.5% | |
| | 272 | | | Eaton Corp. plc | | | 21,499 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 0.5% | |
| | 409 | | | General Electric Co. | | | 7,132 | |
| | | | | | | | |
| | | | Machinery — 2.2% | |
| | 101 | | | Ingersoll-Rand plc | | | 9,044 | |
| | 104 | | | PACCAR, Inc. | | | 7,420 | |
| | 90 | | | Snap-on, Inc. | | | 15,722 | |
| | | | | | | | |
| | | | | | | 32,186 | |
| | | | | | | | |
| | | | Road & Rail — 2.1% | |
| | 153 | | | Norfolk Southern Corp. | | | 22,126 | |
| | 61 | | | Union Pacific Corp. | | | 8,180 | |
| | | | | | | | |
| | | | | | | 30,306 | |
| | | | | | | | |
| | | | Total Industrials | | | 173,272 | |
| | | | | | | | |
| | | | Information Technology — 6.2% | |
| | | | Communications Equipment — 1.0% | |
| | 378 | | | CommScope Holding Co., Inc. (a) | | | 14,285 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 0.3% | |
| | 130 | | | Corning, Inc. | | | 4,155 | |
| | | | | | | | |
| | | | IT Services — 3.4% | |
| | 46 | | | FleetCor Technologies, Inc. (a) | | | 8,813 | |
| | 96 | | | International Business Machines Corp. | | | 14,790 | |
| | 181 | | | WEX, Inc. (a) | | | 25,619 | |
| | | | | | | | |
| | | | | | | 49,222 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 1.3% | |
| | 31 | | | Broadcom Ltd. | | | 7,951 | |
| | 163 | | | QUALCOMM, Inc. | | | 10,455 | |
| | | | | | | | |
| | | | | | | 18,406 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 0.2% | |
| | 19 | | | Apple, Inc. | | | 3,266 | |
| | | | | | | | |
| | | | Total Information Technology | | | 89,334 | |
| | | | | | | | |
| | | | Materials — 4.9% | |
| | | | Chemicals — 2.6% | |
| | 33 | | | Celanese Corp., Series A | | | 3,512 | |
| | 190 | | | DowDuPont, Inc. | | | 13,563 | |
| | 229 | | | Eastman Chemical Co. | | | 21,243 | |
| | | | | | | | |
| | | | | | | 38,318 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.5% | |
| | 117 | | | WestRock Co. | | | 7,396 | |
| | | | | | | | |
| | | | Metals & Mining — 1.8% | |
| | 742 | | | AK Steel Holding Corp. (a) | | | 4,198 | |
| | 224 | | | Alcoa Corp. (a) | | | 12,078 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 35 | |
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Metals & Mining — continued | |
| | 110 | | | Reliance Steel & Aluminum Co. | | | 9,402 | |
| | | | | | | | |
| | | | | | | 25,678 | |
| | | | | | | | |
| | | | Total Materials | | | 71,392 | |
| | | | | | | | |
| | | | Real Estate — 0.5% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 0.3% | |
| | 221 | | | Brixmor Property Group, Inc. | | | 4,128 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.2% | |
| | 149 | | | St Joe Co. (The) (a) | | | 2,682 | |
| | | | | | | | |
| | | | Total Real Estate | | | 6,810 | |
| | | | | | | | |
| | | | Telecommunication Services — 1.7% | |
| | | | Diversified Telecommunication Services — 1.7% | |
| | 627 | | | AT&T, Inc. | | | 24,393 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,185,913) | | | 1,410,301 | |
| | | | | | | | |
| | |
NUMBER OF
WARRANTS | | | | | | |
| | Warrant — 0.0% (g) | |
| | | | Financials — 0.0% (g) | |
| | | | Consumer Finance — 0.0% (g) | |
| | 36 | | | Emergent Capital, Inc., expiring 10/01/2019 (Strike Price $10.75) (a) (bb)
(Cost $—) | | | — | (h) |
| | | | | | | | |
| | | | | | | | |
| | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investment — 3.6% | |
| | | | Investment Company — 3.6% | |
| | 51,285 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $51,285) | | | 51,285 | |
| | | | | | | | |
| | | | Total Investments — 101.3%
(Cost $1,237,198) | | | 1,461,586 | |
| | | | Liabilities in Excess of
Other Assets — (1.3)% | | | (18,808 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,442,778 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 99.6% | |
| | | | Consumer Discretionary — 13.9% | |
| | | | Auto Components — 0.1% | |
| | 109 | | | Aptiv plc | | | 9,264 | |
| | 252 | | | Delphi Technologies plc (a) | | | 13,244 | |
| | | | | | | | |
| | | | | | | 22,508 | |
| | | | | | | | |
| | | | Automobiles — 0.2% | |
| | 2,748 | | | Ford Motor Co. | | | 34,326 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 0.2% | |
| | 329 | | | Hilton Worldwide Holdings, Inc. | | | 26,300 | |
| | | | | | | | |
| | | | Household Durables — 0.4% | |
| | 771 | | | Lennar Corp., Class A | | | 48,745 | |
| | 23 | | | Mohawk Industries, Inc. (a) | | | 6,463 | |
| | 19 | | | Toll Brothers, Inc. | | | 906 | |
| | | | | | | | |
| | | | | | | 56,114 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 2.5% | |
| | 319 | | | Amazon.com, Inc. (a) | | | 373,216 | |
| | 156 | | | Expedia, Inc. | | | 18,732 | |
| | | | | | | | |
| | | | | | | 391,948 | |
| | | | | | | | |
| | | | Media — 4.2% | |
| | 28 | | | CBS Corp. (Non-Voting), Class B | | | 1,629 | |
| | 245 | | | Charter Communications, Inc., Class A (a) | | | 82,289 | |
| | 1,853 | | | Comcast Corp., Class A | | | 74,201 | |
| | 1,966 | | | DISH Network Corp., Class A (a) | | | 93,857 | |
| | 1,509 | | | Twenty-First Century Fox, Inc., Class A | | | 52,110 | |
| | 260 | | | Twenty-First Century Fox, Inc., Class B | | | 8,886 | |
| | 3,141 | | | Walt Disney Co. (The) | | | 337,666 | |
| | | | | | | | |
| | | | | | | 650,638 | |
| | | | | | | | |
| | | | Multiline Retail — 0.3% | |
| | 383 | | | Dollar Tree, Inc. (a) | | | 41,132 | |
| | | | | | | | |
| | | | Specialty Retail — 4.6% | |
| | 191 | | | AutoZone, Inc. (a) | | | 135,698 | |
| | 1,253 | | | Home Depot, Inc. (The) | | | 237,422 | |
| | 2,156 | | | Lowe’s Cos., Inc. | | | 200,352 | |
| | 553 | | | O’Reilly Automotive, Inc. (a) | | | 133,017 | |
| | 248 | | | TJX Cos., Inc. (The) | | | 18,953 | |
| | | | | | | | |
| | | | | | | 725,442 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.4% | |
| | 2,560 | | | NIKE, Inc., Class B | | | 160,104 | |
| | 439 | | | PVH Corp. | | | 60,167 | |
| | | | | | | | |
| | | | | | | 220,271 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 2,168,679 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Consumer Staples — 7.5% | |
| | | | Beverages — 3.2% | |
| | 4,009 | | | Coca-Cola Co. (The) | | | 183,915 | |
| | 50 | | | Dr Pepper Snapple Group, Inc. | | | 4,814 | |
| | 1,162 | | | Molson Coors Brewing Co., Class B | | | 95,336 | |
| | 1,782 | | | PepsiCo, Inc. | | | 213,699 | |
| | | | | | | | |
| | | | | | | 497,764 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.1% | |
| | 588 | | | Costco Wholesale Corp. | | | 109,390 | |
| | 1,526 | | | CVS Health Corp. | | | 110,606 | |
| | 2,641 | | | Kroger Co. (The) | | | 72,505 | |
| | 519 | | | Walgreens Boots Alliance, Inc. | | | 37,680 | |
| | | | | | | | |
| | | | | | | 330,181 | |
| | | | | | | | |
| | | | Food Products — 1.0% | |
| | 271 | | | Kraft Heinz Co. (The) | | | 21,084 | |
| | 3,092 | | | Mondelez International, Inc., Class A | | | 132,318 | |
| | | | | | | | |
| | | | | | | 153,402 | |
| | | | | | | | |
| | | | Tobacco — 1.2% | |
| | 1,867 | | | Philip Morris International, Inc. | | | 197,286 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 1,178,633 | |
| | | | | | | | |
| | | | Energy — 6.2% | |
| | | | Oil, Gas & Consumable Fuels — 6.2% | |
| | 468 | | | Anadarko Petroleum Corp. | | | 25,102 | |
| | 7 | | | Andeavor | | | 804 | |
| | 1,698 | | | Cabot Oil & Gas Corp. | | | 48,549 | |
| | 252 | | | Chevron Corp. | | | 31,598 | |
| | 1,082 | | | Concho Resources, Inc. (a) | | | 162,465 | |
| | 346 | | | Diamondback Energy, Inc. (a) | | | 43,671 | |
| | 2,493 | | | EOG Resources, Inc. | | | 269,063 | |
| | 458 | | | EQT Corp. | | | 26,098 | |
| | 971 | | | Occidental Petroleum Corp. | | | 71,517 | |
| | 1,658 | | | Parsley Energy, Inc., Class A (a) | | | 48,804 | |
| | 1,079 | | | Pioneer Natural Resources Co. | | | 186,453 | |
| | 1,122 | | | RSP Permian, Inc. (a) | | | 45,636 | |
| | 31 | | | Valero Energy Corp. | | | 2,803 | |
| | | | | | | | |
| | | | Total Energy | | | 962,563 | |
| | | | | | | | |
| | | | Financials — 14.6% | |
| | | | Banks — 7.2% | |
| | 14,657 | | | Bank of America Corp. | | | 432,663 | |
| | 5,121 | | | Citigroup, Inc. | | | 381,020 | |
| | 231 | | | First Republic Bank | | | 20,047 | |
| | 3,977 | | | Huntington Bancshares, Inc. | | | 57,899 | |
| | 505 | | | KeyCorp | | | 10,182 | |
| | 1,353 | | | SunTrust Banks, Inc. | | | 87,403 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 37 | |
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Banks — continued | |
| | 150 | | | SVB Financial Group (a) | | | 34,980 | |
| | 1,581 | | | Wells Fargo & Co. | | | 95,933 | |
| | | | | | | | |
| | | | | | | 1,120,127 | |
| | | | | | | | |
| | | | Capital Markets — 2.7% | |
| | 316 | | | Ameriprise Financial, Inc. | | | 53,480 | |
| | 703 | | | Bank of New York Mellon Corp. (The) | | | 37,884 | |
| | 1,020 | | | Charles Schwab Corp. (The) | | | 52,376 | |
| | 58 | | | Goldman Sachs Group, Inc. (The) | | | 14,846 | |
| | 630 | | | Intercontinental Exchange, Inc. | | | 44,425 | |
| | 4,303 | | | Morgan Stanley | | | 225,794 | |
| | | | | | | | |
| | | | | | | 428,805 | |
| | | | | | | | |
| | | | Consumer Finance — 0.7% | |
| | 1,067 | | | Capital One Financial Corp. | | | 106,250 | |
| | | | | | | | |
| | | | Diversified Financial Services — 0.4% | |
| | 49 | | | Berkshire Hathaway, Inc., Class B (a) | | | 9,806 | |
| | 1,104 | | | Voya Financial, Inc. | | | 54,620 | |
| | | | | | | | |
| | | | | | | 64,426 | |
| | | | | | | | |
| | | | Insurance — 3.6% | |
| | 2,937 | | | American International Group, Inc. | | | 174,996 | |
| | 1,112 | | | Chubb Ltd. | | | 162,510 | |
| | 1,635 | | | Hartford Financial Services Group, Inc. (The) | | | 92,032 | |
| | 77 | | | Lincoln National Corp. | | | 5,911 | |
| | 2,543 | | | MetLife, Inc. | | | 128,552 | |
| | | | | | | | |
| | | | | | | 564,001 | |
| | | | | | | | |
| | | | Total Financials | | | 2,283,609 | |
| | | | | | | | |
| | | | Health Care — 14.0% | |
| | | | Biotechnology — 2.2% | |
| | 416 | | | Biogen, Inc. (a) | | | 132,594 | |
| | 97 | | | BioMarin Pharmaceutical, Inc. (a) | | | 8,632 | |
| | 347 | | | Celgene Corp. (a) | | | 36,185 | |
| | 29 | | | Gilead Sciences, Inc. | | | 2,059 | |
| | 356 | | | Incyte Corp. (a) | | | 33,688 | |
| | 849 | | | Vertex Pharmaceuticals, Inc. (a) | | | 127,246 | |
| | | | | | | | |
| | | | | | | 340,404 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.5% | |
| | 551 | | | Abbott Laboratories | | | 31,424 | |
| | 6,706 | | | Boston Scientific Corp. (a) | | | 166,246 | |
| | 75 | | | Danaher Corp. | | | 7,001 | |
| | 323 | | | Zimmer Biomet Holdings, Inc. | | | 38,953 | |
| | | | | | | | |
| | | | | | | 243,624 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.9% | |
| | 148 | | | Aetna, Inc. | | | 26,672 | |
| | 173 | | | AmerisourceBergen Corp. | | | 15,901 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Health Care Providers & Services — continued | |
| | 131 | | | Cigna Corp. | | | 26,547 | |
| | 1,740 | | | UnitedHealth Group, Inc. | | | 383,592 | |
| | | | | | | | |
| | | | | | | 452,712 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.8% | |
| | 497 | | | Agilent Technologies, Inc. | | | 33,314 | |
| | 474 | | | Thermo Fisher Scientific, Inc. | | | 90,015 | |
| | | | | | | | |
| | | | | | | 123,329 | |
| | | | | | | | |
| | | | Pharmaceuticals — 6.6% | |
| | 306 | | | Allergan plc | | | 50,107 | |
| | 1,344 | | | Bristol-Myers Squibb Co. | | | 82,384 | |
| | 1,279 | | | Eli Lilly & Co. | | | 108,008 | |
| | 2,040 | | | Johnson & Johnson | | | 285,056 | |
| | 2,105 | | | Merck & Co., Inc. | | | 118,431 | |
| | 148 | | | Mylan NV (a) | | | 6,275 | |
| | 10,523 | | | Pfizer, Inc. | | | 381,137 | |
| | | | | | | | |
| | | | | | | 1,031,398 | |
| | | | | | | | |
| | | | Total Health Care | | | 2,191,467 | |
| | | | | | | | |
| | | | Industrials — 12.6% | |
| | | | Aerospace & Defense — 3.5% | |
| | 1,082 | | | General Dynamics Corp. | | | 220,080 | |
| | 276 | | | L3 Technologies, Inc. | | | 54,573 | |
| | 823 | | | Northrop Grumman Corp. | | | 252,492 | |
| | 195 | | | United Technologies Corp. | | | 24,899 | |
| | | | | | | | |
| | | | | | | 552,044 | |
| | | | | | | | |
| | | | Airlines — 0.3% | |
| | 909 | | | Delta Air Lines, Inc. | | | 50,901 | |
| | | | | | | | |
| | | | Building Products — 0.5% | |
| | 449 | | | Allegion plc | | | 35,707 | |
| | 781 | | | Masco Corp. | | | 34,300 | |
| | | | | | | | |
| | | | | | | 70,007 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 0.0% (g) | |
| | 38 | | | Waste Management, Inc. | | | 3,258 | |
| | | | | | | | |
| | | | Electrical Equipment — 1.3% | |
| | 2,634 | | | Eaton Corp. plc | | | 208,142 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.0% | |
| | 5,132 | | | General Electric Co. | | | 89,551 | |
| | 400 | | | Honeywell International, Inc. | | | 61,296 | |
| | | | | | | | |
| | | | | | | 150,847 | |
| | | | | | | | |
| | | | Machinery — 2.9% | |
| | 697 | | | Caterpillar, Inc. | | | 109,805 | |
| | 47 | | | Dover Corp. | | | 4,787 | |
| | 1,349 | | | Ingersoll-Rand plc | | | 120,296 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Machinery — continued | |
| | 67 | | | PACCAR, Inc. | | | 4,770 | |
| | 22 | | | Parker-Hannifin Corp. | | | 4,463 | |
| | 490 | | | Snap-on, Inc. | | | 85,321 | |
| | 736 | | | Stanley Black & Decker, Inc. | | | 124,831 | |
| | | | | | | | |
| | | | | | | 454,273 | |
| | | | | | | | |
| | | | Road & Rail — 3.1% | |
| | 1,338 | | | CSX Corp. | | | 73,625 | |
| | 1,375 | | | Norfolk Southern Corp. | | | 199,286 | |
| | 1,606 | | | Union Pacific Corp. | | | 215,379 | |
| | | | | | | | |
| | | | | | | 488,290 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.0% (g) | |
| | 43 | | | HD Supply Holdings, Inc. (a) | | | 1,717 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,979,479 | |
| | | | | | | | |
| | | | Information Technology — 25.5% | |
| | | | Electronic Equipment, Instruments &
Components — 0.0% (g) | |
| | 73 | | | Corning, Inc. | | | 2,339 | |
| | | | | | | | |
| | | | Internet Software & Services — 5.6% | |
| | 395 | | | Alphabet, Inc., Class A (a) | | | 415,609 | |
| | 235 | | | Alphabet, Inc., Class C (a) | | | 245,449 | |
| | 1,255 | | | Facebook, Inc., Class A (a) | | | 221,460 | |
| | | | | | | | |
| | | | | | | 882,518 | |
| | | | | | | | |
| | | | IT Services — 5.2% | |
| | 1,153 | | | Accenture plc, Class A | | | 176,531 | |
| | 151 | | | Alliance Data Systems Corp. | | | 38,377 | |
| | 166 | | | Fidelity National Information Services, Inc. | | | 15,640 | |
| | 1,278 | | | International Business Machines Corp. | | | 196,096 | |
| | 61 | | | Mastercard, Inc., Class A | | | 9,201 | |
| | 41 | | | PayPal Holdings, Inc. (a) | | | 3,014 | |
| | 2,916 | | | Visa, Inc., Class A | | | 332,441 | |
| | 241 | | | WEX, Inc. (a) | | | 34,053 | |
| | | | | | | | |
| | | | | | | 805,353 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 5.8% | |
| | 2,076 | | | Analog Devices, Inc. | | | 184,803 | |
| | 240 | | | Broadcom Ltd. | | | 61,635 | |
| | 571 | | | Maxim Integrated Products, Inc. | | | 29,860 | |
| | 2,005 | | | Microchip Technology, Inc. | | | 176,210 | |
| | 898 | | | NVIDIA Corp. | | | 173,712 | |
| | 97 | | | QUALCOMM, Inc. | | | 6,217 | |
| | 2,647 | | | Texas Instruments, Inc. | | | 276,443 | |
| | | | | | | | |
| | | | | | | 908,880 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Software — 4.9% | |
| | 235 | | | Adobe Systems, Inc. (a) | | | 41,155 | |
| | 7,383 | | | Microsoft Corp. | | | 631,544 | |
| | 1,105 | | | Oracle Corp. | | | 52,255 | |
| | 422 | | | Workday, Inc., Class A (a) | | | 42,958 | |
| | | | | | | | |
| | | | | | | 767,912 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 4.0% | |
| | 3,680 | | | Apple, Inc. | | | 622,715 | |
| | | | | | | | |
| | | | Total Information Technology | | | 3,989,717 | |
| | | | | | | | |
| | | | Materials — 1.7% | |
| | | | Chemicals — 0.7% | |
| | 978 | | | DowDuPont, Inc. | | | 69,650 | |
| | 414 | | | Eastman Chemical Co. | | | 38,315 | |
| | 28 | | | Westlake Chemical Corp. | | | 3,017 | |
| | | | | | | | |
| | | | | | | 110,982 | |
| | | | | | | | |
| | | | Construction Materials — 0.4% | |
| | 25 | | | Martin Marietta Materials, Inc. | | | 5,590 | |
| | 416 | | | Vulcan Materials Co. | | | 53,349 | |
| | | | | | | | |
| | | | | | | 58,939 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.6% | |
| | 1,483 | | | WestRock Co. | | | 93,731 | |
| | | | | | | | |
| | | | Metals & Mining — 0.0% (g) | |
| | 162 | | | Alcoa Corp. (a) | | | 8,712 | |
| | | | | | | | |
| | | | Total Materials | | | 272,364 | |
| | | | | | | | |
| | | | Real Estate — 0.3% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 0.3% | |
| | 137 | | | AvalonBay Communities, Inc. | | | 24,522 | |
| | 321 | | | Vornado Realty Trust | | | 25,107 | |
| | | | | | | | |
| | | | Total Real Estate | | | 49,629 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.8% | |
| | | | Diversified Telecommunication Services — 0.3% | |
| | 841 | | | Verizon Communications, Inc. | | | 44,517 | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.5% | |
| | 1,229 | | | T-Mobile US, Inc. (a) | | | 78,036 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 122,553 | |
| | | | | | | | |
| | | | Utilities — 2.5% | |
| | | | Electric Utilities — 2.0% | |
| | 257 | | | American Electric Power Co., Inc. | | | 18,888 | |
| | 995 | | | NextEra Energy, Inc. | | | 155,399 | |
| | 756 | | | PG&E Corp. | | | 33,897 | |
| | 2,151 | | | Xcel Energy, Inc. | | | 103,490 | |
| | | | | | | | |
| | | | | | | 311,674 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 39 | |
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Multi-Utilities — 0.5% | |
| | 1,452 | | | CMS Energy Corp. | | | 68,692 | |
| | 306 | | | NiSource, Inc. | | | 7,866 | |
| | | | | | | | |
| | | | | | | 76,558 | |
| | | | | | | | |
| | | | Total Utilities | | | 388,232 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $10,994,285) | | | 15,586,925 | |
| | | | | | | | |
| | |
NUMBER OF
WARRANTS | | | | | | |
| | Warrant — 0.0% (g) | | | | |
| | | | Financials — 0.0% (g) | |
| | | | Consumer Finance — 0.0% (g) | |
| | 24 | | | Emergent Capital, Inc., expiring 10/01/2019 (Strike Price $10.75) (a) (bb)
(Cost $—) | | | — | (h) |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investment — 0.8% | | | | |
| | | | Investment Company — 0.8% | |
| | 130,236 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $130,236) | | | 130,236 | |
| | | | | | | | |
| | | | Total Investments — 100.4%
(Cost $11,124,521) | | | 15,717,161 | |
| | | | Liabilities in Excess of
Other Assets — (0.4)% | | | (64,046 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 15,653,115 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT
($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
Long Contracts | |
| S&P 500 E-Mini Index | | 415 | | | 03/2018 | | | | USD | | | | 55,527 | | | | 51 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 51 | |
| | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 99.6% | | | | |
| | | | Consumer Discretionary — 13.2% | | | | |
| | | | Auto Components — 0.4% | | | | |
| | 238 | | | Aptiv plc | | | 20,223 | |
| | 81 | | | Delphi Technologies plc (a) | | | 4,273 | |
| | 50 | | | Lear Corp. | | | 8,805 | |
| | | | | | | | |
| | | | | | | 33,301 | |
| | | | | | | | |
| | | | Automobiles — 0.3% | | | | |
| | 1,957 | | | Ford Motor Co. | | | 24,441 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.1% | | | | |
| | 140 | | | H&R Block, Inc. | | | 3,658 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.0% | | | | |
| | 254 | | | Hilton Worldwide Holdings, Inc. | | | 20,247 | |
| | 44 | | | McDonald’s Corp. | | | 7,625 | |
| | 298 | | | Royal Caribbean Cruises Ltd. | | | 35,508 | |
| | 207 | | | Yum Brands, Inc. | | | 16,889 | |
| | | | | | | | |
| | | | | | | 80,269 | |
| | | | | | | | |
| | | | Household Durables — 0.5% | | | | |
| | 332 | | | DR Horton, Inc. | | | 16,964 | |
| | 132 | | | PulteGroup, Inc. | | | 4,399 | |
| | 343 | | | Toll Brothers, Inc. | | | 16,458 | |
| | | | | | | | |
| | | | | | | 37,821 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 2.1% | | | | |
| | 126 | | | Amazon.com, Inc. (a) | | | 147,823 | |
| | 10 | | | Priceline Group, Inc. (The) (a) | | | 16,601 | |
| | | | | | | | |
| | | | | | | 164,424 | |
| | | | | | | | |
| | | | Media — 4.0% | | | | |
| | 160 | | | Charter Communications, Inc., Class A (a) | | | 53,618 | |
| | 2,815 | | | Comcast Corp., Class A | | | 112,731 | |
| | 405 | | | DISH Network Corp., Class A (a) | | | 19,325 | |
| | 1,963 | | | Sirius XM Holdings, Inc. | | | 10,522 | |
| | 81 | | | Time Warner, Inc. | | | 7,382 | |
| | 1,514 | | | Twenty-First Century Fox, Inc., Class A | | | 52,292 | |
| | 487 | | | Walt Disney Co. (The) | | | 52,407 | |
| | | | | | | | |
| | | | | | | 308,277 | |
| | | | | | | | |
| | | | Multiline Retail — 0.5% | | | | |
| | 367 | | | Dollar Tree, Inc. (a) | | | 39,384 | |
| | | | | | | | |
| | | | Specialty Retail — 3.5% | | | | |
| | 287 | | | Best Buy Co., Inc. | | | 19,654 | |
| | 523 | | | Home Depot, Inc. (The) | | | 99,094 | |
| | 706 | | | Lowe’s Cos., Inc. | | | 65,610 | |
| | 93 | | | O’Reilly Automotive, Inc. (a) | | | 22,253 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | |
| | | | Specialty Retail — continued | | | | |
| | 443 | | | Ross Stores, Inc. | | | 35,559 | |
| | 430 | | | TJX Cos., Inc. (The) | | | 32,899 | |
| | | | | | | | |
| | | | | | | 275,069 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.8% | | | | |
| | 561 | | | NIKE, Inc., Class B | | | 35,113 | |
| | 139 | | | PVH Corp. | | | 19,048 | |
| | 53 | | | VF Corp. | | | 3,915 | |
| | | | | | | | |
| | | | | | | 58,076 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 1,024,720 | |
| | | | | | | | |
| | | | Consumer Staples — 8.0% | |
| | | | Beverages — 2.6% | | | | |
| | 426 | | | Coca-Cola Co. (The) | | | 19,530 | |
| | 146 | | | Constellation Brands, Inc., Class A | | | 33,371 | |
| | 638 | | | Molson Coors Brewing Co., Class B | | | 52,364 | |
| | 816 | | | PepsiCo, Inc. | | | 97,904 | |
| | | | | | | | |
| | | | | | | 203,169 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.5% | | | | |
| | 258 | | | Costco Wholesale Corp. | | | 48,004 | |
| | 238 | | | CVS Health Corp. | | | 17,233 | |
| | 173 | | | Kroger Co. (The) | | | 4,755 | |
| | 605 | | | Walgreens Boots Alliance, Inc. | | | 43,969 | |
| | | | | | | | |
| | | | | | | 113,961 | |
| | | | | | | | |
| | | | Food Products — 1.1% | | | | |
| | 123 | | | Archer-Daniels-Midland Co. | | | 4,947 | |
| | 20 | | | JM Smucker Co. (The) | | | 2,452 | |
| | 117 | | | Kraft Heinz Co. (The) | | | 9,103 | |
| | 1,589 | | | Mondelez International, Inc., Class A | | | 68,009 | |
| | | | | | | | |
| | | | | | | 84,511 | |
| | | | | | | | |
| | | | Household Products — 1.1% | | | | |
| | 324 | | | Kimberly-Clark Corp. | | | 39,054 | |
| | 544 | | | Procter & Gamble Co. (The) | | | 49,983 | |
| | | | | | | | |
| | | | | | | 89,037 | |
| | | | | | | | |
| | | | Personal Products — 0.3% | | | | |
| | 181 | | | Estee Lauder Cos., Inc. (The), Class A | | | 23,069 | |
| | | | | | | | |
| | | | Tobacco — 1.4% | | | | |
| | 1,029 | | | Philip Morris International, Inc. | | | 108,676 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 622,423 | |
| | | | | | | | |
| | | | Energy — 6.1% | | | | |
| | | | Energy Equipment & Services — 0.1% | | | | |
| | 159 | | | Halliburton Co. | | | 7,751 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 41 | |
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Oil, Gas & Consumable Fuels — 6.0% | | | | |
| | 426 | | | Anadarko Petroleum Corp. | | | 22,855 | |
| | 621 | | | Chevron Corp. | | | 77,781 | |
| | 206 | | | Concho Resources, Inc. (a) | | | 30,908 | |
| | 291 | | | Diamondback Energy, Inc. (a) | | | 36,758 | |
| | 516 | | | EOG Resources, Inc. | | | 55,695 | |
| | 243 | | | EQT Corp. | | | 13,835 | |
| | 960 | | | Exxon Mobil Corp. | | | 80,286 | |
| | 1,409 | | | Kinder Morgan, Inc. | | | 25,454 | |
| | 393 | | | Marathon Petroleum Corp. | | | 25,937 | |
| | 496 | | | Occidental Petroleum Corp. | | | 36,547 | |
| | 150 | | | ONEOK, Inc. | | | 7,996 | |
| | 300 | | | Pioneer Natural Resources Co. | | | 51,897 | |
| | | | | | | | |
| | | | | | | 465,949 | |
| | | | | | | | |
| | | | Total Energy | | | 473,700 | |
| | | | | | | | |
| | | | Financials — 14.6% | | | | |
| | | | Banks — 6.0% | | | | |
| | 5,174 | | | Bank of America Corp. | | | 152,746 | |
| | 1,638 | | | Citigroup, Inc. | | | 121,919 | |
| | 234 | | | Citizens Financial Group, Inc. | | | 9,819 | |
| | 185 | | | Comerica, Inc. | | | 16,034 | |
| | 1,448 | | | KeyCorp | | | 29,209 | |
| | 254 | | | SunTrust Banks, Inc. | | | 16,398 | |
| | 48 | | | SVB Financial Group (a) | | | 11,153 | |
| | 1,818 | | | Wells Fargo & Co. | | | 110,269 | |
| | | | | | | | |
| | | | | | | 467,547 | |
| | | | | | | | |
| | | | Capital Markets — 3.3% | | | | |
| | 880 | | | Bank of New York Mellon Corp. (The) | | | 47,393 | |
| | 1,153 | | | Charles Schwab Corp. (The) | | | 59,254 | |
| | 416 | | | Intercontinental Exchange, Inc. | | | 29,363 | |
| | 1,426 | | | Morgan Stanley | | | 74,818 | |
| | 477 | | | State Street Corp. | | | 46,519 | |
| | | | | | | | |
| | | | | | | 257,347 | |
| | | | | | | | |
| | | | Consumer Finance — 1.1% | | | | |
| | 562 | | | American Express Co. | | | 55,830 | |
| | 304 | | | Capital One Financial Corp. | | | 30,237 | |
| | | | | | | | |
| | | | | | | 86,067 | |
| | | | | | | | |
| | | | Diversified Financial Services — 1.7% | | | | |
| | 583 | | | Berkshire Hathaway, Inc., Class B (a) | | | 115,607 | |
| | 240 | | | Voya Financial, Inc. | | | 11,888 | |
| | | | | | | | |
| | | | | | | 127,495 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Insurance — 2.5% | | | | |
| | 767 | | | American International Group, Inc. | | | 45,693 | |
| | 218 | | | Arthur J Gallagher & Co. | | | 13,821 | |
| | 48 | | | Brighthouse Financial, Inc. (a) | | | 2,840 | |
| | 329 | | | Chubb Ltd. | | | 48,096 | |
| | 47 | | | Everest Re Group Ltd. | | | 10,478 | |
| | 109 | | | Hartford Financial Services Group, Inc. (The) | | | 6,114 | |
| | 1,173 | | | MetLife, Inc. | | | 59,288 | |
| | 178 | | | XL Group Ltd., (Bermuda) | | | 6,248 | |
| | | | | | | | |
| | | | | | | 192,578 | |
| | | | | | | | |
| | | | Total Financials | | | 1,131,034 | |
| | | | | | | | |
| | | | Health Care — 13.4% | | | | |
| | | | Biotechnology — 2.4% | | | | |
| | 143 | | | AbbVie, Inc. | | | 13,799 | |
| | 82 | | | Alexion Pharmaceuticals, Inc. (a) | | | 9,768 | |
| | 21 | | | Amgen, Inc. | | | 3,669 | |
| | 141 | | | Biogen, Inc. (a) | | | 45,059 | |
| | 32 | | | BioMarin Pharmaceutical, Inc. (a) | | | 2,889 | |
| | 444 | | | Celgene Corp. (a) | | | 46,284 | |
| | 502 | | | Gilead Sciences, Inc. | | | 35,961 | |
| | 197 | | | Vertex Pharmaceuticals, Inc. (a) | | | 29,448 | |
| | | | | | | | |
| | | | | | | 186,877 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 2.4% | | | | |
| | 926 | | | Abbott Laboratories | | | 52,870 | |
| | 167 | | | Becton Dickinson and Co. | | | 35,675 | |
| | 1,635 | | | Boston Scientific Corp. (a) | | | 40,534 | |
| | 17 | | | Cooper Cos., Inc. (The) | | | 3,722 | |
| | 236 | | | Danaher Corp. | | | 21,906 | |
| | 299 | | | Zimmer Biomet Holdings, Inc. | | | 36,095 | |
| | | | | | | | |
| | | | | | | 190,802 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.6% | | | | |
| | 155 | | | AmerisourceBergen Corp. | | | 14,269 | |
| | 264 | | | Cigna Corp. | | | 53,697 | |
| | 26 | | | McKesson Corp. | | | 4,055 | |
| | 587 | | | UnitedHealth Group, Inc. | | | 129,406 | |
| | | | | | | | |
| | | | | | | 201,427 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.7% | | | | |
| | 245 | | | Agilent Technologies, Inc. | | | 16,383 | |
| | 67 | | | Illumina, Inc. (a) | | | 14,680 | |
| | 126 | | | Thermo Fisher Scientific, Inc. | | | 23,982 | |
| | | | | | | | |
| | | | | | | 55,045 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Pharmaceuticals — 5.3% | | | | |
| | 263 | | | Allergan plc | | | 43,099 | |
| | 889 | | | Bristol-Myers Squibb Co. | | | 54,448 | |
| | 722 | | | Eli Lilly & Co. | | | 60,958 | |
| | 630 | | | Johnson & Johnson | | | 88,024 | |
| | 784 | | | Merck & Co., Inc. | | | 44,111 | |
| | 190 | | | Mylan NV (a) | | | 8,055 | |
| | 3,066 | | | Pfizer, Inc. | | | 111,033 | |
| | | | | | | | |
| | | | | | | 409,728 | |
| | | | | | | | |
| | | | Total Health Care | | | 1,043,879 | |
| | | | | | | | |
| | | | Industrials — 10.1% | | | | |
| | | | Aerospace & Defense — 1.4% | | | | |
| | 222 | | | General Dynamics Corp. | | | 45,222 | |
| | 137 | | | Northrop Grumman Corp. | | | 41,985 | |
| | 145 | | | United Technologies Corp. | | | 18,436 | |
| | | | | | | | |
| | | | | | | 105,643 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.0% (g) | | | | |
| | 15 | | | FedEx Corp. | | | 3,803 | |
| | | | | | | | |
| | | | Airlines — 0.7% | | | | |
| | 711 | | | Delta Air Lines, Inc. | | | 39,798 | |
| | 179 | | | United Continental Holdings, Inc. (a) | | | 12,076 | |
| | | | | | | | |
| | | | | | | 51,874 | |
| | | | | | | | |
| | | | Building Products — 0.7% | | | | |
| | 418 | | | Allegion plc | | | 33,244 | |
| | 416 | | | Masco Corp. | | | 18,294 | |
| | | | | | | | |
| | | | | | | 51,538 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.8% | | | | |
| | 747 | | | Eaton Corp. plc | | | 59,005 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.7% | | | | |
| | 2,064 | | | General Electric Co. | | | 36,009 | |
| | 655 | | | Honeywell International, Inc. | | | 100,500 | |
| | | | | | | | |
| | | | | | | 136,509 | |
| | | | | | | | |
| | | | Machinery — 2.8% | | | | |
| | 209 | | | Deere & Co. | | | 32,659 | |
| | 51 | | | Fortive Corp. | | | 3,687 | |
| | 739 | | | Ingersoll-Rand plc | | | 65,904 | |
| | 223 | | | PACCAR, Inc. | | | 15,818 | |
| | 65 | | | Parker-Hannifin Corp. | | | 13,043 | |
| | 133 | | | Snap-on, Inc. | | | 23,261 | |
| | 372 | | | Stanley Black & Decker, Inc. | | | 63,106 | |
| | | | | | | | |
| | | | | | | 217,478 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Road & Rail — 2.0% | | | | |
| | 43 | | | Canadian Pacific Railway Ltd., (Canada) | | | 7,878 | |
| | 366 | | | Norfolk Southern Corp. | | | 52,981 | |
| | 703 | | | Union Pacific Corp. | | | 94,271 | |
| | | | | | | | |
| | | | | | | 155,130 | |
| | | | | | | | |
| | | | Total Industrials | | | 780,980 | |
| | | | | | | | |
| | | | Information Technology — 24.8% | | | | |
| | | | Communications Equipment — 0.4% | | | | |
| | 575 | | | Cisco Systems, Inc. | | | 22,009 | |
| | 38 | | | Harris Corp. | | | 5,380 | |
| | | | | | | | |
| | | | | | | 27,389 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 0.5% | |
| | 363 | | | TE Connectivity Ltd. | | | 34,519 | |
| | | | | | | | |
| | | | Internet Software & Services — 5.7% | | | | |
| | 128 | | | Alphabet, Inc., Class A (a) | | | 134,311 | |
| | 131 | | | Alphabet, Inc., Class C (a) | | | 136,648 | |
| | 989 | | | Facebook, Inc., Class A (a) | | | 174,563 | |
| | | | | | | | |
| | | | | | | 445,522 | |
| | | | | | | | |
| | | | IT Services — 4.3% | | | | |
| | 635 | | | Accenture plc, Class A | | | 97,177 | |
| | 485 | | | Fidelity National Information Services, Inc. | | | 45,622 | |
| | 239 | | | International Business Machines Corp. | | | 36,635 | |
| | 252 | | | Vantiv, Inc., Class A (a) | | | 18,571 | |
| | 1,108 | | | Visa, Inc., Class A | | | 126,300 | |
| | 60 | | | WEX, Inc. (a) | | | 8,409 | |
| | | | | | | | |
| | | | | | | 332,714 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 4.0% | |
| | 754 | | | Analog Devices, Inc. | | | 67,128 | |
| | 313 | | | Broadcom Ltd. | | | 80,320 | |
| | 219 | | | Microchip Technology, Inc. | | | 19,280 | |
| | 258 | | | Micron Technology, Inc. (a) | | | 10,621 | |
| | 205 | | | NVIDIA Corp. | | | 39,594 | |
| | 917 | | | Texas Instruments, Inc. | | | 95,798 | |
| | | | | | | | |
| | | | | | | 312,741 | |
| | | | | | | | |
| | | | Software — 5.4% | | | | |
| | 498 | | | Adobe Systems, Inc. (a) | | | 87,200 | |
| | 31 | | | CA, Inc. | | | 1,045 | |
| | 49 | | | Intuit, Inc. | | | 7,684 | |
| | 3,450 | | | Microsoft Corp. | | | 295,081 | |
| | 201 | | | Oracle Corp. | | | 9,499 | |
| | 202 | | | Symantec Corp. | | | 5,662 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 43 | |
JPMorgan U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan Disciplined Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Software— continued | | | | |
| | 121 | | | Workday, Inc., Class A (a) | | | 12,268 | |
| | | | | | | | |
| | | | | | | 418,439 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 4.5% | |
| | 1,909 | | | Apple, Inc. | | | 323,046 | |
| | 1,343 | | | HP, Inc. | | | 28,211 | |
| | | | | | | | |
| | | | | | | 351,257 | |
| | | | | | | | |
| | | | Total Information Technology | | | 1,922,581 | |
| | | | | | | | |
| | | | Materials — 3.0% | | | | |
| | | | Chemicals — 2.1% | | | | |
| | 38 | | | Albemarle Corp. | | | 4,852 | |
| | 182 | | | Celanese Corp., Series A | | | 19,456 | |
| | 1,300 | | | DowDuPont, Inc. | | | 92,616 | |
| | 505 | | | Eastman Chemical Co. | | | 46,793 | |
| | 24 | | | Mosaic Co. (The) | | | 605 | |
| | | | | | | | |
| | | | | | | 164,322 | |
| | | | | | | | |
| | | | Construction Materials — 0.1% | | | | |
| | 38 | | | Vulcan Materials Co. | | | 4,929 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.4% | | | | |
| | 244 | | | Crown Holdings, Inc. (a) | | | 13,750 | |
| | 304 | | | WestRock Co. | | | 19,233 | |
| | | | | | | | |
| | | | | | | 32,983 | |
| | | | | | | | |
| | | | Metals & Mining — 0.4% | | | | |
| | 344 | | | Alcoa Corp. (a) | | | 18,505 | |
| | 255 | | | Freeport-McMoRan, Inc. (a) | | | 4,844 | |
| | 163 | | | Newmont Mining Corp. | | | 6,129 | |
| | | | | | | | |
| | | | | | | 29,478 | |
| | | | | | | | |
| | | | Total Materials | | | 231,712 | |
| | | | | | | | |
| | | | Real Estate — 2.5% | | | | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.5% | |
| | 75 | | | American Tower Corp. | | | 10,642 | |
| | 152 | | | AvalonBay Communities, Inc. | | | 27,131 | |
| | 79 | | | Boston Properties, Inc. | | | 10,298 | |
| | 191 | | | Brixmor Property Group, Inc. | | | 3,557 | |
| | 53 | | | Digital Realty Trust, Inc. | | | 6,059 | |
| | 30 | | | Equinix, Inc. | | | 13,712 | |
| | 294 | | | Equity Residential | | | 18,770 | |
| | 15 | | | Essex Property Trust, Inc. | | | 3,729 | |
| | 129 | | | Extra Space Storage, Inc. | | | 11,274 | |
| | 104 | | | Federal Realty Investment Trust | | | 13,778 | |
| | 333 | | | HCP, Inc. | | | 8,690 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 104 | | | Omega Healthcare Investors, Inc. | | | 2,862 | |
| | 122 | | | Prologis, Inc. | | | 7,875 | |
| | 136 | | | Public Storage | | | 28,456 | |
| | 48 | | | SBA Communications Corp. (a) | | | 7,853 | |
| | 207 | | | Vornado Realty Trust | | | 16,196 | |
| | | | | | | | |
| | | | Total Real Estate | | | 190,882 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.9% | | | | |
| | | | Diversified Telecommunication Services — 0.7% | |
| | 608 | | | AT&T, Inc. | | | 23,646 | |
| | 639 | | | Verizon Communications, Inc. | | | 33,816 | |
| | | | | | | | |
| | | | | | | 57,462 | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.2% | |
| | 241 | | | T-Mobile US, Inc. (a) | | | 15,333 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 72,795 | |
| | | | | | | | |
| | | | | | | | |
| | | | Utilities — 3.0% | | | | |
| | | | Electric Utilities — 2.6% | | | | |
| | 353 | | | American Electric Power Co., Inc. | | | 25,990 | |
| | 156 | | | Duke Energy Corp. | | | 13,150 | |
| | 154 | | | Entergy Corp. | | | 12,554 | |
| | 750 | | | Exelon Corp. | | | 29,574 | |
| | 398 | | | NextEra Energy, Inc. | | | 62,143 | |
| | 1,151 | | | Xcel Energy, Inc. | | | 55,351 | |
| | | | | | | | |
| | | | | | | 198,762 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.4% | | | | |
| | 220 | | | CMS Energy Corp. | | | 10,429 | |
| | 369 | | | NiSource, Inc. | | | 9,477 | |
| | 75 | | | Public Service Enterprise Group, Inc. | | | 3,878 | |
| | 135 | | | WEC Energy Group, Inc. | | | 8,961 | |
| | | | | | | | |
| | | | | | | 32,745 | |
| | | | | | | | |
| | | | Total Utilities | | | 231,507 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $5,498,969) | | | 7,726,213 | |
| | | | | | | | |
PRINCIPAL
AMOUNT($) | | | | | | |
| | Short-Term Investments — 0.3% | | | | |
| | | | U.S. Treasury Obligation — 0.1% | | | | |
| | 5,322 | | | U.S. Treasury Bills, 0.98%, 03/01/2018 (k) (n) | | | 5,311 | |
| | | | | | | | |
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investments — continued | | | | |
| | | | Investment Company — 0.2% | | | | |
| | 18,787 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l) | | | 18,787 | |
| | | | | | | | |
| | | | Total Short-Term Investments
(Cost $24,100) | | | 24,098 | |
| | | | | | | | |
| | | | Total Investments — 99.9%
(Cost $5,523,069) | | | 7,750,311 | |
| | | | Other Assets in Excess of
Liabilities — 0.1% | | | 10,134 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 7,760,445 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT
($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
Long Contracts | |
S&P 500 E-Mini Index | | | 582 | | | | 03/2018 | | | | USD | | | | 77,872 | | | | 264 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 264 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 45 | |
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| 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. |
| | |
| (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 December 31, 2017. |
| (n) | | — The rate shown is the effective yield as of December 31, 2017. |
| (o) | | — All or a portion of the security is segregated for options written. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 47 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | | | | | |
| | |
Equity
Focus Fund | | | Equity
Income Fund | | | Growth and
Income Fund | | | Hedged
Equity Fund | |
ASSETS: | |
Investments in non-affiliates, at value | | $ | 211,749 | | | $ | 16,359,523 | | | $ | 576,730 | | | $ | 1,542,250 | |
Investments in affiliates, at value | | | 9,073 | | | | 285,987 | | | | 12,620 | | | | 76,214 | |
Options purchased, at value | | | — | | | | — | | | | — | | | | 13,399 | |
Deposits at broker for futures contracts | | | — | | | | — | | | | — | | | | 2,198 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment securities sold | | | — | | | | — | | | | — | | | | 9,946 | |
Fund shares sold | | | 338 | | | | 21,491 | | | | 159 | | | | 14,817 | |
Dividends from non-affiliates | | | 78 | | | | 36,300 | | | | 780 | | | | 1,392 | |
Dividends from affiliates | | | 7 | | | | 240 | | | | 11 | | | | 41 | |
Prepaid expenses | | | — | | | | — | | | | — | | | | 43 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 221,245 | | | | 16,703,541 | | | | 590,300 | | | | 1,660,300 | |
| | | | | | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | (a) | | | — | | | | — | (a) |
Due to broker for options written | | | — | | | | — | | | | — | | | | 9 | |
Investment securities purchased | | | — | | | | 25,776 | | | | — | | | | 63,999 | |
Fund shares redeemed | | | 28 | | | | 39,835 | | | | 11,564 | | | | 1,112 | |
Variation margin on futures contracts | | | — | | | | — | | | | — | | | | 242 | |
Outstanding options written, at fair value | | | — | | | | — | | | | — | | | | 10,912 | |
Accrued liabilities: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 90 | | | | 5,525 | | | | 175 | | | | 302 | |
Administration fees | | | 2 | | | | 1,135 | | | | 25 | | | | 97 | |
Distribution fees | | | 3 | | | | 1,619 | | | | 118 | | | | 82 | |
Service fees | | | 46 | | | | 2,277 | | | | 104 | | | | 316 | |
Custodian and accounting fees | | | 9 | | | | 106 | | | | 13 | | | | 29 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | | | | — | (a) | | | 2 | |
Other | | | 3 | | | | 1,170 | | | | 110 | | | | 32 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 181 | | | | 77,443 | | | | 12,109 | | | | 77,134 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 221,064 | | | $ | 16,626,098 | | | $ | 578,191 | | | $ | 1,583,166 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | |
Equity
Focus Fund | | | Equity
Income Fund | | | Growth and
Income Fund | | | Hedged
Equity Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 170,039 | | | $ | 11,724,626 | | | $ | 351,077 | | | $ | 1,475,433 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (22 | ) | | | (1 | ) | | | (91 | ) | | | (8 | ) |
Accumulated net realized gains (losses) | | | 1,430 | | | | 4,276 | | | | 10,859 | | | | (85,137 | ) |
Net unrealized appreciation (depreciation) | | | 49,617 | | | | 4,897,197 | | | | 216,346 | | | | 192,878 | |
| | | | | | | | | | | | | | | | |
Total Net Assets | | $ | 221,064 | | | $ | 16,626,098 | | | $ | 578,191 | | | $ | 1,583,166 | |
| | | | | | | | | | | | | | | | |
|
Net Assets: | |
Class A | | $ | 3,867 | | | $ | 3,257,072 | | | $ | 480,335 | | | $ | 228,442 | |
Class C | | | 3,449 | | | | 1,369,178 | | | | 24,836 | | | | 57,563 | |
Class I | | | 213,748 | | | | 5,824,058 | | | | 67,716 | | | | 1,277,825 | |
Class R2 | | | — | | | | 92,945 | | | | 26 | | | | — | |
Class R3 | | | — | | | | 83,392 | | | | 22 | | | | — | |
Class R4 | | | — | | | | 18,857 | | | | 22 | | | | — | |
Class R5 | | | — | | | | 1,138,183 | | | | 40 | | | | 109 | |
Class R6 | | | — | | | | 4,842,413 | | | | 5,194 | | | | 19,227 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 221,064 | | | $ | 16,626,098 | | | $ | 578,191 | | | $ | 1,583,166 | |
| | | | | | | | | | | | | | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | |
Class A | | | 125 | | | | 190,290 | | | | 9,557 | | | | 11,855 | |
Class C | | | 115 | | | | 81,445 | | | | 547 | | | | 3,002 | |
Class I | | | 6,851 | | | | 334,728 | | | | 1,280 | | | | 66,174 | |
Class R2 | | | — | | | | 5,452 | | | | 1 | | | | — | |
Class R3 | | | — | | | | 4,876 | | | | — | (a) | | | — | |
Class R4 | | | — | | | | 1,084 | | | | — | (a) | | | — | |
Class R5 | | | — | | | | 65,382 | | | | 1 | | | | 6 | |
Class R6 | | | — | | | | 278,363 | | | | 98 | | | | 995 | |
| | | | |
Net Asset Value (b): | | | | | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 30.95 | | | $ | 17.12 | | | $ | 50.26 | | | $ | 19.27 | |
Class C — Offering price per share (c) | | | 29.96 | | | | 16.81 | | | | 45.39 | | | | 19.18 | |
Class I — Offering and redemption price per share | | | 31.20 | | | | 17.40 | | | | 52.91 | | | | 19.31 | |
Class R2 — Offering and redemption price per share | | | — | | | | 17.05 | | | | 50.49 | | | | — | |
Class R3 — Offering and redemption price per share | | | — | | | | 17.10 | | | | 52.90 | | | | — | |
Class R4 — Offering and redemption price per share | | | — | | | | 17.39 | | | | 52.90 | | | | — | |
Class R5 — Offering and redemption price per share | | | — | | | | 17.41 | | | | 53.24 | | | | 19.34 | |
Class R6 — Offering and redemption price per share | | | — | | | | 17.40 | | | | 53.24 | | | | 19.33 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 32.66 | | | $ | 18.07 | | | $ | 53.04 | | | $ | 20.34 | |
| | | | | | | | | | | | | | | | |
| | | | |
Cost of investments in non-affiliates | | $ | 162,132 | | | $ | 11,462,326 | | | $ | 360,384 | | | $ | 1,347,918 | |
Cost of investments in affiliates | | | 9,073 | | | | 285,987 | | | | 12,620 | | | | 76,214 | |
Cost of options purchased | | | — | | | | — | | | | — | | | | 14,060 | |
Premiums received from options written | | | — | | | | — | | | | — | | | | 9,912 | |
| (a) | Amount rounds to less than 500. |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 49 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | | | | | |
| | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | U.S.
Equity Fund | | | U.S.
Research
Enhanced
Equity Fund (formerly
known as
JPMorgan
Disciplined
Equity Fund) | |
ASSETS: | |
Investments in non-affiliates, at value | | $ | 12,793,355 | | | $ | 1,410,301 | | | $ | 15,586,925 | | | $ | 7,731,524 | |
Investments in affiliates, at value | | | 135,129 | | | | 51,285 | | | | 130,236 | | | | 18,787 | |
Cash | | | — | | | | 6 | | | | 2 | | | | 2 | |
Deposits at broker for futures contracts | | | — | | | | — | | | | 1,885 | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investment securities sold | | | — | | | | — | | | | 45,719 | | | | 122,602 | |
Fund shares sold | | | 21,558 | | | | 4,033 | | | | 9,713 | | | | 3,797 | |
Dividends from non-affiliates | | | 993 | | | | 1,070 | | | | 13,295 | | | | 7,230 | |
Dividends from affiliates | | | 158 | | | | 37 | | | | 111 | | | | 35 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 12,951,193 | | | | 1,466,732 | | | | 15,787,886 | | | | 7,883,977 | |
| | | | | | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | | | | | |
Due to custodian | | | 1 | | | | — | | | | — | | | | — | |
Investment securities purchased | | | — | | | | 22,217 | | | | 46,501 | | | | 468 | |
Fund shares redeemed | | | 98,355 | | | | 945 | | | | 79,736 | | | | 120,763 | |
Variation margin on futures contracts | | | — | | | | — | | | | 201 | | | | 49 | |
Accrued liabilities: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 4,451 | | | | 422 | | | | 4,883 | | | | 1,304 | |
Administration fees | | | 209 | | | | 65 | | | | 801 | | | | 302 | |
Distribution fees | | | 943 | | | | 95 | | | | 628 | | | | 84 | |
Service fees | | | 1,443 | | | | 122 | | | | 972 | | | | 123 | |
Custodian and accounting fees | | | 109 | | | | 20 | | | | 147 | | | | 75 | |
Trustees’ and Chief Compliance Officer’s fees | | | 1 | | | | 1 | | | | 42 | | | | 20 | |
Other | | | 1,792 | | | | 67 | | | | 860 | | | | 344 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 107,304 | | | | 23,954 | | | | 134,771 | | | | 123,532 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 12,843,889 | | | $ | 1,442,778 | | | $ | 15,653,115 | | | $ | 7,760,445 | |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | U.S.
Equity Fund | | | U.S.
Research
Enhanced
Equity Fund
(formerly
known as
JPMorgan
Disciplined
Equity Fund) | |
NET ASSETS: | |
Paid-in-Capital | | $ | 6,392,651 | | | $ | 1,211,542 | | | $ | 10,840,106 | | | $ | 5,657,696 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (3,826 | ) | | | 75 | | | | (1,245 | ) | | | 55 | |
Accumulated net realized gains (losses) | | | 143,879 | | | | 6,773 | | | | 221,563 | | | | (124,812 | ) |
Net unrealized appreciation (depreciation) | | | 6,311,185 | | | | 224,388 | | | | 4,592,691 | | | | 2,227,506 | |
| | | | | | | | | | | | | | | | |
Total Net Assets | | $ | 12,843,889 | | | $ | 1,442,778 | | | $ | 15,653,115 | | | $ | 7,760,445 | |
| | | | | | | | | | | | | | | | |
|
Net Assets: | |
Class A | | $ | 2,596,423 | | | $ | 250,548 | | | $ | 1,433,736 | | | $ | 391,998 | |
Class C | | | 497,677 | | | | 61,485 | | | | 304,627 | | | | — | |
Class I | | | 3,766,470 | | | | 314,587 | | | | 1,495,606 | | | | 281,587 | |
Class L | | | — | | | | — | | | | 1,765,832 | | | | 787,901 | |
Class R2 | | | 150,142 | | | | 11,413 | | | | 277,382 | | | | — | |
Class R3 | | | 4,684 | | | | — | | | | 51,505 | | | | — | |
Class R4 | | | 11,408 | | | | — | | | | 6,585 | | | | — | |
Class R5 | | | 804,117 | | | | 23,340 | | | | 956,945 | | | | — | |
Class R6 | | | 5,012,968 | | | | 781,405 | | | | 9,360,897 | | | | 6,298,959 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 12,843,889 | | | $ | 1,442,778 | | | $ | 15,653,115 | | | $ | 7,760,445 | |
| | | | | | | | | | | | | | | | |
|
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | |
Class A | | | 69,035 | | | | 15,878 | | | | 88,271 | | | | 13,957 | |
Class C | | | 16,380 | | | | 4,054 | | | | 19,319 | | | | — | |
Class I | | | 99,290 | | | | 20,275 | | | | 91,871 | | | | 9,941 | |
Class L | | | — | | | | — | | | | 108,335 | | | | 27,857 | |
Class R2 | | | 4,109 | | | | 729 | | | | 17,221 | | | | — | |
Class R3 | | | 124 | | | | — | | | | 3,180 | | | | — | |
Class R4 | | | 301 | | | | — | | | | 405 | | | | — | |
Class R5 | | | 20,827 | | | | 1,490 | | | | 58,692 | | | | — | |
Class R6 | | | 129,036 | | | | 50,210 | | | | 573,270 | | | | 222,653 | |
| | | | |
Net Asset Value (a): | | | | | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 37.61 | | | $ | 15.78 | | | $ | 16.24 | | | $ | 28.09 | |
Class C — Offering price per share (b) | | | 30.38 | | | | 15.17 | | | | 15.77 | | | | — | |
Class I — Offering and redemption price per share | | | 37.93 | | | | 15.52 | | | | 16.28 | | | | 28.33 | |
Class L — Offering and redemption price per share | | | — | | | | — | | | | 16.30 | | | | 28.28 | |
Class R2 — Offering and redemption price per share | | | 36.53 | | | | 15.67 | | | | 16.11 | | | | — | |
Class R3 — Offering and redemption price per share | | | 37.79 | | | | — | | | | 16.19 | | | | — | |
Class R4 — Offering and redemption price per share | | | 37.93 | | | | — | | | | 16.27 | | | | — | |
Class R5 — Offering and redemption price per share | | | 38.61 | | | | 15.66 | | | | 16.30 | | | | — | |
Class R6 — Offering and redemption price per share | | | 38.85 | | | | 15.56 | | | | 16.33 | | | | 28.29 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 39.69 | | | $ | 16.65 | | | $ | 17.14 | | | $ | 29.65 | |
| | | | | | | | | | | | | | | | |
| | | | |
Cost of investments in non-affiliates | | $ | 6,482,170 | | | $ | 1,185,913 | | | $ | 10,994,285 | | | $ | 5,504,282 | |
Cost of investments in affiliates | | | 135,129 | | | | 51,285 | | | | 130,236 | | | | 18,787 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 51 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
Equity
Focus Fund | | | Equity
Income Fund | | | Growth and
Income Fund | | | Hedged
Equity Fund | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | | $ | — | | | $ | — | (a) | | $ | — | | | $ | 4 | |
Interest income from affiliates | | | — | (a) | | | 9 | | | | — | (a) | | | 6 | |
Dividend income from non-affiliates | | | 1,230 | | | | 202,455 | | | | 6,317 | | | | 10,204 | |
Dividend income from affiliates | | | 36 | | | | 1,600 | | | | 62 | | | | 166 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 1,266 | | | | 204,064 | | | | 6,379 | | | | 10,380 | |
| | | | | | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 614 | | | | 31,415 | | | | 1,131 | | | | 1,457 | |
Administration fees | | | 83 | | | | 6,394 | | | | 230 | | | | 474 | |
Distribution fees: | | | | | | | | | | | | | | | | |
Class A | | | 4 | | | | 3,983 | | | | 580 | | | | 244 | |
Class C | | | 13 | | | | 5,136 | | | | 100 | | | | 158 | |
Class R2 | | | — | | | | 226 | | | | — | (a) | | | — | |
Class R3 (b) | | | — | | | | 53 | | | | — | (a) | | | — | |
Service fees: | | | | | | | | | | | | | | | | |
Class A | | | 4 | | | | 3,983 | | | | 580 | | | | 244 | |
Class C | | | 4 | | | | 1,712 | | | | 34 | | | | 53 | |
Class I | | | 247 | | | | 7,439 | | | | 88 | | | | 1,151 | |
Class R2 | | | — | | | | 113 | | | | — | (a) | | | — | |
Class R3 (b) | | | — | | | | 53 | | | | — | (a) | | | — | |
Class R4 (b) | | | — | | | | 15 | | | | — | (a) | | | — | |
Class R5 | | | — | | | | 501 | | | | — | (a) | | | — | (a) |
Custodian and accounting fees | | | 13 | | | | 176 | | | | 18 | | | | 46 | |
Professional fees | | | 28 | | | | 112 | | | | 31 | | | | 55 | |
Trustees’ and Chief Compliance Officer’s fees | | | 13 | | | | 37 | | | | 14 | | | | 15 | |
Printing and mailing costs | | | 12 | | | | 595 | | | | 22 | | | | 29 | |
Registration and filing fees | | | 17 | | | | 226 | | | | 57 | | | | 64 | |
Transfer agency fees (See Note 2.E.) | | | 3 | | | | 300 | | | | 115 | | | | 16 | |
Other | | | 6 | | | | 135 | | | | 10 | | | | 9 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 1,061 | | | | 62,604 | | | | 3,010 | | | | 4,015 | |
| | | | | | | | | | | | | | | | |
Less fees waived | | | (150 | ) | | | (405 | ) | | | (211 | ) | | | (154 | ) |
Less expense reimbursements | | | — | | | | — | | | | — | (a) | | | (2 | ) |
| | | | | | | | | | | | | | | | |
Net expenses | | | 911 | | | | 62,199 | | | | 2,799 | | | | 3,859 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 355 | | | | 141,865 | | | | 3,580 | | | | 6,521 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | | | 3,411 | | | | 109,723 | | | | 26,392 | | | | 453 | |
Options purchased | | | — | | | | — | | | | — | | | | (23,706 | ) |
Futures contracts | | | — | | | | — | | | | — | | | | 1,993 | |
Options written | | | — | | | | — | | | | — | | | | (34,855 | ) |
| | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | 3,411 | | | | 109,723 | | | | 26,392 | | | | (56,115 | ) |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | | | 19,358 | | | | 1,423,548 | | | | 36,427 | | | | 118,446 | |
Options purchased | | | — | | | | — | | | | — | | | | (430 | ) |
Futures contracts | | | — | | | | — | | | | — | | | | 218 | |
Options written | | | — | | | | — | | | | — | | | | (950 | ) |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 19,358 | | | | 1,423,548 | | | | 36,427 | | | | 117,284 | |
| | | | | | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 22,769 | | | | 1,533,271 | | | | 62,819 | | | | 61,169 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 23,124 | | | $ | 1,675,136 | | | $ | 66,399 | | | $ | 67,690 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Growth and Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | U.S.
Equity Fund | | | U.S.
Research
Enhanced
Equity Fund
(formerly
known as
JPMorgan
Disciplined
Equity Fund) | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | | $ | — | | | $ | — | | | $ | — | | | $ | 26 | |
Interest income from affiliates | | | 5 | | | | 3 | | | | 5 | | | | — | (a) |
Dividend income from non-affiliates | | | 43,887 | | | | 10,383 | | | | 126,552 | | | | 67,401 | |
Dividend income from affiliates | | | 948 | | | | 152 | | | | 733 | | | | 223 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 44,840 | | | | 10,538 | | | | 127,290 | | | | 67,650 | |
| | | | | | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 31,437 | | | | 2,433 | | | | 30,161 | | | | 9,631 | |
Administration fees | | | 5,120 | | | | 495 | | | | 6,139 | | | | 3,137 | |
Distribution fees: | | | | | | | | | | | | | | | | |
Class A | | | 3,196 | | | | 290 | | | | 1,755 | | | | 523 | |
Class C | | | 1,859 | | | | 206 | | | | 1,178 | | | | — | |
Class R2 | | | 375 | | | | 23 | | | | 674 | | | | — | |
Class R3 | | | 3 | | | | — | | | | 48 | | | | — | |
Service fees: | | | | | | | | | | | | | | | | |
Class A | | | 3,196 | | | | 290 | | | | 1,755 | | | | 523 | |
Class C | | | 620 | | | | 69 | | | | 393 | | | | — | |
Class I | | | 5,060 | | | | 283 | | | | 1,755 | | | | 362 | |
Class L | | | — | | | | — | | | | 1,078 | | | | 408 | |
Class R2 | | | 187 | | | | 11 | | | | 337 | | | | — | |
Class R3 | | | 3 | | | | — | | | | 49 | | | | — | |
Class R4 | | | 11 | | | | — | | | | 5 | | | | — | |
Class R5 | | | 420 | | | | 9 | | | | 462 | | | | — | |
Custodian and accounting fees | | | 156 | | | | 27 | | | | 222 | | | | 105 | |
Interest expense to affiliates | | | — | (a) | | | — | (a) | | | — | | | | — | |
Professional fees | | | 109 | | | | 29 | | | | 125 | | | | 71 | |
Trustees’ and Chief Compliance Officer’s fees | | | 34 | | | | 15 | | | | 14 | | | | 10 | |
Printing and mailing costs | | | 456 | | | | 38 | | | | 503 | | | | 123 | |
Registration and filing fees | | | 148 | | | | 75 | | | | 124 | | | | 33 | |
Transfer agency fees (See Note 2.E.) | | | 312 | | | | 44 | | | | 194 | | | | 54 | |
Other | | | 203 | | | | 12 | | | | 117 | | | | 60 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 52,905 | | | | 4,349 | | | | 47,088 | | | | 15,040 | |
| | | | | | | | | | | | | | | | |
Less fees waived | | | (4,400 | ) | | | (306 | ) | | | (2,101 | ) | | | (4,149 | ) |
Less expense reimbursements | | | (3 | ) | | | — | | | | (12 | ) | | | (26 | ) |
| | | | | | | | | | | | | | | | |
Net expenses | | | 48,502 | | | | 4,043 | | | | 44,975 | | | | 10,865 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (3,662 | ) | | | 6,495 | | | | 82,315 | | | | 56,785 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | | | 568,067 | | | | 34,356 | | | | 829,937 | | | | 179,450 | |
Futures contracts | | | — | | | | — | | | | 5,886 | | | | 5,847 | |
| | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | 568,067 | | | | 34,356 | | | | 835,823 | | | | 185,297 | |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | | | 1,047,157 | | | | 91,988 | | | | 719,330 | | | | 583,841 | |
Futures contracts | | | — | | | | — | | | | 304 | | | | 500 | |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 1,047,157 | | | | 91,988 | | | | 719,634 | | | | 584,341 | |
| | | | | | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 1,615,224 | | | | 126,344 | | | | 1,555,457 | | | | 769,638 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 1,611,562 | | | $ | 132,839 | | | $ | 1,637,772 | | | $ | 826,423 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 53 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Equity Focus Fund | | | Equity Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 355 | | | $ | 321 | | | $ | 141,865 | | | $ | 241,554 | |
Net realized gain (loss) | | | 3,411 | | | | 11,379 | | | | 109,723 | | | | 138,214 | |
Change in net unrealized appreciation/depreciation | | | 19,358 | | | | 20,067 | | | | 1,423,548 | | | | 1,463,818 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 23,124 | | | | 31,767 | | | | 1,675,136 | | | | 1,843,586 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (1 | ) | | | (1 | ) | | | (25,182 | ) | | | (55,085 | ) |
From net realized gains | | | (185 | ) | | | (25 | ) | | | (29,140 | ) | | | (21,407 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (8,728 | ) | | | (17,029 | ) |
From net realized gains | | | (170 | ) | | | (19 | ) | | | (12,420 | ) | | | (8,532 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (511 | ) | | | (370 | ) | | | (51,916 | ) | | | (100,491 | ) |
From net realized gains | | | (10,199 | ) | | | (1,646 | ) | | | (50,622 | ) | | | (31,653 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (643 | ) | | | (1,197 | ) |
From net realized gains | | | — | | | | — | | | | (836 | ) | | | (512 | ) |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (381 | ) | | | (81 | ) |
From net realized gains | | | — | | | | — | | | | (750 | ) | | | — | (b) |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (141 | ) | | | (5 | ) |
From net realized gains | | | — | | | | — | | | | (153 | ) | | | — | (b) |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (10,166 | ) | | | (18,214 | ) |
From net realized gains | | | — | | | | — | | | | (9,994 | ) | | | (5,543 | ) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (44,627 | ) | | | (49,266 | ) |
From net realized gains | | | — | | | | — | | | | (42,337 | ) | | | (13,934 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (11,066 | ) | | | (2,061 | ) | | | (288,036 | ) | | | (322,949 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 22,162 | | | | 17,649 | | | | 286,086 | | | | 1,365,954 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 34,220 | | | | 47,355 | | | | 1,673,186 | | | | 2,886,591 | |
Beginning of period | | | 186,844 | | | | 139,489 | | | | 14,952,912 | | | | 12,066,321 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 221,064 | | | $ | 186,844 | | | $ | 16,626,098 | | | $ | 14,952,912 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (22 | ) | | $ | 135 | | | $ | (1 | ) | | $ | (82 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Equity Income Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Growth and Income Fund | | | Hedged Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 3,580 | | | $ | 6,531 | | | $ | 6,521 | | | $ | 4,860 | |
Net realized gain (loss) | | | 26,392 | | | | 21,022 | | | | (56,115 | ) | | | (9,989 | ) |
Change in net unrealized appreciation/depreciation | | | 36,427 | | | | 49,974 | | | | 117,284 | | | | 53,211 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 66,399 | | | | 77,527 | | | | 67,690 | | | | 48,082 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (3,065 | ) | | | (5,553 | ) | | | (827 | ) | | | (966 | ) |
From net realized gains | | | (19,237 | ) | | | (21,085 | ) | | | — | | | | — | |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (129 | ) | | | (261 | ) | | | (98 | ) | | | (102 | ) |
From net realized gains | | | (1,089 | ) | | | (1,409 | ) | | | — | | | | — | |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (541 | ) | | | (757 | ) | | | (5,577 | ) | | | (4,137 | ) |
From net realized gains | | | (2,984 | ) | | | (2,037 | ) | | | — | | | | — | |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | — | (a) | | | — | (a) | | | — | | | | — | |
From net realized gains | | | (1 | ) | | | (1 | ) | | | — | | | | — | |
Class R3 (b) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (a) | | | — | | | | — | | | | — | |
From net realized gains | | | (1 | ) | | | — | | | | — | | | | — | |
Class R4 (b) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (a) | | | — | | | | — | | | | — | |
From net realized gains | | | (1 | ) | | | — | | | | — | | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) |
From net realized gains | | | (2 | ) | | | (1 | ) | | | — | | | | — | |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (43 | ) | | | (24 | ) | | | (59 | ) | | | (12 | ) |
From net realized gains | | | (197 | ) | | | (1 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (27,290 | ) | | | (31,129 | ) | | | (6,561 | ) | | | (5,217 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | (623 | ) | | | 5,487 | | | | 758,741 | | | | 480,228 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 38,486 | | | | 51,885 | | | | 819,870 | | | | 523,093 | |
Beginning of period | | | 539,705 | | | | 487,820 | | | | 763,296 | | | | 240,203 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 578,191 | | | $ | 539,705 | | | $ | 1,583,166 | | | $ | 763,296 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (91 | ) | | $ | 107 | | | $ | (8 | ) | | $ | 32 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Growth and Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 55 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Large Cap Growth Fund | | | Large Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | (3,662 | ) | | $ | (2,632 | ) | | $ | 6,495 | | | $ | 11,242 | |
Net realized gain (loss) | | | 568,067 | | | | 2,090,043 | | | | 34,356 | | | | 104,157 | |
Change in net unrealized appreciation/depreciation | | | 1,047,157 | | | | 995,654 | | | | 91,988 | | | | 88,765 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 1,611,562 | | | | 3,083,065 | | | | 132,839 | | | | 204,164 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (915 | ) | | | (1,507 | ) |
From net realized gains | | | (341,736 | ) | | | (325,496 | ) | | | (18,331 | ) | | | (5,231 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (100 | ) | | | (170 | ) |
From net realized gains | | | (78,411 | ) | | | (53,436 | ) | | | (4,679 | ) | | | (1,032 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (1,261 | ) | | | (950 | ) |
From net realized gains | | | (495,445 | ) | | | (328,427 | ) | | | (22,920 | ) | | | (1,643 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (27 | ) | | | (33 | ) |
From net realized gains | | | (20,556 | ) | | | (15,873 | ) | | | (855 | ) | | | (201 | ) |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net realized gains | | | (239 | ) | | | (2 | ) | | | — | | | | — | |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net realized gains | | | (1,429 | ) | | | (2 | ) | | | — | | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (119 | ) | | | (98 | ) |
From net realized gains | | | (107,511 | ) | | | (98,724 | ) | | | (1,739 | ) | | | (290 | ) |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (4,372 | ) | | | (8,323 | ) |
From net realized gains | | | (610,039 | ) | | | (289,943 | ) | | | (58,205 | ) | | | (26,620 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1,655,366 | ) | | | (1,111,903 | ) | | | (113,523 | ) | | | (46,098 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 610,989 | | | | (3,398,594 | ) | | | 371,198 | | | | 184,252 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 567,185 | | | | (1,427,432 | ) | | | 390,514 | | | | 342,318 | |
Beginning of period | | | 12,276,704 | | | | 13,704,136 | | | | 1,052,264 | | | | 709,946 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 12,843,889 | | | $ | 12,276,704 | | | $ | 1,442,778 | | | $ | 1,052,264 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (3,826 | ) | | $ | (164 | ) | | $ | 75 | | | $ | 374 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Large Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Fund | | | U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan
Disciplined Equity Fund) | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 82,315 | | | $ | 136,643 | | | $ | 56,785 | | | $ | 117,738 | |
Net realized gain (loss) | | | 835,823 | | | | 1,274,052 | | | | 185,297 | | | | 335,947 | |
Change in net unrealized appreciation/depreciation | | | 719,634 | | | | 949,838 | | | | 584,341 | | | | 874,786 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 1,637,772 | | | | 2,360,533 | | | | 826,423 | | | | 1,328,471 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (5,877 | ) | | | (10,446 | ) | | | (2,325 | ) | | | (6,106 | ) |
From net realized gains | | | (103,922 | ) | | | (51,421 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (379 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (567 | ) | | | (888 | ) | | | — | | | | — | |
From net realized gains | | | (22,636 | ) | | | (11,601 | ) | | | — | | | | — | |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (7,578 | ) | | | (10,661 | ) | | | (1,997 | ) | | | (4,149 | ) |
From net realized gains | | | (108,901 | ) | | | (39,119 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (215 | ) |
Class L | | | | | | | | | | | | | | | | |
From net investment income | | | (10,171 | ) | | | (35,018 | ) | | | (5,516 | ) | | | (13,394 | ) |
From net realized gains | | | (128,936 | ) | | | (116,356 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (677 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | (770 | ) | | | (1,117 | ) | | | — | | | | — | |
From net realized gains | | | (20,307 | ) | | | (7,793 | ) | | | — | | | | — | |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (193 | ) | | | (52 | ) | | | — | | | | — | |
From net realized gains | | | (3,695 | ) | | | (1 | ) | | | — | | | | — | |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (28 | ) | | | (2 | ) | | | — | | | | — | |
From net realized gains | | | (440 | ) | | | (1 | ) | | | — | | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | (5,699 | ) | | | (9,792 | ) | | | — | | | | — | |
From net realized gains | | | (68,930 | ) | | | (30,659 | ) | | | — | | | | — | |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (58,790 | ) | | | (66,331 | ) | | | (46,830 | ) | | | (105,888 | ) |
From net realized gains | | | (674,676 | ) | | | (182,725 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (4,975 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1,222,116 | ) | | | (573,983 | ) | | | (56,668 | ) | | | (135,783 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 940,466 | | | | 127,956 | | | | (415,843 | ) | | | (2,007,733 | ) |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 1,356,122 | | | | 1,914,506 | | | | 353,912 | | | | (815,045 | ) |
Beginning of period | | | 14,296,993 | | | | 12,382,487 | | | | 7,406,533 | | | | 8,221,578 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 15,653,115 | | | $ | 14,296,993 | | | $ | 7,760,445 | | | $ | 7,406,533 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (1,245 | ) | | $ | 6,113 | | | $ | 55 | | | $ | (62 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Equity Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 57 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Equity Focus Fund | | | Equity Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 652 | | | $ | 2,075 | | | $ | 255,588 | | | $ | 894,583 | |
Distributions reinvested | | | 186 | | | | 26 | | | | 51,134 | | | | 72,244 | |
Cost of shares redeemed | | | (549 | ) | | | (1,176 | ) | | | (505,135 | ) | | | (1,551,451 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 289 | | | $ | 925 | | | $ | (198,413 | ) | | $ | (584,624 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 215 | | | $ | 2,311 | | | $ | 68,825 | | | $ | 285,012 | |
Distributions reinvested | | | 170 | | | | 19 | | | | 18,686 | | | | 21,767 | |
Cost of shares redeemed | | | (466 | ) | | | (668 | ) | | | (221,676 | ) | | | (377,726 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (81 | ) | | $ | 1,662 | | | $ | (134,165 | ) | | $ | (70,947 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 33,055 | | | $ | 77,581 | | | $ | 795,581 | | | $ | 2,752,194 | |
Distributions reinvested | | | 10,677 | | | | 500 | | | | 89,001 | | | | 91,463 | |
Cost of shares redeemed | | | (21,778 | ) | | | (63,019 | ) | | | (2,107,109 | ) | | | (1,583,974 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 21,954 | | | $ | 15,062 | | | $ | (1,222,527 | ) | | $ | 1,259,683 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 8,197 | | | $ | 25,628 | |
Distributions reinvested | | | — | | | | — | | | | 1,265 | | | | 1,465 | |
Cost of shares redeemed | | | — | | | | — | | | | (11,881 | ) | | | (26,181 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | — | | | $ | — | | | $ | (2,419 | ) | | $ | 912 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 59,613 | | | $ | 25,864 | |
Distributions reinvested | | | — | | | | — | | | | 1,131 | | | | 81 | |
Cost of shares redeemed | | | — | | | | — | | | | (6,067 | ) | | | (1,061 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | — | | | $ | — | | | $ | 54,677 | | | $ | 24,884 | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 22,736 | | | $ | 1,348 | |
Distributions reinvested | | | — | | | | — | | | | 294 | | | | 5 | |
Cost of shares redeemed | | | — | | | | — | | | | (6,855 | ) | | | (22 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | — | | | $ | — | | | $ | 16,175 | | | $ | 1,331 | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 243,549 | | | $ | 335,193 | |
Distributions reinvested | | | — | | | | — | | | | 18,647 | | | | 20,248 | |
Cost of shares redeemed | | | — | | | | — | | | | (126,074 | ) | | | (265,692 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | — | | | $ | — | | | $ | 136,122 | | | $ | 89,749 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 1,901,083 | | | $ | 944,610 | |
Distributions reinvested | | | — | | | | — | | | | 80,407 | | | | 58,534 | |
Cost of shares redeemed | | | — | | | | — | | | | (344,854 | ) | | | (358,178 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | — | | | $ | — | | | $ | 1,636,636 | | | $ | 644,966 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 22,162 | | | $ | 17,649 | | | $ | 286,086 | | | $ | 1,365,954 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Equity Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Equity Focus Fund | | | Equity Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | |
Class A | |
Issued | | | 21 | | | | 77 | | | | 15,681 | | | | 60,548 | |
Reinvested | | | 6 | | | | 1 | | | | 3,063 | | | | 4,819 | |
Redeemed | | | (18 | ) | | | (44 | ) | | | (31,133 | ) | | | (103,227 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 9 | | | | 34 | | | | (12,389 | ) | | | (37,860 | ) |
| | | | | | | | | | | | | | | | |
Class C | |
Issued | | | 7 | | | | 87 | | | | 4,296 | | | | 19,503 | |
Reinvested | | | 6 | | | | 1 | | | | 1,139 | | | | 1,474 | |
Redeemed | | | (16 | ) | | | (25 | ) | | | (13,875 | ) | | | (25,612 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (3 | ) | | | 63 | | | | (8,440 | ) | | | (4,635 | ) |
| | | | | | | | | | | | | | | | |
Class I | |
Issued | | | 1,075 | | | �� | 2,794 | | | | 48,384 | | | | 180,530 | |
Reinvested | | | 345 | | | | 18 | | | | 5,246 | | | | 5,980 | |
Redeemed | | | (709 | ) | | | (2,369 | ) | | | (129,773 | ) | | | (104,537 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 711 | | | | 443 | | | | (76,143 | ) | | | 81,973 | |
| | | | | | | | | | | | | | | | |
Class R2 | |
Issued | | | — | | | | — | | | | 507 | | | | 1,732 | |
Reinvested | | | — | | | | — | | | | 76 | | | | 98 | |
Redeemed | | | — | | | | — | | | | (730 | ) | | | (1,759 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | — | | | | — | | | | (147 | ) | | | 71 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | |
Issued | | | — | | | | — | | | | 3,565 | | | | 1,673 | |
Reinvested | | | — | | | | — | | | | 67 | | | | 5 | |
Redeemed | | | — | | | | — | | | | (366 | ) | | | (68 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | — | | | | — | | | | 3,266 | | | | 1,610 | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | |
Issued | | | — | | | | — | | | | 1,402 | | | | 85 | |
Reinvested | | | — | | | | — | | | | 17 | | | | — | (b) |
Redeemed | | | — | | | | — | | | | (419 | ) | | | (1 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | | | | — | | | | 1,000 | | | | 84 | |
| | | | | | | | | | | | | | | | |
Class R5 | |
Issued | | | — | | | | — | | | | 14,643 | | | | 22,474 | |
Reinvested | | | — | | | | — | | | | 1,099 | | | | 1,327 | |
Redeemed | | | — | | | | — | | | | (7,643 | ) | | | (17,279 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | — | | | | — | | | | 8,099 | | | | 6,522 | |
| | | | | | | | | | | | | | | | |
Class R6 | |
Issued | | | — | | | | — | | | | 117,070 | | | | 62,362 | |
Reinvested | | | — | | | | — | | | | 4,732 | | | | 3,831 | |
Redeemed | | | — | | | | — | | | | (20,638 | ) | | | (23,492 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | — | | | | — | | | | 101,164 | | | | 42,701 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Equity Income Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 59 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Growth and Income Fund | | | Hedged Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 10,742 | | | $ | 26,975 | | | $ | 126,691 | | | $ | 108,278 | |
Distributions reinvested | | | 21,620 | | | | 25,772 | | | | 826 | | | | 963 | |
Cost of shares redeemed | | | (29,162 | ) | | | (69,807 | ) | | | (43,325 | ) | | | (56,579 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 3,200 | | | $ | (17,060 | ) | | $ | 84,192 | | | $ | 52,662 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,232 | | | $ | 7,478 | | | $ | 28,451 | | | $ | 21,214 | |
Distributions reinvested | | | 1,084 | | | | 1,487 | | | | 98 | | | | 102 | |
Cost of shares redeemed | | | (7,568 | ) | | | (8,463 | ) | | | (2,351 | ) | | | (3,586 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (5,252 | ) | | $ | 502 | | | $ | 26,198 | | | $ | 17,730 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 15,110 | | | $ | 29,950 | | | $ | 699,282 | | | $ | 479,420 | |
Distributions reinvested | | | 3,360 | | | | 2,468 | | | | 5,432 | | | | 4,026 | |
Cost of shares redeemed | | | (19,826 | ) | | | (12,449 | ) | | | (72,036 | ) | | | (76,819 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (1,356 | ) | | $ | 19,969 | | | $ | 632,678 | | | $ | 406,627 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | (a) | | $ | — | | | $ | — | |
Distributions reinvested | | | 1 | | | | 1 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 1 | | | $ | 1 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R3 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 20 | | | $ | — | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 21 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 20 | | | $ | — | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1 | | | | — | | | | — | | | | — | |
Conversion to Class A Shares | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 21 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 3 | | | $ | 13 | | | $ | 69 | | | $ | 11 | |
Distributions reinvested | | | 2 | | | | 1 | | | | — | (a) | | | — | (a) |
Cost of shares redeemed | | | (5 | ) | | | (1 | ) | | | — | (a) | | | (2 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | — | (a) | | $ | 13 | | | $ | 69 | | | $ | 9 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,791 | | | $ | 2,071 | | | $ | 17,586 | | | $ | 3,711 | |
Distributions reinvested | | | 240 | | | | 25 | | | | 58 | | | | 12 | |
Cost of shares redeemed | | | (289 | ) | | | (34 | ) | | | (2,040 | ) | | | (523 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 2,742 | | | $ | 2,062 | | | $ | 15,604 | | | $ | 3,200 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (623 | ) | | $ | 5,487 | | | $ | 758,741 | | | $ | 480,228 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Growth and Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Growth and Income Fund | | | Hedged Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | |
Class A | |
Issued | | | 218 | | | | 593 | | | | 6,774 | | | | 6,104 | |
Reinvested | | | 432 | | | | 563 | | | | 43 | | | | 55 | |
Redeemed | | | (592 | ) | | | (1,532 | ) | | | (2,298 | ) | | | (3,224 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 58 | | | | (376 | ) | | | 4,519 | | | | 2,935 | |
| | | | | | | | | | | | | | | | |
Class C | |
Issued | | | 28 | | | | 180 | | | | 1,516 | | | | 1,195 | |
Reinvested | | | 24 | | | | 36 | | | | 5 | | | | 6 | |
Redeemed | | | (170 | ) | | | (205 | ) | | | (125 | ) | | | (205 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (118 | ) | | | 11 | | | | 1,396 | | | | 996 | |
| | | | | | | | | | | | | | | | |
Class I | |
Issued | | | 292 | | | | 619 | | | | 37,022 | | | | 27,070 | |
Reinvested | | | 64 | | | | 51 | | | | 284 | | | | 227 | |
Redeemed | | | (380 | ) | | | (261 | ) | | | (3,803 | ) | | | (4,393 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (24 | ) | | | 409 | | | | 33,503 | | | | 22,904 | |
| | | | | | | | | | | | | | | | |
Class R2 | |
Reinvested | | | — | (a) | | | — | (a) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | — | (a) | | | — | (a) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R3 (b) | |
Issued | | | — | (a) | | | — | | | | — | | | | — | |
Reinvested | | | — | (a) | | | — | | | | — | | | | ��� | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | — | (a) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (b) | |
Issued | | | — | (a) | | | — | | | | — | | | | — | |
Reinvested | | | — | (a) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | — | (a) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 | |
Issued | | | — | (a) | | | 1 | | | | 4 | | | | 1 | |
Reinvested | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) |
Redeemed | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | — | (a) | | | 1 | | | | 4 | | | | 1 | |
| | | | | | | | | | | | | | | | |
Class R6 | |
Issued | | | 56 | | | | 43 | | | | 918 | | | | 203 | |
Reinvested | | | 4 | | | | 1 | | | | 3 | | | | 1 | |
Redeemed | | | (5 | ) | | | (1 | ) | | | (106 | ) | | | (29 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 55 | | | | 43 | | | | 815 | | | | 175 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
| (b) | Commencement of offering of class of shares effective July 31, 2017 for Growth and Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 61 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Large Cap Growth Fund | | | Large Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 229,138 | | | $ | 643,833 | | | $ | 76,992 | | | $ | 168,247 | |
Net assets acquired in Fund reorganization (See Note 9) | | | 63,247 | | | | — | | | | — | | | | — | |
Distributions reinvested | | | 311,838 | | | | 303,623 | | | | 18,790 | | | | 6,462 | |
Cost of shares redeemed | | | (456,335 | ) | | | (3,220,124 | ) | �� | | (65,340 | ) | | | (78,987 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 147,888 | | | $ | (2,272,668 | ) | | $ | 30,442 | | | $ | 95,722 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 39,514 | | | $ | 42,768 | | | $ | 19,014 | | | $ | 33,013 | |
Net assets acquired in Fund reorganization (See Note 9) | | | 13,553 | | | | — | | | | — | | | | — | |
Distributions reinvested | | | 59,885 | | | | 38,865 | | | | 4,609 | | | | 1,034 | |
Cost of shares redeemed | | | (86,839 | ) | | | (220,512 | ) | | | (10,991 | ) | | | (7,339 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | 26,113 | | | $ | (138,879 | ) | | $ | 12,632 | | | $ | 26,708 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 471,362 | | | $ | 1,980,767 | | | $ | 166,694 | | | $ | 161,424 | |
Net assets acquired in Fund reorganization (See Note 9) | | | 66,379 | | | | — | | | | — | | | | — | |
Distributions reinvested | | | 437,623 | | | | 250,389 | | | | 23,845 | | | | 2,254 | |
Cost of shares redeemed | | | (1,993,305 | ) | | | (2,307,254 | ) | | | (38,911 | ) | | | (32,884 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (1,017,941 | ) | | $ | (76,098 | ) | | $ | 151,628 | | | $ | 130,794 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 21,592 | | | $ | 52,791 | | | $ | 5,007 | | | $ | 3,523 | |
Distributions reinvested | | | 14,353 | | | | 11,527 | | | | 643 | | | | 138 | |
Cost of shares redeemed | | | (32,238 | ) | | | (135,753 | ) | | | (1,178 | ) | | | (1,186 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 3,707 | | | $ | (71,435 | ) | | $ | 4,472 | | | $ | 2,475 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 3,907 | | | $ | 977 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 198 | | | | 2 | | | | — | | | | — | |
Cost of shares redeemed | | | (431 | ) | | | (43 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 3,674 | | | $ | 936 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 10,705 | | | $ | 429 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1,429 | | | | 2 | | | | — | | | | — | |
Cost of shares redeemed | | | (804 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 11,330 | | | $ | 431 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 78,943 | | | $ | 143,031 | | | $ | 13,367 | | | $ | 6,133 | |
Net assets acquired in Fund reorganization (See Note 9) | | | 201,731 | | | | — | | | | — | | | | — | |
Distributions reinvested | | | 99,180 | | | | 94,629 | | | | 1,838 | | | | 376 | |
Cost of shares redeemed | | | (375,959 | ) | | | (790,295 | ) | | | (2,343 | ) | | | (1,640 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 3,895 | | | $ | (552,635 | ) | | $ | 12,862 | | | $ | 4,869 | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,311,618 | | | $ | 678,429 | | | $ | 142,180 | | | $ | 31,638 | |
Distributions reinvested | | | 540,060 | | | | 283,753 | | | | 62,577 | | | | 34,941 | |
Cost of shares redeemed | | | (419,355 | ) | | | (1,250,428 | ) | | | (45,595 | ) | | | (142,895 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 1,432,323 | | | $ | (288,246 | ) | | $ | 159,162 | | | $ | (76,316 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 610,989 | | | $ | (3,398,594 | ) | | $ | 371,198 | | | $ | 184,252 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Large Cap Growth Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Large Cap Growth Fund | | | Large Cap Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | |
Class A | |
Issued | | | 5,987 | | | | 18,686 | | | | 4,881 | | | | 11,164 | |
Shares issued in connection with Fund reorganization (See Note 9) | | | 1,736 | | | | — | | | | — | | | | — | |
Reinvested | | | 8,728 | | | | 9,494 | | | | 1,210 | | | | 436 | |
Redeemed | | | (11,848 | ) | | | (92,834 | ) | | | (4,102 | ) | | | (5,292 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 4,603 | | | | (64,654 | ) | | | 1,989 | | | | 6,308 | |
| | | | | | | | | | | | | | | | |
Class C | |
Issued | | | 1,296 | | | | 1,492 | | | | 1,245 | | | | 2,276 | |
Shares issued in connection with Fund reorganization (See Note 9) | | | 460 | | | | — | | | | — | | | | — | |
Reinvested | | | 2,073 | | | | 1,450 | | | | 310 | | | | 72 | |
Redeemed | | | (2,712 | ) | | | (7,549 | ) | | | (717 | ) | | | (518 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | 1,117 | | | | (4,607 | ) | | | 838 | | | | 1,830 | |
| | | | | | | | | | | | | | | | |
Class I | |
Issued | | | 12,176 | | | | 56,465 | | | | 10,638 | | | | 10,803 | |
Shares issued in connection with Fund reorganization (See Note 9) | | | 1,807 | | | | — | | | | — | | | | — | |
Reinvested | | | 12,149 | | | | 7,786 | | | | 1,561 | | | | 153 | |
Redeemed | | | (50,872 | ) | | | (66,016 | ) | | | (2,519 | ) | | | (2,226 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (24,740 | ) | | | (1,765 | ) | | | 9,680 | | | | 8,730 | |
| | | | | | | | | | | | | | | | |
Class R2 | |
Issued | | | 589 | | | | 1,560 | | | | 322 | | | | 240 | |
Reinvested | | | 413 | | | | 368 | | | | 42 | | | | 9 | |
Redeemed | | | (855 | ) | | | (3,925 | ) | | | (75 | ) | | | (83 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | 147 | | | | (1,997 | ) | | | 289 | | | | 166 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | |
Issued | | | 103 | | | | 27 | | | | — | | | | — | |
Reinvested | | | 6 | | | | — | (b) | | | — | | | | — | |
Redeemed | | | (11 | ) | | | (1 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 98 | | | | 26 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | |
Issued | | | 271 | | | | 11 | | | | — | | | | — | |
Reinvested | | | 40 | | | | — | (b) | | | — | | | | — | |
Redeemed | | | (21 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | 290 | | | | 11 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 | |
Issued | | | 2,008 | | | | 4,034 | | | | 854 | | | | 422 | |
Shares issued in connection with Fund reorganization (See Note 9) | | | 5,397 | | | | — | | | | — | | | | — | |
Reinvested | | | 2,706 | | | | 2,903 | | | | 119 | | | | 26 | |
Redeemed | | | (9,758 | ) | | | (22,615 | ) | | | (148 | ) | | | (112 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 353 | | | | (15,678 | ) | | | 825 | | | | 336 | |
| | | | | | | | | | | | | | | | |
Class R6 | |
Issued | | | 33,006 | | | | 19,262 | | | | 9,069 | | | | 2,234 | |
Reinvested | | | 14,648 | | | | 8,668 | | | | 4,082 | | | | 2,394 | |
Redeemed | | | (10,549 | ) | | | (35,193 | ) | | | (2,898 | ) | | | (9,711 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 37,105 | | | | (7,263 | ) | | | 10,253 | | | | (5,083 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Large Cap Growth Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 63 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Fund | | | U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan
Disciplined Equity Fund) | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 125,379 | | | $ | 312,657 | | | $ | 29,944 | | | $ | 94,963 | |
Distributions reinvested | | | 98,733 | | | | 55,357 | | | | 2,319 | | | | 6,471 | |
Cost of shares redeemed | | | (202,025 | ) | | | (642,220 | ) | | | (104,337 | ) | | | (249,037 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 22,087 | | | $ | (274,206 | ) | | $ | (72,074 | ) | | $ | (147,603 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 26,813 | | | $ | 72,492 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 22,039 | | | | 11,726 | | | | — | | | | — | |
Cost of shares redeemed | | | (71,808 | ) | | | (103,605 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (22,956 | ) | | $ | (19,387 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 264,927 | | | $ | 400,093 | | | $ | 18,059 | | | $ | 74,063 | |
Distributions reinvested | | | 113,014 | | | | 44,148 | | | | 1,761 | | | | 3,996 | |
Cost of shares redeemed | | | (205,069 | ) | | | (376,782 | ) | | | (52,295 | ) | | | (93,896 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 172,872 | | | $ | 67,459 | | | $ | (32,475 | ) | | $ | (15,837 | ) |
| | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 177,152 | | | $ | 711,757 | | | $ | 58,846 | | | $ | 142,337 | |
Distributions reinvested | | | 121,524 | | | | 128,744 | | | | 4,491 | | | | 11,155 | |
Cost of shares redeemed | | | (1,987,261 | ) | | | (1,626,435 | ) | | | (192,548 | ) | | | (270,260 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class L capital transactions | | $ | (1,688,585 | ) | | $ | (785,934 | ) | | $ | (129,211 | ) | | $ | (116,768 | ) |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 20,253 | | | $ | 74,181 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 19,474 | | | | 8,162 | | | | — | | | | — | |
Cost of shares redeemed | | | (30,252 | ) | | | (57,260 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 9,475 | | | $ | 25,083 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 24,846 | | | $ | 25,371 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 3,885 | | | | 52 | | | | — | | | | — | |
Cost of shares redeemed | | | (2,823 | ) | | | (546 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 25,908 | | | $ | 24,877 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 5,622 | | | $ | 1,027 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 468 | | | | 3 | | | | — | | | | — | |
Cost of shares redeemed | | | (520 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 5,570 | | | $ | 1,030 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 61,582 | | | $ | 135,617 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 66,769 | | | | 36,284 | | | | — | | | | — | |
Cost of shares redeemed | | | (87,477 | ) | | | (313,018 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 40,874 | | | $ | (141,117 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,224,788 | | | $ | 1,524,765 | | | $ | 265,147 | | | $ | 709,194 | |
Distributions reinvested | | | 732,296 | | | | 247,230 | | | | 46,822 | | | | 110,853 | |
Cost of shares redeemed | | | (581,863 | ) | | | (541,844 | ) | | | (494,052 | ) | | | (2,547,572 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 2,375,221 | | | $ | 1,230,151 | | | $ | (182,083 | ) | | $ | (1,727,525 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 940,466 | | | $ | 127,956 | | | $ | (415,843 | ) | | $ | (2,007,733 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Equity Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Fund | | | U.S. Research Enhanced Equity Fund
(formerly known as JPMorgan
Disciplined Equity Fund) | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | |
Class A | |
Issued | | | 7,622 | | | | 20,933 | | | | 1,127 | | | | 4,005 | |
Reinvested | | | 6,114 | | | | 3,752 | | | | 85 | | | | 270 | |
Redeemed | | | (12,301 | ) | | | (43,000 | ) | | | (3,896 | ) | | | (10,536 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 1,435 | | | | (18,315 | ) | | | (2,684 | ) | | | (6,261 | ) |
| | | | | | | | | | | | | | | | |
Class C | |
Issued | | | 1,679 | | | | 4,975 | | | | — | | | | — | |
Reinvested | | | 1,407 | | | | 820 | | | | — | | | | — | |
Redeemed | | | (4,476 | ) | | | (7,063 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (1,390 | ) | | | (1,268 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class I | |
Issued | | | 16,072 | | | | 26,126 | | | | 673 | | | | 3,033 | |
Reinvested | | | 6,977 | | | | 2,981 | | | | 64 | | | | 164 | |
Redeemed | | | (12,496 | ) | | | (25,112 | ) | | | (1,926 | ) | | | (3,949 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 10,553 | | | | 3,995 | | | | (1,189 | ) | | | (752 | ) |
| | | | | | | | | | | | | | | | |
Class L | |
Issued | | | 10,805 | | | | 47,022 | | | | 2,234 | | | | 5,950 | |
Reinvested | | | 7,492 | | | | 8,680 | | | | 163 | | | | 460 | |
Redeemed | | | (123,987 | ) | | | (110,101 | ) | | | (7,203 | ) | | | (11,410 | ) |
| | | | | | | | | | | | | | | | |
Change in Class L Shares | | | (105,690 | ) | | | (54,399 | ) | | | (4,806 | ) | | | (5,000 | ) |
| | | | | | | | | | | | | | | | |
Class R2 | |
Issued | | | 1,247 | | | | 4,921 | | | | — | | | | — | |
Reinvested | | | 1,217 | | | | 558 | | | | — | | | | — | |
Redeemed | | | (1,864 | ) | | | (3,877 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | 600 | | | | 1,602 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | |
Issued | | | 1,522 | | | | 1,621 | | | | — | | | | — | |
Reinvested | | | 241 | | | | 3 | | | | — | | | | — | |
Redeemed | | | (173 | ) | | | (34 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 1,590 | | | | 1,590 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | |
Issued | | | 342 | | | | 65 | | | | — | | | | — | |
Reinvested | | | 29 | | | | — | (b) | | | — | | | | — | |
Redeemed | | | (31 | ) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | 340 | | | | 65 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R5 | |
Issued | | | 3,748 | | | | 9,015 | | | | — | | | | — | |
Reinvested | | | 4,114 | | | | 2,445 | | | | — | | | | — | |
Redeemed | | | (5,321 | ) | | | (21,230 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 2,541 | | | | (9,770 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R6 | |
Issued | | | 137,955 | | | | 100,747 | | | | 9,941 | | | | 30,002 | |
Reinvested | | | 45,062 | | | | 16,605 | | | | 1,703 | | | | 4,586 | |
Redeemed | | | (35,054 | ) | | | (36,062 | ) | | | (18,140 | ) | | | (108,600 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 147,963 | | | | 81,290 | | | | (6,496 | ) | | | (74,012 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for U.S. Equity Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 65 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
Equity Focus Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 29.09 | | | $ | 0.02 | (e) | | $ | 3.41 | | | $ | 3.43 | | | $ | (0.01 | ) | | $ | (1.56 | ) | | $ | (1.57 | ) |
Year Ended June 30, 2017 | | | 23.73 | | | | (0.01 | )(e) | | | 5.70 | | | | 5.69 | | | | (0.01 | ) | | | (0.32 | ) | | | (0.33 | ) |
Year Ended June 30, 2016 | | | 24.78 | | | | (0.01 | )(e) | | | (0.38 | )(f) | | | (0.39 | ) | | | — | (g) | | | (0.66 | ) | | | (0.66 | ) |
Year Ended June 30, 2015 | | | 23.56 | | | | (0.02 | )(e) | | | 1.42 | | | | 1.40 | | | | (0.02 | ) | | | (0.16 | ) | | | (0.18 | ) |
Year Ended June 30, 2014 | | | 19.18 | | | | (0.02 | )(e) | | | 4.86 | | | | 4.84 | | | | — | | | | (0.46 | ) | | | (0.46 | ) |
Year Ended June 30, 2013 | | | 15.79 | | | | (0.02 | ) | | | 3.41 | | | | 3.39 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 28.28 | | | | (0.06 | )(e) | | | 3.30 | | | | 3.24 | | | | — | | | | (1.56 | ) | | | (1.56 | ) |
Year Ended June 30, 2017 | | | 23.18 | | | | (0.14 | )(e) | | | 5.56 | | | | 5.42 | | | | — | | | | (0.32 | ) | | | (0.32 | ) |
Year Ended June 30, 2016 | | | 24.34 | | | | (0.13 | )(e) | | | (0.37 | )(f) | | | (0.50 | ) | | | — | | | | (0.66 | ) | | | (0.66 | ) |
Year Ended June 30, 2015 | | | 23.24 | | | | (0.13 | )(e) | | | 1.39 | | | | 1.26 | | | | — | | | | (0.16 | ) | | | (0.16 | ) |
Year Ended June 30, 2014 | | | 19.01 | | | | (0.15 | )(e) | | | 4.84 | | | | 4.69 | | | | — | | | | (0.46 | ) | | | (0.46 | ) |
Year Ended June 30, 2013 | | | 15.73 | | | | (0.11 | ) | | | 3.39 | | | | 3.28 | | | | — | | | | — | | | | — | |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 29.34 | | | | 0.06 | (e) | | | 3.44 | | | | 3.50 | | | | (0.08 | ) | | | (1.56 | ) | | | (1.64 | ) |
Year Ended June 30, 2017 | | | 23.92 | | | | 0.06 | (e) | | | 5.75 | | | | 5.81 | | | | (0.07 | ) | | | (0.32 | ) | | | (0.39 | ) |
Year Ended June 30, 2016 | | | 24.95 | | | | 0.06 | (e) | | | (0.39 | )(f) | | | (0.33 | ) | | | (0.04 | ) | | | (0.66 | ) | | | (0.70 | ) |
Year Ended June 30, 2015 | | | 23.67 | | | | 0.04 | (e) | | | 1.44 | | | | 1.48 | | | | (0.04 | ) | | | (0.16 | ) | | | (0.20 | ) |
Year Ended June 30, 2014 | | | 19.22 | | | | 0.04 | (e) | | | 4.87 | | | | 4.91 | | | | — | (g) | | | (0.46 | ) | | | (0.46 | ) |
Year Ended June 30, 2013 | | | 15.81 | | | | 0.02 | | | | 3.42 | | | | 3.44 | | | | (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) | Calculated based upon average shares outstanding. |
| (f) | 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 on the Statement of Changes in Net Assets due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Certain non-recurring expenses incurred by the Fund were not annualized for the year ended June 30, 2013. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 30.95 | | | | 11.84 | % | | $ | 3,867 | | | | 1.12 | % | | | 0.11 | % | | | 1.30 | % | | | 14 | % |
| | 29.09 | | | | 24.09 | | | | 3,362 | | | | 1.17 | | | | (0.02 | ) | | | 1.37 | | | | 84 | |
| | 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 | (h) | | | (0.13 | )(h) | | | 3.75 | (h) | | | 61 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.96 | | | | 11.51 | | | | 3,449 | | | | 1.62 | | | | (0.40 | ) | | | 1.79 | | | | 14 | |
| | 28.28 | | | | 23.49 | | | | 3,331 | | | | 1.66 | | | | (0.51 | ) | | | 1.86 | | | | 84 | |
| | 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 | (h) | | | (0.63 | )(h) | | | 4.25 | (h) | | | 61 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 31.20 | | | | 11.97 | | | | 213,748 | | | | 0.87 | | | | 0.36 | | | | 1.02 | | | | 14 | |
| | 29.34 | | | | 24.43 | | | | 180,151 | | | | 0.92 | | | | 0.23 | | | | 1.10 | | | | 84 | |
| | 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 | (h) | | | 0.12 | (h) | | | 3.51 | (h) | | | 61 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 67 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains (losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 15.67 | | | $ | 0.13 | (e) | | $ | 1.60 | | | $ | 1.73 | | | $ | (0.13 | ) | | $ | (0.15 | ) | | $ | (0.28 | ) |
Year Ended June 30, 2017 | | | 14.01 | | | | 0.24 | (e) | | | 1.75 | | | | 1.99 | | | | (0.24 | ) | | | (0.09 | ) | | | (0.33 | ) |
Year Ended June 30, 2016 | | | 13.77 | | | | 0.25 | (e) | | | 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 | (e) | | | 2.26 | | | | 2.47 | | | | (0.21 | ) | | | (0.22 | ) | | | (0.43 | ) |
Year Ended June 30, 2013 | | | 9.84 | | | | 0.24 | (e)(f) | | | 1.84 | | | | 2.08 | | | | (0.23 | ) | | | (0.07 | ) | | | (0.30 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.41 | | | | 0.09 | (e) | | | 1.56 | | | | 1.65 | | | | (0.10 | ) | | | (0.15 | ) | | | (0.25 | ) |
Year Ended June 30, 2017 | | | 13.80 | | | | 0.16 | (e) | | | 1.72 | | | | 1.88 | | | | (0.18 | ) | | | (0.09 | ) | | | (0.27 | ) |
Year Ended June 30, 2016 | | | 13.58 | | | | 0.18 | (e) | | | 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 | (e) | | | 2.23 | | | | 2.38 | | | | (0.16 | ) | | | (0.22 | ) | | | (0.38 | ) |
Year Ended June 30, 2013 | | | 9.74 | | | | 0.18 | (e)(f) | | | 1.83 | | | | 2.01 | | | | (0.19 | ) | | | (0.07 | ) | | | (0.26 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.92 | | | | 0.15 | (e) | | | 1.63 | | | | 1.78 | | | | (0.15 | ) | | | (0.15 | ) | | | (0.30 | ) |
Year Ended June 30, 2017 | | | 14.23 | | | | 0.28 | (e) | | | 1.77 | | | | 2.05 | | | | (0.27 | ) | | | (0.09 | ) | | | (0.36 | ) |
Year Ended June 30, 2016 | | | 13.97 | | | | 0.28 | (e) | | | 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 | (e) | | | 2.29 | | | | 2.54 | | | | (0.24 | ) | | | (0.22 | ) | | | (0.46 | ) |
Year Ended June 30, 2013 | | | 9.96 | | | | 0.27 | (e)(f) | | | 1.86 | | | | 2.13 | | | | (0.25 | ) | | | (0.07 | ) | | | (0.32 | ) |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.62 | | | | 0.11 | (e) | | | 1.59 | | | | 1.70 | | | | (0.12 | ) | | | (0.15 | ) | | | (0.27 | ) |
Year Ended June 30, 2017 | | | 13.97 | | | | 0.20 | (e) | | | 1.75 | | | | 1.95 | | | | (0.21 | ) | | | (0.09 | ) | | | (0.30 | ) |
Year Ended June 30, 2016 | | | 13.74 | | | | 0.21 | (e) | | | 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 | (e) | | | 2.25 | | | | 2.43 | | | | (0.18 | ) | | | (0.22 | ) | | | (0.40 | ) |
Year Ended June 30, 2013 | | | 9.84 | | | | 0.21 | (e)(f) | | | 1.84 | | | | 2.05 | | | | (0.21 | ) | | | (0.07 | ) | | | (0.28 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.66 | | | | 0.15 | (e) | | | 1.57 | | | | 1.72 | | | | (0.13 | ) | | | (0.15 | ) | | | (0.28 | ) |
September 9, 2016 (g) through June 30, 2017 | | | 14.06 | | | | 0.19 | (e) | | | 1.71 | | | | 1.90 | | | | (0.21 | ) | | | (0.09 | ) | | | (0.30 | ) |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.92 | | | | 0.17 | (e) | | | 1.60 | | | | 1.77 | | | | (0.15 | ) | | | (0.15 | ) | | | (0.30 | ) |
September 9, 2016 (g) through June 30, 2017 | | | 14.28 | | | | 0.29 | (e) | | | 1.67 | | | | 1.96 | | | | (0.23 | ) | | | (0.09 | ) | | | (0.32 | ) |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.93 | | | | 0.17 | (e) | | | 1.63 | | | | 1.80 | | | | (0.17 | ) | | | (0.15 | ) | | | (0.32 | ) |
Year Ended June 30, 2017 | | | 14.23 | | | | 0.31 | (e) | | | 1.78 | | | | 2.09 | | | | (0.30 | ) | | | (0.09 | ) | | | (0.39 | ) |
Year Ended June 30, 2016 | | | 13.98 | | | | 0.31 | (e) | | | 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 | (e) | | | 2.29 | | | | 2.56 | | | | (0.27 | ) | | | (0.22 | ) | | | (0.49 | ) |
Year Ended June 30, 2013 | | | 9.96 | | | | 0.29 | (e)(f) | | | 1.87 | | | | 2.16 | | | | (0.27 | ) | | | (0.07 | ) | | | (0.34 | ) |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.92 | | | | 0.18 | (e) | | | 1.62 | | | | 1.80 | | | | (0.17 | ) | | | (0.15 | ) | | | (0.32 | ) |
Year Ended June 30, 2017 | | | 14.22 | | | | 0.32 | (e) | | | 1.78 | | | | 2.10 | | | | (0.31 | ) | | | (0.09 | ) | | | (0.40 | ) |
Year Ended June 30, 2016 | | | 13.97 | | | | 0.33 | (e) | | | 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 | (e) | | | 2.28 | | | | 2.56 | | | | (0.27 | ) | | | (0.22 | ) | | | (0.49 | ) |
Year Ended June 30, 2013 | | | 9.96 | | | | 0.29 | (e)(f) | | | 1.87 | | | | 2.16 | | | | (0.28 | ) | | | (0.07 | ) | | | (0.35 | ) |
| (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) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset value, end of period | | | Total return
(excludes
sales charge) (b)(c) | | | Net assets, end of period (000’s) | | | Net
expenses (d) | | | Net
investment income
(loss) | | | Expenses
without waivers,
reimbursements and earnings credits | | | Portfolio
turnover
rate (b) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 17.12 | | | | 11.12 | % | | $ | 3,257,072 | | | | 1.00 | % | | | 1.58 | % | | | 1.01 | % | | | 9 | % |
| | 15.67 | | | | 14.34 | | | | 3,176,361 | | | | 1.04 | | | | 1.59 | | | | 1.08 | | | | 14 | |
| | 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 | (f) | | | 1.08 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.81 | | | | 10.80 | | | | 1,369,178 | | | | 1.50 | | | | 1.08 | | | | 1.50 | | | | 9 | |
| | 15.41 | | | | 13.74 | | | | 1,385,115 | | | | 1.54 | | | | 1.09 | | | | 1.55 | | | | 14 | |
| | 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 | (f) | | | 1.58 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.40 | | | | 11.27 | | | | 5,824,058 | | | | 0.74 | | | | 1.84 | | | | 0.75 | | | | 9 | |
| | 15.92 | | | | 14.57 | | | | 6,542,906 | | | | 0.78 | | | | 1.84 | | | | 0.79 | | | | 14 | |
| | 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 | (f) | | | 0.83 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.05 | | | | 10.94 | | | | 92,945 | | | | 1.26 | | | | 1.33 | | | | 1.26 | | | | 9 | |
| | 15.62 | | | | 14.08 | | | | 87,437 | | | | 1.29 | | | | 1.34 | | | | 1.39 | | | | 14 | |
| | 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 | (f) | | | 1.34 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.10 | | | | 11.08 | | | | 83,392 | | | | 0.99 | | | | 1.76 | | | | 1.00 | | | | 9 | |
| | 15.66 | | | | 13.62 | | | | 25,209 | | | | 1.03 | | | | 1.55 | | | | 1.05 | | | | 14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.39 | | | | 11.23 | | | | 18,857 | | | | 0.75 | | | | 2.08 | | | | 0.76 | | | | 9 | |
| | 15.92 | | | | 13.85 | | | | 1,340 | | | | 0.78 | | | | 2.28 | | | | 0.83 | | | | 14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.41 | | | | 11.36 | | | | 1,138,183 | | | | 0.59 | | | | 2.03 | | | | 0.60 | | | | 9 | |
| | 15.93 | | | | 14.84 | | | | 912,746 | | | | 0.58 | | | | 2.05 | | | | 0.63 | | | | 14 | |
| | 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 | (f) | | | 0.63 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.40 | | | | 11.42 | | | | 4,842,413 | | | | 0.49 | | | | 2.13 | | | | 0.50 | | | | 9 | |
| | 15.92 | | | | 14.95 | | | | 2,821,798 | | | | 0.50 | | | | 2.13 | | | | 0.50 | | | | 14 | |
| | 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 | (f) | | | 0.59 | | | | 34 | |
| (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 $0.21, $0.16, $0.24, $0.18, $0.27 and $0.26 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 1.97%, 1.46%, 2.23%, 1.67%, 2.44% and 2.38% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 69 | |
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 | |
Growth and Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 46.85 | | | $ | 0.31 | | | $ | 5.50 | | | $ | 5.81 | | | $ | (0.32 | ) | | $ | (2.08 | ) | | $ | (2.40 | ) |
Year Ended June 30, 2017 | | | 42.75 | | | | 0.57 | | | | 6.31 | | | | 6.88 | | | | (0.57 | ) | | | (2.21 | ) | | | (2.78 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 42.54 | | | | 0.16 | | | | 4.99 | | | | 5.15 | | | | (0.22 | ) | | | (2.08 | ) | | | (2.30 | ) |
Year Ended June 30, 2017 | | | 39.07 | | | | 0.31 | | | | 5.76 | | | | 6.07 | | | | (0.39 | ) | | | (2.21 | ) | | | (2.60 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.21 | | | | 0.39 | | | | 5.77 | | | | 6.16 | | | | (0.38 | ) | | | (2.08 | ) | | | (2.46 | ) |
Year Ended June 30, 2017 | | | 44.77 | | | | 0.72 | | | | 6.62 | | | | 7.34 | | | | (0.69 | ) | | | (2.21 | ) | | | (2.90 | ) |
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 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 47.06 | | | | 0.25 | | | | 5.52 | | | | 5.77 | | | | (0.26 | ) | | | (2.08 | ) | | | (2.34 | ) |
Year Ended June 30, 2017 | | | 42.94 | | | | 0.46 | | | | 6.33 | | | | 6.79 | | | | (0.46 | ) | | | (2.21 | ) | | | (2.67 | ) |
November 2, 2015 (f) through June 30, 2016 | | | 45.92 | | | | 0.40 | | | | (0.70 | ) | | | (0.30 | ) | | | (0.20 | ) | | | (2.48 | ) | | | (2.68 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 49.99 | | | | 0.33 | | | | 5.01 | | | | 5.34 | | | | (0.35 | ) | | | (2.08 | ) | | | (2.43 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (f) through December 31, 2017 (Unaudited) | | | 49.99 | | | | 0.37 | | | | 5.01 | | | | 5.38 | | | | (0.39 | ) | | | (2.08 | ) | | | (2.47 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.50 | | | | 0.44 | | | | 5.81 | | | | 6.25 | | | | (0.43 | ) | | | (2.08 | ) | | | (2.51 | ) |
Year Ended June 30, 2017 | | | 45.01 | | | | 0.83 | | | | 6.65 | | | | 7.48 | | | | (0.78 | ) | | | (2.21 | ) | | | (2.99 | ) |
November 2, 2015 (f) through June 30, 2016 | | | 47.95 | | | | 0.62 | | | | (0.73 | ) | | | (0.11 | ) | | | (0.35 | ) | | | (2.48 | ) | | | (2.83 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.50 | | | | 0.45 | | | | 5.82 | | | | 6.27 | | | | (0.45 | ) | | | (2.08 | ) | | | (2.53 | ) |
Year Ended June 30, 2017 | | | 45.01 | | | | 0.81 | | | | 6.69 | | | | 7.50 | | | | (0.80 | ) | | | (2.21 | ) | | | (3.01 | ) |
November 2, 2015 (f) through June 30, 2016 | | | 47.95 | | | | 0.63 | | | | (0.72 | ) | | | (0.09 | ) | | | (0.37 | ) | | | (2.48 | ) | | | (2.85 | ) |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 70 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 50.26 | | | | 12.47 | % | | $ | 480,335 | | | | 1.00 | % | | | 1.25 | % | | | 1.08 | % | | | 16 | % |
| | 46.85 | | | | 16.34 | | | | 445,078 | | | | 1.03 | | | | 1.26 | | | | 1.10 | | | | 28 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 45.39 | | | | 12.16 | | | | 24,836 | | | | 1.50 | | | | 0.74 | | | | 1.55 | | | | 16 | |
| | 42.54 | | | | 15.76 | | | | 28,290 | | | | 1.53 | | | | 0.76 | | | | 1.59 | | | | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 52.91 | | | | 12.59 | | | | 67,716 | | | | 0.75 | | | | 1.52 | | | | 0.79 | | | | 16 | |
| | 49.21 | | | | 16.64 | | | | 64,148 | | | | 0.78 | | | | 1.50 | | | | 0.83 | | | | 28 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.49 | | | | 12.33 | | | | 26 | | | | 1.25 | | | | 1.01 | | | | 1.81 | | | | 16 | |
| | 47.06 | | | | 16.04 | | | | 23 | | | | 1.28 | | | | 1.01 | | | | 2.06 | | | | 28 | |
| | 42.94 | | | | (0.40 | ) | | | 20 | | | | 1.28 | | | | 1.44 | | | | 3.72 | | | | 39 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 52.90 | | | | 10.75 | | | | 22 | | | | 0.94 | | | | 1.53 | | | | 1.04 | | | | 16 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 52.90 | | | | 10.83 | | | | 22 | | | | 0.75 | | | | 1.72 | | | | 0.79 | | | | 16 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.24 | | | | 12.69 | | | | 40 | | | | 0.57 | | | | 1.70 | | | | 1.00 | | | | 16 | |
| | 49.50 | | | | 16.88 | | | | 37 | | | | 0.59 | | | | 1.72 | | | | 1.23 | | | | 28 | |
| | 45.01 | | | | 0.05 | | | | 20 | | | | 0.59 | | | | 2.14 | | | | 3.02 | | | | 39 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 53.24 | | | | 12.73 | | | | 5,194 | | | | 0.49 | | | | 1.72 | | | | 0.54 | | | | 16 | |
| | 49.50 | | | | 16.94 | | | | 2,129 | | | | 0.53 | | | | 1.66 | | | | 0.55 | | | | 28 | |
| | 45.01 | | | | 0.08 | | | | 20 | | | | 0.53 | | | | 2.19 | | | | 2.96 | | | | 39 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 71 | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 18.24 | | | $ | 0.09 | (e) | | $ | 1.01 | | | $ | 1.10 | | | $ | (0.07 | ) | | $ | — | | | $ | (0.07 | ) |
Year Ended June 30, 2017 | | | 16.23 | | | | 0.19 | (e) | | | 2.01 | | | | 2.20 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
Year Ended June 30, 2016 | | | 16.47 | | | | 0.20 | (e) | | | (0.28 | ) | | | (0.08 | ) | | | (0.16 | ) | | | — | | | | (0.16 | ) |
Year Ended June 30, 2015 | | | 15.74 | | | | 0.19 | (e) | | | 0.67 | | | | 0.86 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
December 13, 2013 (g) through June 30, 2014 | | | 15.00 | | | | 0.07 | | | | 0.84 | | | | 0.91 | | | | (0.07 | ) | | | (0.10 | ) | | | (0.17 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.16 | | | | 0.04 | (e) | | | 1.02 | | | | 1.06 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
Year Ended June 30, 2017 | | | 16.17 | | | | 0.10 | (e) | | | 2.01 | | | | 2.11 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
Year Ended June 30, 2016 | | | 16.43 | | | | 0.13 | (e) | | | (0.29 | ) | | | (0.16 | ) | | | (0.10 | ) | | | — | | | | (0.10 | ) |
Year Ended June 30, 2015 | | | 15.76 | | | | 0.10 | (e) | | | 0.67 | | | | 0.77 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
December 13, 2013 (g) through June 30, 2014 | | | 15.00 | | | | 0.05 | | | | 0.83 | | | | 0.88 | | | | (0.02 | ) | | | (0.10 | ) | | | (0.12 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.27 | | | | 0.11 | (e) | | | 1.03 | | | | 1.14 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
Year Ended June 30, 2017 | | | 16.26 | | | | 0.23 | (e) | | | 2.01 | | | | 2.24 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended June 30, 2016 | | | 16.50 | | | | 0.25 | (e) | | | (0.28 | ) | | | (0.03 | ) | | | (0.21 | ) | | | — | | | | (0.21 | ) |
Year Ended June 30, 2015 | | | 15.76 | | | | 0.23 | (e) | | | 0.66 | | | | 0.89 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
December 13, 2013 (g) through June 30, 2014 | | | 15.00 | | | | 0.10 | | | | 0.84 | | | | 0.94 | | | | (0.08 | ) | | | (0.10 | ) | | | (0.18 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.30 | | | | 0.14 | (e) | | | 1.01 | | | | 1.15 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
Year Ended June 30, 2017 | | | 16.28 | | | | 0.26 | (e) | | | 2.02 | | | | 2.28 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
Year Ended June 30, 2016 | | | 16.51 | | | | 0.24 | (e) | | | (0.24 | ) | | | — | (h) | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended June 30, 2015 | | | 15.76 | | | | 0.26 | (e) | | | 0.66 | | | | 0.92 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
December 13, 2013 (g) through June 30, 2014 | | | 15.00 | | | | 0.13 | | | | 0.82 | | | | 0.95 | | | | (0.09 | ) | | | (0.10 | ) | | | (0.19 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.29 | | | | 0.16 | (e) | | | 1.00 | | | | 1.16 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
Year Ended June 30, 2017 | | | 16.28 | | | | 0.25 | (e) | | | 2.03 | | | | 2.28 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
Year Ended June 30, 2016 | | | 16.52 | | | | 0.27 | (e) | | | (0.27 | ) | | | — | (h) | | | (0.24 | ) | | | — | | | | (0.24 | ) |
Year Ended June 30, 2015 | | | 15.76 | | | | 0.27 | (e) | | | 0.67 | | | | 0.94 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
December 13, 2013 (g) through June 30, 2014 | | | 15.00 | | | | 0.13 | | | | 0.83 | | | | 0.96 | | | | (0.10 | ) | | | (0.10 | ) | | | (0.20 | ) |
| (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) | Calculated based upon average shares outstanding. |
| (f) | 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. |
| (g) | Commencement of operations. |
| (h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 19.27 | | | | 6.06 | % | | $ | 228,442 | | | | 0.84 | % | | | 0.94 | % | | | 0.87 | % | | | 19 | % |
| | 18.24 | | | | 13.60 | | | | 133,789 | | | | 0.84 | | | | 1.06 | | | | 1.05 | | | | 31 | |
| | 16.23 | | | | (0.43 | ) | | | 71,417 | | | | 0.85 | | | | 1.27 | | | | 1.11 | | | | 57 | |
| | 16.47 | | | | 5.45 | | | | 93,007 | | | | 0.85 | (f) | | | 1.14 | (f) | | | 1.21 | (f) | | | 42 | |
| | 15.74 | | | | 6.11 | | | | 569 | | | | 0.85 | (f) | | | 0.96 | (f) | | | 16.65 | (f) | | | 36 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.18 | | | | 5.82 | | | | 57,563 | | | | 1.34 | | | | 0.44 | | | | 1.37 | | | | 19 | |
| | 18.16 | | | | 13.07 | | | | 29,168 | | | | 1.34 | | | | 0.55 | | | | 1.45 | | | | 31 | |
| | 16.17 | | | | (0.95 | ) | | | 9,867 | | | | 1.35 | | | | 0.80 | | | | 1.52 | | | | 57 | |
| | 16.43 | | | | 4.85 | | | | 3,405 | | | | 1.35 | (f) | | | 0.59 | (f) | | | 1.65 | (f) | | | 42 | |
| | 15.76 | | | | 5.87 | | | | 53 | | | | 1.35 | (f) | | | 0.56 | (f) | | | 10.04 | (f) | | | 36 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.31 | | | | 6.24 | | | | 1,277,825 | | | | 0.59 | | | | 1.18 | | | | 0.62 | | | | 19 | |
| | 18.27 | | | | 13.86 | | | | 597,013 | | | | 0.59 | | | | 1.30 | | | | 0.69 | | | | 31 | |
| | 16.26 | | | | (0.17 | ) | | | 158,820 | | | | 0.60 | | | | 1.54 | | | | 0.74 | | | | 57 | |
| | 16.50 | | | | 5.66 | | | | 105,397 | | | | 0.60 | (f) | | | 1.39 | (f) | | | 0.91 | (f) | | | 42 | |
| | 15.76 | | | | 6.28 | | | | 4,307 | | | | 0.60 | (f) | | | 1.30 | (f) | | | 9.91 | (f) | | | 36 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.34 | | | | 6.32 | | | | 109 | | | | 0.39 | | | | 1.46 | | | | 0.78 | | | | 19 | |
| | 18.30 | | | | 14.10 | | | | 37 | | | | 0.40 | | | | 1.51 | | | | 1.08 | | | | 31 | |
| | 16.28 | | | | 0.07 | | | | 25 | | | | 0.40 | | | | 1.49 | | | | 2.16 | | | | 57 | |
| | 16.51 | | | | 5.86 | | | | 442 | | | | 0.40 | (f) | | | 1.58 | (f) | | | 0.82 | (f) | | | 42 | |
| | 15.76 | | | | 6.37 | | | | 53 | | | | 0.40 | (f) | | | 1.51 | (f) | | | 9.10 | (f) | | | 36 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.33 | | | | 6.34 | | | | 19,227 | | | | 0.34 | | | | 1.62 | | | | 0.43 | | | | 19 | |
| | 18.29 | | | | 14.09 | | | | 3,289 | | | | 0.34 | | | | 1.41 | | | | 0.42 | | | | 31 | |
| | 16.28 | | | | 0.07 | | | | 74 | | | | 0.35 | | | | 1.66 | | | | 1.40 | | | | 57 | |
| | 16.52 | | | | 5.96 | | | | 443 | | | | 0.35 | (f) | | | 1.63 | (f) | | | 0.77 | (f) | | | 42 | |
| | 15.76 | | | | 6.39 | | | | 53 | | | | 0.35 | (f) | | | 1.56 | (f) | | | 9.05 | (f) | | | 36 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 73 | |
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 | |
Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 38.23 | | | $ | (0.06 | ) | | $ | 5.05 | | | $ | 4.99 | | | $ | — | | | $ | (5.61 | ) | | $ | (5.61 | ) |
Year Ended June 30, 2017 | | | 32.93 | | | | (0.07 | ) | | | 8.51 | | | | 8.44 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | (f) | | | 2.37 | | | | 2.45 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 31.95 | | | | (0.13 | ) | | | 4.17 | | | | 4.04 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 28.15 | | | | (0.20 | ) | | | 7.14 | | | | 6.94 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | )(f) | | | 2.07 | | | | 2.03 | | | | (0.03 | ) | | | — | | | | (0.03 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.47 | | | | (0.02 | ) | | | 5.09 | | | | 5.07 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 33.08 | | | | (0.02 | ) | | | 8.55 | | | | 8.53 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | (f) | | | 2.37 | | | | 2.49 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.33 | | | | (0.11 | ) | | | 4.92 | | | | 4.81 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 32.31 | | | | (0.16 | ) | | | 8.32 | | | | 8.16 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | (f) | | | 2.36 | | | | 2.37 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.39 | | | | (0.04 | ) | | | 5.05 | | | | 5.01 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
September 9, 2016 (g) through June 30, 2017 | | | 33.97 | | | | (0.06 | ) | | | 7.62 | | | | 7.56 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.47 | | | | 0.01 | | | | 5.06 | | | | 5.07 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
September 9, 2016 (g) through June 30, 2017 | | | 33.97 | | | | 0.04 | | | | 7.60 | | | | 7.64 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.04 | | | | 0.02 | | | | 5.16 | | | | 5.18 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 33.46 | | | | 0.05 | | | | 8.67 | | | | 8.72 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | (f) | | | 2.38 | | | | 2.55 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.23 | | | | 0.04 | | | | 5.19 | | | | 5.23 | | | | — | | | | (5.61 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 33.58 | | | | 0.09 | | | | 8.70 | | | | 8.79 | | | | — | | | | (3.14 | ) | | | (3.14 | ) |
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 | (f) | | | 2.39 | | | | 2.57 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 74 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 37.61 | | | | 13.83 | % | | $ | 2,596,423 | | | | 1.01 | % | | | (0.30 | )% | | | 1.12 | % | | | 7 | % |
| | 38.23 | | | | 27.50 | | | | 2,462,957 | | | | 1.05 | | | | (0.19 | ) | | | 1.25 | | | | 22 | |
| | 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 | (f) | | | 1.19 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 30.38 | | | | 13.55 | | | | 497,677 | | | | 1.51 | | | | (0.80 | ) | | | 1.60 | | | | 7 | |
| | 31.95 | | | | 26.79 | | | | 487,702 | | | | 1.55 | | | | (0.69 | ) | | | 1.67 | | | | 22 | |
| | 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 | )(f) | | | 1.69 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.93 | | | | 13.96 | | | | 3,766,470 | | | | 0.80 | | | | (0.09 | ) | | | 0.85 | | | | 7 | |
| | 38.47 | | | | 27.65 | | | | 4,771,428 | | | | 0.89 | | | | (0.05 | ) | | | 0.90 | | | | 22 | |
| | 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 | (f) | | | 0.94 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 36.53 | | | | 13.67 | | | | 150,142 | | | | 1.30 | | | | (0.59 | ) | | | 1.36 | | | | 7 | |
| | 37.33 | | | | 27.14 | | | | 147,902 | | | | 1.31 | | | | (0.46 | ) | | | 1.47 | | | | 22 | |
| | 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 | (f) | | | 1.45 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.79 | | | | 13.82 | | | | 4,684 | | | | 1.01 | | | | (0.23 | ) | | | 1.11 | | | | 7 | |
| | 38.39 | | | | 24.05 | | | | 992 | | | | 1.12 | | | | (0.20 | ) | | | 1.20 | | | | 22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 37.93 | | | | 13.96 | | | | 11,408 | | | | 0.78 | | | | 0.06 | | | | 0.86 | | | | 7 | |
| | 38.47 | | | | 24.31 | | | | 440 | | | | 0.89 | | | | 0.12 | | | | 1.07 | | | | 22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 38.61 | | | | 14.04 | | | | 804,117 | | | | 0.64 | | | | 0.09 | | | | 0.70 | | | | 7 | |
| | 39.04 | | | | 27.92 | | | | 799,190 | | | | 0.70 | | | | 0.15 | | | | 0.72 | | | | 22 | |
| | 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 | (f) | | | 0.75 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 38.85 | | | | 14.10 | | | | 5,012,968 | | | | 0.54 | | | | 0.18 | | | | 0.60 | | | | 7 | |
| | 39.23 | | | | 28.03 | | | | 3,606,093 | | | | 0.60 | | | | 0.25 | | | | 0.60 | | | | 22 | |
| | 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 | (f) | | | 0.70 | | | | 47 | |
| (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 $0.02, $(0.09), $0.07, $(0.04), $0.12 and $0.13 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 0.08%, (0.42)%, 0.28%, (0.17)%, 0.47% and 0.50% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 75 | |
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 | |
Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 15.48 | | | $ | 0.06 | | | $ | 1.58 | | | $ | 1.64 | | | $ | (0.06 | ) | | $ | (1.28 | ) | | $ | (1.34 | ) |
Year Ended June 30, 2017 | | | 12.71 | | | | 0.15 | | | | 3.42 | | | | 3.57 | | | | (0.14 | ) | | | (0.66 | ) | | | (0.80 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 14.93 | | | | 0.02 | | | | 1.53 | | | | 1.55 | | | | (0.03 | ) | | | (1.28 | ) | | | (1.31 | ) |
Year Ended June 30, 2017 | | | 12.30 | | | | 0.07 | | | | 3.30 | | | | 3.37 | | | | (0.08 | ) | | | (0.66 | ) | | | (0.74 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.24 | | | | 0.08 | | | | 1.56 | | | | 1.64 | | | | (0.08 | ) | | | (1.28 | ) | | | (1.36 | ) |
Year Ended June 30, 2017 | | | 12.53 | | | | 0.17 | | | | 3.37 | | | | 3.54 | | | | (0.17 | ) | | | (0.66 | ) | | | (0.83 | ) |
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 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.39 | | | | 0.04 | | | | 1.56 | | | | 1.60 | | | | (0.04 | ) | | | (1.28 | ) | | | (1.32 | ) |
Year Ended June 30, 2017 | | | 12.64 | | | | 0.10 | | | | 3.41 | | | | 3.51 | | | | (0.10 | ) | | | (0.66 | ) | | | (0.76 | ) |
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 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.37 | | | | 0.10 | | | | 1.56 | | | | 1.66 | | | | (0.09 | ) | | | (1.28 | ) | | | (1.37 | ) |
Year Ended June 30, 2017 | | | 12.63 | | | | 0.20 | | | | 3.39 | | | | 3.59 | | | | (0.19 | ) | | | (0.66 | ) | | | (0.85 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.28 | | | | 0.10 | | | | 1.55 | | | | 1.65 | | | | (0.09 | ) | | | (1.28 | ) | | | (1.37 | ) |
Year Ended June 30, 2017 | | | 12.56 | | | | 0.20 | | | | 3.38 | | | | 3.58 | | | | (0.20 | ) | | | (0.66 | ) | | | (0.86 | ) |
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 | ) |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 15.78 | | | | 10.76 | % | | $ | 250,548 | | | | 0.93 | % | | | 0.80 | % | | | 1.04 | % | | | 51 | % |
| | 15.48 | | | | 28.47 | | | | 215,017 | | | | 0.92 | | | | 1.01 | | | | 1.08 | | | | 145 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.17 | | | | 10.51 | | | | 61,485 | | | | 1.44 | | | | 0.29 | | | | 1.53 | | | | 51 | |
| | 14.93 | | | | 27.72 | | | | 48,028 | | | | 1.44 | | | | 0.50 | | | | 1.57 | | | | 145 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.52 | | | | 10.91 | | | | 314,587 | | | | 0.73 | | | | 1.02 | | | | 0.77 | | | | 51 | |
| | 15.24 | | | | 28.61 | | | | 161,494 | | | | 0.79 | | | | 1.15 | | | | 0.80 | | | | 145 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.67 | | | | 10.56 | | | | 11,413 | | | | 1.25 | | | | 0.50 | | | | 1.30 | | | | 51 | |
| | 15.39 | | | | 28.11 | | | | 6,775 | | | | 1.23 | | | | 0.71 | | | | 1.43 | | | | 145 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.66 | | | | 10.96 | | | | 23,340 | | | | 0.57 | | | | 1.21 | | | | 0.62 | | | | 51 | |
| | 15.37 | | | | 28.82 | | | | 10,218 | | | | 0.59 | | | | 1.35 | | | | 0.62 | | | | 145 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.56 | | | | 11.00 | | | | 781,405 | | | | 0.48 | | | | 1.24 | | | | 0.52 | | | | 51 | |
| | 15.28 | | | | 28.90 | | | | 610,732 | | | | 0.51 | | | | 1.43 | | | | 0.52 | | | | 145 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 77 | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 15.80 | | | $ | 0.06 | (e) | | $ | 1.71 | | | $ | 1.77 | | | $ | (0.07 | ) | | $ | (1.26 | ) | | $ | (1.33 | ) |
Year Ended June 30, 2017 | | | 13.76 | | | | 0.11 | (e) | | | 2.57 | | | | 2.68 | | | | (0.11 | ) | | | (0.53 | ) | | | (0.64 | ) |
Year Ended June 30, 2016 | | | 14.75 | | | | 0.12 | (e) | | | (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 | (e) | | | 3.09 | | | | 3.20 | | | | (0.11 | ) | | | (0.97 | ) | | | (1.08 | ) |
Year Ended June 30, 2013 | | | 10.73 | | | | 0.13 | (e) | | | 2.31 | | | | 2.44 | | | | (0.13 | ) | | | (0.24 | ) | | | (0.37 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.37 | | | | 0.02 | (e) | | | 1.67 | | | | 1.69 | | | | (0.03 | ) | | | (1.26 | ) | | | (1.29 | ) |
Year Ended June 30, 2017 | | | 13.41 | | | | 0.04 | (e) | | | 2.49 | | | | 2.53 | | | | (0.04 | ) | | | (0.53 | ) | | | (0.57 | ) |
Year Ended June 30, 2016 | | | 14.40 | | | | 0.05 | (e) | | | (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 | (e) | | | 3.03 | | | | 3.07 | | | | (0.05 | ) | | | (0.97 | ) | | | (1.02 | ) |
Year Ended June 30, 2013 | | | 10.55 | | | | 0.06 | (e) | | | 2.26 | | | | 2.32 | | | | (0.07 | ) | | | (0.24 | ) | | | (0.31 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.83 | | | | 0.08 | (e) | | | 1.72 | | | | 1.80 | | | | (0.09 | ) | | | (1.26 | ) | | | (1.35 | ) |
Year Ended June 30, 2017 | | | 13.79 | | | | 0.14 | (e) | | | 2.57 | | | | 2.71 | | | | (0.14 | ) | | | (0.53 | ) | | | (0.67 | ) |
Year Ended June 30, 2016 | | | 14.78 | | | | 0.13 | (e) | | | (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 | (e) | | | 3.10 | | | | 3.23 | | | | (0.12 | ) | | | (0.97 | ) | | | (1.09 | ) |
Year Ended June 30, 2013 | | | 10.74 | | | | 0.15 | (e) | | | 2.30 | | | | 2.45 | | | | (0.15 | ) | | | (0.24 | ) | | | (0.39 | ) |
| | | | | | | |
Class L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.85 | | | | 0.09 | (e) | | | 1.71 | | | | 1.80 | | | | (0.09 | ) | | | (1.26 | ) | | | (1.35 | ) |
Year Ended June 30, 2017 | | | 13.80 | | | | 0.16 | (e) | | | 2.58 | | | | 2.74 | | | | (0.16 | ) | | | (0.53 | ) | | | (0.69 | ) |
Year Ended June 30, 2016 | | | 14.79 | | | | 0.16 | (e) | | | (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 | (e) | | | 3.10 | | | | 3.26 | | | | (0.15 | ) | | | (0.97 | ) | | | (1.12 | ) |
Year Ended June 30, 2013 | | | 10.75 | | | | 0.16 | (e) | | | 2.31 | | | | 2.47 | | | | (0.16 | ) | | | (0.24 | ) | | | (0.40 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.68 | | | | 0.04 | (e) | | | 1.70 | | | | 1.74 | | | | (0.05 | ) | | | (1.26 | ) | | | (1.31 | ) |
Year Ended June 30, 2017 | | | 13.66 | | | | 0.07 | (e) | | | 2.55 | | | | 2.62 | | | | (0.07 | ) | | | (0.53 | ) | | | (0.60 | ) |
Year Ended June 30, 2016 | | | 14.66 | | | | 0.08 | (e) | | | (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 | (e) | | | 3.08 | | | | 3.15 | | | | (0.08 | ) | | | (0.97 | ) | | | (1.05 | ) |
Year Ended June 30, 2013 | | | 10.69 | | | | 0.10 | (e) | | | 2.29 | | | | 2.39 | | | | (0.10 | ) | | | (0.24 | ) | | | (0.34 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.76 | | | | 0.06 | (e) | | | 1.70 | | | | 1.76 | | | | (0.07 | ) | | | (1.26 | ) | | | (1.33 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 14.11 | | | | 0.08 | (e) | | | 2.24 | | | | 2.32 | | | | (0.14 | ) | | | (0.53 | ) | | | (0.67 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.82 | | | | 0.09 | (e) | | | 1.71 | | | | 1.80 | | | | (0.09 | ) | | | (1.26 | ) | | | (1.35 | ) |
September 9, 2016 (f) through June 30, 2017 | | | 14.15 | | | | 0.13 | (e) | | | 2.22 | | | | 2.35 | | | | (0.15 | ) | | | (0.53 | ) | | | (0.68 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.85 | | | | 0.09 | (e) | | | 1.72 | | | | 1.81 | | | | (0.10 | ) | | | (1.26 | ) | | | (1.36 | ) |
Year Ended June 30, 2017 | | | 13.81 | | | | 0.17 | (e) | | | 2.57 | | | | 2.74 | | | | (0.17 | ) | | | (0.53 | ) | | | (0.70 | ) |
Year Ended June 30, 2016 | | | 14.80 | | | | 0.18 | (e) | | | (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 | (e) | | | 3.11 | | | | 3.27 | | | | (0.16 | ) | | | (0.97 | ) | | | (1.13 | ) |
Year Ended June 30, 2013 | | | 10.75 | | | | 0.17 | (e) | | | 2.31 | | | | 2.48 | | | | (0.17 | ) | | | (0.24 | ) | | | (0.41 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.87 | | | | 0.10 | (e) | | | 1.73 | | | | 1.83 | | | | (0.11 | ) | | | (1.26 | ) | | | (1.37 | ) |
Year Ended June 30, 2017 | | | 13.82 | | | | 0.18 | (e) | | | 2.58 | | | | 2.76 | | | | (0.18 | ) | | | (0.53 | ) | | | (0.71 | ) |
Year Ended June 30, 2016 | | | 14.82 | | | | 0.18 | (e) | | | (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 | (e) | | | 3.11 | | | | 3.28 | | | | (0.16 | ) | | | (0.97 | ) | | | (1.13 | ) |
Year Ended June 30, 2013 | | | 10.76 | | | | 0.17 | (e) | | | 2.31 | | | | 2.48 | | | | (0.17 | ) | | | (0.24 | ) | | | (0.41 | ) |
| (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) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 16.24 | | | | 11.26 | % | | $ | 1,433,736 | | | | 0.94 | % | | | 0.75 | % | | | 1.01 | % | | | 46 | % |
| | 15.80 | | | | 19.86 | | | | 1,371,821 | | | | 0.94 | | | | 0.75 | | | | 1.10 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.77 | | | | 11.05 | | | | 304,627 | | | | 1.44 | | | | 0.24 | | | | 1.50 | | | | 46 | |
| | 15.37 | | | | 19.23 | | | | 318,369 | | | | 1.44 | | | | 0.25 | | | | 1.55 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.28 | | | | 11.42 | | | | 1,495,606 | | | | 0.73 | | | | 0.96 | | | | 0.75 | | | | 46 | |
| | 15.83 | | | | 20.05 | | | | 1,287,300 | | | | 0.76 | | | | 0.93 | | | | 0.81 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.30 | | | | 11.47 | | | | 1,765,832 | | | | 0.58 | | | | 1.08 | | | | 0.60 | | | | 46 | |
| | 15.85 | | | | 20.27 | | | | 3,391,256 | | | | 0.61 | | | | 1.07 | | | | 0.67 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.11 | | | | 11.14 | | | | 277,382 | | | | 1.23 | | | | 0.46 | | | | 1.25 | | | | 46 | |
| | 15.68 | | | | 19.58 | | | | 260,589 | | | | 1.20 | | | | 0.48 | | | | 1.40 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.19 | | | | 11.23 | | | | 51,505 | | | | 0.97 | | | | 0.75 | | | | 1.00 | | | | 46 | |
| | 15.76 | | | | 16.83 | | | | 25,050 | | | | 1.00 | | | | 0.67 | | | | 1.03 | | | | 86 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.27 | | | | 11.45 | | | | 6,585 | | | | 0.72 | | | | 1.03 | | | | 0.76 | | | | 46 | |
| | 15.82 | | | | 16.99 | | | | 1,030 | | | | 0.75 | | | | 1.03 | | | | 0.81 | | | | 86 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.30 | | | | 11.49 | | | | 956,945 | | | | 0.55 | | | | 1.13 | | | | 0.60 | | | | 46 | |
| | 15.85 | | | | 20.24 | | | | 890,105 | | | | 0.56 | | | | 1.12 | | | | 0.62 | | | | 86 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.33 | | | | 11.59 | | | | 9,360,897 | | | | 0.47 | | | | 1.22 | | | | 0.50 | | | | 46 | |
| | 15.87 | | | | 20.37 | | | | 6,751,473 | | | | 0.50 | | | | 1.19 | | | | 0.50 | | | | 86 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 79 | |
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 | | | Return of capital | | | Total
distributions | |
U.S. Research Enhanced Equity Fund (formerly known as JPMorgan Disciplined Equity Fund) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 25.40 | | | $ | 0.16 | | | $ | 2.69 | | | $ | 2.85 | | | $ | (0.16 | ) | | $ | — | | | $ | — | | | $ | (0.16 | ) |
Year Ended June 30, 2017 | | | 21.74 | | | | 0.28 | | | | 3.72 | | | | 4.00 | | | | (0.32 | ) | | | — | | | | (0.02 | ) | | | (0.34 | ) |
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 | ) |
| | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 25.62 | | | | 0.19 | | | | 2.71 | | | | 2.90 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) |
Year Ended June 30, 2017 | | | 21.92 | | | | 0.35 | | | | 3.76 | | | | 4.11 | | | | (0.39 | ) | | | — | | | | (0.02 | ) | | | (0.41 | ) |
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 | ) |
| | | | | | | | |
Class L | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 25.58 | | | | 0.19 | | | | 2.70 | | | | 2.89 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) |
Year Ended June 30, 2017 | | | 21.89 | | | | 0.35 | | | | 3.75 | | | | 4.10 | | | | (0.39 | ) | | | — | | | | (0.02 | ) | | | (0.41 | ) |
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 | ) |
| | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 25.59 | | | | 0.20 | | | | 2.71 | | | | 2.91 | | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) |
Year Ended June 30, 2017 | | | 21.90 | | | | 0.38 | | | | 3.75 | | | | 4.13 | | | | (0.42 | ) | | | — | | | | (0.02 | ) | | | (0.44 | ) |
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 | ) |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
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| 80 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 28.09 | | | | 11.23 | % | | $ | 391,998 | | | | 0.60 | % | | | 1.16 | % | | | 0.85 | % | | | 19 | % |
| | 25.40 | | | | 18.52 | | | | 422,719 | | | | 0.69 | | | | 1.19 | | | | 0.96 | | | | 40 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.33 | | | | 11.35 | | | | 281,587 | | | | 0.35 | | | | 1.41 | | | | 0.60 | | | | 19 | |
| | 25.62 | | | | 18.85 | | | | 285,141 | | | | 0.43 | | | | 1.45 | | | | 0.69 | | | | 40 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.28 | | | | 11.33 | | | | 787,901 | | | | 0.35 | | | | 1.40 | | | | 0.44 | | | | 19 | |
| | 25.58 | | | | 18.86 | | | | 835,535 | | | | 0.40 | | | | 1.47 | | | | 0.49 | | | | 40 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.29 | | | | 11.38 | | | | 6,298,959 | | | | 0.25 | | | | 1.51 | | | | 0.34 | | | | 19 | |
| | 25.59 | | | | 19.00 | | | | 5,863,138 | | | | 0.28 | | | | 1.60 | | | | 0.34 | | | | 40 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 81 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
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 8 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| | | | | | |
| | | Classes Offered | | Trust | | Diversified/Non-Diversified |
| Equity Focus Fund | | Class A, Class C and Class I | | JPM I | | Non-Diversified |
| Equity Income Fund | | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM II | | Diversified |
| Growth and Income Fund | | Class A, Class C, Class I, Class R2, Class R3*, Class R4*, Class R5 and Class R6 | | JPM I | | Diversified |
| Hedged Equity Fund | | Class A, Class C, Class I, Class R5 and Class R6 | | JPM I | | Diversified |
| Large Cap Growth Fund | | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM II | | Diversified |
| Large Cap Value Fund | | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | JPM II | | Diversified |
| U.S. Equity Fund | | Class A, Class C, Class I, Class L^^, Class R2, Class R3, Class R4, Class R5 and Class R6 | | JPM I | | Diversified |
| U.S. Research Enhanced Equity Fund^ | | Class A^^^, Class I, Class L^^ and Class R6 | | JPM I | | Diversified |
| * | Class R3 and Class R4 commenced operations on July 31, 2017 for Growth and Income Fund. |
| ^ | Effective on November 1, 2017, Disciplined Equity Fund changed its name to U.S. Research Enhanced Equity Fund. |
| ^^ | Effective December 1, 2016, Class L is publicly offered on a limited basis for U.S. Equity Fund and U.S. Research Enhanced Equity Fund. |
| ^^^ | Effective October 9, 2017, Class A is publicly offered on a limited basis for U.S. Research Enhanced Equity Fund. |
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.
The investment objective of U.S. Research Enhanced 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.
Large Cap Growth Fund acquired all the assets and liabilities of the JPMorgan Dynamic Growth Fund in a reorganization on October 27, 2017. Please refer to Note 9 discussing the merger.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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
| | | | | | |
| | | |
| 82 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
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.
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):
Equity Focus Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 220,822 | | | $ | — | | | $ | — | | | $ | 220,822 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Equity Income Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 16,645,510 | | | $ | — | | | $ | — | | | $ | 16,645,510 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 83 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | |
| | | | |
| Growth and Income Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 589,350 | | | $ | — | | | $ | — | | | $ | 589,350 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Hedged Equity Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (b) | | $ | 1,631,509 | | | $ | 354 | | | $ | — | | | $ | 1,631,863 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 207 | | | $ | — | | | $ | — | | | $ | 207 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Options Written (a) | | | | | | | | | | | | | | | | |
Call Option Written | | $ | (8,952 | ) | | $ | — | | | $ | — | | | $ | (8,952 | ) |
Put Option Written | | | (1,960 | ) | | | — | | | | — | | | | (1,960 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (10,912 | ) | | $ | — | | | $ | — | | | $ | (10,912 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| Large Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 12,928,484 | | | $ | — | | | $ | — | | | $ | 12,928,484 | |
| | | | | | | | | | | | | | | | |
|
| 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) | | $ | 1,461,586 | | | $ | — | | | $ | — | (d) | | $ | 1,461,586 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) | | $ | 15,717,161 | | | $ | — | | | $ | — | (d) | | $ | 15,717,161 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 51 | | | $ | — | | | $ | — | | | $ | 51 | |
| | | | | | | | | | | | | | | | |
| | | | |
| U.S. Research Enhanced Equity Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (b) | | $ | 7,745,000 | | | $ | 5,311 | | | $ | — | | | $ | 7,750,311 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 264 | | | $ | — | | | $ | — | | | $ | 264 | |
| | | | | | | | | | | | | | | | |
| (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. |
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| 84 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| (b) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 2 consists of U.S. Treasury Bill that is held as initial margin for futures contracts. Please refer to the SOIs for asset class 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) | Amount rounds to less than 500. |
There were no transfers among any levels during the six months ended December 31, 2017.
B. Futures Contracts — Hedged Equity Fund, U.S. Equity Fund and U.S. Research Enhanced 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 six months ended December 31, 2017 (amounts in thousands):
| | | | | | | | | | | | |
| | | Hedged
Equity Fund | | | U.S.
Equity Fund | | | U.S. Research
Enhanced
Equity Fund | |
Futures Contracts: | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 13,388 | | | $ | 80,451 | | | $ | 64,302 | |
Ending Notional Balance Long | | | 24,485 | | | | 55,527 | | | | 77,872 | |
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 options purchased. 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 on options purchased 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 will 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.
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 85 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (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.
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 Fund may be required to post or receive collateral for over the counter options.
The table below discloses the volume of the Fund’s’ options contracts activity during the six months ended December 31, 2017:
| | | | |
| | | | |
Exchange-Traded Options: | | | | |
Average Number of Contracts Purchased | | | 4,536 | |
Average Number of Contracts Written | | | 9,072 | |
Ending Number of Contracts Purchased | | | 5,851 | |
Ending Number of Contracts Written | | | 11,702 | |
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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | | | Total | |
Equity Focus Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 1 | | | $ | — | (a) | | $ | 2 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | $ | 3 | |
Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 173 | | | | 38 | | | | 37 | | | | n/a | | | $ | 7 | | | $ | — | (a) | | $ | 1 | | | $ | 9 | | | $ | 35 | | | | 300 | |
Growth and Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 109 | | | | 3 | | | | 3 | | | | n/a | | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) | | | 115 | |
Hedged Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 3 | | | | 1 | | | | 10 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | — | (a) | | | 2 | | | | 16 | |
Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 231 | | | | 13 | | | | 28 | | | | n/a | | | | 6 | | | | — | (a) | | | 1 | | | | 7 | | | | 26 | | | | 312 | |
Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 31 | | | | 3 | | | | 3 | | | | n/a | | | | 2 | | | | n/a | | | | n/a | | | | 1 | | | | 4 | | | | 44 | |
U.S. Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 66 | | | | 9 | | | | 18 | | | $ | 57 | | | | 4 | | | | — | (a) | | | — | (a) | | | 6 | | | | 34 | | | | 194 | |
U.S. Research Enhanced Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 16 | | | | n/a | | | | 5 | | | | 7 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 26 | | | | 54 | |
| (a) | Amount rounds to less than 500. |
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| 86 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
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 December 31, 2017, 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 Large Cap 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.
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 average daily net assets. The annual rate for each Fund is as follows:
| | | | |
Equity Focus Fund | | | 0.60 | % |
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 | |
U.S. Research Enhanced Equity Fund | | | 0.25 | |
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 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 six months ended December 31, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 87 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class I, Class L, Class R4, Class R5 and Class R6 do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class R2 | | | Class R3 | |
Equity Focus Fund | | | 0.25 | % | | | 0.75 | % | | | n/a | | | | n/a | |
Equity Income Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | % | | | 0.25 | % |
Growth and Income Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Hedged Equity Fund | | | 0.25 | | | | 0.75 | | | | n/a | | | | n/a | |
Large Cap Growth Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
Large Cap Value Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | n/a | |
U.S. Equity Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | 0.25 | |
U.S. Research Enhanced Equity Fund | | | 0.25 | | | | n/a | | | | n/a | | | | n/a | |
In addition, JPMDS 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 six months ended December 31, 2017, JPMDS retained the following (amounts in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Equity Focus Fund | | $ | 1 | | | $ | — | |
Equity Income Fund | | | 203 | | | | 1 | |
Growth and Income Fund | | | 9 | | | | — | (a) |
Hedged Equity Fund | | | 45 | | | | — | |
Large Cap Growth Fund | | | 87 | | | | — | (a) |
Large Cap Value Fund | | | 18 | | | | — | (a) |
U.S. Equity Fund | | | 52 | | | | — | (a) |
U.S. Research Enhanced Equity Fund | | | 2 | | | | — | |
| (a) | Amount rounds to less than 500. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | |
Equity Focus Fund | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Equity Income Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.10 | % |
Growth and Income Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Hedged Equity Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 0.10 | |
Large Cap Growth Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
Large Cap Value Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | | | | n/a | | | | n/a | | | | 0.10 | |
U.S. Equity Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | % | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | |
U.S. Research Enhanced Equity Fund | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.10 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service 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.
| | | | | | |
| | | |
| 88 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS 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 I | | | Class L | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | |
Equity Focus Fund* | | | 1.10 | % | | | 1.60 | % | | | 0.85 | % | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Equity Income Fund | | | 1.04 | | | | 1.54 | | | | 0.79 | | | | n/a | | | | 1.29 | % | | | 1.04 | % | | | 0.79 | % | | | 0.59 | % | | | 0.54 | % |
Growth and Income Fund** | | | 0.94 | | | | 1.44 | | | | 0.69 | | | | n/a | | | | 1.19 | | | | 0.94 | | | | 0.69 | | | | 0.54 | | | | 0.44 | |
Hedged Equity Fund | | | 0.85 | | | | 1.35 | | | | 0.60 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 0.40 | | | | 0.35 | |
Large Cap Growth Fund*** | | | 0.94 | | | | 1.44 | | | | 0.69 | | | | n/a | | | | 1.19 | | | | 0.94 | | | | 0.69 | | | | 0.54 | | | | 0.44 | |
Large Cap Value Fund**** | | | 0.93 | | | | 1.44 | | | | 0.69 | | | | n/a | | | | 1.19 | | | | n/a | | | | n/a | | | | 0.54 | | | | 0.44 | |
U.S. Equity Fund***** | | | 0.94 | | | | 1.44 | | | | 0.69 | | | | 0.61 | % | | | 1.19 | | | | 0.94 | | | | 0.69 | | | | 0.54 | | | | 0.44 | |
U.S. Research Enhanced Equity Fund | | | 0.60 | | | | n/a | | | | 0.35 | | | | 0.45 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 0.25 | |
| * | Prior to November 1, 2017, the contractual expense limitation for Equity Focus Fund was 1.15%, 1.65% and 0.90% for Class A, Class C and Class I Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019. |
| ** | Prior to November 1, 2017, the contractual expense limitation for Growth and Income Fund was 1.04%, 1.54%, 0.79%, 1.29%, 1.04%, 0.79%, 0.59% and 0.54% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019. |
| *** | Prior to November 1, 2017, the contractual expense limitation for Large Cap Growth Fund was 1.05%, 1.55%, 0.90%, 1.40%, 1.15%, 0.90%, 0.70% and 0.65% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019. |
| **** | Prior to November 1, 2017, the contractual expense limitation for Large Cap Value Fund was 1.45%, 0.80%, 1.30%, 0.60% and 0.55% for Class C, Class I, Class R2, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019. |
| ***** | Prior to November 1, 2017, the contractual expense limitation for U.S. Equity Fund was 0.76%, 1.26%, 1.01%, 0.76%, 0.56% and 0.51% for Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019. |
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2017 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2018.
For the six months ended December 31, 2017, 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 Fees | | | Administration
Fees | | | Service
Fees | | | Total | | | Contractual
Reimbursements | |
Equity Focus Fund | | $ | 85 | | | $ | 56 | | | $ | 1 | | | $ | 142 | | | $ | — | |
Equity Income Fund | | | 15 | | | | — | | | | 47 | | | | 62 | | | | — | |
Growth and Income Fund | | | 56 | | | | 38 | | | | 105 | | | | 199 | | | | — | (a) |
Hedged Equity Fund | | | 70 | | | | 47 | | | | 7 | | | | 124 | | | | 2 | |
Large Cap Growth Fund | | | 2,121 | | | | 1,345 | | | | 740 | | | | 4,206 | | | | 3 | |
Large Cap Value Fund | | | 98 | | | | 64 | | | | 117 | | | | 279 | | | | — | |
U.S. Equity Fund | | | 855 | | | | 561 | | | | 524 | | | | 1,940 | | | | 12 | |
U.S. Research Enhanced Equity Fund | | | 2,122 | | | | 1,415 | | | | 552 | | | | 4,089 | | | | 26 | |
| (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). The Adviser, Administrator and/or JPMDS, 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 89 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2017 were as follows (amounts in thousands):
| | | | |
Equity Focus Fund | | $ | 8 | |
Equity Income Fund | | | 343 | |
Growth and Income Fund | | | 12 | |
Hedged Equity Fund | | | 30 | |
Large Cap Growth Fund | | | 194 | |
Large Cap Value Fund | | | 27 | |
U.S. Equity Fund | | | 161 | |
U.S. Research Enhanced Equity Fund | | | 60 | |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. 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.
The Funds may use related party broker-dealers. For the six months ended December 31, 2017, the Funds incurred brokerage commissions with broker dealers affiliated with the Adviser as follows (amounts in thousands):
| | | | |
Equity Income Fund | | $ | 2 | |
Growth and Income Fund | | | — | (a) |
U.S. Equity Fund | | | — | (a) |
U.S. Research Enhanced Equity Fund | | | 2 | |
| (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 six months ended December 31, 2017, 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 Focus Fund | | $ | 36,139 | | | $ | 27,479 | |
Equity Income Fund | | | 1,355,029 | | | | 1,351,791 | |
Growth and Income Fund | | | 85,703 | | | | 102,133 | |
Hedged Equity Fund | | | 878,496 | | | | 214,061 | |
Large Cap Growth Fund | | | 885,559 | | | | 2,046,487 | |
Large Cap Value Fund | | | 851,422 | | | | 604,101 | |
U.S. Equity Fund | | | 6,812,828 | | | | 6,906,768 | |
U.S. Research Enhanced Equity Fund | | | 1,443,304 | | | | 1,784,540 | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
Equity Focus Fund | | $ | 171,205 | | | $ | 51,731 | | | $ | 2,114 | | | $ | 49,617 | |
Equity Income Fund | | | 11,748,313 | | | | 4,951,333 | | | | 54,136 | | | | 4,897,197 | |
| | | | | | |
| | | |
| 90 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
Growth and Income Fund | | $ | 373,004 | | | $ | 220,251 | | | $ | 3,905 | | | $ | 216,346 | |
Hedged Equity Fund | | | 1,428,280 | | | | 208,133 | | | | 15,255 | | | | 192,878 | |
Large Cap Growth Fund | | | 6,617,299 | | | | 6,341,679 | | | | 30,494 | | | | 6,311,185 | |
Large Cap Value Fund | | | 1,237,198 | | | | 238,943 | | | | 14,555 | | | | 224,388 | |
U.S. Equity Fund | | | 11,124,521 | | | | 4,689,527 | | | | 96,836 | | | | 4,592,691 | |
U.S. Research Enhanced Equity Fund | | | 5,523,069 | | | | 2,322,023 | | | | 94,517 | | | | 2,227,506 | |
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, 2017, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):
| | | | | | | | |
| | | Post-enactment Net Capital Loss | |
| | | Short-Term | | | Long-Term | |
Hedged Equity Fund | | $ | 4,412 | | | $ | 7,791 | |
Disciplined Equity Fund | | | 218,314 | | | | — | |
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).
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 5, 2018.
| | | | | | | | | | | | | | | | |
| | | Average
Borrowings | | | Average
Interest
Rate Paid | | | Number of
Days Outstanding | | | Interest
Paid | |
Large Cap Growth Fund | | $ | 2,094 | | | | 1.83 | % | | | 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.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended. The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 91 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
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 December 31, 2017, 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 following Funds:
| | | | | | | | |
| | | J.P. Morgan
Investor Funds | | | JPMorgan
SmartRetirement
Funds | |
Large Cap Value Fund | | | 42.5 | % | | | n/a | |
U.S. Equity Fund | | | n/a | | | | 23.9 | % |
U.S. Research Enhanced Equity Fund | | | n/a | | | | 63.3 | |
As of December 31, 2017, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | | | | | | | | | |
| | | Number of
Affiliated
Omnibus
Accounts | | | % of the
Fund | | | Number of
Non-Affiliated
Omnibus
Accounts | | | % of the
Fund | |
Equity Focus Fund | | | 1 | | | | 95.8 | % | | | — | | | | — | |
Equity Income Fund | | | 1 | | | | 15.0 | | | | — | | | | — | |
Growth and Income Fund | | | 1 | | | | 22.8 | | | | — | | | | — | |
Hedged Equity Fund | | | — | | | | — | | | | 4 | | | | 59.8 | % |
U.S. Equity Fund | | | 1 | | | | 15.4 | | | | — | | | | — | |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
9. Business Combinations
On June 21, 2017, the Boards of the JPM I and JPM II approved the Plan of Reorganization of the Dynamic Growth Fund (the “Target Fund”), a fund of JPM I, into the Large Cap Growth Fund (the “Acquiring Fund”), a fund of JPM II. The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on October 27, 2017. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class C, Class I and Class R5 shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, with a value equal to their holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $341,560,000 and identified cost of approximately $192,181,000 as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. As of October 27, 2017, the Target Fund did not have capital loss carryforwards.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands, except per share amounts):
| | | | | | | | | | | | | | | | |
| | | Shares
Outstanding | | | Net Assets | | | Net Asset
Value
Per Share | | | Net
Unrealized
Appreciation
(Depreciation) | |
Target Fund | | | | | | | | | | | | | | | | |
Dynamic Growth Fund | | | | | | | | | | | | | | $ | 149,379 | |
Class A | | | 2,009 | | | $ | 63,247 | | | $ | 31.49 | | | | | |
Class C | | | 455 | | | | 13,553 | | | | 29.77 | | | | | |
Class I | | | 2,050 | | | | 66,379 | | | | 32.38 | | | | | |
Class R5 | | | 6,103 | | | | 201,731 | | | | 33.05 | | | | | |
| | | | | | |
| | | |
| 92 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Shares
Outstanding | | | Net Assets | | | Net Asset
Value
Per Share | | | Net
Unrealized
Appreciation
(Depreciation) | |
Acquiring Fund | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | | | | | | | | | | | | $ | 5,901,927 | |
Class A | | | 69,657 | | | $ | 2,537,876 | | | $ | 36.43 | | | | | |
Class C | | | 16,450 | | | | 484,595 | | | | 29.46 | | | | | |
Class I | | | 99,881 | | | | 3,668,798 | | | | 36.73 | | | | | |
Class R2 | | | 4,222 | | | | 149,495 | | | | 35.41 | | | | | |
Class R3 | | | 49 | | | | 1,798 | | | | 36.61 | | | | | |
Class R4 | | | 294 | | | | 10,813 | | | | 36.73 | | | | | |
Class R5 | | | 22,117 | | | | 826,666 | | | | 37.38 | | | | | |
Class R6 | | | 123,754 | | | | 4,653,365 | | | | 37.60 | | | | | |
| | | | |
Post Reorganization | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | | | | | | | | | | | | $ | 6,051,306 | |
Class A | | | 71,393 | | | $ | 2,601,123 | | | $ | 36.43 | | | | | |
Class C | | | 16,910 | | | | 498,148 | | | | 29.46 | | | | | |
Class I | | | 101,688 | | | | 3,735,177 | | | | 36.73 | | | | | |
Class R2 | | | 4,222 | | | | 149,495 | | | | 35.41 | | | | | |
Class R3 | | | 49 | | | | 1,798 | | | | 36.61 | | | | | |
Class R4 | | | 294 | | | | 10,813 | | | | 36.73 | | | | | |
Class R5 | | | 27,514 | | | | 1,028,397 | | | | 37.38 | | | | | |
Class R6 | | | 123,754 | | | | 4,653,365 | | | | 37.60 | | | | | |
Expenses related to reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Fund in an amount sufficient to offset costs incurred by the Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Fund assets associated with the reorganization.
Assuming the reorganization had been completed on July 1, 2017, the beginning of the annual reporting period, the pro forma results of operations for the six months ended December 31, 2017, are as follows:
| | | | |
Net investment income (loss) | | $ | (4,033) | |
Net realized/unrealized gains (losses) | | | 1,653,224 | |
| | | | |
Change in net assets resulting from operations | | $ | 1,649,191 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Fund that have been included on the Statements of Operations since October 27, 2017.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 93 | |
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, July 1, 2017 and continued to hold your shares at the end of the reporting period, December 31, 2017.
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
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Equity Focus Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,118.40 | | | $ | 5.98 | | | | 1.12 | % |
Hypothetical* | | | 1,000.00 | | | | 1,019.56 | | | | 5.70 | | | | 1.12 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,115.10 | | | | 8.64 | | | | 1.62 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.04 | | | | 8.24 | | | | 1.62 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,119.70 | | | | 4.65 | | | | 0.87 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.82 | | | | 4.43 | | | | 0.87 | |
| | | | |
Equity Income Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,111.20 | | | | 5.32 | | | | 1.00 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.16 | | | | 5.09 | | | | 1.00 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,108.00 | | | | 7.97 | | | | 1.50 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.64 | | | | 7.63 | | | | 1.50 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,112.70 | | | | 3.94 | | | | 0.74 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.42 | | | | 3.82 | | | | 0.74 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,109.40 | | | | 6.70 | | | | 1.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.85 | | | | 6.41 | | | | 1.26 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,110.80 | | | | 5.27 | | | | 0.99 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.21 | | | | 5.04 | | | | 0.99 | |
| | | | | | |
| | | |
| 94 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Equity Income Fund (continued) | | | | | | | | | | | | | | | | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,112.30 | | | $ | 3.99 | | | | 0.75 | % |
Hypothetical* | | | 1,000.00 | | | | 1,021.42 | | | | 3.82 | | | | 0.75 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,113.60 | | | | 3.14 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.23 | | | | 3.01 | | | | 0.59 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,114.20 | | | | 2.61 | | | | 0.49 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.74 | | | | 2.50 | | | | 0.49 | |
| | | | |
Growth and Income Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,124.70 | | | | 5.36 | | | | 1.00 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.16 | | | | 5.09 | | | | 1.00 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,121.60 | | | | 8.02 | | | | 1.50 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.64 | | | | 7.63 | | | | 1.50 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,125.90 | | | | 4.02 | | | | 0.75 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.42 | | | | 3.82 | | | | 0.75 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,123.30 | | | | 6.69 | | | | 1.25 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,107.50 | | | | 4.15 | | | | 0.94 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.47 | | | | 4.79 | | | | 0.94 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,108.30 | | | | 3.31 | | | | 0.75 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.42 | | | | 3.82 | | | | 0.75 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,126.90 | | | | 3.06 | | | | 0.57 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.33 | | | | 2.91 | | | | 0.57 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,127.30 | | | | 2.63 | | | | 0.49 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.74 | | | | 2.50 | | | | 0.49 | |
| | | | |
Hedged Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,060.60 | | | | 4.36 | | | | 0.84 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.97 | | | | 4.28 | | | | 0.84 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,058.20 | | | | 6.95 | | | | 1.34 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.45 | | | | 6.82 | | | | 1.34 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,062.40 | | | | 3.07 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.23 | | | | 3.01 | | | | 0.59 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,063.20 | | | | 2.03 | | | | 0.39 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,063.40 | | | | 1.77 | | | | 0.34 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.49 | | | | 1.73 | | | | 0.34 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 95 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Large Cap Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,138.30 | | | $ | 5.44 | | | | 1.01 | % |
Hypothetical* | | | 1,000.00 | | | | 1,020.11 | | | | 5.14 | | | | 1.01 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,135.50 | | | | 8.13 | | | | 1.51 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.59 | | | | 7.68 | | | | 1.51 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,139.60 | | | | 4.31 | | | | 0.80 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.17 | | | | 4.08 | | | | 0.80 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,136.70 | | | | 7.00 | | | | 1.30 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.65 | | | | 6.61 | | | | 1.30 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,138.20 | | | | 5.44 | | | | 1.01 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.11 | | | | 5.14 | | | | 1.01 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,139.60 | | | | 4.21 | | | | 0.78 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.27 | | | | 3.97 | | | | 0.78 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,140.40 | | | | 3.45 | | | | 0.64 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.98 | | | | 3.26 | | | | 0.64 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,141.00 | | | | 2.91 | | | | 0.54 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.48 | | | | 2.75 | | | | 0.54 | |
| | | | |
Large Cap Value Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,107.60 | | | | 4.94 | | | | 0.93 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.52 | | | | 4.74 | | | | 0.93 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,105.10 | | | | 7.64 | | | | 1.44 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.95 | | | | 7.32 | | | | 1.44 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,109.10 | | | | 3.88 | | | | 0.73 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.53 | | | | 3.72 | | | | 0.73 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,105.60 | | | | 6.63 | | | | 1.25 | |
Hypothetical* | | | 1,000.00 | | | | 1,018.90 | | | | 6.36 | | | | 1.25 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,109.60 | | | | 3.03 | | | | 0.57 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.33 | | | | 2.91 | | | | 0.57 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,110.00 | | | | 2.55 | | | | 0.48 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.79 | | | | 2.45 | | | | 0.48 | |
| | | | |
U.S. Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,112.60 | | | | 5.01 | | | | 0.94 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.47 | | | | 4.79 | | | | 0.94 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,110.50 | | | | 7.66 | | | | 1.44 | |
Hypothetical* | | | 1,000.00 | | | | 1,017.95 | | | | 7.32 | | | | 1.44 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,114.20 | | | | 3.89 | | | | 0.73 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.53 | | | | 3.72 | | | | 0.73 | |
| | | | | | |
| | | |
| 96 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
U.S. Equity Fund (continued) | | | | | | | | | | | | | | | | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,114.70 | | | $ | 3.09 | | | | 0.58 | % |
Hypothetical* | | | 1,000.00 | | | | 1,022.28 | | | | 2.96 | | | | 0.58 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,111.40 | | | | 6.55 | | | | 1.23 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.00 | | | | 6.26 | | | | 1.23 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,112.30 | | | | 5.16 | | | | 0.97 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.32 | | | | 4.94 | | | | 0.97 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,114.50 | | | | 3.84 | | | | 0.72 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.58 | | | | 3.67 | | | | 0.72 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,114.90 | | | | 2.93 | | | | 0.55 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.43 | | | | 2.80 | | | | 0.55 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,115.90 | | | | 2.51 | | | | 0.47 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.84 | | | | 2.40 | | | | 0.47 | |
| | | | |
U.S. Research Enhanced Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,112.30 | | | | 3.19 | | | | 0.60 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.18 | | | | 3.06 | | | | 0.60 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,113.50 | | | | 1.86 | | | | 0.35 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.44 | | | | 1.79 | | | | 0.35 | |
Class L | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,113.30 | | | | 1.86 | | | | 0.35 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.44 | | | | 1.79 | | | | 0.35 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,113.80 | | | | 1.33 | | | | 0.25 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.95 | | | | 1.28 | | | | 0.25 | |
| * | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 153/365 (to reflect the actual period). Commencement of operations was July 31, 2017. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 97 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the
Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
| | | | | | |
| | | |
| 98 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that
there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Equity Income Fund, Large Cap Growth Fund, Large Cap Value Fund and U.S. Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Equity Focus Fund, Growth and Income Fund, Hedged Equity Fund and U.S. Research Enhanced Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 99 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees
highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Equity Focus Fund’s performance for Class A shares was in the first, third and first quintiles based upon the Peer Group, and in the first, second and first quintiles based upon the Universe, for the one- three- and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group, and in the first, second and first quintiles based upon the Universe, for the one- three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Equity Income Fund’s performance for Class A shares was in the third, second and second quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth, first and first quintiles based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Growth and Income Fund’s performance for Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Hedged Equity Fund’s performance for Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, for each of the one- and three-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Large Cap Growth Fund’s performance for Class A shares was in the third, second and fourth quintiles based upon the Peer Group, and in the fifth, fourth and fifth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fourth and fifth quintiles based upon the Peer Group, and in the fifth, fourth and fourth quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
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| 100 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
The Trustees noted that the Large Cap Value Fund’s performance for Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the U.S. Equity Fund’s performance for Class A shares was in the second, first, and first quintiles based upon the Peer Group, and in the third, second, and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the third, first and second quintiles based upon the Peer Group, and in the third, second, and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the U.S. Research Enhanced Equity Fund’s performance for Class A shares was in the third, third and second quintiles based upon the Peer Group, and in the fourth, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth, third and second quintiles based upon the Peer Group, and in the third, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees also noted that the Fund changed its name and investment strategy effective November 1, 2017. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about
other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Equity Focus Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Equity Income Fund’s net advisory fee for Class A shares was in the second and first quintiles based upon both the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fourth and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that total actual expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Growth and Income Fund’s net advisory fee and actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe,
respectively. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Hedged Equity Fund’s net advisory fee and actual total expenses for Class A and Class I shares
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| DECEMBER 31, 2017 | | J.P. MORGAN LARGE CAP FUNDS | | | | | 101 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
were in the first quintile based upon both the Peer Groups and Universe. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Large Cap Growth Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the second and third quintiles, respectively, based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Large Cap Value Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that both the net advisory fee and actual total expenses were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the U.S. Equity Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the U.S. Research Enhanced Equity Fund’s net advisory fee and actual total expenses for Class A and Class I shares were in the first quintile based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s Fee Caps for certain share classes were reduced effective November 1, 2016. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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| 102 | | | | J.P. MORGAN LARGE CAP FUNDS | | DECEMBER 31, 2017 |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-LCE-1217 |
Semi-Annual Report
J.P. Morgan Equity Funds
December 31, 2017 (Unaudited)
JPMorgan Equity Index Fund
JPMorgan Market Expansion Enhanced Index Fund
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
| | |
 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of
England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
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| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 1 | |
J.P. Morgan Index Funds
MARKET OVERVIEW
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month.
In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period. For the six months ended December 31, 2017, the S&P 500 returned 11.42%.
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| 2 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* | | | 11.35% | |
| S&P 500 Index** | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 3,086,202 | |
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 Index (S&P 500) (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares performed largely in line with the Benchmark for the six months ended December 31, 2017, 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 those of the Benchmark.
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Benchmark reached more than two dozen record high closings and had positive returns for each month.
During the reporting period, the information technology and financials sectors were the largest contributors to the performance of the Fund and the Benchmark, while the utilities and real estate sectors were the smallest contributors to 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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | |
| | 1. | | | Apple, Inc. | | | 3.7 | % |
| | 2. | | | Microsoft Corp. | | | 2.8 | |
| | 3. | | | Amazon.com, Inc. | | | 2.0 | |
| | 4. | | | Facebook, Inc., Class A | | | 1.8 | |
| | 5. | | | Berkshire Hathaway, Inc., Class B | | | 1.6 | |
| | 6. | | | Johnson & Johnson | | | 1.6 | |
| | 7. | | | JPMorgan Chase & Co. | | | 1.6 | |
| | 8. | | | Exxon Mobil Corp. | | | 1.5 | |
| | 9. | | | Alphabet, Inc., Class C | | | 1.3 | |
| | 10. | | | Alphabet, Inc., Class A | | | 1.3 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR**** | |
| Information Technology | | | 23.0 | % |
| Financials | | | 14.3 | |
| Health Care | | | 13.3 | |
| Consumer Discretionary | | | 11.8 | |
| Industrials | | | 9.8 | |
| Consumer Staples | | | 7.9 | |
| Energy | | | 5.9 | |
| Materials | | | 2.9 | |
| Utilities | | | 2.8 | |
| Real Estate | | | 2.8 | |
| Telecommunication Services | | | 2.0 | |
| Short-Term Investment | | | 3.5 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | “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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 3 | |
JPMorgan Equity Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 18, 1992 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 5.36 | % | | | 14.92 | % | | | 14.02 | % | | | 7.45 | % |
Without Sales Charge | | | | | 11.20 | | | | 21.27 | | | | 15.25 | | | | 8.03 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 9.84 | | | | 19.57 | | | | 14.43 | | | | 7.25 | |
Without CDSC | | | | | 10.84 | | | | 20.57 | | | | 14.43 | | | | 7.25 | |
CLASS I SHARES | | July 2, 1991 | | | 11.35 | | | | 21.61 | | | | 15.54 | | | | 8.31 | |
CLASS R6 SHARES | | September 1, 2016 | | | 11.43 | | | | 21.80 | | | | 15.59 | | | | 8.33 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Index Fund, the S&P 500 Index and the Lipper S&P 500 Funds Index from December 31, 2007 to December 31, 2017. 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.
Class I 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.
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| 4 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* | | | 9.99% | |
| S&P 1000 Index** | | | 9.83% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 1,055,114 | |
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 Class I Shares outperformed the Standard & Poor’s 1000 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the finance and consumer cyclical sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the semiconductors and real estate investment trust sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Green Dot Corp., HollyFrontier Corp. and Take-Two Interactive Software Inc. Shares of Green Dot, a provider of pre-paid credit cards, rose after the company reported two consecutive quarters of better-than-expected earnings. Shares of HollyFrontier, a petroleum refiner, transport and logistics company, rose amid stable oil prices and investor expectations that the company would benefit from the Tax Cut and Jobs Act of 2017. Shares of Take-Two Interactive Software, a videogame publisher, rose after the company raised its revenue forecast and reported better-than-expected sales during the November-December holiday shopping season.
Leading individual detractors from relative performance included the Fund’s underweight position in Nektar Therapeutics and Cognex Corp. and its overweight position in Owens & Minor Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its anti-cancer treatment. Shares of Cognex, a maker of vision sensors and systems for automated manufacturing, rose after the company reported growth in revenue and earnings for the third quarter of 2017. Shares of Owens & Minor, a medical supply and logistics company, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017.
HOW WAS THE FUND POSITIONED?
The Fund seeks to closely follow 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.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | |
| | 1. | | | Huntington Ingalls Industries, Inc. | | | 0.8 | % |
| | 2. | | | Broadridge Financial Solutions, Inc. | | | 0.8 | |
| | 3. | | | Ingredion, Inc. | | | 0.7 | |
| | 4. | | | Reinsurance Group of America, Inc. | | | 0.7 | |
| | 5. | | | United Therapeutics Corp. | | | 0.7 | |
| | 6. | | | Arrow Electronics, Inc. | | | 0.7 | |
| | 7. | | | Teradyne, Inc. | | | 0.7 | |
| | 8. | | | East West Bancorp, Inc. | | | 0.7 | |
| | 9. | | | HollyFrontier Corp. | | | 0.7 | |
| | 10. | | | WellCare Health Plans, Inc. | | | 0.7 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR**** | |
Industrials | | | 17.0 | % |
Information Technology | | | 16.7 | |
Financials | | | 16.0 | |
Consumer Discretionary | | | 12.0 | |
Health Care | | | 9.5 | |
Real Estate | | | 8.1 | |
Materials | | | 6.9 | |
Utilities | | | 4.5 | |
Energy | | | 3.8 | |
Consumer Staples | | | 3.2 | |
Telecommunication Services | | | 0.6 | |
Short-Term Investment | | | 1.7 | |
| * | | 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. |
| ** | | “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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 5 | |
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | July 31, 1998 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 4.16 | % | | | 8.34 | % | | | 14.06 | % | | | 9.06 | % |
Without Sales Charge | | | | | 9.95 | | | | 14.30 | | | | 15.28 | | | | 9.65 | |
CLASS C SHARES | | March 22, 1999 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 8.65 | | | | 12.69 | | | | 14.54 | | | | 8.90 | |
Without CDSC | | | | | 9.65 | | | | 13.69 | | | | 14.54 | | | | 8.90 | |
CLASS I SHARES | | July 31, 1998 | | | 9.99 | | | | 14.55 | | | | 15.57 | | | | 9.92 | |
CLASS R2 SHARES | | November 3, 2008 | | | 9.86 | | | | 14.04 | | | | 15.04 | | | | 9.33 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 I 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 Class I 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 December 31, 2007 to December 31, 2017. 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 designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 99.0% | |
| | | | Consumer Discretionary — 12.1% | |
| | | | Auto Components — 0.2% | |
| | 36 | | | Aptiv plc | | | 3,022 | |
| | 27 | | | BorgWarner, Inc. | | | 1,357 | |
| | 33 | | | Goodyear Tire & Rubber Co. (The) | | | 1,067 | |
| | | | | | | | |
| | | | | | | 5,446 | |
| | | | | | | | |
| | | | Automobiles — 0.5% | |
| | 523 | | | Ford Motor Co. | | | 6,531 | |
| | 171 | | | General Motors Co. | | | 7,024 | |
| | 23 | | | Harley-Davidson, Inc. | | | 1,148 | |
| | | | | | | | |
| | | | | | | 14,703 | |
| | | | | | | | |
| | | | Distributors — 0.1% | |
| | 20 | | | Genuine Parts Co. | | | 1,867 | |
| | 41 | | | LKQ Corp. (a) | | | 1,685 | |
| | | | | | | | |
| | | | | | | 3,552 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.0% (g) | |
| | 28 | | | H&R Block, Inc. | | | 735 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.8% | |
| | 55 | | | Carnival Corp. | | | 3,628 | |
| | 3 | | | Chipotle Mexican Grill, Inc. (a) | | | 962 | |
| | 17 | | | Darden Restaurants, Inc. | | | 1,592 | |
| | 27 | | | Hilton Worldwide Holdings, Inc. | | | 2,165 | |
| | 41 | | | Marriott International, Inc., Class A | | | 5,571 | |
| | 107 | | | McDonald’s Corp. | | | 18,391 | |
| | 68 | | | MGM Resorts International | | | 2,280 | |
| | 24 | | | Norwegian Cruise Line Holdings Ltd. (a) | | | 1,272 | |
| | 23 | | | Royal Caribbean Cruises Ltd. | | | 2,738 | |
| | 191 | | | Starbucks Corp. | | | 10,952 | |
| | 14 | | | Wyndham Worldwide Corp. | | | 1,574 | |
| | 11 | | | Wynn Resorts Ltd. | | | 1,812 | |
| | 45 | | | Yum Brands, Inc. | | | 3,686 | |
| | | | | | | | |
| | | | | | | 56,623 | |
| | | | | | | | |
| | | | Household Durables — 0.4% | |
| | 46 | | | DR Horton, Inc. | | | 2,336 | |
| | 15 | | | Garmin Ltd. | | | 886 | |
| | 18 | | | Leggett & Platt, Inc. | | | 843 | |
| | 27 | | | Lennar Corp., Class A | | | 1,734 | |
| | 8 | | | Mohawk Industries, Inc. (a) | | | 2,337 | |
| | 66 | | | Newell Brands, Inc. | | | 2,030 | |
| | 36 | | | PulteGroup, Inc. | | | 1,205 | |
| | 10 | | | Whirlpool Corp. | | | 1,624 | |
| | | | | | | | |
| | | | | | | 12,995 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 2.8% | |
| | 54 | | | Amazon.com, Inc. (a) | | | 62,693 | |
| | 16 | | | Expedia, Inc. | | | 1,973 | |
| | 58 | | | Netflix, Inc. (a) | | | 11,134 | |
| | 7 | | | Priceline Group, Inc. (The) (a) | | | 11,360 | |
| | 15 | | | TripAdvisor, Inc. (a) | | | 501 | |
| | | | | | | | |
| | | | | | | 87,661 | |
| | | | | | | | |
| | | | Leisure Products — 0.1% | |
| | 15 | | | Hasbro, Inc. | | | 1,381 | |
| | 46 | | | Mattel, Inc. | | | 708 | |
| | | | | | | | |
| | | | | | | 2,089 | |
| | | | | | | | |
| | | | Media — 2.7% | |
| | 49 | | | CBS Corp. (Non-Voting), Class B | | | 2,867 | |
| | 26 | | | Charter Communications, Inc., Class A (a) | | | 8,732 | |
| | 625 | | | Comcast Corp., Class A | | | 25,039 | |
| | 21 | | | Discovery Communications, Inc., Class A (a) | | | 462 | |
| | 27 | | | Discovery Communications, Inc., Class C (a) | | | 577 | |
| | 31 | | | DISH Network Corp., Class A (a) | | | 1,459 | |
| | 52 | | | Interpublic Group of Cos., Inc. (The) | | | 1,050 | |
| | 51 | | | News Corp., Class A | | | 832 | |
| | 16 | | | News Corp., Class B | | | 271 | |
| | 31 | | | Omnicom Group, Inc. | | | 2,250 | |
| | 13 | | | Scripps Networks Interactive, Inc., Class A | | | 1,099 | |
| | 104 | | | Time Warner, Inc. | | | 9,546 | |
| | 141 | | | Twenty-First Century Fox, Inc., Class A | | | 4,878 | |
| | 59 | | | Twenty-First Century Fox, Inc., Class B | | | 2,008 | |
| | 47 | | | Viacom, Inc., Class B | | | 1,457 | |
| | 202 | | | Walt Disney Co. (The) | | | 21,764 | |
| | | | | | | | |
| | | | | | | 84,291 | |
| | | | | | | | |
| | | | Multiline Retail — 0.5% | |
| | 35 | | | Dollar General Corp. | | | 3,248 | |
| | 32 | | | Dollar Tree, Inc. (a) | | | 3,410 | |
| | 23 | | | Kohl’s Corp. | | | 1,225 | |
| | 41 | | | Macy’s, Inc. | | | 1,028 | |
| | 16 | | | Nordstrom, Inc. | | | 741 | |
| | 73 | | | Target Corp. | | | 4,754 | |
| | | | | | | | |
| | | | | | | 14,406 | |
| | | | | | | | |
| | | | Specialty Retail — 2.3% | |
| | 10 | | | Advance Auto Parts, Inc. | | | 987 | |
| | 4 | | | AutoZone, Inc. (a) | | | 2,621 | |
| | 34 | | | Best Buy Co., Inc. | | | 2,334 | |
| | 24 | | | CarMax, Inc. (a) | | | 1,567 | |
| | 17 | | | Foot Locker, Inc. | | | 779 | |
| | 29 | | | Gap, Inc. (The) | | | 994 | |
| | 157 | | | Home Depot, Inc. (The) | | | 29,665 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 7 | |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Specialty Retail — continued | | | | |
| | 33 | | | L Brands, Inc. | | | 1,993 | |
| | 112 | | | Lowe’s Cos., Inc. | | | 10,375 | |
| | 11 | | | O’Reilly Automotive, Inc. (a) | | | 2,741 | |
| | 52 | | | Ross Stores, Inc. | | | 4,148 | |
| | 8 | | | Signet Jewelers Ltd. | | | 458 | |
| | 14 | | | Tiffany & Co. | | | 1,423 | |
| | 85 | | | TJX Cos., Inc. (The) | | | 6,521 | |
| | 17 | | | Tractor Supply Co. | | | 1,258 | |
| | 8 | | | Ulta Beauty, Inc. (a) | | | 1,750 | |
| | | | | | | | |
| | | | | | | 69,614 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.7% | |
| | 49 | | | Hanesbrands, Inc. | | | 1,022 | |
| | 20 | | | Michael Kors Holdings Ltd. (a) | | | 1,283 | |
| | 176 | | | NIKE, Inc., Class B | | | 11,016 | |
| | 10 | | | PVH Corp. | | | 1,424 | |
| | 7 | | | Ralph Lauren Corp. | | | 770 | |
| | 38 | | | Tapestry, Inc. | | | 1,686 | |
| | 25 | | | Under Armour, Inc., Class A (a) | | | 358 | |
| | 25 | | | Under Armour, Inc., Class C (a) | | | 329 | |
| | 44 | | | VF Corp. | | | 3,253 | |
| | | | | | | | |
| | | | | | | 21,141 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 373,256 | |
| | | | | | | | |
| | | | Consumer Staples — 8.1% | |
| | | | Beverages — 2.0% | |
| | 26 | | | Brown-Forman Corp., Class B | | | 1,802 | |
| | 514 | | | Coca-Cola Co. (The) | | | 23,581 | |
| | 23 | | | Constellation Brands, Inc., Class A | | | 5,278 | |
| | 24 | | | Dr Pepper Snapple Group, Inc. | | | 2,349 | |
| | 25 | | | Molson Coors Brewing Co., Class B | | | 2,032 | |
| | 55 | | | Monster Beverage Corp. (a) | | | 3,492 | |
| | 191 | | | PepsiCo, Inc. | | | 22,859 | |
| | | | | | | | |
| | | | | | | 61,393 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.8% | |
| | 59 | | | Costco Wholesale Corp. | | | 10,901 | |
| | 136 | | | CVS Health Corp. | | | 9,844 | |
| | 119 | | | Kroger Co. (The) | | | 3,273 | |
| | 64 | | | Sysco Corp. | | | 3,902 | |
| | 116 | | | Walgreens Boots Alliance, Inc. | | | 8,451 | |
| | 196 | | | Wal-Mart Stores, Inc. | | | 19,374 | |
| | | | | | | | |
| | | | | | | 55,745 | |
| | | | | | | | |
| | | | Food Products — 1.2% | |
| | 75 | | | Archer-Daniels-Midland Co. | | | 3,004 | |
| | 26 | | | Campbell Soup Co. | | | 1,240 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Food Products — continued | | | | |
| | 55 | | | Conagra Brands, Inc. | | | 2,063 | |
| | 76 | | | General Mills, Inc. | | | 4,517 | |
| | 19 | | | Hershey Co. (The) | | | 2,146 | |
| | 36 | | | Hormel Foods Corp. | | | 1,313 | |
| | 15 | | | JM Smucker Co. (The) | | | 1,891 | |
| | 33 | | | Kellogg Co. | | | 2,266 | |
| | 80 | | | Kraft Heinz Co. (The) | | | 6,223 | |
| | 16 | | | McCormick & Co., Inc. (Non-Voting) | | | 1,636 | |
| | 200 | | | Mondelez International, Inc., Class A | | | 8,573 | |
| | 40 | | | Tyson Foods, Inc., Class A | | | 3,234 | |
| | | | | | | | |
| | | | | | | 38,106 | |
| | | | | | | | |
| | | | Household Products — 1.6% | |
| | 33 | | | Church & Dwight Co., Inc. | | | 1,681 | |
| | 17 | | | Clorox Co. (The) | | | 2,570 | |
| | 118 | | | Colgate-Palmolive Co. | | | 8,880 | |
| | 47 | | | Kimberly-Clark Corp. | | | 5,689 | |
| | 342 | | | Procter & Gamble Co. (The) | | | 31,380 | |
| | | | | | | | |
| | | | | | | 50,200 | |
| | | | | | | | |
| | | | Personal Products — 0.2% | |
| | 63 | | | Coty, Inc., Class A | | | 1,259 | |
| | 30 | | | Estee Lauder Cos., Inc. (The), Class A | | | 3,818 | |
| | | | | | | | |
| | | | | | | 5,077 | |
| | | | | | | | |
| | | | Tobacco — 1.3% | |
| | 256 | | | Altria Group, Inc. | | | 18,264 | |
| | 208 | | | Philip Morris International, Inc. | | | 21,994 | |
| | | | | | | | |
| | | | | | | 40,258 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 250,779 | |
| | | | | | | | |
| | | | Energy — 6.0% | |
| | | | Energy Equipment & Services — 0.8% | |
| | 57 | | | Baker Hughes a GE Co. | | | 1,816 | |
| | 117 | | | Halliburton Co. | | | 5,715 | |
| | 15 | | | Helmerich & Payne, Inc. | | | 941 | |
| | 51 | | | National Oilwell Varco, Inc. | | | 1,835 | |
| | 186 | | | Schlumberger Ltd. | | | 12,513 | |
| | 59 | | | TechnipFMC plc, (United Kingdom) | | | 1,840 | |
| | | | | | | | |
| | | | | | | 24,660 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 5.2% | |
| | 73 | | | Anadarko Petroleum Corp. | | | 3,934 | |
| | 19 | | | Andeavor | | | 2,199 | |
| | 51 | | | Apache Corp. | | | 2,156 | |
| | 62 | | | Cabot Oil & Gas Corp. | | | 1,773 | |
| | 122 | | | Chesapeake Energy Corp. (a) | | | 482 | |
| | 255 | | | Chevron Corp. | | | 31,871 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Oil, Gas & Consumable Fuels — continued | | | | |
| | 13 | | | Cimarex Energy Co. | | | 1,558 | |
| | 20 | | | Concho Resources, Inc. (a) | | | 2,994 | |
| | 160 | | | ConocoPhillips | | | 8,796 | |
| | 70 | | | Devon Energy Corp. | | | 2,916 | |
| | 78 | | | EOG Resources, Inc. | | | 8,363 | |
| | 33 | | | EQT Corp. | | | 1,868 | |
| | 568 | | | Exxon Mobil Corp. | | | 47,503 | |
| | 36 | | | Hess Corp. | | | 1,718 | |
| | 257 | | | Kinder Morgan, Inc. | | | 4,652 | |
| | 114 | | | Marathon Oil Corp. | | | 1,928 | |
| | 65 | | | Marathon Petroleum Corp. | | | 4,319 | |
| | 27 | | | Newfield Exploration Co. (a) | | | 842 | |
| | 65 | | | Noble Energy, Inc. | | | 1,901 | |
| | 103 | | | Occidental Petroleum Corp. | | | 7,555 | |
| | 51 | | | ONEOK, Inc. | | | 2,747 | |
| | 58 | | | Phillips 66 | | | 5,825 | |
| | 23 | | | Pioneer Natural Resources Co. | | | 3,942 | |
| | 30 | | | Range Resources Corp. | | | 516 | |
| | 59 | | | Valero Energy Corp. | | | 5,391 | |
| | 111 | | | Williams Cos., Inc. (The) | | | 3,379 | |
| | | | | | | | |
| | | | | | | 161,128 | |
| | | | | | | | |
| | | | Total Energy | | | 185,788 | |
| | | | | | | | |
| | | | Financials — 14.7% | |
| | | | Banks — 6.5% | |
| | 1,300 | | | Bank of America Corp. | | | 38,382 | |
| | 106 | | | BB&T Corp. | | | 5,258 | |
| | 354 | | | Citigroup, Inc. | | | 26,370 | |
| | 66 | | | Citizens Financial Group, Inc. | | | 2,768 | |
| | 23 | | | Comerica, Inc. | | | 2,024 | |
| | 95 | | | Fifth Third Bancorp | | | 2,869 | |
| | 145 | | | Huntington Bancshares, Inc. | | | 2,109 | |
| | 465 | | | JPMorgan Chase & Co. (q) | | | 49,734 | |
| | 144 | | | KeyCorp | | | 2,907 | |
| | 20 | | | M&T Bank Corp. | | | 3,450 | |
| | 46 | | | People’s United Financial, Inc. | | | 868 | |
| | 64 | | | PNC Financial Services Group, Inc. (The) | | | 9,202 | |
| | 155 | | | Regions Financial Corp. | | | 2,687 | |
| | 64 | | | SunTrust Banks, Inc. | | | 4,121 | |
| | 211 | | | US Bancorp | | | 11,322 | |
| | 594 | | | Wells Fargo & Co. | | | 36,039 | |
| | 27 | | | Zions Bancorp | | | 1,361 | |
| | | | | | | | |
| | | | | | | 201,471 | |
| | | | | | | | |
| | | | Capital Markets — 3.1% | |
| | 7 | | | Affiliated Managers Group, Inc. | | | 1,529 | |
| | 20 | | | Ameriprise Financial, Inc. | | | 3,360 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Capital Markets — continued | | | | |
| | 137 | | | Bank of New York Mellon Corp. (The) | | | 7,393 | |
| | 17 | | | BlackRock, Inc. | | | 8,500 | |
| | 15 | | | CBOE Global Markets, Inc. | | | 1,895 | |
| | 160 | | | Charles Schwab Corp. (The) | | | 8,215 | |
| | 46 | | | CME Group, Inc. | | | 6,661 | |
| | 36 | | | E*TRADE Financial Corp. (a) | | | 1,798 | |
| | 44 | | | Franklin Resources, Inc. | | | 1,898 | |
| | 47 | | | Goldman Sachs Group, Inc. (The) | | | 11,979 | |
| | 78 | | | Intercontinental Exchange, Inc. | | | 5,533 | |
| | 55 | | | Invesco Ltd. | | | 1,994 | |
| | 22 | | | Moody’s Corp. | | | 3,289 | |
| | 187 | | | Morgan Stanley | | | 9,790 | |
| | 16 | | | Nasdaq, Inc. | | | 1,198 | |
| | 29 | | | Northern Trust Corp. | | | 2,876 | |
| | 17 | | | Raymond James Financial, Inc. | | | 1,538 | |
| | 34 | | | S&P Global, Inc. | | | 5,790 | |
| | 50 | | | State Street Corp. | | | 4,852 | |
| | 32 | | | T. Rowe Price Group, Inc. | | | 3,408 | |
| | | | | | | | |
| | | | | | | 93,496 | |
| | | | | | | | |
| | | | Consumer Finance — 0.8% | |
| | 97 | | | American Express Co. | | | 9,590 | |
| | 65 | | | Capital One Financial Corp. | | | 6,470 | |
| | 49 | | | Discover Financial Services | | | 3,746 | |
| | 35 | | | Navient Corp. | | | 470 | |
| | 99 | | | Synchrony Financial | | | 3,807 | |
| | | | | | | | |
| | | | | | | 24,083 | |
| | | | | | | | |
| | | | Diversified Financial Services — 1.7% | |
| | 258 | | | Berkshire Hathaway, Inc., Class B (a) | | | 51,128 | |
| | 42 | | | Leucadia National Corp. | | | 1,113 | |
| | | | | | | | |
| | | | | | | 52,241 | |
| | | | | | | | |
| | | | Insurance — 2.6% | |
| | 53 | | | Aflac, Inc. | | | 4,626 | |
| | 48 | | | Allstate Corp. (The) | | | 5,036 | |
| | 120 | | | American International Group, Inc. | | | 7,179 | |
| | 33 | | | Aon plc | | | 4,488 | |
| | 24 | | | Arthur J Gallagher & Co. | | | 1,533 | |
| | 7 | | | Assurant, Inc. | | | 727 | |
| | 13 | | | Brighthouse Financial, Inc. (a) | | | 753 | |
| | 62 | | | Chubb Ltd. | | | 9,093 | |
| | 20 | | | Cincinnati Financial Corp. | | | 1,500 | |
| | 6 | | | Everest Re Group Ltd. | | | 1,218 | |
| | 48 | | | Hartford Financial Services Group, Inc. (The) | | | 2,691 | |
| | 29 | | | Lincoln National Corp. | | | 2,255 | |
| | 37 | | | Loews Corp. | | | 1,851 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 9 | |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Insurance — continued | | | | |
| | 68 | | | Marsh & McLennan Cos., Inc. | | | 5,568 | |
| | 141 | | | MetLife, Inc. | | | 7,131 | |
| | 36 | | | Principal Financial Group, Inc. | | | 2,540 | |
| | 78 | | | Progressive Corp. (The) | | | 4,390 | |
| | 57 | | | Prudential Financial, Inc. | | | 6,534 | |
| | 14 | | | Torchmark Corp. | | | 1,305 | |
| | 37 | | | Travelers Cos., Inc. (The) | | | 4,976 | |
| | 30 | | | Unum Group | | | 1,651 | |
| | 18 | | | Willis Towers Watson plc | | | 2,667 | |
| | 34 | | | XL Group Ltd., (Bermuda) | | | 1,207 | |
| | | | | | | | |
| | | | | | | 80,919 | |
| | | | | | | | |
| | | | Total Financials | | | 452,210 | |
| | | | | | | | |
| | | | Health Care — 13.6% | |
| | | | Biotechnology — 2.7% | |
| | 214 | | | AbbVie, Inc. | | | 20,663 | |
| | 30 | | | Alexion Pharmaceuticals, Inc. (a) | | | 3,581 | |
| | 97 | | | Amgen, Inc. | | | 16,920 | |
| | 28 | | | Biogen, Inc. (a) | | | 9,028 | |
| | 106 | | | Celgene Corp. (a) | | | 11,013 | |
| | 175 | | | Gilead Sciences, Inc. | | | 12,543 | |
| | 23 | | | Incyte Corp. (a) | | | 2,224 | |
| | 10 | | | Regeneron Pharmaceuticals, Inc. (a) | | | 3,882 | |
| | 34 | | | Vertex Pharmaceuticals, Inc. (a) | | | 5,080 | |
| | | | | | | | |
| | | | | | | 84,934 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 2.7% | |
| | 233 | | | Abbott Laboratories | | | 13,314 | |
| | 10 | | | Align Technology, Inc. (a) | | | 2,149 | |
| | 67 | | | Baxter International, Inc. | | | 4,343 | |
| | 36 | | | Becton Dickinson and Co. | | | 7,603 | |
| | 184 | | | Boston Scientific Corp. (a) | | | 4,563 | |
| | 7 | | | Cooper Cos., Inc. (The) | | | 1,429 | |
| | 82 | | | Danaher Corp. | | | 7,616 | |
| | 31 | | | DENTSPLY SIRONA, Inc. | | | 2,027 | |
| | 28 | | | Edwards Lifesciences Corp. (a) | | | 3,197 | |
| | 37 | | | Hologic, Inc. (a) | | | 1,580 | |
| | 12 | | | IDEXX Laboratories, Inc. (a) | | | 1,828 | |
| | 15 | | | Intuitive Surgical, Inc. (a) | | | 5,481 | |
| | 181 | | | Medtronic plc | | | 14,650 | |
| | 19 | | | ResMed, Inc. | | | 1,611 | |
| | 43 | | | Stryker Corp. | | | 6,679 | |
| | 12 | | | Varian Medical Systems, Inc. (a) | | | 1,365 | |
| | 27 | | | Zimmer Biomet Holdings, Inc. | | | 3,275 | |
| | | | | | | | |
| | | | | | | 82,710 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.7% | |
| | 44 | | | Aetna, Inc. | | | 7,885 | |
| | 22 | | | AmerisourceBergen Corp. | | | 1,986 | |
| | 34 | | | Anthem, Inc. | | | 7,744 | |
| | 42 | | | Cardinal Health, Inc. | | | 2,584 | |
| | 23 | | | Centene Corp. (a) | | | 2,332 | |
| | 33 | | | Cigna Corp. | | | 6,711 | |
| | 20 | | | DaVita, Inc. (a) | | | 1,466 | |
| | 16 | | | Envision Healthcare Corp. (a) | | | 560 | |
| | 76 | | | Express Scripts Holding Co. (a) | | | 5,666 | |
| | 38 | | | HCA Healthcare, Inc. (a) | | | 3,335 | |
| | 21 | | | Henry Schein, Inc. (a) | | | 1,470 | |
| | 19 | | | Humana, Inc. | | | 4,750 | |
| | 14 | | | Laboratory Corp. of America Holdings (a) | | | 2,177 | |
| | 28 | | | McKesson Corp. | | | 4,358 | |
| | 11 | | | Patterson Cos., Inc. | | | 399 | |
| | 18 | | | Quest Diagnostics, Inc. | | | 1,799 | |
| | 130 | | | UnitedHealth Group, Inc. | | | 28,635 | |
| | 12 | | | Universal Health Services, Inc., Class B | | | 1,331 | |
| | | | | | | | |
| | | | | | | 85,188 | |
| | | | | | | | |
| | | | Health Care Technology — 0.1% | |
| | 42 | | | Cerner Corp. (a) | | | 2,852 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.8% | |
| | 43 | | | Agilent Technologies, Inc. | | | 2,889 | |
| | 20 | | | Illumina, Inc. (a) | | | 4,276 | |
| | 20 | | | IQVIA Holdings, Inc. (a) | | | 1,910 | |
| | 3 | | | Mettler-Toledo International, Inc. (a) | | | 2,124 | |
| | 15 | | | PerkinElmer, Inc. | | | 1,080 | |
| | 54 | | | Thermo Fisher Scientific, Inc. | | | 10,206 | |
| | 11 | | | Waters Corp. (a) | | | 2,059 | |
| | | | | | | | |
| | | | | | | 24,544 | |
| | | | | | | | |
| | | | Pharmaceuticals — 4.6% | |
| | 45 | | | Allergan plc | | | 7,292 | |
| | 219 | | | Bristol-Myers Squibb Co. | | | 13,443 | |
| | 130 | | | Eli Lilly & Co. | | | 10,968 | |
| | 360 | | | Johnson & Johnson | | | 50,312 | |
| | 367 | | | Merck & Co., Inc. | | | 20,629 | |
| | 72 | | | Mylan NV (a) | | | 3,041 | |
| | 18 | | | Perrigo Co. plc | | | 1,530 | |
| | 799 | | | Pfizer, Inc. | | | 28,938 | |
| | 65 | | | Zoetis, Inc. | | | 4,705 | |
| | | | | | | | |
| | | | | | | 140,858 | |
| | | | | | | | |
| | | | Total Health Care | | | 421,086 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Industrials — 10.1% | |
| | | | Aerospace & Defense — 2.5% | |
| | 57 | | | Arconic, Inc. | | | 1,547 | |
| | 75 | | | Boeing Co. (The) | | | 22,130 | |
| | 37 | | | General Dynamics Corp. | | | 7,572 | |
| | 10 | | | L3 Technologies, Inc. | | | 2,072 | |
| | 33 | | | Lockheed Martin Corp. | | | 10,735 | |
| | 23 | | | Northrop Grumman Corp. | | | 7,161 | |
| | 39 | | | Raytheon Co. | | | 7,279 | |
| | 22 | | | Rockwell Collins, Inc. | | | 2,959 | |
| | 35 | | | Textron, Inc. | | | 1,998 | |
| | 6 | | | TransDigm Group, Inc. | | | 1,779 | |
| | 100 | | | United Technologies Corp. | | | 12,699 | |
| | | | | | | | |
| | | | | | | 77,931 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.7% | |
| | 19 | | | CH Robinson Worldwide, Inc. | | | 1,665 | |
| | 24 | | | Expeditors International of Washington, Inc. | | | 1,541 | |
| | 33 | | | FedEx Corp. | | | 8,251 | |
| | 92 | | | United Parcel Service, Inc., Class B | | | 10,972 | |
| | | | | | | | |
| | | | | | | 22,429 | |
| | | | | | | | |
| | | | Airlines — 0.5% | |
| | 16 | | | Alaska Air Group, Inc. | | | 1,212 | |
| | 57 | | | American Airlines Group, Inc. | | | 2,970 | |
| | 88 | | | Delta Air Lines, Inc. | | | 4,924 | |
| | 73 | | | Southwest Airlines Co. | | | 4,789 | |
| | 34 | | | United Continental Holdings, Inc. (a) | | | 2,275 | |
| | | | | | | | |
| | | | | | | 16,170 | |
| | | | | | | | |
| | | | Building Products — 0.3% | |
| | 13 | | | Allegion plc | | | 1,013 | |
| | 20 | | | AO Smith Corp. | | | 1,198 | |
| | 21 | | | Fortune Brands Home & Security, Inc. | | | 1,413 | |
| | 124 | | | Johnson Controls International plc | | | 4,727 | |
| | 42 | | | Masco Corp. | | | 1,852 | |
| | | | | | | | |
| | | | | | | 10,203 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 0.3% | |
| | 12 | | | Cintas Corp. | | | 1,798 | |
| | 30 | | | Republic Services, Inc. | | | 2,060 | |
| | 11 | | | Stericycle, Inc. (a) | | | 778 | |
| | 54 | | | Waste Management, Inc. | | | 4,621 | |
| | | | | | | | |
| | | | | | | 9,257 | |
| | | | | | | | |
| | | | Construction & Engineering — 0.1% | |
| | 19 | | | Fluor Corp. | | | 968 | |
| | 16 | | | Jacobs Engineering Group, Inc. | | | 1,065 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Construction & Engineering — continued | | | | |
| | 21 | | | Quanta Services, Inc. (a) | | | 811 | |
| | | | | | | | |
| | | | | | | 2,844 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.6% | |
| | 6 | | | Acuity Brands, Inc. | | | 995 | |
| | 31 | | | AMETEK, Inc. | | | 2,245 | |
| | 59 | | | Eaton Corp. plc | | | 4,666 | |
| | 86 | | | Emerson Electric Co. | | | 5,995 | |
| | 17 | | | Rockwell Automation, Inc. | | | 3,382 | |
| | | | | | | | |
| | | | | | | 17,283 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 1.9% | |
| | 80 | | | 3M Co. | | | 18,827 | |
| | 1,162 | | | General Electric Co. (k) | | | 20,283 | |
| | 102 | | | Honeywell International, Inc. | | | 15,660 | |
| | 14 | | | Roper Technologies, Inc. | | | 3,553 | |
| | | | | | | | |
| | | | | | | 58,323 | |
| | | | | | | | |
| | | | Machinery — 1.7% | |
| | 80 | | | Caterpillar, Inc. | | | 12,566 | |
| | 21 | | | Cummins, Inc. | | | 3,694 | |
| | 43 | | | Deere & Co. | | | 6,710 | |
| | 21 | | | Dover Corp. | | | 2,109 | |
| | 18 | | | Flowserve Corp. | | | 737 | |
| | 41 | | | Fortive Corp. | | | 2,966 | |
| | 41 | | | Illinois Tool Works, Inc. | | | 6,895 | |
| | 33 | | | Ingersoll-Rand plc | | | 2,987 | |
| | 47 | | | PACCAR, Inc. | | | 3,350 | |
| | 18 | | | Parker-Hannifin Corp. | | | 3,564 | |
| | 22 | | | Pentair plc, (United Kingdom) | | | 1,563 | |
| | 8 | | | Snap-on, Inc. | | | 1,332 | |
| | 21 | | | Stanley Black & Decker, Inc. | | | 3,488 | |
| | 24 | | | Xylem, Inc. | | | 1,642 | |
| | | | | | | | |
| | | | | | | 53,603 | |
| | | | | | | | |
| | | | Professional Services — 0.3% | |
| | 16 | | | Equifax, Inc. | | | 1,898 | |
| | 49 | | | IHS Markit Ltd. (a) | | | 2,198 | |
| | 45 | | | Nielsen Holdings plc | | | 1,634 | |
| | 17 | | | Robert Half International, Inc. | | | 933 | |
| | 21 | | | Verisk Analytics, Inc. (a) | | | 2,000 | |
| | | | | | | | |
| | | | | | | 8,663 | |
| | | | | | | | |
| | | | Road & Rail — 1.0% | |
| | 120 | | | CSX Corp. | | | 6,590 | |
| | 11 | | | JB Hunt Transport Services, Inc. | | | 1,319 | |
| | 14 | | | Kansas City Southern | | | 1,460 | |
| | 38 | | | Norfolk Southern Corp. | | | 5,557 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 11 | |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Road & Rail — continued | | | | |
| | 106 | | | Union Pacific Corp. | | | 14,149 | |
| | | | | | | | |
| | | | | | | 29,075 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.2% | |
| | 39 | | | Fastenal Co. | | | 2,107 | |
| | 11 | | | United Rentals, Inc. (a) | | | 1,947 | |
| | 7 | | | WW Grainger, Inc. | | | 1,642 | |
| | | | | | | | |
| | | | | | | 5,696 | |
| | | | | | | | |
| | | | Total Industrials | | | 311,477 | |
| | | | | | | | |
| | | | Information Technology — 23.6% | |
| | | | Communications Equipment — 1.0% | |
| | 663 | | | Cisco Systems, Inc. | | | 25,378 | |
| | 8 | | | F5 Networks, Inc. (a) | | | 1,101 | |
| | 16 | | | Harris Corp. | | | 2,263 | |
| | 50 | | | Juniper Networks, Inc. | | | 1,432 | |
| | 22 | | | Motorola Solutions, Inc. | | | 1,962 | |
| | | | | | | | |
| | | | | | | 32,136 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 0.4% | |
| | 41 | | | Amphenol Corp., Class A | | | 3,593 | |
| | 116 | | | Corning, Inc. | | | 3,726 | |
| | 19 | | | FLIR Systems, Inc. | | | 866 | |
| | 47 | | | TE Connectivity Ltd. | | | 4,480 | |
| | | | | | | | |
| | | | | | | 12,665 | |
| | | | | | | | |
| | | | Internet Software & Services — 4.8% | |
| | 23 | | | Akamai Technologies, Inc. (a) | | | 1,475 | |
| | 40 | | | Alphabet, Inc., Class A (a) | | | 42,081 | |
| | 40 | | | Alphabet, Inc., Class C (a) | | | 42,337 | |
| | 130 | | | eBay, Inc. (a) | | | 4,914 | |
| | 320 | | | Facebook, Inc., Class A (a) | | | 56,405 | |
| | 11 | | | VeriSign, Inc. (a) | | | 1,300 | |
| | | | | | | | |
| | | | | | | 148,512 | |
| | | | | | | | |
| | | | IT Services — 4.0% | |
| | 83 | | | Accenture plc, Class A | | | 12,681 | |
| | 6 | | | Alliance Data Systems Corp. | | | 1,633 | |
| | 59 | | | Automatic Data Processing, Inc. | | | 6,966 | |
| | 79 | | | Cognizant Technology Solutions Corp., Class A | | | 5,613 | |
| | 22 | | | CSRA, Inc. | | | 657 | |
| | 38 | | | DXC Technology Co. | | | 3,629 | |
| | 45 | | | Fidelity National Information Services, Inc. | | | 4,211 | |
| | 28 | | | Fiserv, Inc. (a) | | | 3,663 | |
| | 12 | | | Gartner, Inc. (a) | | | 1,496 | |
| | 21 | | | Global Payments, Inc. | | | 2,138 | |
| | 115 | | | International Business Machines Corp. | | | 17,705 | |
| | 124 | | | Mastercard, Inc., Class A | | | 18,843 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | IT Services — continued | |
| | 43 | | | Paychex, Inc. | | | 2,918 | |
| | 151 | | | PayPal Holdings, Inc. (a) | | | 11,148 | |
| | 22 | | | Total System Services, Inc. | | | 1,774 | |
| | 243 | | | Visa, Inc., Class A | | | 27,714 | |
| | 62 | | | Western Union Co. (The) | | | 1,170 | |
| | | | | | | | |
| | | | | | | 123,959 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.9% | |
| | 110 | | | Advanced Micro Devices, Inc. (a) | | | 1,130 | |
| | 49 | | | Analog Devices, Inc. | | | 4,399 | |
| | 143 | | | Applied Materials, Inc. | | | 7,307 | |
| | 54 | | | Broadcom Ltd. | | | 14,001 | |
| | 627 | | | Intel Corp. | | | 28,955 | |
| | 21 | | | KLA-Tencor Corp. | | | 2,207 | |
| | 22 | | | Lam Research Corp. | | | 3,995 | |
| | 31 | | | Microchip Technology, Inc. | | | 2,755 | |
| | 155 | | | Micron Technology, Inc. (a) | | | 6,356 | |
| | 81 | | | NVIDIA Corp. | | | 15,717 | |
| | 17 | | | Qorvo, Inc. (a) | | | 1,136 | |
| | 198 | | | QUALCOMM, Inc. | | | 12,650 | |
| | 25 | | | Skyworks Solutions, Inc. | | | 2,339 | |
| | 132 | | | Texas Instruments, Inc. | | | 13,796 | |
| | 34 | | | Xilinx, Inc. | | | 2,268 | |
| | | | | | | | |
| | | | | | | 119,011 | |
| | | | | | | | |
| | | | Software — 5.2% | |
| | 101 | | | Activision Blizzard, Inc. | | | 6,417 | |
| | 66 | | | Adobe Systems, Inc. (a) | | | 11,578 | |
| | 11 | | | ANSYS, Inc. (a) | | | 1,679 | |
| | 29 | | | Autodesk, Inc. (a) | | | 3,080 | |
| | 42 | | | CA, Inc. | | | 1,400 | |
| | 38 | | | Cadence Design Systems, Inc. (a) | | | 1,583 | |
| | 19 | | | Citrix Systems, Inc. (a) | | | 1,688 | |
| | 41 | | | Electronic Arts, Inc. (a) | | | 4,336 | |
| | 33 | | | Intuit, Inc. | | | 5,136 | |
| | 1,034 | | | Microsoft Corp. | | | 88,450 | |
| | 408 | | | Oracle Corp. | | | 19,307 | |
| | 24 | | | Red Hat, Inc. (a) | | | 2,849 | |
| | 92 | | | salesforce.com, Inc. (a) | | | 9,402 | |
| | 83 | | | Symantec Corp. | | | 2,332 | |
| | 20 | | | Synopsys, Inc. (a) | | | 1,717 | |
| | | | | | | | |
| | | | | | | 160,954 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 4.3% | |
| | 688 | | | Apple, Inc. | | | 116,460 | |
| | 214 | | | Hewlett Packard Enterprise Co. | | | 3,070 | |
| | 224 | | | HP, Inc. | | | 4,704 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Technology Hardware, Storage & Peripherals — continued | |
| | 36 | | | NetApp, Inc. | | | 2,000 | |
| | 39 | | | Seagate Technology plc | | | 1,623 | |
| | 40 | | | Western Digital Corp. | | | 3,153 | |
| | 29 | | | Xerox Corp. | | | 834 | |
| | | | | | | | |
| | | | | | | 131,844 | |
| | | | | | | | |
| | | | Total Information Technology | | | 729,081 | |
| | | | | | | | |
| | | | Materials — 3.0% | |
| | | | Chemicals — 2.2% | |
| | 29 | | | Air Products & Chemicals, Inc. | | | 4,793 | |
| | 15 | | | Albemarle Corp. | | | 1,894 | |
| | 31 | | | CF Industries Holdings, Inc. | | | 1,330 | |
| | 314 | | | DowDuPont, Inc. | | | 22,337 | |
| | 19 | | | Eastman Chemical Co. | | | 1,785 | |
| | 35 | | | Ecolab, Inc. | | | 4,676 | |
| | 18 | | | FMC Corp. | | | 1,704 | |
| | 11 | | | International Flavors & Fragrances, Inc. | | | 1,615 | |
| | 43 | | | LyondellBasell Industries NV, Class A | | | 4,783 | |
| | 59 | | | Monsanto Co. | | | 6,877 | |
| | 47 | | | Mosaic Co. (The) | | | 1,207 | |
| | 34 | | | PPG Industries, Inc. | | | 3,985 | |
| | 38 | | | Praxair, Inc. | | | 5,936 | |
| | 11 | | | Sherwin-Williams Co. (The) | | | 4,523 | |
| | | | | | | | |
| | | | | | | 67,445 | |
| | | | | | | | |
| | | | Construction Materials — 0.1% | |
| | 8 | | | Martin Marietta Materials, Inc. | | | 1,862 | |
| | 18 | | | Vulcan Materials Co. | | | 2,276 | |
| | | | | | | | |
| | | | | | | 4,138 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.4% | |
| | 12 | | | Avery Dennison Corp. | | | 1,361 | |
| | 47 | | | Ball Corp. | | | 1,776 | |
| | 55 | | | International Paper Co. | | | 3,207 | |
| | 13 | | | Packaging Corp. of America | | | 1,524 | |
| | 24 | | | Sealed Air Corp. | | | 1,192 | |
| | 34 | | | WestRock Co. | | | 2,157 | |
| | | | | | | | |
| | | | | | | 11,217 | |
| | | | | | | | |
| | | | Metals & Mining — 0.3% | |
| | 180 | | | Freeport-McMoRan, Inc. (a) | | | 3,421 | |
| | 71 | | | Newmont Mining Corp. | | | 2,682 | |
| | 43 | | | Nucor Corp. | | | 2,709 | |
| | | | | | | | |
| | | | | | | 8,812 | |
| | | | | | | | |
| | | | Total Materials | | | 91,612 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Real Estate — 2.9% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.8% | |
| | 13 | | | Alexandria Real Estate Equities, Inc. | | | 1,675 | |
| | 57 | | | American Tower Corp. | | | 8,201 | |
| | 21 | | | Apartment Investment & Management Co., Class A | | | 920 | |
| | 19 | | | AvalonBay Communities, Inc. | | | 3,302 | |
| | 21 | | | Boston Properties, Inc. | | | 2,690 | |
| | 54 | | | Crown Castle International Corp. | | | 6,045 | |
| | 28 | | | Digital Realty Trust, Inc. | | | 3,136 | |
| | 48 | | | Duke Realty Corp. | | | 1,299 | |
| | 10 | | | Equinix, Inc. | | | 4,752 | |
| | 49 | | | Equity Residential | | | 3,141 | |
| | 9 | | | Essex Property Trust, Inc. | | | 2,136 | |
| | 17 | | | Extra Space Storage, Inc. | | | 1,476 | |
| | 10 | | | Federal Realty Investment Trust | | | 1,291 | |
| | 84 | | | GGP, Inc. | | | 1,957 | |
| | 63 | | | HCP, Inc. | | | 1,640 | |
| | 99 | | | Host Hotels & Resorts, Inc. | | | 1,969 | |
| | 38 | | | Iron Mountain, Inc. | | | 1,423 | |
| | 57 | | | Kimco Realty Corp. | | | 1,036 | |
| | 15 | | | Macerich Co. (The) | | | 954 | |
| | 15 | | | Mid-America Apartment Communities, Inc. | | | 1,532 | |
| | 71 | | | Prologis, Inc. | | | 4,601 | |
| | 20 | | | Public Storage | | | 4,193 | |
| | 38 | | | Realty Income Corp. | | | 2,154 | |
| | 20 | | | Regency Centers Corp. | | | 1,372 | |
| | 16 | | | SBA Communications Corp. (a) | | | 2,574 | |
| | 42 | | | Simon Property Group, Inc. | | | 7,155 | |
| | 13 | | | SL Green Realty Corp. | | | 1,329 | |
| | 36 | | | UDR, Inc. | | | 1,381 | |
| | 48 | | | Ventas, Inc. | | | 2,865 | |
| | 23 | | | Vornado Realty Trust | | | 1,807 | |
| | 50 | | | Welltower, Inc. | | | 3,166 | |
| | 101 | | | Weyerhaeuser Co. | | | 3,567 | |
| | | | | | | | |
| | | | | | | 86,739 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.1% | |
| | 40 | | | CBRE Group, Inc., Class A (a) | | | 1,754 | |
| | | | | | | | |
| | | | Total Real Estate | | | 88,493 | |
| | | | | | | | |
| | | | Telecommunication Services — 2.0% | |
| | | | Diversified Telecommunication Services — 2.0% | |
| | 823 | | | AT&T, Inc. | | | 31,997 | |
| | 130 | | | CenturyLink, Inc. | | | 2,175 | |
| | 547 | | | Verizon Communications, Inc. | | | 28,941 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 63,113 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 13 | |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Utilities — 2.9% | |
| | | | Electric Utilities — 1.8% | |
| | 31 | | | Alliant Energy Corp. | | | 1,320 | |
| | 66 | | | American Electric Power Co., Inc. | | | 4,850 | |
| | 94 | | | Duke Energy Corp. | | | 7,890 | |
| | 44 | | | Edison International | | | 2,762 | |
| | 24 | | | Entergy Corp. | | | 1,966 | |
| | 42 | | | Eversource Energy | | | 2,684 | |
| | 129 | | | Exelon Corp. | | | 5,072 | |
| | 60 | | | FirstEnergy Corp. | | | 1,826 | |
| | 63 | | | NextEra Energy, Inc. | | | 9,848 | |
| | 69 | | | PG&E Corp. | | | 3,081 | |
| | 15 | | | Pinnacle West Capital Corp. | | | 1,276 | |
| | 92 | | | PPL Corp. | | | 2,834 | |
| | 135 | | | Southern Co. (The) | | | 6,469 | |
| | 68 | | | Xcel Energy, Inc. | | | 3,274 | |
| | | | | | | | |
| | | | | | | 55,152 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity
Producers — 0.0% (g) | |
| | 89 | | | AES Corp. | | | 959 | |
| | 40 | | | NRG Energy, Inc. | | | 1,148 | |
| | | | | | | | |
| | | | | | | 2,107 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.0% | |
| | 33 | | | Ameren Corp. | | | 1,919 | |
| | 58 | | | CenterPoint Energy, Inc. | | | 1,638 | |
| | 38 | | | CMS Energy Corp. | | | 1,788 | |
| | 42 | | | Consolidated Edison, Inc. | | | 3,531 | |
| | 86 | | | Dominion Energy, Inc. | | | 6,992 | |
| | 24 | | | DTE Energy Co. | | | 2,632 | |
| | 45 | | | NiSource, Inc. | | | 1,159 | |
| | 68 | | | Public Service Enterprise Group, Inc. | | | 3,493 | |
| | 19 | | | SCANA Corp. | | | 760 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Multi-Utilities — continued | |
| | 34 | | | Sempra Energy | | | 3,598 | |
| | 42 | | | WEC Energy Group, Inc. | | | 2,810 | |
| | | | | | | | |
| | | | | | | 30,320 | |
| | | | | | | | |
| | | | Water Utilities — 0.1% | |
| | 24 | | | American Water Works Co., Inc. | | | 2,187 | |
| | | | | | | | |
| | | | Total Utilities | | | 89,766 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $1,674,918) | | | 3,056,661 | |
| | | | | | | | |
| | |
NUMBER OF
RIGHTS | | | | | | |
| | Rights — 0.0% (g) | | | | |
| | | | Consumer Staples — 0.0% (g) | |
| | | | Food & Staples Retailing — 0.0% (g) | |
| | 25 | | | Safeway, Inc. Casa Ley CVR, expiring 01/30/2018 (a) (bb) | | | 1 | |
| | 25 | | | Safeway, Inc. PDC CVR (a) (bb) | | | 1 | |
| | | | | | | | |
| | | | Total Rights
(Cost $—) | | | 2 | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | Short-Term Investment — 3.6% | |
| | | | Investment Company — 3.6% | |
| | 110,726 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b)(l)
(Cost $110,726) | | | 110,726 | |
| | | | | | | | |
| | | | Total Investments — 102.6%
(Cost $1,785,644) | | | 3,167,389 | |
| | | | Liabilities in Excess of
Other Assets — (2.6)% | | | (81,187 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 3,086,202 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
Long Contracts | |
S&P 500 E-Mini Index | | | 230 | | | | 03/2018 | | | | USD | | | | 30,774 | | | | 299 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 299 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| Common Stocks — 98.4% | |
| | | | Consumer Discretionary — 12.0% | |
| | | | Auto Components — 1.0% | |
| | 32 | | | American Axle & Manufacturing Holdings, Inc. (a) | | | 536 | |
| | 31 | | | Cooper-Standard Holdings, Inc. (a) | | | 3,749 | |
| | 194 | | | Dana, Inc. | | | 6,210 | |
| | | | | | | | |
| | | | | | | 10,495 | |
| | | | | | | | |
| | | | Automobiles — 0.6% | |
| | 37 | | | Thor Industries, Inc. | | | 5,568 | |
| | 12 | | | Winnebago Industries, Inc. | | | 667 | |
| | | | | | | | |
| | | | | | | 6,235 | |
| | | | | | | | |
| | | | Distributors — 0.0% (g) | |
| | 6 | | | Core-Mark Holding Co., Inc. | | | 199 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.3% | |
| | 23 | | | Adtalem Global Education, Inc. (a) | | | 967 | |
| | 6 | | | Capella Education Co. | | | 454 | |
| | 2 | | | Graham Holdings Co., Class B | | | 1,005 | |
| | 6 | | | Sotheby’s (a) | | | 304 | |
| | 4 | | | Strayer Education, Inc. | | | 394 | |
| | | | | | | | |
| | | | | | | 3,124 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.3% | |
| | 61 | | | Brinker International, Inc. | | | 2,384 | |
| | 6 | | | Buffalo Wild Wings, Inc. (a) | | | 907 | |
| | 20 | | | Cheesecake Factory, Inc. (The) | | | 945 | |
| | 12 | | | Cracker Barrel Old Country Store, Inc. | | | 1,831 | |
| | 7 | | | DineEquity, Inc. | | | 355 | |
| | 17 | | | Domino’s Pizza, Inc. | | | 3,288 | |
| | 12 | | | Jack in the Box, Inc. | | | 1,187 | |
| | 6 | | | Papa John’s International, Inc. | | | 359 | |
| | 11 | | | Ruth’s Hospitality Group, Inc. | | | 242 | |
| | 22 | | | Scientific Games Corp., Class A (a) | | | 1,123 | |
| | 23 | | | Texas Roadhouse, Inc. | | | 1,230 | |
| | | | | | | | |
| | | | | | | 13,851 | |
| | | | | | | | |
| | | | Household Durables — 2.6% | |
| | 25 | | | Helen of Troy Ltd. (a) | | | 2,436 | |
| | 142 | | | KB Home | | | 4,534 | |
| | 18 | | | La-Z-Boy, Inc. | | | 571 | |
| | 19 | | | MDC Holdings, Inc. | | | 614 | |
| | 2 | | | NVR, Inc. (a) | | | 5,575 | |
| | 20 | | | Tempur Sealy International, Inc. (a) | | | 1,222 | |
| | 124 | | | Toll Brothers, Inc. | | | 5,964 | |
| | 36 | | | TopBuild Corp. (a) | | | 2,757 | |
| | 61 | | | Tupperware Brands Corp. | | | 3,828 | |
| | | | | | | | |
| | | | | | | 27,501 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 0.1% | |
| | 8 | | | FTD Cos., Inc. (a) | | | 55 | |
| | 12 | | | HSN, Inc. | | | 480 | |
| | 9 | | | Nutrisystem, Inc. | | | 484 | |
| | | | | | | | |
| | | | | | | 1,019 | |
| | | | | | | | |
| | | | Leisure Products — 0.5% | |
| | 36 | | | Brunswick Corp. | | | 1,988 | |
| | 41 | | | Callaway Golf Co. | | | 575 | |
| | 23 | | | Polaris Industries, Inc. | | | 2,849 | |
| | 24 | | | Vista Outdoor, Inc. (a) | | | 346 | |
| | | | | | | | |
| | | | | | | 5,758 | |
| | | | | | | | |
| | | | Media — 1.2% | |
| | 33 | | | AMC Networks, Inc., Class A (a) | | | 1,801 | |
| | 8 | | | Cinemark Holdings, Inc. | | | 275 | |
| | 47 | | | Gannett Co., Inc. | | | 539 | |
| | 35 | | | John Wiley & Sons, Inc., Class A | | | 2,295 | |
| | 88 | | | Live Nation Entertainment, Inc. (a) | | | 3,758 | |
| | 14 | | | Meredith Corp. | | | 921 | |
| | 159 | | | TEGNA, Inc. | | | 2,236 | |
| | 41 | | | Time, Inc. | | | 756 | |
| | | | | | | | |
| | | | | | | 12,581 | |
| | | | | | | | |
| | | | Multiline Retail — 0.2% | |
| | 22 | | | Big Lots, Inc. | | | 1,259 | |
| | 122 | | | JC Penney Co., Inc. (a) | | | 386 | |
| | | | | | | | |
| | | | | | | 1,645 | |
| | | | | | | | |
| | | | Specialty Retail — 3.1% | |
| | 73 | | | Aaron’s, Inc. | | | 2,915 | |
| | 26 | | | Abercrombie & Fitch Co., Class A | | | 460 | |
| | 114 | | | American Eagle Outfitters, Inc. | | | 2,139 | |
| | 8 | | | Asbury Automotive Group, Inc. (a) | | | 506 | |
| | 26 | | | AutoNation, Inc. (a) | | | 1,329 | |
| | 47 | | | Caleres, Inc. | | | 1,564 | |
| | 29 | | | Cato Corp. (The), Class A | | | 461 | |
| | 84 | | | Chico’s FAS, Inc. | | | 740 | |
| | 24 | | | Children’s Place, Inc. (The) | | | 3,421 | |
| | 34 | | | Dick’s Sporting Goods, Inc. | | | 972 | |
| | 27 | | | DSW, Inc., Class A | | | 576 | |
| | 29 | | | Express, Inc. (a) | | | 291 | |
| | 13 | | | Francesca’s Holdings Corp. (a) | | | 97 | |
| | 41 | | | GameStop Corp., Class A | | | 734 | |
| | 37 | | | Group 1 Automotive, Inc. | | | 2,644 | |
| | 7 | | | Haverty Furniture Cos., Inc. | | | 150 | |
| | 23 | | | Lithia Motors, Inc., Class A | | | 2,615 | |
| | 42 | | | Michaels Cos., Inc. (The) (a) | | | 1,011 | |
| | 14 | | | Murphy USA, Inc. (a) | | | 1,133 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 15 | |
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks—continued | |
| | | | Specialty Retail — continued | |
| | 421 | | | Office Depot, Inc. | | | 1,492 | |
| | 26 | | | Rent-A-Center, Inc. | | | 284 | |
| | 8 | | | RH (a) | | | 690 | |
| | 53 | | | Sally Beauty Holdings, Inc. (a) | | | 992 | |
| | 20 | | | Sleep Number Corp. (a) | | | 741 | |
| | 105 | | | Tailored Brands, Inc. | | | 2,294 | |
| | 32 | | | Urban Outfitters, Inc. (a) | | | 1,136 | |
| | 31 | | | Williams-Sonoma, Inc. | | | 1,587 | |
| | 10 | | | Zumiez, Inc. (a) | | | 200 | |
| | | | | | | | |
| | | | | | | 33,174 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.1% | |
| | 28 | | | Carter’s, Inc. | | | 3,243 | |
| | 30 | | | Crocs, Inc. (a) | | | 384 | |
| | 25 | | | Deckers Outdoor Corp. (a) | | | 1,990 | |
| | 7 | | | Movado Group, Inc. | | | 213 | |
| | 5 | | | Oxford Industries, Inc. | | | 398 | |
| | 39 | | | Perry Ellis International, Inc. (a) | | | 982 | |
| | 55 | | | Skechers USA, Inc., Class A (a) | | | 2,064 | |
| | 22 | | | Steven Madden Ltd. (a) | | | 1,034 | |
| | 34 | | | Wolverine World Wide, Inc. | | | 1,093 | |
| | | | | | | | |
| | | | | | | 11,401 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 126,983 | |
| | | | | | | | |
| | | | Consumer Staples — 3.2% | |
| | | | Food & Staples Retailing — 0.4% | |
| | 3 | | | Casey’s General Stores, Inc. | | | 354 | |
| | 66 | | | SpartanNash Co. | | | 1,768 | |
| | 8 | | | Sprouts Farmers Market, Inc. (a) | | | 197 | |
| | 15 | | | SUPERVALU, Inc. (a) | | | 318 | |
| | 21 | | | United Natural Foods, Inc. (a) | | | 1,030 | |
| | | | | | | | |
| | | | | | | 3,667 | |
| | | | | | | | |
| | | | Food Products — 2.1% | |
| | 7 | | | Bob Evans Farms, Inc. | | | 560 | |
| | 63 | | | Darling Ingredients, Inc. (a) | | | 1,140 | |
| | 137 | | | Dean Foods Co. | | | 1,579 | |
| | 72 | | | Flowers Foods, Inc. | | | 1,381 | |
| | 27 | | | Hain Celestial Group, Inc. (The) (a) | | | 1,157 | |
| | 56 | | | Ingredion, Inc. | | | 7,824 | |
| | 5 | | | J&J Snack Foods Corp. | | | 819 | |
| | 54 | | | Lamb Weston Holdings, Inc. | | | 3,026 | |
| | 45 | | | Post Holdings, Inc. (a) | | | 3,557 | |
| | 8 | | | Sanderson Farms, Inc. | | | 1,072 | |
| | 12 | | | Seneca Foods Corp., Class A (a) | | | 367 | |
| | | | | | | | |
| | | | | | | 22,482 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | |
| | | | Household Products — 0.5% | |
| | 16 | | | Central Garden & Pet Co. (a) | | | 615 | |
| | 80 | | | Central Garden & Pet Co., Class A (a) | | | 3,032 | |
| | 24 | | | Energizer Holdings, Inc. | | | 1,172 | |
| | | | | | | | |
| | | | | | | 4,819 | |
| | | | | | | | |
| | | | Personal Products — 0.2% | |
| | 186 | | | Avon Products, Inc., (United Kingdom) (a) | | | 399 | |
| | 5 | | | Medifast, Inc. | | | 366 | |
| | 21 | | | Nu Skin Enterprises, Inc., Class A | | | 1,405 | |
| | | | | | | | |
| | | | | | | 2,170 | |
| | | | | | | | |
| | | | Tobacco — 0.0% (g) | |
| | 9 | | | Universal Corp. | | | 452 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 33,590 | |
| | | | | | | | |
| | | | Energy — 3.8% | |
| | | | Energy Equipment & Services — 1.3% | |
| | 92 | | | Archrock, Inc. | | | 962 | |
| | 70 | | | Ensco plc, Class A | | | 415 | |
| | 52 | | | Exterran Corp. (a) | | | 1,623 | |
| | 44 | | | Gulf Island Fabrication, Inc. | | | 585 | |
| | 34 | | | Helix Energy Solutions Group, Inc. (a) | | | 260 | |
| | 387 | | | McDermott International, Inc. (a) | | | 2,544 | |
| | 37 | | | Newpark Resources, Inc. (a) | | | 316 | |
| | 93 | | | Noble Corp. plc (a) | | | 420 | |
| | 18 | | | Oil States International, Inc. (a) | | | 511 | |
| | 58 | | | Patterson-UTI Energy, Inc. | | | 1,336 | |
| | 29 | | | Pioneer Energy Services Corp. (a) | | | 90 | |
| | 48 | | | Rowan Cos. plc, Class A (a) | | | 745 | |
| | 38 | | | Superior Energy Services, Inc. (a) | | | 369 | |
| | 151 | | | Transocean Ltd. (a) | | | 1,617 | |
| | 22 | | | Unit Corp. (a) | | | 493 | |
| | 30 | | | US Silica Holdings, Inc. | | | 980 | |
| | | | | | | | |
| | | | | | | 13,266 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 2.5% | |
| | 17 | | | Bill Barrett Corp. (a) | | | 86 | |
| | 82 | | | CNX Resources Corp. (a) | | | 1,200 | |
| | 10 | | | CONSOL Energy, Inc. (a) | | | 404 | |
| | 144 | | | Denbury Resources, Inc. (a) | | | 318 | |
| | 38 | | | Energen Corp. (a) | | | 2,159 | |
| | 15 | | | Green Plains, Inc. | | | 246 | |
| | 60 | | | Gulfport Energy Corp. (a) | | | 768 | |
| | 140 | | | HollyFrontier Corp. | | | 7,189 | |
| | 66 | | | Murphy Oil Corp. | | | 2,043 | |
| | 81 | | | Par Pacific Holdings, Inc. (a) | | | 1,561 | |
| | 42 | | | PBF Energy, Inc., Class A | | | 1,489 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Oil, Gas & Consumable Fuels — continued | |
| | 95 | | | QEP Resources, Inc. (a) | | | 913 | |
| | 3 | | | REX American Resources Corp. (a) | | | 224 | |
| | 43 | | | SM Energy Co. | | | 945 | |
| | 201 | | | Southwestern Energy Co. (a) | | | 1,124 | |
| | 69 | | | SRC Energy, Inc. (a) | | | 589 | |
| | 82 | | | World Fuel Services Corp. | | | 2,321 | |
| | 209 | | | WPX Energy, Inc. (a) | | | 2,934 | |
| | | | | | | | |
| | | | | | | 26,513 | |
| | | | | | | | |
| | | | Total Energy | | | 39,779 | |
| | | | | | | | |
| | | | Financials — 16.0% | |
| | | | Banks — 7.9% | |
| | 13 | | | Ameris Bancorp | | | 612 | |
| | 127 | | | Associated Banc-Corp. | | | 3,215 | |
| | 43 | | | BancorpSouth Bank | | | 1,338 | |
| | 26 | | | Bank of Hawaii Corp. | | | 2,206 | |
| | 22 | | | Bank of the Ozarks, Inc. | | | 1,048 | |
| | 13 | | | Banner Corp. | | | 713 | |
| | 30 | | | Boston Private Financial Holdings, Inc. | | | 467 | |
| | 29 | | | Brookline Bancorp, Inc. | | | 449 | |
| | 31 | | | Cathay General Bancorp | | | 1,321 | |
| | 25 | | | Columbia Banking System, Inc. | | | 1,075 | |
| | 2 | | | Commerce Bancshares, Inc. | | | 118 | |
| | 13 | | | Community Bank System, Inc. | | | 702 | |
| | 23 | | | Cullen/Frost Bankers, Inc. | | | 2,186 | |
| | 120 | | | East West Bancorp, Inc. | | | 7,284 | |
| | 20 | | | First Financial Bancorp | | | 514 | |
| | 79 | | | First Horizon National Corp. | | | 1,587 | |
| | 146 | | | First Midwest Bancorp, Inc. | | | 3,496 | |
| | 81 | | | Fulton Financial Corp. | | | 1,452 | |
| | 85 | | | Hancock Holding Co. | | | 4,217 | |
| | 55 | | | Hanmi Financial Corp. | | | 1,675 | |
| | 33 | | | Home BancShares, Inc. | | | 767 | |
| | 45 | | | Hope Bancorp, Inc. | | | 822 | |
| | 11 | | | Independent Bank Corp. | | | 802 | |
| | 15 | | | LegacyTexas Financial Group, Inc. | | | 621 | |
| | 21 | | | MB Financial, Inc. | | | 951 | |
| | 14 | | | NBT Bancorp, Inc. | | | 498 | |
| | 8 | | | Opus Bank (a) | | | 213 | |
| | 92 | | | PacWest Bancorp | | | 4,612 | |
| | 29 | | | Pinnacle Financial Partners, Inc. | | | 1,952 | |
| | 17 | | | Signature Bank (a) | | | 2,388 | |
| | 166 | | | Sterling Bancorp | | | 4,091 | |
| | 23 | | | SVB Financial Group (a) | | | 5,424 | |
| | 121 | | | Synovus Financial Corp. | | | 5,806 | |
| | 234 | | | TCF Financial Corp. | | | 4,791 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Banks — continued | |
| | 51 | | | Texas Capital Bancshares, Inc. (a) | | | 4,543 | |
| | 25 | | | Trustmark Corp. | | | 806 | |
| | 15 | | | UMB Financial Corp. | | | 1,050 | |
| | 118 | | | Umpqua Holdings Corp. | | | 2,451 | |
| | 29 | | | United Community Banks, Inc. | | | 804 | |
| | 54 | | | Wintrust Financial Corp. | | | 4,450 | |
| | | | | | | | |
| | | | | | | 83,517 | |
| | | | | | | | |
| | | | Capital Markets — 2.8% | |
| | 10 | | | Donnelley Financial Solutions, Inc. (a) | | | 204 | |
| | 46 | | | Eaton Vance Corp. | | | 2,577 | |
| | 42 | | | Evercore, Inc., Class A | | | 3,807 | |
| | 16 | | | FactSet Research Systems, Inc. | | | 3,065 | |
| | 7 | | | INTL. FCStone, Inc. (a) | | | 281 | |
| | 38 | | | Investment Technology Group, Inc. | | | 735 | |
| | 87 | | | Janus Henderson Group plc, (United Kingdom) | | | 3,328 | |
| | 35 | | | Legg Mason, Inc. | | | 1,461 | |
| | 7 | | | MarketAxess Holdings, Inc. | | | 1,352 | |
| | 37 | | | MSCI, Inc. | | | 4,707 | |
| | 12 | | | Piper Jaffray Cos. | | | 1,027 | |
| | 61 | | | SEI Investments Co. | | | 4,401 | |
| | 56 | | | Stifel Financial Corp. | | | 3,307 | |
| | | | | | | | |
| | | | | | | 30,252 | |
| | | | | | | | |
| | | | Consumer Finance — 0.8% | |
| | 44 | | | FirstCash, Inc. | | | 2,975 | |
| | 53 | | | Green Dot Corp., Class A (a) | | | 3,194 | |
| | 174 | | | SLM Corp. (a) | | | 1,966 | |
| | | | | | | | |
| | | | | | | 8,135 | |
| | | | | | | | |
| | | | Insurance — 4.0% | |
| | 2 | | | Alleghany Corp. (a) | | | 1,230 | |
| | 36 | | | American Equity Investment Life Holding Co. | | | 1,097 | |
| | 56 | | | American Financial Group, Inc. | | | 6,042 | |
| | 24 | | | Aspen Insurance Holdings Ltd., (Bermuda) | | | 972 | |
| | 35 | | | Brown & Brown, Inc. | | | 1,777 | |
| | 69 | | | CNO Financial Group, Inc. | | | 1,704 | |
| | 81 | | | First American Financial Corp. | | | 4,517 | |
| | 52 | | | Hanover Insurance Group, Inc. (The) | | | 5,645 | |
| | 19 | | | Kemper Corp. | | | 1,330 | |
| | 27 | | | Maiden Holdings Ltd. | | | 177 | |
| | 5 | | | Navigators Group, Inc. (The) | | | 267 | |
| | 200 | | | Old Republic International Corp. | | | 4,272 | |
| | 49 | | | Reinsurance Group of America, Inc. | | | 7,672 | |
| | 5 | | | Safety Insurance Group, Inc. | | | 418 | |
| | 21 | | | Selective Insurance Group, Inc. | | | 1,243 | |
| | 10 | | | Stewart Information Services Corp. | | | 419 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 17 | |
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Insurance — continued | |
| | 9 | | | United Fire Group, Inc. | | | 396 | |
| | 12 | | | Universal Insurance Holdings, Inc. | | | 314 | |
| | 35 | | | WR Berkley Corp. | | | 2,492 | |
| | | | | | | | |
| | | | | | | 41,984 | |
| | | | | | | | |
| | | | Thrifts & Mortgage Finance — 0.5% | |
| | 17 | | | BofI Holding, Inc. (a) | | | 502 | |
| | 29 | | | Dime Community Bancshares, Inc. | | | 616 | |
| | 3 | | | LendingTree, Inc. (a) | | | 1,021 | |
| | 38 | | | Provident Financial Services, Inc. | | | 1,027 | |
| | 170 | | | TrustCo Bank Corp. | | | 1,560 | |
| | 11 | | | Walker & Dunlop, Inc. (a) | | | 542 | |
| | | | | | | | |
| | | | | | | 5,268 | |
| | | | | | | | |
| | | | Total Financials | | | 169,156 | |
| | | | | | | | |
| | | | Health Care — 9.5% | |
| | | | Biotechnology — 1.6% | |
| | 55 | | | Acorda Therapeutics, Inc. (a) | | | 1,177 | |
| | 45 | | | AMAG Pharmaceuticals, Inc. (a) | | | 592 | |
| | 44 | | | Bioverativ, Inc. (a) | | | 2,362 | |
| | 7 | | | Emergent BioSolutions, Inc. (a) | | | 321 | |
| | 254 | | | Momenta Pharmaceuticals, Inc. (a) | | | 3,538 | |
| | 27 | | | Myriad Genetics, Inc. (a) | | | 924 | |
| | 52 | | | United Therapeutics Corp. (a) | | | 7,660 | |
| | | | | | | | |
| | | | | | | 16,574 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.4% | |
| | 7 | | | ABIOMED, Inc. (a) | | | 1,312 | |
| | 42 | | | AngioDynamics, Inc. (a) | | | 698 | |
| | 14 | | | Cantel Medical Corp. | | | 1,481 | |
| | 10 | | | CryoLife, Inc. (a) | | | 197 | |
| | 21 | | | Haemonetics Corp. (a) | | | 1,243 | |
| | 63 | | | Halyard Health, Inc. (a) | | | 2,928 | |
| | 64 | | | Hill-Rom Holdings, Inc. | | | 5,369 | |
| | 2 | | | Inogen, Inc. (a) | | | 286 | |
| | 53 | | | Integer Holdings Corp. (a) | | | 2,401 | |
| | 136 | | | Invacare Corp. | | | 2,293 | |
| | 96 | | | Lantheus Holdings, Inc. (a) | | | 1,955 | |
| | 18 | | | LivaNova plc (a) | | | 1,415 | |
| | 44 | | | Masimo Corp. (a) | | | 3,748 | |
| | 14 | | | Natus Medical, Inc. (a) | | | 519 | |
| | 19 | | | NuVasive, Inc. (a) | | | 1,135 | |
| | 22 | | | OraSure Technologies, Inc. (a) | | | 421 | |
| | 35 | | | STERIS plc | | | 3,026 | |
| | 18 | | | Teleflex, Inc. | | | 4,479 | |
| | 15 | | | Varex Imaging Corp. (a) | | | 615 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — continued | |
| | 3 | | | West Pharmaceutical Services, Inc. | | | 306 | |
| | | | | | | | |
| | | | | | | 35,827 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 2.7% | |
| | 19 | | | AMN Healthcare Services, Inc. (a) | | | 958 | |
| | 12 | | | BioTelemetry, Inc. (a) | | | 365 | |
| | 202 | | | Community Health Systems, Inc. (a) | | | 862 | |
| | 72 | | | Diplomat Pharmacy, Inc. (a) | | | 1,447 | |
| | 91 | | | HealthSouth Corp. | | | 4,501 | |
| | 29 | | | Kindred Healthcare, Inc. | | | 282 | |
| | 17 | | | LifePoint Health, Inc. (a) | | | 827 | |
| | 27 | | | Magellan Health, Inc. (a) | | | 2,565 | |
| | 36 | | | MEDNAX, Inc. (a) | | | 1,912 | |
| | 36 | | | Molina Healthcare, Inc. (a) | | | 2,744 | |
| | 93 | | | Owens & Minor, Inc. | | | 1,758 | |
| | 187 | | | Select Medical Holdings Corp. (a) | | | 3,292 | |
| | 36 | | | WellCare Health Plans, Inc. (a) | | | 7,180 | |
| | | | | | | | |
| | | | | | | 28,693 | |
| | | | | | | | |
| | | | Health Care Technology — 0.2% | |
| | 165 | | | Allscripts Healthcare Solutions, Inc. (a) | | | 2,399 | |
| | 20 | | | Quality Systems, Inc. (a) | | | 277 | |
| | | | | | | | |
| | | | | | | 2,676 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.5% | |
| | 8 | | | Bio-Rad Laboratories, Inc., Class A (a) | | | 2,005 | |
| | 22 | | | Charles River Laboratories International, Inc. (a) | | | 2,386 | |
| | 22 | | | INC Research Holdings, Inc., Class A (a) | | | 963 | |
| | 14 | | | Luminex Corp. | | | 280 | |
| | | | | | | | |
| | | | | | | 5,634 | |
| | | | | | | | |
| | | | Pharmaceuticals — 1.1% | |
| | 77 | | | Amphastar Pharmaceuticals, Inc. (a) | | | 1,485 | |
| | 55 | | | Catalent, Inc. (a) | | | 2,260 | |
| | 272 | | | Depomed, Inc. (a) | | | 2,186 | |
| | 89 | | | Impax Laboratories, Inc. (a) | | | 1,479 | |
| | 105 | | | Medicines Co. (The) (a) | | | 2,857 | |
| | 18 | | | Nektar Therapeutics (a) | | | 1,081 | |
| | | | | | | | |
| | | | | | | 11,348 | |
| | | | | | | | |
| | | | Total Health Care | | | 100,752 | |
| | | | | | | | |
| | | | Industrials — 17.0% | |
| | | | Aerospace & Defense — 1.6% | |
| | 24 | | | Aerojet Rocketdyne Holdings, Inc. (a) | | | 758 | |
| | 17 | | | Curtiss-Wright Corp. | | | 2,096 | |
| | 8 | | | Engility Holdings, Inc. (a) | | | 214 | |
| | 35 | | | Huntington Ingalls Industries, Inc. | | | 8,310 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Aerospace & Defense — continued | |
| | 23 | | | Moog, Inc., Class A (a) | | | 1,987 | |
| | 24 | | | Orbital ATK, Inc. | | | 3,117 | |
| | 18 | | | Triumph Group, Inc. | | | 498 | |
| | | | | | | | |
| | | | | | | 16,980 | |
| | | | | | | | |
| | | | Air Freight & Logistics — 0.3% | |
| | 71 | | | Hub Group, Inc., Class A (a) | | | 3,380 | |
| | | | | | | | |
| | | | Airlines — 0.6% | |
| | 21 | | | Hawaiian Holdings, Inc. | | | 853 | |
| | 155 | | | JetBlue Airways Corp. (a) | | | 3,453 | |
| | 30 | | | SkyWest, Inc. | | | 1,593 | |
| | | | | | | | |
| | | | | | | 5,899 | |
| | | | | | | | |
| | | | Building Products — 0.8% | |
| | 6 | | | American Woodmark Corp. (a) | | | 742 | |
| | 12 | | | Gibraltar Industries, Inc. (a) | | | 409 | |
| | 20 | | | Lennox International, Inc. | | | 4,240 | |
| | 79 | | | Universal Forest Products, Inc. | | | 2,986 | |
| | | | | | | | |
| | | | | | | 8,377 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 1.7% | |
| | 22 | | | ABM Industries, Inc. | | | 829 | |
| | 20 | | | Brink’s Co. (The) | | | 1,582 | |
| | 78 | | | Copart, Inc. (a) | | | 3,347 | |
| | 42 | | | Essendant, Inc. | | | 385 | |
| | 23 | | | Herman Miller, Inc. | | | 920 | |
| | 16 | | | HNI Corp. | | | 624 | |
| | 26 | | | Interface, Inc. | | | 646 | |
| | 83 | | | LSC Communications, Inc. | | | 1,260 | |
| | 12 | | | MSA Safety, Inc. | | | 930 | |
| | 71 | | | Pitney Bowes, Inc. | | | 797 | |
| | 76 | | | RR Donnelley & Sons Co. | | | 708 | |
| | 68 | | | Tetra Tech, Inc. | | | 3,259 | |
| | 48 | | | Viad Corp. | | | 2,684 | |
| | | | | | | | |
| | | | | | | 17,971 | |
| | | | | | | | |
| | | | Construction & Engineering — 1.8% | |
| | 119 | | | AECOM (a) | | | 4,434 | |
| | 88 | | | Aegion Corp. (a) | | | 2,226 | |
| | 14 | | | Comfort Systems USA, Inc. | | | 604 | |
| | 12 | | | Dycom Industries, Inc. (a) | | | 1,382 | |
| | 58 | | | EMCOR Group, Inc. | | | 4,763 | |
| | 55 | | | KBR, Inc. | | | 1,085 | |
| | 72 | | | MYR Group, Inc. (a) | | | 2,576 | |
| | 10 | | | Orion Group Holdings, Inc. (a) | | | 76 | |
| | 9 | | | Valmont Industries, Inc. | | | 1,443 | |
| | | | | | | | |
| | | | | | | 18,589 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electrical Equipment — 1.2% | |
| | 56 | | | EnerSys | | | 3,894 | |
| | 71 | | | General Cable Corp. | | | 2,110 | |
| | 20 | | | Hubbell, Inc. | | | 2,772 | |
| | 5 | | | Powell Industries, Inc. | | | 132 | |
| | 53 | | | Regal Beloit Corp. | | | 4,056 | |
| | | | | | | | |
| | | | | | | 12,964 | |
| | | | | | | | |
| | | | Industrial Conglomerates — 0.3% | |
| | 26 | | | Carlisle Cos., Inc. | | | 2,936 | |
| | 13 | | | Raven Industries, Inc. | | | 443 | |
| | | | | | | | |
| | | | | | | 3,379 | |
| | | | | | | | |
| | | | Machinery — 4.9% | |
| | 59 | | | AGCO Corp. | | | 4,245 | |
| | 3 | | | Alamo Group, Inc. | | | 373 | |
| | 71 | | | Barnes Group, Inc. | | | 4,512 | |
| | 81 | | | Briggs & Stratton Corp. | | | 2,047 | |
| | 61 | | | Crane Co. | | | 5,435 | |
| | 23 | | | Federal Signal Corp. | | | 468 | |
| | 57 | | | Greenbrier Cos., Inc. (The) | | | 3,017 | |
| | 34 | | | Harsco Corp. (a) | | | 630 | |
| | 24 | | | IDEX Corp. | | | 3,233 | |
| | 80 | | | ITT, Inc. | | | 4,286 | |
| | 30 | | | Kennametal, Inc. | | | 1,443 | |
| | 52 | | | Lincoln Electric Holdings, Inc. | | | 4,790 | |
| | 6 | | | Lydall, Inc. (a) | | | 310 | |
| | 22 | | | Mueller Industries, Inc. | | | 787 | |
| | 29 | | | Oshkosh Corp. | | | 2,663 | |
| | 15 | | | SPX Corp. (a) | | | 461 | |
| | 15 | | | SPX FLOW, Inc. (a) | | | 727 | |
| | 5 | | | Standex International Corp. | | | 519 | |
| | 72 | | | Terex Corp. | | | 3,475 | |
| | 31 | | | Timken Co. (The) | | | 1,502 | |
| | 43 | | | Toro Co. (The) | | | 2,785 | |
| | 59 | | | Trinity Industries, Inc. | | | 2,221 | |
| | 22 | | | Wabash National Corp. | | | 477 | |
| | 8 | | | Wabtec Corp. | | | 646 | |
| | 4 | | | Watts Water Technologies, Inc., Class A | | | 327 | |
| | | | | | | | |
| | | | | | | 51,379 | |
| | | | | | | | |
| | | | Professional Services — 2.2% | |
| | 15 | | | Dun & Bradstreet Corp. (The) | | | 1,752 | |
| | 18 | | | FTI Consulting, Inc. (a) | | | 768 | |
| | 26 | | | Heidrick & Struggles International, Inc. | | | 648 | |
| | 76 | | | Insperity, Inc. | | | 4,336 | |
| | 27 | | | Kelly Services, Inc., Class A | | | 725 | |
| | 81 | | | Korn/Ferry International | | | 3,352 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 19 | |
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Professional Services — continued | |
| | 55 | | | ManpowerGroup, Inc. | | | 6,922 | |
| | 19 | | | Navigant Consulting, Inc. (a) | | | 367 | |
| | 20 | | | On Assignment, Inc. (a) | | | 1,272 | |
| | 47 | | | Resources Connection, Inc. | | | 727 | |
| | 89 | | | TrueBlue, Inc. (a) | | | 2,443 | |
| | | | | | | | |
| | | | | | | 23,312 | |
| | | | | | | | |
| | | | Road & Rail — 1.0% | |
| | 76 | | | ArcBest Corp. | | | 2,713 | |
| | 28 | | | Avis Budget Group, Inc. (a) | | | 1,207 | |
| | 32 | | | Landstar System, Inc. | | | 3,338 | |
| | 22 | | | Old Dominion Freight Line, Inc. | | | 2,907 | |
| | 9 | | | Saia, Inc. (a) | | | 623 | |
| | | | | | | | |
| | | | | | | 10,788 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.6% | |
| | 16 | | | Applied Industrial Technologies, Inc. | | | 1,083 | |
| | 5 | | | DXP Enterprises, Inc. (a) | | | 151 | |
| | 19 | | | MSC Industrial Direct Co., Inc., Class A | | | 1,789 | |
| | 40 | | | NOW, Inc. (a) | | | 442 | |
| | 28 | | | Veritiv Corp. (a) | | | 795 | |
| | 10 | | | Watsco, Inc. | | | 1,700 | |
| | | | | | | | |
| | | | | | | 5,960 | |
| | | | | | | | |
| | | | Total Industrials | | | 178,978 | |
| | | | | | | | |
| | | | Information Technology — 16.8% | |
| | | | Communications Equipment — 0.7% | |
| | 156 | | | ARRIS International plc (a) | | | 3,997 | |
| | 46 | | | Ciena Corp. (a) | | | 952 | |
| | 10 | | | Comtech Telecommunications Corp. | | | 210 | |
| | 54 | | | Digi International, Inc. (a) | | | 520 | |
| | 13 | | | InterDigital, Inc. | | | 975 | |
| | 17 | | | Plantronics, Inc. | | | 841 | |
| | | | | | | | |
| | | | | | | 7,495 | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — 5.9% | |
| | 41 | | | Anixter International, Inc. (a) | | | 3,116 | |
| | 92 | | | Arrow Electronics, Inc. (a) | | | 7,369 | |
| | 114 | | | Avnet, Inc. | | | 4,518 | |
| | 29 | | | Bel Fuse, Inc., Class B | | | 740 | |
| | 16 | | | Belden, Inc. | | | 1,205 | |
| | 95 | | | Benchmark Electronics, Inc. (a) | | | 2,751 | |
| | 32 | | | Cognex Corp. | | | 1,951 | |
| | 9 | | | Coherent, Inc. (a) | | | 2,595 | |
| | 5 | | | ePlus, Inc. (a) | | | 384 | |
| | 28 | | | Insight Enterprises, Inc. (a) | | | 1,061 | |
| | 15 | | | Itron, Inc. (a) | | | 1,037 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Electronic Equipment, Instruments & Components — continued | |
| | 151 | | | Jabil, Inc. | | | 3,966 | |
| | 21 | | | KEMET Corp. (a) | | | 309 | |
| | 109 | | | Keysight Technologies, Inc. (a) | | | 4,514 | |
| | 8 | | | Littelfuse, Inc. | | | 1,663 | |
| | 66 | | | Methode Electronics, Inc. | | | 2,632 | |
| | 45 | | | National Instruments Corp. | | | 1,890 | |
| | 55 | | | Plexus Corp. (a) | | | 3,315 | |
| | 6 | | | Rogers Corp. (a) | | | 1,004 | |
| | 60 | | | Sanmina Corp. (a) | | | 1,977 | |
| | 5 | | | ScanSource, Inc. (a) | | | 172 | |
| | 9 | | | SYNNEX Corp. | | | 1,237 | |
| | 51 | | | Tech Data Corp. (a) | | | 5,016 | |
| | 80 | | | Trimble, Inc. (a) | | | 3,261 | |
| | 84 | | | TTM Technologies, Inc. (a) | | | 1,308 | |
| | 54 | | | Vishay Intertechnology, Inc. | | | 1,118 | |
| | 21 | | | Zebra Technologies Corp., Class A (a) | | | 2,149 | |
| | | | | | | | |
| | | | | | | 62,258 | |
| | | | | | | | |
| | | | Internet Software & Services — 0.6% | |
| | 16 | | | Blucora, Inc. (a) | | | 356 | |
| | 17 | | | comScore, Inc. (a) | | | 479 | |
| | 20 | | | j2 Global, Inc. | | | 1,463 | |
| | 20 | | | LivePerson, Inc. (a) | | | 230 | |
| | 18 | | | LogMeIn, Inc. | | | 2,107 | |
| | 22 | | | NIC, Inc. | | | 363 | |
| | 54 | | | QuinStreet, Inc. (a) | | | 448 | |
| | 6 | | | Stamps.com, Inc. (a) | | | 1,128 | |
| | | | | | | | |
| | | | | | | 6,574 | |
| | | | | | | | |
| | | | IT Services — 3.8% | |
| | 88 | | | Broadridge Financial Solutions, Inc. | | | 7,953 | |
| | 27 | | | CACI International, Inc., Class A (a) | | | 3,522 | |
| | 18 | | | Cardtronics plc, Class A (a) | | | 333 | |
| | 37 | | | Convergys Corp. | | | 871 | |
| | 34 | | | CoreLogic, Inc. (a) | | | 1,562 | |
| | 35 | | | CSG Systems International, Inc. | | | 1,542 | |
| | 66 | | | DST Systems, Inc. | | | 4,103 | |
| | 37 | | | ExlService Holdings, Inc. (a) | | | 2,255 | |
| | 92 | | | Leidos Holdings, Inc. | | | 5,915 | |
| | 9 | | | ManTech International Corp., Class A | | | 467 | |
| | 63 | | | Perficient, Inc. (a) | | | 1,199 | |
| | 80 | | | Sabre Corp. | | | 1,648 | |
| | 76 | | | Science Applications International Corp. | | | 5,789 | |
| | 81 | | | Sykes Enterprises, Inc. (a) | | | 2,540 | |
| | | | | | | | |
| | | | | | | 39,699 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Semiconductors & Semiconductor Equipment — 2.8% | |
| | 9 | | | Advanced Energy Industries, Inc. (a) | | | 587 | |
| | 9 | | | Cabot Microelectronics Corp. | | | 842 | |
| | 24 | | | Cirrus Logic, Inc. (a) | | | 1,267 | |
| | 66 | | | Cohu, Inc. | | | 1,453 | |
| | 7 | | | Cree, Inc. (a) | | | 264 | |
| | 25 | | | First Solar, Inc. (a) | | | 1,702 | |
| | 54 | | | Integrated Device Technology, Inc. (a) | | | 1,608 | |
| | 169 | | | Kulicke & Soffa Industries, Inc., (Singapore) (a) | | | 4,101 | |
| | 52 | | | Microsemi Corp. (a) | | | 2,691 | |
| | 32 | | | MKS Instruments, Inc. | | | 3,059 | |
| | 44 | | | Nanometrics, Inc. (a) | | | 1,097 | |
| | 76 | | | Rudolph Technologies, Inc. (a) | | | 1,814 | |
| | 37 | | | Semtech Corp. (a) | | | 1,276 | |
| | 14 | | | Synaptics, Inc. (a) | | | 555 | |
| | 175 | | | Teradyne, Inc. | | | 7,340 | |
| | 3 | | | Veeco Instruments, Inc. (a) | | | 40 | |
| | | | | | | | |
| | | | | | | 29,696 | |
| | | | | | | | |
| | | | Software — 2.6% | |
| | 32 | | | 8x8, Inc. (a) | | | 457 | |
| | 48 | | | ACI Worldwide, Inc. (a) | | | 1,086 | |
| | 14 | | | Bottomline Technologies de, Inc. (a) | | | 489 | |
| | 31 | | | CDK Global, Inc. | | | 2,174 | |
| | 37 | | | CommVault Systems, Inc. (a) | | | 1,948 | |
| | 14 | | | Fair Isaac Corp. | | | 2,123 | |
| | 66 | | | Fortinet, Inc. (a) | | | 2,883 | |
| | 15 | | | MicroStrategy, Inc., Class A (a) | | | 2,029 | |
| | 80 | | | Progress Software Corp. | | | 3,409 | |
| | 43 | | | PTC, Inc. (a) | | | 2,638 | |
| | 13 | | | Qualys, Inc. (a) | | | 766 | |
| | 15 | | | Synchronoss Technologies, Inc. (a) | | | 132 | |
| | 55 | | | Take-Two Interactive Software, Inc. (a) | | | 6,011 | |
| | 78 | | | TiVo Corp. | | | 1,209 | |
| | | | | | | | |
| | | | | | | 27,354 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 0.4% | |
| | 110 | | | NCR Corp. (a) | | | 3,739 | |
| | | | | | | | |
| | | | Total Information Technology | | | 176,815 | |
| | | | | | | | |
| | | | Materials — 6.9% | |
| | | | Chemicals — 3.1% | |
| | 57 | | | A Schulman, Inc. | | | 2,123 | |
| | 11 | | | AdvanSix, Inc. (a) | | | 442 | |
| | 12 | | | American Vanguard Corp. | | | 228 | |
| | 13 | | | Ashland Global Holdings, Inc. | | | 931 | |
| | 50 | | | Cabot Corp. | | | 3,058 | |
| | 85 | | | Chemours Co. (The) | | | 4,275 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Chemicals — continued | |
| | 42 | | | FutureFuel Corp. | | | 597 | |
| | 4 | | | Hawkins, Inc. | | | 141 | |
| | 20 | | | HB Fuller Co. | | | 1,067 | |
| | 24 | | | Ingevity Corp. (a) | | | 1,670 | |
| | 47 | | | Innophos Holdings, Inc. | | | 2,173 | |
| | 9 | | | Innospec, Inc. | | | 656 | |
| | 45 | | | Koppers Holdings, Inc. (a) | | | 2,265 | |
| | 13 | | | Kraton Corp. (a) | | | 612 | |
| | 15 | | | Minerals Technologies, Inc. | | | 1,035 | |
| | 67 | | | Olin Corp. | | | 2,375 | |
| | 33 | | | PolyOne Corp. | | | 1,453 | |
| | 16 | | | Rayonier Advanced Materials, Inc. | | | 319 | |
| | 24 | | | RPM International, Inc. | | | 1,279 | |
| | 17 | | | Scotts Miracle-Gro Co. (The) | | | 1,808 | |
| | 35 | | | Stepan Co. | | | 2,738 | |
| | 36 | | | Valvoline, Inc. | | | 905 | |
| | | | | | | | |
| | | | | | | 32,150 | |
| | | | | | | | |
| | | | Construction Materials — 0.2% | |
| | 19 | | | Eagle Materials, Inc. | | | 2,141 | |
| | 5 | | | US Concrete, Inc. (a) | | | 427 | |
| | | | | | | | |
| | | | | | | 2,568 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.7% | |
| | 7 | | | AptarGroup, Inc. | | | 604 | |
| | 10 | | | Bemis Co., Inc. | | | 473 | |
| | 9 | | | Greif, Inc., Class A | | | 557 | |
| | 167 | | | Owens-Illinois, Inc. (a) | | | 3,691 | |
| | 30 | | | Silgan Holdings, Inc. | | | 891 | |
| | 24 | | | Sonoco Products Co. | | | 1,270 | |
| | | | | | | | |
| | | | | | | 7,486 | |
| | | | | | | | |
| | | | Metals & Mining — 1.8% | |
| | 130 | | | AK Steel Holding Corp. (a) | | | 733 | |
| | 7 | | | Carpenter Technology Corp. | | | 377 | |
| | 43 | | | Commercial Metals Co. | | | 927 | |
| | 7 | | | Kaiser Aluminum Corp. | | | 765 | |
| | 52 | | | Reliance Steel & Aluminum Co. | | | 4,486 | |
| | 8 | | | Royal Gold, Inc. | | | 690 | |
| | 122 | | | Steel Dynamics, Inc. | | | 5,281 | |
| | 27 | | | SunCoke Energy, Inc. (a) | | | 319 | |
| | 94 | | | United States Steel Corp. | | | 3,290 | |
| | 46 | | | Worthington Industries, Inc. | | | 2,046 | |
| | | | | | | | |
| | | | | | | 18,914 | |
| | | | | | | | |
| | | | Paper & Forest Products — 1.1% | |
| | 49 | | | Boise Cascade Co. | | | 1,967 | |
| | 79 | | | Domtar Corp. | | | 3,901 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 21 | |
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Paper & Forest Products — continued | |
| | 18 | | | KapStone Paper and Packaging Corp. | | | 402 | |
| | 99 | | | Louisiana-Pacific Corp. (a) | | | 2,603 | |
| | 70 | | | Schweitzer-Mauduit International, Inc. | | | 3,163 | |
| | | | | | | | |
| | | | | | | 12,036 | |
| | | | | | | | |
| | | | Total Materials | | | 73,154 | |
| | | | | | | | |
| | | | Real Estate — 8.1% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 7.4% | |
| | 41 | | | Agree Realty Corp. | | | 2,114 | |
| | 18 | | | Alexander & Baldwin, Inc. | | | 506 | |
| | 14 | | | American Assets Trust, Inc. | | | 524 | |
| | 83 | | | American Campus Communities, Inc. | | | 3,396 | |
| | 202 | | | Armada Hoffler Properties, Inc. | | | 3,142 | |
| | 35 | | | Camden Property Trust | | | 3,181 | |
| | 20 | | | Chesapeake Lodging Trust | | | 545 | |
| | 48 | | | CoreCivic, Inc. | | | 1,089 | |
| | 14 | | | CoreSite Realty Corp. | | | 1,572 | |
| | 107 | | | Corporate Office Properties Trust | | | 3,137 | |
| | 108 | | | Cousins Properties, Inc. | | | 1,000 | |
| | 32 | | | CyrusOne, Inc. | | | 1,881 | |
| | 26 | | | DCT Industrial Trust, Inc. | | | 1,546 | |
| | 169 | | | DiamondRock Hospitality Co. | | | 1,905 | |
| | 71 | | | Douglas Emmett, Inc. | | | 2,919 | |
| | 18 | | | EPR Properties | | | 1,179 | |
| | 45 | | | First Industrial Realty Trust, Inc. | | | 1,422 | |
| | 28 | | | Franklin Street Properties Corp. | | | 297 | |
| | 125 | | | GEO Group, Inc. (The) | | | 2,956 | |
| | 103 | | | Getty Realty Corp. | | | 2,786 | |
| | 22 | | | Healthcare Realty Trust, Inc. | | | 716 | |
| | 15 | | | Hersha Hospitality Trust | | | 268 | |
| | 72 | | | Highwoods Properties, Inc. | | | 3,646 | |
| | 137 | | | Hospitality Properties Trust | | | 4,097 | |
| | 36 | | | Kilroy Realty Corp. | | | 2,714 | |
| | 80 | | | Kite Realty Group Trust | | | 1,572 | |
| | 62 | | | LaSalle Hotel Properties | | | 1,740 | |
| | 48 | | | Liberty Property Trust | | | 2,068 | |
| | 102 | | | Mack-Cali Realty Corp. | | | 2,210 | |
| | 74 | | | Medical Properties Trust, Inc. | | | 1,013 | |
| | 47 | | | Potlatch Corp. | | | 2,345 | |
| | 29 | | | PS Business Parks, Inc. | | | 3,635 | |
| | 127 | | | Rayonier, Inc. | | | 4,004 | |
| | 38 | | | Retail Opportunity Investments Corp. | | | 748 | |
| | 64 | | | Sabra Health Care REIT, Inc. | | | 1,193 | |
| | 5 | | | Saul Centers, Inc. | | | 283 | |
| | 172 | | | Senior Housing Properties Trust | | | 3,294 | |
| | 43 | | | Summit Hotel Properties, Inc. | | | 652 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 8 | | | Taubman Centers, Inc. | | | 523 | |
| | 96 | | | Uniti Group, Inc. | | | 1,711 | |
| | 13 | | | Urstadt Biddle Properties, Inc., Class A | | | 280 | |
| | 193 | | | Washington Prime Group, Inc. | | | 1,373 | |
| | 18 | | | Weingarten Realty Investors | | | 584 | |
| | | | | | | | |
| | | | | | | 77,766 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.7% | |
| | 43 | | | HFF, Inc., Class A | | | 2,110 | |
| | 36 | | | Jones Lang LaSalle, Inc. | | | 5,307 | |
| | | | | | | | |
| | | | | | | 7,417 | |
| | | | | | | | |
| | | | Total Real Estate | | | 85,183 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.6% | |
| | | | Diversified Telecommunication Services — 0.1% | |
| | 4 | | | ATN International, Inc. | | | 232 | |
| | 82 | | | Vonage Holdings Corp. (a) | | | 831 | |
| | | | | | | | |
| | | | | | | 1,063 | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.5% | |
| | 35 | | | Spok Holdings, Inc. | | | 548 | |
| | 169 | | | Telephone & Data Systems, Inc. | | | 4,687 | |
| | | | | | | | |
| | | | | | | 5,235 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 6,298 | |
| | | | | | | | |
| | | | Utilities — 4.5% | |
| | | | Electric Utilities — 1.8% | |
| | 30 | | | ALLETE, Inc. | | | 2,216 | |
| | 33 | | | El Paso Electric Co. | | | 1,804 | |
| | 116 | | | Great Plains Energy, Inc. | | | 3,726 | |
| | 76 | | | Hawaiian Electric Industries, Inc. | | | 2,737 | |
| | 34 | | | IDACORP, Inc. | | | 3,112 | |
| | 149 | | | OGE Energy Corp. | | | 4,888 | |
| | 11 | | | Westar Energy, Inc. | | | 554 | |
| | | | | | | | |
| | | | | | | 19,037 | |
| | | | | | | | |
| | | | Gas Utilities — 1.7% | |
| | 80 | | | Atmos Energy Corp. | | | 6,833 | |
| | 42 | | | National Fuel Gas Co. | | | 2,302 | |
| | 5 | | | New Jersey Resources Corp. | | | 190 | |
| | 20 | | | Southwest Gas Holdings, Inc. | | | 1,582 | |
| | 2 | | | Spire, Inc. | | | 173 | |
| | 145 | | | UGI Corp. | | | 6,816 | |
| | 3 | | | WGL Holdings, Inc. | | | 292 | |
| | | | | | | | |
| | | | | | | 18,188 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.9% | |
| | 35 | | | Avista Corp. | | | 1,782 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Multi-Utilities — continued | |
| | 78 | | | MDU Resources Group, Inc. | | | 2,105 | |
| | 17 | | | NorthWestern Corp. | | | 1,035 | |
| | 73 | | | Vectren Corp. | | | 4,772 | |
| | | | | | | | |
| | | | | | | 9,694 | |
| | | | | | | | |
| | | | Water Utilities — 0.1% | |
| | 15 | | | American States Water Co. | | | 860 | |
| | | | | | | | |
| | | | Total Utilities | | | 47,779 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $687,001) | | | 1,038,467 | |
| | | | | | | | |
| | |
NUMBER OF
RIGHTS | | | | | | |
| | Rights — 0.0% (g) | | | | |
| | | | Information Technology — 0.0% (g) | |
| | | | Electronic Equipment, Instruments & Components — 0.0% (g) | |
| | 18 | | | Gerber Scientific, Inc., CVR (a) (bb)
(Cost $–) | | | — | (h) |
| | | | | | | | |
| | | | | | | | |
| | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Short-Term Investment — 1.7% | | | | |
| | | | Investment Company — 1.7% | |
| | 18,017 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $18,017) | | | 18,017 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $705,018) | | | 1,056,484 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (1,370 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,055,114 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
Long Contracts | |
Russell 2000 E-Mini Index | | | 63 | | | | 03/2018 | | | | USD | | | | 4,840 | | | | 84 | |
S&P Midcap 400 E-Mini Index | | | 65 | | | | 03/2018 | | | | USD | | | | 12,366 | | | | 195 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 279 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 23 | |
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| 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. |
| (k) | | — All or 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 December 31, 2017. |
| (q) | | — Investment in affiliate which is a security in the Fund’s index. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 25 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands, except per share amounts)
| | | | | | | | |
| | | Equity Index
Fund | | | Market
Expansion
Enhanced
Index Fund | |
ASSETS: | | | | | | | | |
Investments in non-affiliates, at value | | $ | 3,006,929 | | | $ | 1,038,467 | |
Investments in affiliates, at value | | | 160,460 | | | | 18,017 | |
Cash | | | — | | | | 5 | |
Deposits at broker for futures contracts | | | — | | | | 777 | |
Receivables: | | | | | | | | |
Investment securities sold | | | 2,121 | | | | 763 | |
Fund shares sold | | | 2,302 | | | | 965 | |
Dividends from non-affiliates | | | 2,935 | | | | 1,304 | |
Dividends from affiliates | | | 112 | | | | 16 | |
Due from adviser | | | 1 | | | | — | |
| | | | | | | | |
Total Assets | | | 3,174,860 | | | | 1,060,314 | |
| | | | | | | | |
| | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Investment securities purchased | | | 80,255 | | | | 1,193 | |
Fund shares redeemed | | | 7,410 | | | | 3,431 | |
Variation margin on futures contracts | | | 321 | | | | 117 | |
Accrued liabilities: | | | | | | | | |
Investment advisory fees | | | — | | | | 59 | |
Administration fees | | | 74 | | | | — | |
Distribution fees | | | 181 | | | | 70 | |
Service fees | | | 161 | | | | 215 | |
Custodian and accounting fees | | | 27 | | | | 22 | |
Other | | | 229 | | | | 93 | |
| | | | | | | | |
Total Liabilities | | | 88,658 | | | | 5,200 | |
| | | | | | | | |
Net Assets | | $ | 3,086,202 | | | $ | 1,055,114 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| | | Equity Index
Fund | | | Market
Expansion
Enhanced
Index Fund | |
NET ASSETS: | | | | | | | | |
Paid-in-Capital | | $ | 1,734,532 | | | $ | 695,194 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (109 | ) | | | (148 | ) |
Accumulated net realized gains (losses) | | | (30,265 | ) | | | 8,323 | |
Net unrealized appreciation (depreciation) | | | 1,382,044 | | | | 351,745 | |
| | | | | | | | |
Total Net Assets | | $ | 3,086,202 | | | $ | 1,055,114 | |
| | | | | | | | |
| | |
Net Assets: | | | | | | | | |
Class A | | $ | 613,408 | | | $ | 173,426 | |
Class C | | | 79,819 | | | | 35,164 | |
Class I | | | 670,848 | | | | 823,000 | |
Class R2 | | | — | | | | 23,524 | |
Class R6 | | | 1,722,127 | | | | — | |
| | | | | | | | |
Total | | $ | 3,086,202 | | | $ | 1,055,114 | |
| | | | | | | | |
| | |
Outstanding units of beneficial interest (shares) | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | |
Class A | | | 14,989 | | | | 15,305 | |
Class C | | | 1,968 | | | | 3,700 | |
Class I | | | 16,375 | | | | 71,724 | |
Class R2 | | | — | | | | 2,109 | |
Class R6 | | | 42,036 | | | | — | |
| | |
Net Asset Value (a): | | | | | | | | |
Class A — Redemption price per share | | $ | 40.92 | | | $ | 11.33 | |
Class C — Offering price per share (b) | | | 40.56 | | | | 9.50 | |
Class I — Offering and redemption price per share | | | 40.97 | | | | 11.47 | |
Class R2 — Offering and redemption price per share | | | — | | | | 11.16 | |
Class R6 — Offering and redemption price per share | | | 40.97 | | | | — | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 43.19 | | | $ | 11.96 | |
| | | | | | | | |
| | |
Cost of investments in non-affiliates | | $ | 1,650,329 | | | $ | 687,001 | |
Cost of investments in affiliates | | | 135,315 | | | | 18,017 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 27 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| | | Equity Index
Fund | | | Market
Expansion
Enhanced
Index Fund | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | | $ | — | (a) | | $ | 4 | |
Interest income from affiliates | | | — | (a) | | | 1 | |
Dividend income from non-affiliates | | | 19,506 | | | | 7,338 | |
Dividend income from affiliates | | | 449 | | | | 117 | |
| | | | | | | | |
Total investment income | | | 19,955 | | | | 7,460 | |
| | | | | | | | |
| | |
EXPENSES: | | | | | | | | |
Investment advisory fees | | | 404 | | | | 1,287 | |
Administration fees | | | 821 | | | | 419 | |
Distribution fees: | | | | | | | | |
Class A | | | 744 | | | | 208 | |
Class C | | | 329 | | | | 140 | |
Class R2 | | | — | | | | 60 | |
Service fees: | | | | | | | | |
Class A | | | 744 | | | | 208 | |
Class C | | | 109 | | | | 46 | |
Class I | | | 864 | | | | 1,003 | |
Class R2 | | | — | | | | 30 | |
Custodian and accounting fees | | | 46 | | | | 24 | |
Interest expense to affiliates | | | — | (a) | | | — | |
Professional fees | | | 33 | | | | 26 | |
Trustees’ and Chief Compliance Officer’s fees | | | 15 | | | | 14 | |
Printing and mailing costs | | | 65 | | | | 39 | |
Registration and filing fees | | | 45 | | | | 46 | |
Transfer agency fees (See Note 2.E.) | | | 146 | | | | 49 | |
Other | | | 18 | | | | 12 | |
| | | | | | | | |
Total expenses | | | 4,383 | | | | 3,611 | |
| | | | | | | | |
Less fees waived | | | (1,753 | ) | | | (1,432 | ) |
Less expense reimbursements | | | (1 | ) | | | — | |
| | | | | | | | |
Net expenses | | | 2,629 | | | | 2,179 | |
| | | | | | | | |
Net investment income (loss) | | | 17,326 | | | | 5,281 | |
| | | | | | | | |
| | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | |
Investments in non-affiliates | | | 9,929 | | | | 48,824 | |
Investments in affiliates | | | 173 | | | | — | |
Futures contracts | | | 440 | | | | 2,790 | |
| | | | | | | | |
Net realized gain (loss) | | | 10,542 | | | | 51,614 | |
| | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | |
Investments in non-affiliates | | | 174,676 | | | | 41,773 | |
Investments in affiliates | | | 4,834 | | | | — | |
Futures contracts | | | 320 | | | | 337 | |
| | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 179,830 | | | | 42,110 | |
| | | | | | | | |
Net realized/unrealized gains (losses) | | | 190,372 | | | | 93,724 | |
| | | | | | | | |
Change in net assets resulting from operations | | $ | 207,698 | | | $ | 99,005 | |
| | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Equity Index Fund | | | Market Expansion Enhanced Index Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017 (Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 17,326 | | | $ | 29,500 | | | $ | 5,281 | | | $ | 10,588 | |
Net realized gain (loss) | | | 10,542 | | | | 58,301 | | | | 51,614 | | | | 83,310 | |
Change in net unrealized appreciation/depreciation | | | 179,830 | | | | 187,638 | | | | 42,110 | | | | 83,009 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 207,698 | | | | 275,439 | | | | 99,005 | | | | 176,907 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (4,036 | ) | | | (9,630 | ) | | | (1,158 | ) | | | (747 | ) |
From net realized gains | | | (5,731 | ) | | | (50,124 | ) | | | (17,242 | ) | | | (9,476 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (338 | ) | | | (901 | ) | | | (155 | ) | | | (129 | ) |
From net realized gains | | | (748 | ) | | | (7,682 | ) | | | (4,114 | ) | | | (3,120 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (5,394 | ) | | | (14,603 | ) | | | (6,791 | ) | | | (7,073 | ) |
From net realized gains | | | (6,187 | ) | | | (65,912 | ) | | | (81,308 | ) | | | (74,429 | ) |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | — | | | | (136 | ) | | | (77 | ) |
From net realized gains | | | — | | | | — | | | | (2,564 | ) | | | (1,167 | ) |
Class R6 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (8,515 | ) | | | (4,127 | ) | | | — | | | | — | |
From net realized gains | | | (15,063 | ) | | | (20,272 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (46,012 | ) | | | (173,251 | ) | | | (113,468 | ) | | | (96,218 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 1,175,086 | | | | 139,860 | | | | 58,429 | | | | (4,899 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 1,336,772 | | | | 242,048 | | | | 43,966 | | | | 75,790 | |
Beginning of period | | | 1,749,430 | | | | 1,507,382 | | | | 1,011,148 | | | | 935,358 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 3,086,202 | | | $ | 1,749,430 | | | $ | 1,055,114 | | | $ | 1,011,148 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (109 | ) | | $ | 848 | | | $ | (148 | ) | | $ | 2,811 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 1, 2016 for Equity Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 29 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Equity Index Fund | | | Market Expansion Enhanced Index Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 41,852 | | | $ | 87,696 | | | $ | 24,967 | | | $ | 104,426 | |
Distributions reinvested | | | 9,652 | | | | 59,202 | | | | 16,959 | | | | 9,108 | |
Cost of shares redeemed | | | (71,785 | ) | | | (200,298 | ) | | | (28,684 | ) | | | (59,090 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | (20,281 | ) | | $ | (53,400 | ) | | $ | 13,242 | | | $ | 54,444 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 9,353 | | | $ | 24,354 | | | $ | 4,827 | | | $ | 20,627 | |
Distributions reinvested | | | 838 | | | | 6,658 | | | | 4,116 | | | | 2,957 | |
Cost of shares redeemed | | | (27,830 | ) | | | (35,729 | ) | | | (10,414 | ) | | | (12,094 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (17,639 | ) | | $ | (4,717 | ) | | $ | (1,471 | ) | | $ | 11,490 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 54,660 | | | $ | 212,874 | | | $ | 64,754 | | | $ | 169,115 | |
Distributions reinvested | | | 10,626 | | | | 67,647 | | | | 84,229 | | | | 72,072 | |
Cost of shares redeemed | | | (195,684 | ) | | | (408,621 | ) | | | (103,598 | ) | | | (322,041 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (130,398 | ) | | $ | (128,100 | ) | | $ | 45,385 | | | $ | (80,854 | ) |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 4,936 | | | $ | 13,272 | |
Distributions reinvested | | | — | | | | — | | | | 2,524 | | | | 1,031 | |
Cost of shares redeemed | | | — | | | | — | | | | (6,187 | ) | | | (4,282 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | — | | | $ | — | | | $ | 1,273 | | | $ | 10,021 | |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,289,071 | | | $ | 327,166 | | | $ | — | | | $ | — | |
Subscriptions in-kind (See Note 8) | | | 67,453 | | | | — | | | | — | | | | — | |
Distributions reinvested | | | 23,578 | | | | 22,758 | | | | — | | | | — | |
Cost of shares redeemed | | | (36,698 | ) | | | (23,847 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 1,343,404 | | | $ | 326,077 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 1,175,086 | | | $ | 139,860 | | | $ | 58,429 | | | $ | (4,899 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 1, 2016 for Equity Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Equity Index Fund | | | Market Expansion Enhanced Index Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | |
Class A | |
Issued | | | 1,062 | | | | 2,404 | | | | 2,104 | | | | 9,202 | |
Reinvested | | | 240 | | | | 1,686 | | | | 1,498 | | | | 816 | |
Redeemed | | | (1,836 | ) | | | (5,502 | ) | | | (2,430 | ) | | | (5,223 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | (534 | ) | | | (1,412 | ) | | | 1,172 | | | | 4,795 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 240 | | | | 677 | | | | 477 | | | | 2,113 | |
Reinvested | | | 21 | | | | 192 | | | | 434 | | | | 310 | |
Redeemed | | | (712 | ) | | | (990 | ) | | | (1,020 | ) | | | (1,241 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (451 | ) | | | (121 | ) | | | (109 | ) | | | 1,182 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 1,394 | | | | 5,859 | | | | 5,437 | | | | 14,770 | |
Reinvested | | | 263 | | | | 1,922 | | | | 7,337 | | | | 6,391 | |
Redeemed | | | (5,054 | ) | | | (11,165 | ) | | | (8,657 | ) | | | (27,991 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (3,397 | ) | | | (3,384 | ) | | | 4,117 | | | | (6,830 | ) |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | 425 | | | | 1,192 | |
Reinvested | | | — | | | | — | | | | 227 | | | | 93 | |
Redeemed | | | — | | | | — | | | | (541 | ) | | | (383 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | — | | | | — | | | | 111 | | | | 902 | |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Issued | | | 31,576 | | | | 9,051 | | | | — | | | | — | |
Subscriptions in-kind (See Note 8) | | | 1,766 | | | | — | | | | — | | | | — | |
Reinvested | | | 579 | | | | 646 | | | | — | | | | — | |
Redeemed | | | (933 | ) | | | (649 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 32,988 | | | | 9,048 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 1, 2016 for Equity Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 31 | |
FINANCIAL HIGHLIGHTS
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 | |
Equity Index Fund | |
Class A | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 37.41 | | | $ | 0.31 | | | $ | 3.85 | | | $ | 4.16 | | | $ | (0.27 | ) | | $ | (0.38 | ) | | $ | (0.65 | ) |
Year Ended June 30, 2017 | | | 35.36 | | | | 0.61 | | | | 5.22 | | | | 5.83 | | | | (0.59 | ) | | | (3.19 | ) | | | (3.78 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.08 | | | | 0.19 | | | | 3.82 | | | | 4.01 | | | | (0.15 | ) | | | (0.38 | ) | | | (0.53 | ) |
Year Ended June 30, 2017 | | | 35.09 | | | | 0.36 | | | | 5.18 | | | | 5.54 | | | | (0.36 | ) | | | (3.19 | ) | | | (3.55 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.44 | | | | 0.36 | | | | 3.87 | | | | 4.23 | | | | (0.32 | ) | | | (0.38 | ) | | | (0.70 | ) |
Year Ended June 30, 2017 | | | 35.39 | | | | 0.70 | | | | 5.22 | | | | 5.92 | | | | (0.68 | ) | | | (3.19 | ) | | | (3.87 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 37.44 | | | | 0.36 | | | | 3.90 | | | | 4.26 | | | | (0.35 | ) | | | (0.38 | ) | | | (0.73 | ) |
September 1, 2016 (f) through June 30, 2017 | | | 36.73 | | | | 0.58 | | | | 4.05 | | | | 4.63 | | | | (0.73 | ) | | | (3.19 | ) | | | (3.92 | ) |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 40.92 | | | | 11.17 | % | | $ | 613,408 | | | | 0.45 | % | | | 1.58 | % | | | 0.69 | % | | | 6 | % |
| | 37.41 | | | | 17.35 | | | | 580,645 | | | | 0.45 | | | | 1.67 | | | | 0.76 | | | | 21 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.56 | | | | 10.84 | | | | 79,819 | | | | 1.05 | | | | 0.98 | | | | 1.15 | | | | 6 | |
| | 37.08 | | | | 16.57 | | | | 89,681 | | | | 1.11 | | | | 1.01 | | | | 1.23 | | | | 21 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.97 | | | | 11.35 | | | | 670,848 | | | | 0.20 | | | | 1.84 | | | | 0.40 | | | | 6 | |
| | 37.44 | | | | 17.62 | | | | 740,340 | | | | 0.20 | | | | 1.93 | | | | 0.48 | | | | 21 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.97 | | | | 11.43 | | | | 1,722,127 | | | | 0.045 | | | | 1.81 | | | | 0.14 | | | | 6 | |
| | 37.44 | | | | 13.49 | | | | 338,764 | | | | 0.045 | | | | 1.93 | | | | 0.15 | | | | 21 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 33 | |
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 | |
Market Expansion Enhanced Index Fund | |
Class A | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 11.52 | | | $ | 0.05 | | | $ | 1.09 | | | $ | 1.14 | | | $ | (0.08 | ) | | $ | (1.25 | ) | | $ | (1.33 | ) |
Year Ended June 30, 2017 | | | 10.64 | | | | 0.10 | | | | 1.92 | | | | 2.02 | | | | (0.08 | ) | | | (1.06 | ) | | | (1.14 | ) |
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 | (f) | | | 2.81 | | | | 2.90 | | | | (0.08 | ) | | | (1.14 | ) | | | (1.22 | ) |
Year Ended June 30, 2013 | | | 10.32 | | | | 0.11 | (g) | | | 2.45 | | | | 2.56 | | | | (0.11 | ) | | | (0.60 | ) | | | (0.71 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 9.85 | | | | 0.02 | | | | 0.92 | | | | 0.94 | | | | (0.04 | ) | | | (1.25 | ) | | | (1.29 | ) |
Year Ended June 30, 2017 | | | 9.27 | | | | 0.03 | | | | 1.65 | | | | 1.68 | | | | (0.04 | ) | | | (1.06 | ) | | | (1.10 | ) |
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 | | | | — | (f)(h) | | | 2.56 | | | | 2.56 | | | | (0.02 | ) | | | (1.14 | ) | | | (1.16 | ) |
Year Ended June 30, 2013 | | | 9.55 | | | | 0.03 | (g) | | | 2.25 | | | | 2.28 | | | | (0.05 | ) | | | (0.60 | ) | | | (0.65 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 11.66 | | | | 0.07 | | | | 1.09 | | | | 1.16 | | | | (0.10 | ) | | | (1.25 | ) | | | (1.35 | ) |
Year Ended June 30, 2017 | | | 10.75 | | | | 0.13 | | | | 1.94 | | | | 2.07 | | | | (0.10 | ) | | | (1.06 | ) | | | (1.16 | ) |
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 | (f) | | | 2.83 | | | | 2.95 | | | | (0.11 | ) | | | (1.14 | ) | | | (1.25 | ) |
Year Ended June 30, 2013 | | | 10.37 | | | | 0.14 | (g) | | | 2.46 | | | | 2.60 | | | | (0.13 | ) | | | (0.60 | ) | | | (0.73 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 11.36 | | | | 0.04 | | | | 1.07 | | | | 1.11 | | | | (0.06 | ) | | | (1.25 | ) | | | (1.31 | ) |
Year Ended June 30, 2017 | | | 10.52 | | | | 0.07 | | | | 1.89 | | | | 1.96 | | | | (0.06 | ) | | | (1.06 | ) | | | (1.12 | ) |
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 | (f) | | | 2.78 | | | | 2.84 | | | | (0.05 | ) | | | (1.14 | ) | | | (1.19 | ) |
Year Ended June 30, 2013 | | | 10.25 | | | | 0.08 | (g) | | | 2.44 | | | | 2.52 | | | | (0.08 | ) | | | (0.60 | ) | | | (0.68 | ) |
| (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) | 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 I and Class R2 Shares and the net investment income (loss) ratio would have been 0.65%, (0.03)%, 0.90% and 0.42% for Class A, Class C, Class I and Class R2 Shares respectively. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09, $0.01, $0.12 and $0.06 for Class A, Class C, Class I and Class R2 Shares, respectively, and the net investment income (loss) ratio would have been 0.82%, 0.13%, 1.07% and 0.58% for Class A, Class C, Class I and Class R2 Shares, respectively. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 11.33 | | | | 9.95 | % | | $ | 173,426 | | | | 0.59 | % | | | 0.86 | % | | | 0.88 | % | | | 13 | % |
| | 11.52 | | | | 19.37 | | | | 162,853 | | | | 0.62 | | | | 0.87 | | | | 0.93 | | | | 30 | |
| | 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 | (f) | | | 0.87 | | | | 25 | |
| | 12.17 | | | | 25.91 | | | | 84,296 | | | | 0.69 | | | | 0.95 | (g) | | | 0.88 | | | | 51 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 9.50 | | | | 9.65 | | | | 35,164 | | | | 1.09 | | | | 0.33 | | | | 1.39 | | | | 13 | |
| | 9.85 | | | | 18.58 | | | | 37,529 | | | | 1.17 | | | | 0.32 | | | | 1.44 | | | | 30 | |
| | 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 | | | | — | (f)(i) | | | 1.37 | | | | 25 | |
| | 11.18 | | | | 25.07 | | | | 16,636 | | | | 1.37 | | | | 0.27 | (g) | | | 1.38 | | | | 51 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.47 | | | | 9.99 | | | | 823,000 | | | | 0.34 | | | | 1.10 | | | | 0.61 | | | | 13 | |
| | 11.66 | | | | 19.66 | | | | 788,063 | | | | 0.38 | | | | 1.13 | | | | 0.62 | | | | 30 | |
| | 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 | (f) | | | 0.62 | | | | 25 | |
| | 12.24 | | | | 26.26 | | | | 1,296,602 | | | | 0.44 | | | | 1.21 | (g) | | | 0.63 | | | | 51 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.16 | | | | 9.86 | | | | 23,524 | | | | 0.82 | | | | 0.63 | | | | 1.28 | | | | 13 | |
| | 11.36 | | | | 19.06 | | | | 22,703 | | | | 0.85 | | | | 0.63 | | | | 1.29 | | | | 30 | |
| | 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 | (f) | | | 1.12 | | | | 25 | |
| | 12.09 | | | | 25.72 | | | | 6,985 | | | | 0.93 | | | | 0.72 | (g) | | | 1.13 | | | | 51 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 35 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
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 I and Class R6 | | Diversified |
| Market Expansion Enhanced Index Fund | | Class A, Class C, Class I and Class R2 | | Diversified |
The investment objective of the Equity Index Fund is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”).
The investment objective of the Market Expansion Enhanced Index Fund is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2 and Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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.
Futures are generally valued on the basis of available market quotations.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
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) | | $ | 3,167,387 | | | $ | — | | | $ | 2 | | | $ | 3,167,389 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 299 | | | $ | — | | | $ | — | | | $ | 299 | |
| | | | | | | | | | | | | | | | |
Market Expansion Enhanced Index Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 1,056,484 | | | $ | — | | | $ | — | (b) | | $ | 1,056,484 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 279 | | | $ | — | | | $ | — | | | $ | 279 | |
| | | | | | | | | | | | | | | | |
| (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) | Amount rounds to less than 500. |
There were no transfers among any levels during the six months ended December 31, 2017.
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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 37 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
The table below discloses the volume of the Funds’ futures contracts activity during the six months ended December 31, 2017 (amounts in thousands):
| | | | | | | | |
| | | Equity Index
Fund | | | Market
Expansion
Enhanced
Index Fund | |
Futures Contracts — Equity | | | | | | | | |
Average Notional Balance Long | | $ | 12,130 | | | $ | 22,790 | |
Ending Notional Balance Long | | | 30,774 | | | | 17,206 | |
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 the tables below are in thousands.
Equity Index Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | For the six months ended December 31, 2017 | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from
Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Chase & Co. (common stock)* | | | 465 | | | | 27,280 | | | | 19,395 | | | | 1,948 | | | | 173 | | | | 4,834 | | | | 49,734 | | | | 316 | | | | — | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 110,726 | | | | 6,258 | | | | 1,237,320 | | | | 1,132,852 | | | | — | | | | — | | | | 110,726 | | | | 133 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | 33,538 | | | | 1,256,715 | | | | 1,134,800 | | | | 173 | | | | 4,834 | | | | 160,460 | | | | 449 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Investment in affiliate which is a security in the Fund’s Index. |
Market Expansion Enhanced Index Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | For the six months ended December 31, 2017 | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market
Value June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from
Sales ($) | | | Net
Realized
Gain (Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 18,017 | | | | 23,239 | | | | 110,910 | | | | 116,132 | | | | — | | | | — | | | | 18,017 | | | | 117 | | | | — | |
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.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
Transfer agency fees are class-specific expenses.
The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class R2 | | | Class R6 | | | Total | |
Equity Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 133 | | | $ | 4 | | | $ | 8 | | | | n/a | | | $ | 1 | | | $ | 146 | |
| | | | | | |
Market Expansion Enhanced Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 16 | | | | 4 | | | | 8 | | | $ | 21 | | | | n/a | | | | 49 | |
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 December 31, 2017, 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.
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 0.04% of the Equity Index Fund’s average daily net assets and 0.25% of the Market Expansion Enhanced Index 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 0.15% 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 six months ended December 31, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, 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 | % |
In addition, JPMDS 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 six months ended December 31, 2017, JPMDS retained the following amounts (amounts in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Equity Index Fund | | $ | 8 | | | $ | — | (a) |
Market Expansion Enhanced Index Fund | | | 14 | | | | — | (a) |
| (a) | Amount rounds to less than 500. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 39 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
D. Service Fees — The Trust, on behalf of the Funds, has entered into Shareholder Servicing Agreements with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service 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.
JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service 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 JPMDS 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 I | | | Class R2 | | | Class R6 | |
Equity Index Fund | | | 0.45 | % | | | 1.20 | % | | | 0.20 | % | | | n/a | | | | 0.045 | % |
Market Expansion Enhanced Index Fund | | | 0.60 | | | | 1.10 | | | | 0.35 | | | | 0.83 | % | | | n/a | |
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2017 and are in place until at least October 31, 2018 for Equity Index Fund and Market Expansion Enhanced Index Fund.
For the six months ended December 31, 2017, 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 | | | Contractual
Reimbursements | |
| | | Investment
Advisory
Fees | | | Administration
Fees | | | Service
Fees | | | Total | | |
Equity Index Fund | | $ | 404 | | | $ | 589 | | | $ | 753 | | | $ | 1,746 | | | $ | 1 | |
Market Expansion Enhanced Index Fund | | | 944 | | | | 419 | | | | 42 | | | | 1,405 | | | | — | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, 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.
The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2017 was as follows (amounts in thousands):
| | | | |
Equity Index Fund | | $ | 7 | |
Market Expansion Enhanced Index Fund | | | 27 | |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. 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.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
The Funds may use related party broker-dealers. For the six months ended December 31, 2017, 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 six months ended December 31, 2017, 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 | | $ | 1,173,798 | | | $ | 118,747 | |
Market Expansion Enhanced Index Fund | | | 129,012 | | | | 180,134 | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Equity Index Fund | | $ | 1,785,644 | | | $ | 1,390,870 | | | $ | 8,826 | | | $ | 1,382,044 | |
Market Expansion Enhanced Index Fund | | | 705,018 | | | | 380,844 | | | | 29,099 | | | | 351,745 | |
As of June 30, 2017, 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 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).
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 5, 2018.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at December 31, 2017. Average borrowings from the Facility for the six months ended December 31, 2017, were as follows (amounts in thousands, except number of days outstanding):
| | | | | | | | | | | | | | | | |
| | | Average
Borrowings | | | Average
Interest Rate Paid | | | Number of
Days
Outstanding | | | Interest Paid | |
Equity Index Fund | | $ | 2.961 | | | | 2.66 | % | | | 2 | | | $ | — | (a) |
| (a) | Amount rounds to less than 500. |
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 41 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
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 December 31, 2017, the Equity Index Fund had one affiliated omnibus accounts, which owned 13.3% of the Fund’s outstanding shares.
As of December 31, 2017, the J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate shares representing 44.4% 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. Subscription in-kind
On September 7, 2017, certain shareholders purchased shares of Equity Index Fund. The portfolio securities were received primarily by means of a subscription in-kind in exchange for shares of the Fund. Portfolio securities were transferred as detailed below (amounts in thousands):
| | | | | | | | | | | | |
| | | | | | Value | | | Type | |
| | | | | | $ | 67,453 | | | | Subscription in-kind | |
9. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
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, July 1, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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 July 1, 2017 | | | Ending Account Value December 31, 2017 | | | Expenses Paid During
the Period* | | | Annualized Expense Ratio | |
Equity Index Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,111.70 | | | $ | 2.40 | | | | 0.45 | % |
Hypothetical | | | 1,000.00 | | | | 1,022.94 | | | | 2.29 | | | | 0.45 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,108.40 | | | | 5.58 | | | | 1.05 | |
Hypothetical | | | 1,000.00 | | | | 1,019.91 | | | | 5.35 | | | | 1.05 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,113.50 | | | | 1.07 | | | | 0.20 | |
Hypothetical | | | 1,000.00 | | | | 1,024.20 | | | | 1.02 | | | | 0.20 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,114.30 | | | | 0.21 | | | | 0.045 | |
Hypothetical | | | 1,000.00 | | | | 1,025.00 | | | | 0.20 | | | | 0.045 | |
| | | | |
Market Expansion Enhanced Index Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,099.50 | | | | 3.12 | | | | 0.59 | |
Hypothetical | | | 1,000.00 | | | | 1,022.23 | | | | 3.01 | | | | 0.59 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,096.50 | | | | 5.76 | | | | 1.09 | |
Hypothetical | | | 1,000.00 | | | | 1,019.71 | | | | 5.55 | | | | 1.09 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,099.90 | | | | 1.85 | | | | 0.35 | |
Hypothetical | | | 1,000.00 | | | | 1,023.44 | | | | 1.79 | | | | 0.35 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,098.60 | | | | 4.34 | | | | 0.82 | |
Hypothetical | | | 1,000.00 | | | | 1,021.07 | | | | 4.18 | | | | 0.82 | |
| * | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 43 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreement for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive session with independent legal counsel at which no representatives of the Adviser were
present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that
there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior Officer
The Trustees noted that, upon their direction, the Senior Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
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| DECEMBER 31, 2017 | | J.P. MORGAN EQUITY FUNDS | | | | | 45 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Equity Index Fund’s performance for Class A shares was in the first quintile based on the Peer Group and in the third quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for the one-year period ended December 31, 2016, and in the second quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Market Expansion Enhanced Index Fund’s performance for both Class A and Class I shares was in the third, first and first quintiles based upon the Universe for
the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Equity Index Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that based upon the Universe, the Market Expansion Enhanced Index Fund’s net advisory fee and actual total expenses for both Class A and Class I shares were in the first quintile. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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| 46 | | | | J.P. MORGAN EQUITY FUNDS | | DECEMBER 31, 2017 |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-INDEX-1217 |
Semi-Annual Report
J.P. Morgan Investor Funds
December 31, 2017 (Unaudited)
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
| | |
 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
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| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 1 | |
J.P. Morgan Investor Funds
FUND FACTS
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Fund Return
(With
sales charge)* | | | Fund Return
(Without
sales charge)* | | | Bloomberg 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
December 31, 2017
(in thousands) | |
| JPMorgan Investor Balanced Fund, Class A | | | 1.60% | | | | 6.36% | | | | 0.65% | | | | 11.20% | | | | 5.83% | ** | | $ | 4,997,796 | |
| | | | | | |
| JPMorgan Investor Conservative Growth Fund, Class A | | | (0.39)% | | | | 4.27% | | | | 0.65% | | | | 11.20% | | | | 3.73% | *** | | $ | 3,721,670 | |
| | | | | | |
| JPMorgan Investor Growth Fund, Class A | | | 5.40% | | | | 10.37% | | | | 0.65% | | | | 11.20% | | | | 10.11% | **** | | $ | 2,739,701 | |
| | | | | | |
| JPMorgan Investor Growth & Income Fund, Class A | | | 3.37% | | | | 8.25% | | | | 0.65% | | | | 11.20% | | | | 7.95% | ***** | | $ | 3,022,245 | |
Portfolio Composition by Asset Class******
| | | | |
Investor Balanced Fund | |
| Fixed Income | | | 44.0 | % |
| U.S. Equity | | | 34.9 | |
| International Equity | | | 16.0 | |
| Alternative Assets | | | 4.0 | |
| Short-Term Investment | | | 1.1 | |
|
Investor Conservative Growth Fund | |
| Fixed Income | | | 64.1 | % |
| U.S. Equity | | | 20.9 | |
| International Equity | | | 9.5 | |
| Alternative Assets | | | 4.5 | |
| Short-Term Investment | | | 1.0 | |
|
Investor Growth Fund | |
| U.S. Equity | | | 63.0 | % |
| International Equity | | | 24.7 | |
| Fixed Income | | | 9.6 | |
| Alternative Assets | | | 1.6 | |
| Short-Term Investment | | | 1.1 | |
|
Investor Growth & Income Fund | |
| U.S. Equity | | | 48.4 | % |
| Fixed Income | | | 27.6 | |
| International Equity | | | 19.4 | |
| Alternative Assets | | | 3.5 | |
| Short-Term Investment | | | 1.1 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Balanced Fund’s model allocation and consists of the Bloomberg 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 Bloomberg 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 Bloomberg 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 Bloomberg Barclays U.S. Intermediate Aggregate Index (30%). |
| ****** | | Percentages indicated are based on total investments as of December 31, 2017. The Funds’ portfolio composition is subject to change. |
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| 2 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
J.P. Morgan Investor Funds
FUNDS COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
INVESTMENT OBJECTIVES*
The JPMorgan Investor Balanced Fund seeks high total return consistent with the preservation of capital by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity and fixed income securities.
The JPMorgan Investor Conservative Growth Fund seeks income and capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in fixed income and equity securities.
The JPMorgan Investor Growth Fund seeks long-term capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.
The JPMorgan Investor Growth & Income Fund seeks long-term capital appreciation and growth of income by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.
HOW DID THE MARKET PERFORM?
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month. Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period.
By contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year, and on November 3, 2017, fell to its lowest-ever level.
Meanwhile, fixed-income securities experienced positive but lackluster returns. High yield bonds (also known as “junk bonds”) slightly outperformed both investment grade corporate bonds and U.S. Treasury bonds.
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 six months ended December 31, 2017, each of the Investor Funds outperformed the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark.
Each of the Investor Funds underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to their allocations to core bond securities, which generally underperformed equity securities and were not held in the Russell 3000.
Each Investor Fund’s performance is also compared to composite benchmarks, which comprise 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 (Class A Shares without sales charge) outperformed their respective composite benchmarks, mainly due to equity manager performance and to the Funds’ exposure to U.S. high yield debt that was 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 maintaining a level of volatility similar to that of each Investor Fund’s composite benchmark.
During the reporting period, the Investor Funds’ portfolio managers — through their investments in underlying funds – decreased their allocation to high-yield debt and continued to reduce their allocation to U.S. equity, particularly large cap stocks, amid rising equity prices. The managers increased their exposure to international equity as a result of an improved global earnings environment.
| * | | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 3 | |
JPMorgan Investor Balanced Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | December 10, 1996 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | 1.60% | | | | 7.89 | % | | | 6.76 | % | | | 5.28 | % |
Without Sales Charge | | | | | | | 6.36 | | | | 13.01 | | | | 7.74 | | | | 5.76 | |
CLASS C SHARES | | | July 1, 1997 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 5.08 | | | | 11.34 | | | | 7.16 | | | | 5.19 | |
Without CDSC | | | | | | | 6.08 | | | | 12.34 | | | | 7.16 | | | | 5.19 | |
CLASS I SHARES | | | December 10, 1996 | | | | 6.48 | | | | 13.28 | | | | 8.00 | | | | 6.02 | |
CLASS R6 SHARES | | | July 31, 2017 | | | | 6.56 | | | | 13.36 | | | | 8.01 | | | | 6.03 | |
CLASS T SHARES | | | June 6, 2017 | | | | | | | | | | | | | | | | | |
With Sales Charge**** | | | | | | | 3.71 | | | | 10.13 | | | | 7.12 | | | | 5.44 | |
Without Sales Charge | | | | | | | 6.35 | | | | 12.93 | | | | 7.66 | | | | 5.71 | |
| ** | | Sales Charge for Class A Shares is 4.50%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
| **** | | Sales Charge for Class T Shares is 2.50%. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
Returns for Class T Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class T Shares would have been different than those shown because Class T Shares have different expenses than Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Bloomberg 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 December 31, 2007 to December 31, 2017. 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 Bloomberg 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 Bloomberg 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 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.
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| 4 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | December 10, 1996 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | (0.39)% | | | | 4.05 | % | | | 4.38 | % | | | 4.36 | % |
Without Sales Charge | | | | | | | 4.27 | | | | 8.94 | | | | 5.33 | | | | 4.84 | |
CLASS C SHARES | | | July 1, 1997 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 2.90 | | | | 7.34 | | | | 4.76 | | | | 4.28 | |
Without CDSC | | | | | | | 3.90 | | | | 8.34 | | | | 4.76 | | | | 4.28 | |
CLASS I SHARES | | | December 10, 1996 | | | | 4.46 | | | | 9.33 | | | | 5.61 | | | | 5.11 | |
CLASS R6 SHARES | | | July 31, 2017 | | | | 4.44 | | | | 9.31 | | | | 5.59 | | | | 5.11 | |
CLASS T SHARES | | | June 6, 2017 | | | | | | | | | | | | | | | | | |
With Sales Charge**** | | | | | | | 1.63 | | | | 6.16 | | | | 4.73 | | | | 4.53 | |
Without Sales Charge | | | | | | | 4.25 | | | | 8.92 | | | | 5.26 | | | | 4.79 | |
| ** | | Sales Charge for Class A Shares is 4.50%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
| **** | | Sales Charge for Class T Shares is 2.50%. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
Returns for Class T Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class T Shares would have been different than those shown because Class T Shares have different expenses than Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Bloomberg 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 December 31, 2007 to December 31, 2017. 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 Bloomberg 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 Bloomberg 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 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 5 | |
JPMorgan Investor Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | December 10, 1996 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | 5.40% | | | | 15.60 | % | | | 11.47 | % | | | 6.48 | % |
Without Sales Charge | | | | | | | 10.37 | | | | 21.07 | | | | 12.51 | | | | 6.97 | |
CLASS C SHARES | | | July 1, 1997 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 9.07 | | | | 19.35 | | | | 11.90 | | | | 6.37 | |
Without CDSC | | | | | | | 10.07 | | | | 20.35 | | | | 11.90 | | | | 6.37 | |
CLASS I SHARES | | | December 10, 1996 | | | | 10.50 | | | | 21.33 | | | | 12.80 | | | | 7.23 | |
CLASS R6 SHARES | | | July 31, 2017 | | | | 10.57 | | | | 21.41 | | | | 12.80 | | | | 7.23 | |
CLASS T SHARES | | | June 6, 2017 | | | | | | | | | | | | | | | | | |
With Sales Charge**** | | | | | | | 7.61 | | | | 17.98 | | | | 11.86 | | | | 6.65 | |
Without Sales Charge | | | | | | | 10.35 | | | | 21.03 | | | | 12.43 | | | | 6.92 | |
| ** | | Sales Charge for Class A Shares is 4.50%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
| **** | | Sales Charge for Class T Shares is 2.50%. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
Returns for Class T Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class T Shares would have been different than those shown because Class T Shares have different expenses than Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Russell 3000 Index, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Growth Composite Benchmark and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from December 31, 2007 to December 31, 2017. 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 Bloomberg 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 Bloomberg 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 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.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | December 10, 1996 | | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | | | 3.37% | | | | 11.43 | % | | | 8.74 | % | | | 5.76 | % |
Without Sales Charge | | | | | | | 8.25 | | | | 16.67 | | | | 9.74 | | | | 6.25 | |
CLASS C SHARES | | | July 1, 1997 | | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | | | 6.92 | | | | 14.92 | | | | 9.15 | | | | 5.67 | |
Without CDSC | | | | | | | 7.92 | | | | 15.92 | | | | 9.15 | | | | 5.67 | |
CLASS I SHARES | | | December 10, 1996 | | | | 8.39 | | | | 16.89 | | | | 10.02 | | | | 6.52 | |
CLASS R6 SHARES | | | July 31, 2017 | | | | 8.46 | | | | 16.97 | | | | 10.03 | | | | 6.52 | |
CLASS T SHARES | | | June 6, 2017 | | | | | | | | | | | | | | | | | |
With Sales Charge**** | | | | | | | 5.56 | | | | 13.72 | | | | 9.11 | | | | 5.93 | |
Without Sales Charge | | | | | | | 8.23 | | | | 16.60 | | | | 9.65 | | | | 6.20 | |
| ** | | Sales Charge for Class A Shares is 4.50%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
| **** | | Sales Charge for Class T Shares is 2.50%. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
Returns for Class T Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class T Shares would have been different than those shown because Class T Shares have different expenses than Class A Shares.
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 Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Growth & Income Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from December 31, 2007 to December 31, 2017. 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 Bloomberg 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 Bloomberg 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 $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 7 | |
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Investment Companies — 99.0% (b) | |
| | | | Alternative Assets — 4.0% | | | | |
| | 4,708 | | | JPMorgan Multi-Cap Market Neutral Fund, Class I Shares (a) | | | 50,097 | |
| | 3,309 | | | JPMorgan Research Market Neutral Fund, Class L Shares (a) | | | 49,999 | |
| | 6,469 | | | JPMorgan Systematic Alpha Fund, Class R6 Shares (a) | | | 98,138 | |
| | | | | | | | |
| | | | Total Alternative Assets | | | 198,234 | |
| | | | | | | | |
| | | | Fixed Income — 44.1% | |
| | 75,307 | | | JPMorgan Core Bond Fund, Class R6 Shares | | | 872,805 | |
| | 59,863 | | | JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 495,668 | |
| | 6,074 | | | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 50,838 | |
| | 17,267 | | | JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 161,965 | |
| | 26,337 | | | JPMorgan High Yield Fund, Class R6 Shares | | | 195,160 | |
| | 7,636 | | | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 78,418 | |
| | 20,695 | | | JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 207,567 | |
| | 8,389 | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 97,478 | |
| | 4,382 | | | JPMorgan Unconstrained Debt Fund, Class R6 Shares | | | 43,780 | |
| | | | | | | | |
| | | | Total Fixed Income | | | 2,203,679 | |
| | | | | | | | |
| | | | International Equity — 16.0% | |
| | 4,812 | | | JPMorgan Emerging Economies Fund, Class R6 Shares | | | 71,939 | |
| | 2,405 | | | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 71,971 | |
| | 7,623 | | | JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 171,128 | |
| | 4,704 | | | JPMorgan International Equity Fund, Class R6 Shares | | | 86,216 | |
| | 14,822 | | | JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 279,980 | |
| | 4,366 | | | JPMorgan Intrepid European Fund, Class L Shares | | | 119,231 | |
| | | | | | | | |
| | | | Total International Equity | | | 800,465 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | U.S. Equity — 34.9% | |
| | 5,334 | | | JPMorgan Equity Income Fund, Class R6 Shares | | | 92,814 | |
| | 8,372 | | | JPMorgan Intrepid America Fund, Class R6 Shares | | | 336,544 | |
| | 3,022 | | | JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 168,944 | |
| | 4,104 | | | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 97,521 | |
| | 4,298 | | | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | | | 166,966 | |
| | 8,193 | | | JPMorgan Large Cap Value Fund, Class R6 Shares | | | 127,479 | |
| | 13,750 | | | JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 157,709 | |
| | 776 | | | JPMorgan Small Cap Value Fund, Class R6 Shares | | | 23,777 | |
| | 29,543 | | | JPMorgan U.S. Equity Fund, Class R6 Shares | | | 482,430 | |
| | 2,561 | | | JPMorgan Value Advantage Fund, Class R6 Shares | | | 92,128 | |
| | | | | | | | |
| | | | Total U.S. Equity | | | 1,746,312 | |
| | | | | | | | |
| | | | Total Investment Companies (Cost $3,981,526) | | | 4,948,690 | |
| | | | | | | | |
| | Short-Term Investment — 1.1% | |
| | | | Investment Company — 1.1% | |
| | 56,378 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $56,378) | | | 56,378 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $4,037,904) | | | 5,005,068 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (7,272 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 4,997,796 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Investment Companies — 99.2% (b) | |
| | | | Alternative Assets — 4.4% | | | | |
| | 3,525 | | | JPMorgan Multi-Cap Market Neutral Fund, Class I Shares (a) | | | 37,509 | |
| | 2,460 | | | JPMorgan Research Market Neutral Fund, Class L Shares (a) | | | 37,172 | |
| | 5,971 | | | JPMorgan Systematic Alpha Fund, Class R6 Shares (a) | | | 90,586 | |
| | | | | | | | |
| | | | Total Alternative Assets | | | 165,267 | |
| | | | | | | | |
| | | | Fixed Income — 64.2% | |
| | 87,576 | | | JPMorgan Core Bond Fund, Class R6 Shares | | | 1,015,004 | |
| | 57,609 | | | JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 477,003 | |
| | 4,504 | | | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 37,700 | |
| | 14,985 | | | JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 140,556 | |
| | 3,802 | | | JPMorgan Government Bond Fund, Class R6 Shares | | | 39,847 | |
| | 15,742 | | | JPMorgan High Yield Fund, Class R6 Shares | | | 116,647 | |
| | 7,619 | | | JPMorgan Income Fund, Class R6 Shares | | | 72,071 | |
| | 6,931 | | | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 71,186 | |
| | 30,932 | | | JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 310,250 | |
| | 6,146 | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 71,416 | |
| | 3,671 | | | JPMorgan Unconstrained Debt Fund, Class R6 Shares | | | 36,669 | |
| | | | | | | | |
| | | | Total Fixed Income | | | 2,388,349 | |
| | | | | | | | |
| | | | International Equity — 9.6% | |
| | 2,532 | | | JPMorgan Emerging Economies Fund, Class R6 Shares | | | 37,848 | |
| | 1,238 | | | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 37,045 | |
| | 2,075 | | | JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 46,590 | |
| | 2,352 | | | JPMorgan International Equity Fund, Class R6 Shares | | | 43,117 | |
| | 7,620 | | | JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 143,948 | |
| | 1,710 | | | JPMorgan Intrepid European Fund, Class L Shares | | | 46,708 | |
| | | | | | | | |
| | | | Total International Equity | | | 355,256 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | U.S. Equity — 21.0% | |
| | 3,833 | | | JPMorgan Equity Income Fund, Class R6 Shares | | | 66,702 | |
| | 4,883 | | | JPMorgan Intrepid America Fund, Class R6 Shares | | | 196,290 | |
| | 1,721 | | | JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 96,218 | |
| | 1,121 | | | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | | | 43,553 | |
| | 1,559 | | | JPMorgan Large Cap Value Fund, Class R6 Shares | | | 24,252 | |
| | 4,208 | | | JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 48,270 | |
| | 1,116 | | | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | | | 37,847 | |
| | 775 | | | JPMorgan Small Cap Value Fund, Class R6 Shares | | | 23,753 | |
| | 11,006 | | | JPMorgan U.S. Equity Fund, Class R6 Shares | | | 179,735 | |
| | 1,767 | | | JPMorgan Value Advantage Fund, Class R6 Shares | | | 63,572 | |
| | | | | | | | |
| | | | Total U.S. Equity | | | 780,192 | |
| | | | | | | | |
| | | | Total Investment Companies
(Cost $3,218,181) | | | 3,689,064 | |
| | | | | | | | |
| | Short-Term Investment — 1.0% | |
| | | | Investment Company — 1.0% | |
| | 38,306 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $38,306) | | | 38,306 | |
| | | | | | | | |
| | | | Total Investments — 100.2%
(Cost $3,256,487) | | | 3,727,370 | |
| | | | Liabilities in Excess of
Other Assets — (0.2)% | | | (5,700 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 3,721,670 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 9 | |
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Investment Companies — 99.0% (b) | |
| | | | Alternative Assets — 1.6% | |
| | 1,133 | | | JPMorgan Commodities Strategy Fund, Class R6 Shares | | | 10,519 | |
| | 2,166 | | | JPMorgan Systematic Alpha Fund, Class R6 Shares (a) | | | 32,852 | |
| | | | | | | | |
| | | | Total Alternative Assets | | | 43,371 | |
| | | | | | | | |
| | | | Fixed Income — 9.6% | |
| | 10,895 | | | JPMorgan Core Bond Fund, Class R6 Shares | | | 126,276 | |
| | 3,823 | | | JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 31,657 | |
| | 1,598 | | | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 13,376 | |
| | 2,344 | | | JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 21,991 | |
| | 9,454 | | | JPMorgan High Yield Fund, Class R6 Shares | | | 70,052 | |
| | | | | | | | |
| | | | Total Fixed Income | | | 263,352 | |
| | | | | | | | |
| | | | International Equity — 24.7% | |
| | 3,626 | | | JPMorgan Emerging Economies Fund, Class R6 Shares | | | 54,216 | |
| | 1,829 | | | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 54,752 | |
| | 3,477 | | | JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 78,049 | |
| | 6,818 | | | JPMorgan International Equity Fund, Class R6 Shares | | | 124,980 | |
| | 10,080 | | | JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 190,404 | |
| | 3,873 | | | JPMorgan International Unconstrained Equity Fund, Class R6 Shares | | | 83,725 | |
| | 3,347 | | | JPMorgan Intrepid European Fund, Class L Shares | | | 91,403 | |
| | | | | | | | |
| | | | Total International Equity | | | 677,529 | |
| | | | | | | | |
| | | | U.S. Equity — 63.1% | |
| | 2,859 | | | JPMorgan Equity Income Fund, Class R6 Shares | | | 49,741 | |
| | 7,989 | | | JPMorgan Intrepid America Fund, Class R6 Shares | | | 321,159 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | U.S. Equity — continued | | | | |
| | 2,472 | | | JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 138,229 | |
| | 1,976 | | | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 46,961 | |
| | 6,170 | | | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | | | 239,694 | |
| | 18,116 | | | JPMorgan Large Cap Value Fund, Class R6 Shares | | | 281,881 | |
| | 12,810 | | | JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 146,926 | |
| | | | | | | | |
| | 1,009 | | | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | | | 34,226 | |
| | 1,148 | | | JPMorgan Small Cap Value Fund, Class R6 Shares | | | 35,180 | |
| | 23,466 | | | JPMorgan U.S. Equity Fund, Class R6 Shares | | | 383,201 | |
| | 1,446 | | | JPMorgan Value Advantage Fund, Class R6 Shares | | | 52,028 | |
| | | | | | | | |
| | | | Total U.S. Equity | | | 1,729,226 | |
| | | | | | | | |
| | | | Total Investment Companies
(Cost $1,892,764) | | | 2,713,478 | |
| | | | | | | | |
| | Short-Term Investment — 1.1% | |
| | | | Investment Company — 1.1% | |
| | 29,785 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $29,785) | | | 29,785 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $1,922,549) | | | 2,743,263 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (3,562 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 2,739,701 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Investment Companies — 99.0% (b) | |
| | | | Alternative Assets — 3.5% | | | | |
| | 990 | | | JPMorgan Commodities Strategy Fund, Class R6 Shares | | | 9,191 | |
| | 2,165 | | | JPMorgan Multi-Cap Market Neutral Fund, Class I Shares (a) | | | 23,036 | |
| | 1,511 | | | JPMorgan Research Market Neutral Fund, Class L Shares (a) | | | 22,833 | |
| | 3,403 | | | JPMorgan Systematic Alpha Fund, Class R6 Shares (a) | | | 51,626 | |
| | | | | | | | |
| | | | Total Alternative Assets | | | 106,686 | |
| | | | | | | | |
| | | | Fixed Income — 27.7% | |
| | 27,439 | | | JPMorgan Core Bond Fund, Class R6 Shares | | | 318,014 | |
| | 22,288 | | | JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 184,545 | |
| | 1,859 | | | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 15,562 | |
| | 10,300 | | | JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 96,610 | |
| | 15,722 | | | JPMorgan High Yield Fund, Class R6 Shares | | | 116,504 | |
| | 3,879 | | | JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 39,833 | |
| | 3,680 | | | JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 36,908 | |
| | 2,450 | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 28,466 | |
| | | | | | | | |
| | | | Total Fixed Income | | | 836,442 | |
| | | | | | | | |
| | | | International Equity — 19.4% | |
| | 3,431 | | | JPMorgan Emerging Economies Fund, Class R6 Shares | | | 51,292 | |
| | 1,749 | | | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 52,342 | |
| | 4,929 | | | JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 110,660 | |
| | 4,461 | | | JPMorgan International Equity Fund, Class R6 Shares | | | 81,775 | |
| | 8,472 | | | JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 160,031 | |
| | 1,725 | | | JPMorgan International Unconstrained Equity Fund, Class R6 Shares | | | 37,297 | |
| | 3,409 | | | JPMorgan Intrepid European Fund, Class L Shares | | | 93,088 | |
| | | | | | | | |
| | | | Total International Equity | | | 586,485 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | U.S. Equity — 48.4% | |
| | 3,236 | | | JPMorgan Equity Income Fund, Class R6 Shares | | | 56,307 | |
| | 8,114 | | | JPMorgan Intrepid America Fund, Class R6 Shares | | | 326,168 | |
| | 1,742 | | | JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 97,415 | |
| | | | | | | | |
| | 1,356 | | | JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 32,229 | |
| | 5,124 | | | JPMorgan Large Cap Growth Fund, Class R6 Shares (a) | | | 199,058 | |
| | 11,462 | | | JPMorgan Large Cap Value Fund, Class R6 Shares | | | 178,353 | |
| | 10,110 | | | JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 115,967 | |
| | 911 | | | JPMorgan Mid Cap Growth Fund, Class R6 Shares (a) | | | 30,913 | |
| | 1,283 | | | JPMorgan Small Cap Value Fund, Class R6 Shares | | | 39,313 | |
| | 20,355 | | | JPMorgan U.S. Equity Fund, Class R6 Shares | | | 332,396 | |
| | 1,560 | | | JPMorgan Value Advantage Fund, Class R6 Shares | | | 56,134 | |
| | | | | | | | |
| | | | Total U.S. Equity | | | 1,464,253 | |
| | | | | | | | |
| | | | Total Investment Companies
(Cost $2,210,641) | | | 2,993,866 | |
| | | | | | | | |
| | Short-Term Investment — 1.1% | |
| | | | Investment Company — 1.1% | |
| | 32,600 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $32,600) | | | 32,600 | |
| | | | | | | | |
| | | | Total Investments — 100.1%
(Cost $2,243,241) | | | 3,026,466 | |
| | | | Liabilities in Excess of
Other Assets — (0.1)% | | | (4,221 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 3,022,245 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 11 | |
J.P. Morgan Investor Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| (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. |
| (l) | | — The rate shown is the current yield as of December 31, 2017. |
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.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 13 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Investor
Balanced
Fund | | | Investor
Conservative
Growth Fund | | | Investor
Growth Fund | | | Investor
Growth &
Income Fund | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in affiliates, at value | | $ | 5,005,068 | | | $ | 3,727,370 | | | $ | 2,743,263 | | | $ | 3,026,466 | |
Cash | | | — | | | | — | | | | — | (a) | | | 4 | |
Receivables: | | | | | | | | | | | | | | | | |
Fund shares sold | | | 1,411 | | | | 636 | | | | 1,604 | | | | 725 | |
Dividends from affiliates | | | 44 | | | | 476 | | | | 25 | | | | 26 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 5,006,523 | | | | 3,728,482 | | | | 2,744,892 | | | | 3,027,221 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Due to custodian | | | 12 | | | | 454 | | | | — | | | | — | |
Distributions | | | 301 | | | | 98 | | | | 424 | | | | 355 | |
Fund shares redeemed | | | 5,547 | | | | 3,763 | | | | 3,421 | | | | 2,997 | |
Accrued liabilities: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 203 | | | | 152 | | | | 111 | | | | 123 | |
Administration fees | | | 245 | | | | 190 | | | | 150 | | | | 161 | |
Distribution fees | | | 1,295 | | | | 1,293 | | | | 578 | | | | 698 | |
Service fees | | | 626 | | | | 512 | | | | 250 | | | | 317 | |
Custodian and accounting fees | | | 6 | | | | 7 | | | | 7 | | | | 7 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | (a) | | | — | | | | — | |
Other | | | 492 | | | | 343 | | | | 250 | | | | 318 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 8,727 | | | | 6,812 | | | | 5,191 | | | | 4,976 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 4,997,796 | | | $ | 3,721,670 | | | $ | 2,739,701 | | | $ | 3,022,245 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Investor
Balanced Fund | | | Investor
Conservative
Growth Fund | | | Investor
Growth Fund | | | Investor
Growth &
Income Fund | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Paid-in-Capital | | $ | 3,997,561 | | | $ | 3,218,410 | | | $ | 1,897,578 | | | $ | 2,248,232 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (18,795 | ) | | | (7,040 | ) | | | (25,393 | ) | | | (19,605 | ) |
Accumulated net realized gains (losses) | | | 51,866 | | | | 39,417 | | | | 46,802 | | | | 10,393 | |
Net unrealized appreciation (depreciation) | | | 967,164 | | | | 470,883 | | | | 820,714 | | | | 783,225 | |
| | | | | | | | | | | | | | | | |
Total Net Assets | | $ | 4,997,796 | | | $ | 3,721,670 | | | $ | 2,739,701 | | | $ | 3,022,245 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Class A | | $ | 3,681,664 | | | $ | 2,323,318 | | | $ | 2,124,492 | | | $ | 2,509,935 | |
Class C | | | 812,755 | | | | 1,259,568 | | | | 208,252 | | | | 266,715 | |
Class I | | | 469,926 | | | | 138,742 | | | | 399,588 | | | | 245,414 | |
Class R6 | | | 33,430 | | | | 21 | | | | 7,347 | | | | 159 | |
Class T | | | 21 | | | | 21 | | | | 22 | | | | 22 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 4,997,796 | | | $ | 3,721,670 | | | $ | 2,739,701 | | | $ | 3,022,245 | |
| | | | | | | | | | | | | | | | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | | | | | | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | | | | | |
Class A | | | 239,271 | | | | 181,883 | | | | 102,695 | | | | 144,287 | |
Class C | | | 53,649 | | | | 99,064 | | | | 10,752 | | | | 15,782 | |
Class I | | | 30,487 | | | | 10,800 | | | | 18,916 | | | | 14,337 | |
Class R6 | | | 2,170 | | | | 1 | | | | 348 | | | | 9 | |
Class T | | | 1 | | | | 2 | | | | 1 | | | | 1 | |
| | | | |
Net Asset Value (a): | | | | | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 15.39 | | | $ | 12.77 | | | $ | 20.69 | | | $ | 17.40 | |
Class C — Offering price per share (b) | | | 15.15 | | | | 12.71 | | | | 19.37 | | | | 16.90 | |
Class I — Offering and redemption price per share | | | 15.41 | | | | 12.85 | | | | 21.12 | | | | 17.12 | |
Class R6 — Offering and redemption price per share | | | 15.41 | | | | 12.84 | | | | 21.12 | | | | 17.12 | |
Class T — Offering and redemption price per share | | | 15.37 | | | | 12.77 | | | | 20.67 | | | | 17.38 | |
Class A maximum sales charge | | | 4.50 | % | | | 4.50 | % | | | 4.50 | % | | | 4.50 | % |
Class A maximum public offering price per share
[net asset value per share/(100% —maximum sales charge)] | | $ | 16.12 | | | $ | 13.37 | | | $ | 21.66 | | | $ | 18.22 | |
| | | | | | | | | | | | | | | | |
Class T maximum sales charge | | | 2.50 | % | | | 2.50 | % | | | 2.50 | % | | | 2.50 | % |
Class T maximum public offering price per share
[net asset value per share/(100% —maximum sales charge)] | | $ | 15.76 | | | $ | 13.10 | | | $ | 21.20 | | | $ | 17.83 | |
| | | | |
Cost of investments in affiliates | | | 4,037,904 | | | | 3,256,487 | | | | 1,922,549 | | | | 2,243,241 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 15 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Investor
Balanced
Fund | | | Investor
Conservative
Growth Fund | | | Investor
Growth Fund | | | Investor
Growth &
Income Fund | |
INVESTMENT INCOME: | |
Interest income from affiliates | | $ | 1 | | | $ | 1 | | | $ | 1 | | | $ | 1 | |
Dividend income from affiliates | | | 62,239 | | | | 49,123 | | | | 27,956 | | | | 34,786 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 62,240 | | | | 49,124 | | | | 27,957 | | | | 34,787 | |
| | | | | | | | | | | | | | | | |
| | | | |
EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 1,252 | | | | 945 | | | | 664 | | | | 752 | |
Administration fees | | | 1,441 | | | | 1,134 | | | | 855 | | | | 941 | |
Distribution fees: | | | | | | | | | | | | | | | | |
Class A | | | 4,445 | | | | 2,748 | | | | 2,536 | | | | 3,034 | |
Class C | | | 3,621 | | | | 5,412 | | | | 928 | | | | 1,260 | |
Class T | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) |
Service fees: | | | | | | | | | | | | | | | | |
Class A | | | 4,445 | | | | 2,748 | | | | 2,536 | | | | 3,034 | |
Class C | | | 1,207 | | | | 1,804 | | | | 309 | | | | 420 | |
Class I | | | 596 | | | | 172 | | | | 467 | | | | 305 | |
Class T | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) |
Custodian and accounting fees | | | 10 | | | | 11 | | | | 10 | | | | 10 | |
Professional fees | | | 53 | | | | 42 | | | | 35 | | | | 40 | |
Trustees’ and Chief Compliance Officer’s fees | | | 20 | | | | 19 | | | | 17 | | | | 17 | |
Printing and mailing costs | | | 195 | | | | 149 | | | | 114 | | | | 122 | |
Registration and filing fees | | | 69 | | | | 58 | | | | 54 | | | | 58 | |
Transfer agency fees (See Note 2.D.) | | | 235 | | | | 133 | | | | 356 | | | | 278 | |
Other | | | 47 | | | | 36 | | | | 25 | | | | 29 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 17,636 | | | | 15,411 | | | | 8,906 | | | | 10,300 | |
| | | | | | | | | | | | | | | | |
Less fees waived | | | (2,514 | ) | | | (1,607 | ) | | | (1,790 | ) | | | (1,841 | ) |
| | | | | | | | | | | | | | | | |
Net expenses | | | 15,122 | | | | 13,804 | | | | 7,116 | | | | 8,459 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 47,118 | | | | 35,320 | | | | 20,841 | | | | 26,328 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | |
Net realized gain (loss) on investments in affiliates | | | 67,487 | | | | 38,925 | | | | 17,298 | | | | 49,478 | |
Distributions of capital gains received from investment company affiliates | | | 126,061 | | | | 52,204 | | | | 134,010 | | | | 115,297 | |
Change in net unrealized appreciation/depreciation of investments in affiliates | | | 63,927 | | | | 26,583 | | | | 87,859 | | | | 44,418 | |
| | | | | | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 257,475 | | | | 117,712 | | | | 239,167 | | | | 209,193 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 304,593 | | | $ | 153,032 | | | $ | 260,008 | | | $ | 235,521 | |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Investor Balanced Fund | | | Investor Conservative Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 47,118 | | | $ | 77,088 | | | $ | 35,320 | | | $ | 65,259 | |
Net realized gain (loss) on investments in affiliates | | | 67,487 | | | | 118,754 | | | | 38,925 | | | | 76,964 | |
Distributions of capital gains received from investment company affiliates | | | 126,061 | | | | 64,589 | | | | 52,204 | | | | 24,878 | |
Change in net unrealized appreciation/depreciation of investments in affiliates | | | 63,927 | | | | 294,383 | | | | 26,583 | | | | 100,710 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 304,593 | | | | 554,814 | | | | 153,032 | | | | 267,811 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (49,619 | ) | | | (58,955 | ) | | | (28,271 | ) | | | (41,832 | ) |
From net realized gains | | | (168,249 | ) | | | (72,170 | ) | | | (72,621 | ) | | | (32,302 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (9,206 | ) | | | (11,734 | ) | | | (12,868 | ) | | | (20,489 | ) |
From net realized gains | | | (37,530 | ) | | | (22,004 | ) | | | (39,359 | ) | | | (23,339 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (7,024 | ) | | | (8,127 | ) | | | (1,894 | ) | | | (2,798 | ) |
From net realized gains | | | (21,110 | ) | | | (8,132 | ) | | | (4,344 | ) | | | (1,870 | ) |
Class R6 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (402 | ) | | | — | | | | — | (b) | | | — | |
From net realized gains | | | (1,508 | ) | | | — | | | | (1 | ) | | | — | |
Class T (c) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (b) | | | — | (b) | | | — | (b) | | | — | (b) |
From net realized gains | | | (1 | ) | | | — | | | | (1 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (294,649 | ) | | | (181,122 | ) | | | (159,359 | ) | | | (122,630 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 15,736 | | | | (802,511 | ) | | | (62,681 | ) | | | (642,559 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 25,680 | | | | (428,819 | ) | | | (69,008 | ) | | | (497,378 | ) |
Beginning of period | | | 4,972,116 | | | | 5,400,935 | | | | 3,790,678 | | | | 4,288,056 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 4,997,796 | | | $ | 4,972,116 | | | $ | 3,721,670 | | | $ | 3,790,678 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (18,795 | ) | | $ | 338 | | | $ | (7,040 | ) | | $ | 673 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective June 6, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 17 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Investor Growth Fund | | | Investor Growth & Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 20,841 | | | $ | 22,945 | | | $ | 26,328 | | | $ | 38,991 | |
Net realized gain (loss) on investments in affiliates | | | 17,298 | | | | 86,139 | | | | 49,478 | | | | 79,831 | |
Distributions of capital gains received from investment company affiliates | | | 134,010 | | | | 65,108 | | | | 115,297 | | | | 59,914 | |
Change in net unrealized appreciation/depreciation of investments in affiliates | | | 87,859 | | | | 271,856 | | | | 44,418 | | | | 253,578 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 260,008 | | | | 446,048 | | | | 235,521 | | | | 432,314 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (35,787 | ) | | | (19,734 | ) | | | (38,464 | ) | | | (33,847 | ) |
From net realized gains | | | (136,326 | ) | | | (84,422 | ) | | | (150,918 | ) | | | (72,446 | ) |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (3,343 | ) | | | (2,132 | ) | | | (3,458 | ) | | | (3,437 | ) |
From net realized gains | | | (14,110 | ) | | | (12,736 | ) | | | (16,432 | ) | | | (12,299 | ) |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (7,064 | ) | | | (3,798 | ) | | | (4,156 | ) | | | (3,737 | ) |
From net realized gains | | | (24,834 | ) | | | (12,791 | ) | | | (14,970 | ) | | | (6,488 | ) |
Class R6 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (134 | ) | | | — | | | | (3 | ) | | | — | |
From net realized gains | | | (451 | ) | | | — | | | | (10 | ) | | | — | |
Class T (b) | | | | | | | | | | | | | | | | |
From net investment income | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
From net realized gains | | | (1 | ) | | | — | | | | (1 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (222,050 | ) | | | (135,613 | ) | | | (228,412 | ) | | | (132,254 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 143,657 | | | | (199,280 | ) | | | 42,544 | | | | (469,431 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 181,615 | | | | 111,155 | | | | 49,653 | | | | (169,371 | ) |
Beginning of period | | | 2,558,086 | | | | 2,446,931 | | | | 2,972,592 | | | | 3,141,963 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 2,739,701 | | | $ | 2,558,086 | | | $ | 3,022,245 | | | $ | 2,972,592 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (25,393 | ) | | $ | 94 | | | $ | (19,605 | ) | | $ | 148 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Commencement of offering of class of shares effective June 6, 2017. |
| (c) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Investor Balanced Fund | | | Investor Conservative Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 369,476 | | | $ | 264,924 | | | $ | 372,471 | | | $ | 183,110 | |
Distributions reinvested | | | 216,992 | | | | 130,712 | | | | 100,522 | | | | 73,917 | |
Cost of shares redeemed | | | (335,143 | ) | | | (1,064,306 | ) | | | (221,214 | ) | | | (667,980 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 251,325 | | | $ | (668,670 | ) | | $ | 251,779 | | | $ | (410,953 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 67,595 | | | $ | 160,661 | | | $ | 91,200 | | | $ | 224,466 | |
Distributions reinvested | | | 46,491 | | | | 33,495 | | | | 52,026 | | | | 43,662 | |
Cost of shares redeemed | | | (382,999 | ) | | | (357,777 | ) | | | (461,098 | ) | | | (494,659 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (268,913 | ) | | $ | (163,621 | ) | | $ | (317,872 | ) | | $ | (226,531 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 47,186 | | | $ | 148,958 | | | $ | 14,870 | | | $ | 42,413 | |
Distributions reinvested | | | 26,577 | | | | 3,446 | | | | 5,722 | | | | 2,200 | |
Cost of shares redeemed | | | (74,987 | ) | | | (122,644 | ) | | | (17,202 | ) | | | (49,708 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (1,224 | ) | | $ | 29,760 | | | $ | 3,390 | | | $ | (5,095 | ) |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 32,641 | | | $ | — | | | $ | 20 | | | $ | — | |
Distributions reinvested | | | 1,910 | | | | — | | | | 1 | | | | — | |
Cost of shares redeemed | | | (4 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 34,547 | | | $ | — | | | $ | 21 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class T (b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | 20 | | | $ | — | | | $ | 20 | |
Distributions reinvested | | | 1 | | | | — | (c) | | | 1 | | | | — | (c) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class T capital transactions | | $ | 1 | | | $ | 20 | | | $ | 1 | | | $ | 20 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 15,736 | | | $ | (802,511 | ) | | $ | (62,681 | ) | | $ | (642,559 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Commencement of offering of class of shares effective June 6, 2017. |
| (c) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 19 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Investor Balanced Fund | | | Investor Conservative Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 23,273 | | | | 17,833 | | | | 28,461 | | | | 14,566 | |
Reinvested | | | 14,014 | | | | 8,886 | | | | 7,826 | | | | 5,932 | |
Redeemed | | | (21,292 | ) | | | (71,214 | ) | | | (17,005 | ) | | | (53,038 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 15,995 | | | | (44,495 | ) | | | 19,282 | | | | (32,540 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 4,351 | | | | 10,952 | | | | 7,037 | | | | 17,927 | |
Reinvested | | | 3,052 | | | | 2,317 | | | | 4,072 | | | | 3,527 | |
Redeemed | | | (24,519 | ) | | | (24,334 | ) | | | (35,456 | ) | | | (39,493 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (17,116 | ) | | | (11,065 | ) | | | (24,347 | ) | | | (18,039 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 2,981 | | | | 9,958 | | | | 1,135 | | | | 3,352 | |
Reinvested | | | 1,714 | | | | 233 | | | | 443 | | | | 175 | |
Redeemed | | | (4,730 | ) | | | (8,157 | ) | | | (1,318 | ) | | | (3,922 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (35 | ) | | | 2,034 | | | | 260 | | | | (395 | ) |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Issued | | | 2,047 | | | | — | | | | 1 | | | | — | |
Reinvested | | | 123 | | | | — | | | | — | (b) | | | — | |
Redeemed | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 2,170 | | | | — | | | | 1 | | | | — | |
| | | | | | | | | | | | | | | | |
Class T (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | 1 | | | | — | | | | 2 | |
Reinvested | | | — | (b) | | | — | (b) | | | — | (b) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in Class T Shares | | | — | (b) | | | 1 | | | | — | (b) | | | 2 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective June 6, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Investor Growth Fund | | | Investor Growth & Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 131,150 | | | $ | 122,390 | | | $ | 173,383 | | | $ | 135,891 | |
Distributions reinvested | | | 170,780 | | | | 103,579 | | | | 188,138 | | | | 105,860 | |
Cost of shares redeemed | | | (141,437 | ) | | | (421,646 | ) | | | (201,417 | ) | | | (620,548 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 160,493 | | | $ | (195,677 | ) | | $ | 160,104 | | | $ | (378,797 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 19,645 | | | $ | 44,771 | | | $ | 21,881 | | | $ | 58,135 | |
Distributions reinvested | | | 17,270 | | | | 14,448 | | | | 19,693 | | | | 15,258 | |
Cost of shares redeemed | | | (109,063 | ) | | | (87,416 | ) | | | (165,903 | ) | | | (141,358 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (72,148 | ) | | $ | (28,197 | ) | | $ | (124,329 | ) | | $ | (67,965 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 56,496 | | | $ | 105,940 | | | $ | 15,699 | | | $ | 61,573 | |
Distributions reinvested | | | 31,027 | | | | 4,159 | | | | 18,207 | | | | 2,743 | |
Cost of shares redeemed | | | (39,663 | ) | | | (85,525 | ) | | | (27,302 | ) | | | (87,005 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 47,860 | | | $ | 24,574 | | | $ | 6,604 | | | $ | (22,689 | ) |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 7,113 | | | $ | — | | | $ | 151 | | | $ | — | |
Distributions reinvested | | | 585 | | | | — | | | | 13 | | | | — | |
Cost of shares redeemed | | | (247 | ) | | | — | | | | — | (b) | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 7,451 | | | $ | — | | | $ | 164 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class T (c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | 20 | | | $ | — | | | $ | 20 | |
Distributions reinvested | | | 1 | | | | — | (b) | | | 1 | | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class T capital transactions | | $ | 1 | | | $ | 20 | | | $ | 1 | | | $ | 20 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 143,657 | | | $ | (199,280 | ) | | $ | 42,544 | | | $ | (469,431 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective June 6, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 21 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Investor Growth Fund | | | Investor Growth & Income Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 6,119 | | | | 6,334 | | | | 9,572 | | | | 8,160 | |
Reinvested | | | 8,197 | | | | 5,503 | | | | 10,737 | | | | 6,465 | |
Redeemed | | | (6,680 | ) | | | (21,701 | ) | | | (11,248 | ) | | | (37,043 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 7,636 | | | | (9,864 | ) | | | 9,061 | | | | (22,418 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 985 | | | | 2,452 | | | | 1,251 | | | | 3,584 | |
Reinvested | | | 886 | | | | 814 | | | | 1,158 | | | | 961 | |
Redeemed | | | (5,407 | ) | | | (4,765 | ) | | | (9,421 | ) | | | (8,678 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (3,536 | ) | | | (1,499 | ) | | | (7,012 | ) | | | (4,133 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 2,610 | | | | 5,355 | | | | 890 | | | | 3,738 | |
Reinvested | | | 1,459 | | | | 216 | | | | 1,056 | | | | 169 | |
Redeemed | | | (1,837 | ) | | | (4,322 | ) | | | (1,544 | ) | | | (5,287 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 2,232 | | | | 1,249 | | | | 402 | | | | (1,380 | ) |
| | | | | | | | | | | | | | | | |
Class R6 (a) | | | | | | | | | | | | | | | | |
Issued | | | 332 | | | | — | | | | 8 | | | | — | |
Reinvested | | | 27 | | | | — | | | | 1 | | | | — | |
Redeemed | | | (11 | ) | | | — | | | | — | (b) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 348 | | | | — | | | | 9 | | | | — | |
| | | | | | | | | | | | | | | | |
Class T (c) | | | | | | | | | | | | | | | | |
Issued | | | — | | | | 1 | | | | — | | | | 1 | |
Reinvested | | | — | (b) | | | — | (b) | | | — | (b) | | | — | (b) |
| | | | | | | | | | | | | | | | |
Change in Class T Shares | | | — | (b) | | | 1 | | | | — | (b) | | | 1 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective July 31, 2017. |
| (b) | Amount rounds to less than 500. |
| (c) | Commencement of offering of class of shares effective June 6, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 23 | |
FINANCIAL HIGHLIGHTS
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 | |
Investor Balanced Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 15.37 | | | $ | 0.16 | (g)(h) | | $ | 0.81 | | | $ | 0.97 | | | $ | (0.21 | ) | | $ | (0.74 | ) | | $ | (0.95 | ) |
Year Ended June 30, 2017 | | | 14.33 | | | | 0.23 | (g) | | | 1.33 | | | | 1.56 | | | | (0.24 | ) | | | (0.28 | ) | | | (0.52 | ) |
Year Ended June 30, 2016 | | | 15.12 | | | | 0.22 | (g) | | | (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 | (g) | | | 1.74 | | | | 1.91 | | | | (0.23 | ) | | | (0.04 | ) | | | (0.27 | ) |
Year Ended June 30, 2013 | | | 12.53 | | | | 0.20 | (g) | | | 1.11 | | | | 1.31 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.14 | | | | 0.10 | (g)(h) | | | 0.82 | | | | 0.92 | | | | (0.17 | ) | | | (0.74 | ) | | | (0.91 | ) |
Year Ended June 30, 2017 | | | 14.13 | | | | 0.14 | (g) | | | 1.30 | | | | 1.44 | | | | (0.15 | ) | | | (0.28 | ) | | | (0.43 | ) |
Year Ended June 30, 2016 | | | 14.92 | | | | 0.14 | (g) | | | (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 | (g) | | | 1.71 | | | | 1.80 | | | | (0.15 | ) | | | (0.04 | ) | | | (0.19 | ) |
Year Ended June 30, 2013 | | | 12.39 | | | | 0.13 | (g) | | | 1.09 | | | | 1.22 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.39 | | | | 0.17 | (g)(h) | | | 0.82 | | | | 0.99 | | | | (0.23 | ) | | | (0.74 | ) | | | (0.97 | ) |
Year Ended June 30, 2017 | | | 14.35 | | | | 0.27 | (g) | | | 1.33 | | | | 1.60 | | | | (0.28 | ) | | | (0.28 | ) | | | (0.56 | ) |
Year Ended June 30, 2016 | | | 15.14 | | | | 0.26 | (g) | | | (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 | (g) | | | 1.75 | | | | 1.95 | | | | (0.26 | ) | | | (0.04 | ) | | | (0.30 | ) |
Year Ended June 30, 2013 | | | 12.55 | | | | 0.23 | (g) | | | 1.10 | | | | 1.33 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (i) through December 31, 2017 (Unaudited) | | | 15.63 | | | | 0.38 | (g)(h) | | | 0.38 | | | | 0.76 | | | | (0.24 | ) | | | (0.74 | ) | | | (0.98 | ) |
| | | | | | | |
Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 15.35 | | | | 0.16 | (g)(h) | | | 0.81 | | | | 0.97 | | | | (0.21 | ) | | | (0.74 | ) | | | (0.95 | ) |
June 6, 2017 (i) through June 30, 2017 | | | 15.45 | | | | 0.02 | (g) | | | (0.07 | ) | | | (0.05 | ) | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (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) | Does not include expenses of Underlying Funds. |
| (f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | Per share amounts and ratios may appear disproportionate among classes due to the timing of income recognition and the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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)(f) | | |
Net
investment
income
(loss) (b) | | | Expenses
without waivers,
reimbursements and
earnings credits (e) | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 15.39 | | | | 6.36 | %(h) | | $ | 3,681,664 | | | | 0.52 | % | | | 2.01 | %(h) | | | 0.63 | % | | | 2 | % |
| | 15.37 | | | | 11.09 | | | | 3,430,816 | | | | 0.52 | | | | 1.55 | | | | 0.65 | | | | 4 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.15 | | | | 6.08 | (h) | | | 812,755 | | | | 1.09 | | | | 1.22 | (h) | | | 1.13 | | | | 2 | |
| | 15.14 | | | | 10.40 | | | | 1,071,522 | | | | 1.09 | | | | 0.97 | | | | 1.15 | | | | 4 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.41 | | | | 6.48 | (h) | | | 469,926 | | | | 0.27 | | | | 2.19 | (h) | | | 0.38 | | | | 2 | |
| | 15.39 | | | | 11.36 | | | | 469,758 | | | | 0.27 | | | | 1.80 | | | | 0.38 | | | | 4 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.41 | | | | 4.92 | (h) | | | 33,430 | | | | 0.12 | | | | 5.76 | (h) | | | 0.12 | | | | 2 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.37 | | | | 6.35 | (h) | | | 21 | | | | 0.52 | | | | 2.00 | (h) | | | 0.67 | | | | 2 | |
| | 15.35 | | | | (0.30 | ) | | | 20 | | | | 0.52 | | | | 1.80 | | | | 0.65 | | | | 4 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 25 | |
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 | |
Investor Conservative Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 12.80 | | | $ | 0.14 | (g)(h) | | $ | 0.40 | | | $ | 0.54 | | | $ | (0.16 | ) | | $ | (0.41 | ) | | $ | (0.57 | ) |
Year Ended June 30, 2017 | | | 12.36 | | | | 0.23 | (g) | | | 0.61 | | | | 0.84 | | | | (0.23 | ) | | | (0.17 | ) | | | (0.40 | ) |
Year Ended June 30, 2016 | | | 12.78 | | | | 0.22 | (g) | | | (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 | (g) | | | 1.02 | | | | 1.20 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
Year Ended June 30, 2013 | | | 11.46 | | | | 0.19 | (g) | | | 0.58 | | | | 0.77 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 12.75 | | | | 0.09 | (g)(h) | | | 0.40 | | | | 0.49 | | | | (0.12 | ) | | | (0.41 | ) | | | (0.53 | ) |
Year Ended June 30, 2017 | | | 12.30 | | | | 0.15 | (g) | | | 0.62 | | | | 0.77 | | | | (0.15 | ) | | | (0.17 | ) | | | (0.32 | ) |
Year Ended June 30, 2016 | | | 12.73 | | | | 0.15 | (g) | | | (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 | (g) | | | 1.01 | | | | 1.12 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
Year Ended June 30, 2013 | | | 11.42 | | | | 0.13 | (g) | | | 0.58 | | | | 0.71 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 12.87 | | | | 0.16 | (g)(h) | | | 0.41 | | | | 0.57 | | | | (0.18 | ) | | | (0.41 | ) | | | (0.59 | ) |
Year Ended June 30, 2017 | | | 12.42 | | | | 0.26 | (g) | | | 0.62 | | | | 0.88 | | | | (0.26 | ) | | | (0.17 | ) | | | (0.43 | ) |
Year Ended June 30, 2016 | | | 12.84 | | | | 0.25 | (g) | | | (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 | (g) | | | 1.03 | | | | 1.24 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
Year Ended June 30, 2013 | | | 11.51 | | | | 0.22 | (g) | | | 0.58 | | | | 0.80 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (i) through December 31, 2017 (Unaudited) | | | 13.00 | | | | 0.15 | (g)(h) | | | 0.27 | | | | 0.42 | | | | (0.17 | ) | | | (0.41 | ) | | | (0.58 | ) |
| | | | | | | |
Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 12.80 | | | | 0.14 | (g)(h) | | | 0.40 | | | | 0.54 | | | | (0.16 | ) | | | (0.41 | ) | | | (0.57 | ) |
June 6, 2017 (i) through June 30, 2017 | | | 12.85 | | | | 0.02 | (g) | | | (0.05 | ) | | | (0.03 | ) | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (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) | Does not include expenses of Underlying Funds. |
| (f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | Per share amounts and ratios may appear disproportionate among classes due to the timing of income recognition and the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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)(f) | | |
Net
investment
income
(loss) (b) | | | Expenses
without waivers,
reimbursements and
earnings credits (e) | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 12.77 | | | | 4.27 | %(h) | | $ | 2,323,318 | | | | 0.52 | % | | | 2.14 | %(h) | | | 0.64 | % | | | 1 | % |
| | 12.80 | | | | 6.92 | | | | 2,081,812 | | | | 0.52 | | | | 1.80 | | | | 0.65 | | | | 6 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.71 | | | | 3.90 | (h) | | | 1,259,568 | | | | 1.10 | | | | 1.40 | (h) | | | 1.13 | | | | 1 | |
| | 12.75 | | | | 6.40 | | | | 1,573,159 | | | | 1.10 | | | | 1.22 | | | | 1.15 | | | | 6 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.85 | | | | 4.46 | (h) | | | 138,742 | | | | 0.27 | | | | 2.35 | (h) | | | 0.39 | | | | 1 | |
| | 12.87 | | | | 7.22 | | | | 135,687 | | | | 0.27 | | | | 2.05 | | | | 0.40 | | | | 6 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.84 | | | | 3.26 | (h) | | | 21 | | | | 0.13 | | | | 2.66 | (h) | | | 0.13 | | | | 1 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.77 | | | | 4.25 | (h) | | | 21 | | | | 0.52 | | | | 2.10 | (h) | | | 0.68 | | | | 1 | |
| | 12.80 | | | | (0.26 | ) | | | 20 | | | | 0.51 | | | | 2.22 | | | | 0.68 | | | | 6 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 27 | |
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)(c) | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 20.38 | | | $ | 0.17 | (h) | | $ | 1.93 | | | $ | 2.10 | | | $ | (0.35 | ) | | $ | (1.44 | ) | | $ | (1.79 | ) |
Year Ended June 30, 2017 | | | 18.04 | | | | 0.18 | | | | 3.19 | | | | 3.37 | | | | (0.19 | ) | | | (0.84 | ) | | | (1.03 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 19.20 | | | | 0.07 | (h) | | | 1.86 | | | | 1.93 | | | | (0.32 | ) | | | (1.44 | ) | | | (1.76 | ) |
Year Ended June 30, 2017 | | | 17.10 | | | | 0.06 | | | | 3.01 | | | | 3.07 | | | | (0.13 | ) | | | (0.84 | ) | | | (0.97 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 20.77 | | | | 0.21 | (h) | | | 1.96 | | | | 2.17 | | | | (0.38 | ) | | | (1.44 | ) | | | (1.82 | ) |
Year Ended June 30, 2017 | | | 18.37 | | | | 0.23 | | | | 3.25 | | | | 3.48 | | | | (0.24 | ) | | | (0.84 | ) | | | (1.08 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (i) through December 31, 2017 (Unaudited) | | | 21.25 | | | | 0.29 | (h) | | | 1.42 | | | | 1.71 | | | | (0.40 | ) | | | (1.44 | ) | | | (1.84 | ) |
| | | | | | | |
Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 20.36 | | | | 0.17 | (h) | | | 1.93 | | | | 2.10 | | | | (0.35 | ) | | | (1.44 | ) | | | (1.79 | ) |
June 6, 2017 (i) through June 30, 2017 | | | 20.43 | | | | 0.01 | | | | (0.06 | ) | | | (0.05 | ) | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (d) | Not annualized for periods less than one year. |
| (e) | 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. |
| (f) | Does not include expenses of Underlying Funds. |
| (g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (h) | Per share amounts and ratios may appear disproportionate among classes due to the timing of income recognition and the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (d)(e) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (f)(g) | | |
Net
investment
income
(loss) (c) | | | Expenses without waivers,
reimbursements and
earnings credits (f) | | | Portfolio
turnover
rate (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 20.69 | | | | 10.37 | %(h) | | $ | 2,124,492 | | | | 0.52 | % | | | 1.61 | %(h) | | | 0.66 | % | | | 2 | % |
| | 20.38 | | | | 19.19 | | | | 1,937,119 | | | | 0.52 | | | | 0.93 | | | | 0.70 | | | | 8 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.37 | | | | 10.07 | (h) | | | 208,252 | | | | 1.10 | | | | 0.72 | (h) | | | 1.15 | | | | 2 | |
| | 19.20 | | | | 18.47 | | | | 274,389 | | | | 1.09 | | | | 0.35 | | | | 1.19 | | | | 8 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 21.12 | | | | 10.50 | (h) | | | 399,588 | | | | 0.27 | | | | 1.89 | (h) | | | 0.39 | | | | 2 | |
| | 20.77 | | | | 19.46 | | | | 346,558 | | | | 0.27 | | | | 1.17 | | | | 0.39 | | | | 8 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 21.12 | | | | 8.07 | (h) | | | 7,347 | | | | 0.13 | | | | 3.10 | (h) | | | 0.14 | | | | 2 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.67 | | | | 10.35 | (h) | | | 22 | | | | 0.52 | | | | 1.61 | (h) | | | 0.68 | | | | 2 | |
| | 20.36 | | | | (0.24 | ) | | | 20 | | | | 0.51 | | | | 1.11 | | | | 0.64 | | | | 8 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 29 | |
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)(c) | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 17.37 | | | $ | 0.17 | (h) | | $ | 1.25 | | | $ | 1.42 | | | $ | (0.27 | ) | | $ | (1.12 | ) | | $ | (1.39 | ) |
Year Ended June 30, 2017 | | | 15.79 | | | | 0.22 | | | | 2.07 | | | | 2.29 | | | | (0.23 | ) | | | (0.48 | ) | | | (0.71 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 16.91 | | | | 0.08 | (h) | | | 1.25 | | | | 1.33 | | | | (0.22 | ) | | | (1.12 | ) | | | (1.34 | ) |
Year Ended June 30, 2017 | | | 15.39 | | | | 0.12 | | | | 2.01 | | | | 2.13 | | | | (0.13 | ) | | | (0.48 | ) | | | (0.61 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.11 | | | | 0.18 | (h) | | | 1.25 | | | | 1.43 | | | | (0.30 | ) | | | (1.12 | ) | | | (1.42 | ) |
Year Ended June 30, 2017 | | | 15.57 | | | | 0.25 | | | | 2.04 | | | | 2.29 | | | | (0.27 | ) | | | (0.48 | ) | | | (0.75 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
July 31, 2017 (i) through December 31, 2017 (Unaudited) | | | 17.44 | | | | 0.24 | (h) | | | 0.87 | | | | 1.11 | | | | (0.31 | ) | | | (1.12 | ) | | | (1.43 | ) |
| | | | | | | |
Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 17.35 | | | | 0.17 | (h) | | | 1.25 | | | | 1.42 | | | | (0.27 | ) | | | (1.12 | ) | | | (1.39 | ) |
June 6, 2017 (i) through June 30, 2017 | | | 17.44 | | | | 0.02 | | | | (0.07 | ) | | | (0.05 | ) | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (d) | Not annualized for periods less than one year. |
| (e) | 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. |
| (f) | Does not include expenses of Underlying Funds. |
| (g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (h) | Per share amounts and ratios may appear disproportionate among classes due to the timing of income recognition and the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (d)(e) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (f)(g) | | |
Net
investment
income
(loss) (c) | | | Expenses
without waivers,
reimbursements and
earnings credits (f) | | | Portfolio
turnover
rate (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 17.40 | | | | 8.25 | %(h) | | $ | 2,509,935 | | | | 0.52 | % | | | 1.83 | %(h) | | | 0.65 | % | | | 4 | % |
| | 17.37 | | | | 14.82 | | | | 2,348,659 | | | | 0.52 | | | | 1.30 | | | | 0.67 | | | | 7 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 16.90 | | | | 7.92 | (h) | | | 266,715 | | | | 1.10 | | | | 0.94 | (h) | | | 1.14 | | | | 4 | |
| | 16.91 | | | | 14.17 | | | | 385,447 | | | | 1.10 | | | | 0.73 | | | | 1.17 | | | | 7 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.12 | | | | 8.39 | (h) | | | 245,414 | | | | 0.27 | | | | 2.05 | (h) | | | 0.39 | | | | 4 | |
| | 17.11 | | | | 15.07 | | | | 238,466 | | | | 0.27 | | | | 1.53 | | | | 0.39 | | | | 7 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.12 | | | | 6.41 | (h) | | | 159 | | | | 0.13 | | | | 3.22 | (h) | | | 0.13 | | | | 4 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 17.38 | | | | 8.23 | (h) | | | 22 | | | | 0.52 | | | | 1.83 | (h) | | | 0.68 | | | | 4 | |
| | 17.35 | | | | (0.27 | ) | | | 20 | | | | 0.51 | | | | 1.51 | | | | 0.64 | | | | 7 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 31 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
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, Class I, Class R6* and Class T | | Diversified |
| Investor Conservative Growth Fund | | Class A, Class C, Class I, Class R6* and Class T | | Diversified |
| Investor Growth Fund | | Class A, Class C, Class I, Class R6* and Class T | | Diversified |
| Investor Growth & Income Fund | | Class A, Class C, Class I, Class R6* and Class T | | Diversified |
| * | Class R6 commenced operations on July 31, 2017. |
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 and Class T 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 I Shares or Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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.
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. |
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| • | | 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):
Investor Balanced Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 5,005,068 | | | $ | — | | | $ | — | | | $ | 5,005,068 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Investor Conservative Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 3,727,370 | | | $ | — | | | $ | — | | | $ | 3,727,370 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Investor Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 2,743,263 | | | $ | — | | | $ | — | | | $ | 2,743,263 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Investor Growth & Income Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 3,026,466 | | | $ | — | | | $ | — | | | $ | 3,026,466 | |
| | | | | | | | | | | | | | | | |
| (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 six months ended December 31, 2017.
B. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. 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. Amounts in the tables below are in thousands.
Investor Balanced Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | For the six months ended December 31, 2017 | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Core Bond Fund, Class R6 Shares | | | 75,307 | | | | 864,389 | | | | 29,005 | | | | 17,727 | | | | (59 | ) | | | (2,803 | ) | | | 872,805 | | | | 12,137 | | | | 1,998 | |
JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 59,863 | | | | 500,148 | | | | 7,170 | | | | 12,317 | | | | (45 | ) | | | 712 | | | | 495,668 | | | | 7,171 | | | | — | |
JPMorgan Dynamic Growth Fund, Class R5 Shares | | | — | | | | 98,716 | | | | 9,472 | | | | 66,302 | | | | 1,903 | | | | (43,789 | ) | | | — | | | | 159 | | | | 9,314 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 33 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Balanced Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Emerging Economies Fund, Class R6 Shares | | | 4,812 | | | | 64,143 | | | | 1,544 | | | | 1,998 | | | | 30 | | | | 8,220 | | | | 71,939 | | | | 1,543 | | | | — | |
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 6,074 | | | | 49,783 | | | | 1,200 | | | | 987 | | | | 15 | | | | 827 | | | | 50,838 | | | | 1,199 | | | | — | |
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 2,405 | | | | 65,093 | | | | 394 | | | | 3,485 | | | | 457 | | | | 9,512 | | | | 71,971 | | | | 394 | | | | — | |
JPMorgan Equity Income Fund, Class R6 Shares | | | 5,334 | | | | 92,523 | | | | 1,807 | | | | 9,951 | | | | 2,031 | | | | 6,404 | | | | 92,814 | | | | 971 | | | | 836 | |
JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 17,267 | | | | 162,788 | | | | 3,159 | | | | 3,482 | | | | (240 | ) | | | (260 | ) | | | 161,965 | | | | 3,159 | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class I Shares | | | — | | | | 164,433 | | | | — | | | | 127,803 | | | | 2,221 | | | | (38,851 | ) | | | — | | | | — | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 7,623 | | | | — | | | | 121,211 | | | | — | | | | — | | | | 49,917 | | | | 171,128 | | | | 3,349 | | | | — | |
JPMorgan High Yield Fund, Class R6 Shares | | | 26,337 | | | | 200,025 | | | | 5,789 | | | | 9,888 | | | | (57 | ) | | | (709 | ) | | | 195,160 | | | | 5,788 | | | | — | |
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 7,636 | | | | 77,323 | | | | 868 | | | | — | | | | — | | | | 227 | | | | 78,418 | | | | 868 | | | | — | |
JPMorgan International Equity Fund, Class R6 Shares | | | 4,704 | | | | 85,137 | | | | 1,444 | | | | 8,964 | | | | 707 | | | | 7,892 | | | | 86,216 | | | | 1,443 | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class I Shares | | | — | | | | 275,639 | | | | — | | | | 250,066 | | | | (1,090 | ) | | | (24,483 | ) | | | — | | | | — | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 14,822 | | | | — | | | | 238,731 | | | | — | | | | — | | | | 41,249 | | | | 279,980 | | | | 3,283 | | | | 2,800 | |
JPMorgan Intrepid America Fund, Class R6 Shares | | | 8,372 | | | | 337,614 | | | | 37,511 | | | | 47,791 | | | | 19,431 | | | | (10,221 | ) | | | 336,544 | | | | 5,187 | | | | 32,323 | |
JPMorgan Intrepid European Fund, Class L Shares | | | 4,366 | | | | 119,913 | | | | 2,044 | | | | 8,408 | | | | (263 | ) | | | 5,945 | | | | 119,231 | | | | 2,044 | | | | — | |
JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 3,022 | | | | 169,306 | | | | 1,477 | | | | 25,363 | | | | 16,076 | | | | 7,448 | | | | 168,944 | | | | 1,477 | | | | — | |
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 4,104 | | | | 96,886 | | | | 7,341 | | | | 8,986 | | | | 2,751 | | | | (471 | ) | | | 97,521 | | | | 985 | | | | 6,355 | |
JPMorgan Large Cap Growth Fund, Class R5 Shares | | | — | | | | — | | | | 61,836 | | | | 61,836 | | | | — | | | | — | | | | — | | | | — | | | | — | |
JPMorgan Large Cap Growth Fund, Class R6 Shares | | | 4,298 | | | | 65,438 | | | | 70,385 | | | | 16,457 | | | | 2,071 | | | | 45,529 | | | | 166,966 | | | | — | | | | 8,549 | |
JPMorgan Large Cap Value Fund, Class R6 Shares | | | 8,193 | | | | 128,533 | | | | 10,670 | | | | 14,461 | | | | 3,231 | | | | (494 | ) | | | 127,479 | | | | 774 | | | | 9,897 | |
JPMorgan Latin America Fund, Class R6 Shares | | | — | | | | 10,122 | | | | — | | | | 11,138 | | | | (577 | ) | | | 1,593 | | | | — | | | | — | | | | — | |
JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 20,695 | | | | 205,654 | | | | 4,380 | | | | 2,468 | | | | 2 | | | | (1 | ) | | | 207,567 | | | | 1,901 | | | | — | |
JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 13,750 | | | | 158,985 | | | | 17,074 | | | | 16,444 | | | | 2,058 | | | | (3,964 | ) | | | 157,709 | | | | 1,302 | | | | 15,772 | |
JPMorgan Multi-Cap Market Neutral Fund, Class I Shares | | | 4,708 | | | | 49,614 | | | | — | | | | 1,476 | | | | 81 | | | | 1,878 | | | | 50,097 | | | | — | | | | — | |
JPMorgan Research Market Neutral Fund, Class L Shares | | | 3,309 | | | | 49,629 | | | | 1,270 | | | | 494 | | | | — | (a) | | | (406 | ) | | | 49,999 | | | | — | | | | 1,270 | |
JPMorgan Small Cap Value Fund, Class R6 Shares | | | 776 | | | | 22,448 | | | | 1,458 | | | | — | | | | — | | | | (129 | ) | | | 23,777 | | | | 189 | | | | 1,269 | |
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | | | — | | | | 96,465 | | | | 942 | | | | 98,980 | | | | — | | | | 1,573 | | | | — | | | | 943 | | | | — | |
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Balanced Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 8,389 | | | | — | | | | 99,468 | | | | — | | | | — | | | | (1,990 | ) | | | 97,478 | | | | 488 | | | | — | |
JPMorgan Systematic Alpha Fund, Class R6 Shares | | | 6,469 | | | | 91,901 | | | | 7,446 | | | | — | | | | — | | | | (1,209 | ) | | | 98,138 | | | | — | | | | — | |
JPMorgan U.S. Equity Fund, Class R6 Shares | | | 29,543 | | | | 481,111 | | | | 37,872 | | | | 51,794 | | | | 15,172 | | | | 69 | | | | 482,430 | | | | 3,097 | | | | 34,776 | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 56,378 | | | | 44,804 | | | | 236,786 | | | | 225,212 | | | | — | | | | — | | | | 56,378 | | | | 228 | | | | — | |
JPMorgan Unconstrained Debt Fund, Class R6 Shares | | | 4,382 | | | | 42,843 | | | | 983 | | | | — | | | | — | | | | (46 | ) | | | 43,780 | | | | 983 | | | | — | |
JPMorgan Value Advantage Fund, Class R6 Shares | | | 2,561 | | | | 92,691 | | | | 2,080 | | | | 8,982 | | | | 1,581 | | | | 4,758 | | | | 92,128 | | | | 1,177 | | | | 902 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | 4,964,097 | | | | 1,022,817 | | | | 1,113,260 | | | | 67,487 | | | | 63,927 | | | | 5,005,068 | | | | 62,239 | | | | 126,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investor Conservative Growth Fund | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | For the six months ended December 31, 2017 | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from
Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/
Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Core Bond Fund, Class R6 Shares | | | 87,576 | | | | 1,031,757 | | | | 16,664 | | | | 30,054 | | | | (179 | ) | | | (3,184 | ) | | | 1,015,004 | | | | 14,323 | | | | 2,327 | |
JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 57,609 | | | | 487,454 | | | | 6,938 | | | | 18,034 | | | | 76 | | | | 569 | | | | 477,003 | | | | 6,937 | | | | — | |
JPMorgan Dynamic Growth Fund, Class R5 Shares | | | — | | | | 44,445 | | | | 4,164 | | | | 32,348 | | | | 1,116 | | | | (17,377 | ) | | | — | | | | 70 | | | | 4,094 | |
JPMorgan Emerging Economies Fund, Class R6 Shares | | | 2,532 | | | | 38,041 | | | | 813 | | | | 5,653 | | | | 230 | | | | 4,417 | | | | 37,848 | | | | 812 | | | | — | |
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 4,504 | | | | 38,039 | | | | 901 | | | | 1,882 | | | | 28 | | | | 614 | | | | 37,700 | | | | 901 | | | | — | |
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 1,238 | | | | 38,035 | | | | 210 | | | | 6,763 | | | | 1,148 | | | | 4,415 | | | | 37,045 | | | | 211 | | | | — | |
JPMorgan Equity Income Fund, Class R6 Shares | | | 3,833 | | | | 68,607 | | | | 1,319 | | | | 9,364 | | | | 2,785 | | | | 3,355 | | | | 66,702 | | | | 708 | | | | 611 | |
JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 14,985 | | | | 143,137 | | | | 2,757 | | | | 4,914 | | | | (350 | ) | | | (74 | ) | | | 140,556 | | | | 2,758 | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 2,075 | | | | — | | | | 32,261 | | | | — | | | | — | | | | 14,329 | | | | 46,590 | | | | 912 | | | | — | (a) |
JPMorgan Global Research Enhanced Index Fund, Class I Shares | | | — | | | | 45,813 | | | | — | | | | 35,118 | | | | 957 | | | | (11,652 | ) | | | — | | | | — | | | | — | |
JPMorgan Government Bond Fund, Class R6 Shares | | | 3,802 | | | | 39,574 | | | | 538 | | | | — | | | | — | | | | (265 | ) | | | 39,847 | | | | 503 | | | | 36 | |
JPMorgan High Yield Fund, Class R6 Shares | | | 15,742 | | | | 119,641 | | | | 3,476 | | | | 6,030 | | | | 190 | | | | (630 | ) | | | 116,647 | | | | 3,476 | | | | — | |
JPMorgan Income Fund, Class R6 Shares | | | 7,619 | | | | 70,397 | | | | 1,981 | | | | — | | | | — | (a) | | | (307 | ) | | | 72,071 | | | | 1,980 | | | | — | |
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 6,931 | | | | 71,322 | | | | 790 | | | | 1,137 | | | | (25 | ) | | | 236 | | | | 71,186 | | | | 790 | | | | — | |
JPMorgan International Equity Fund, Class R6 Shares | | | 2,352 | | | | 44,583 | | | | 734 | | | | 6,745 | | | | 659 | | | | 3,886 | | | | 43,117 | | | | 734 | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class I Shares | | | — | | | | 143,997 | | | | — | | | | 132,472 | | | | (713 | ) | | | (10,812 | ) | | | — | | | | — | | | | — | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 35 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Conservative Growth Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 7,620 | | | | — | | | | 125,056 | | | | 747 | | | | (36 | ) | | | 19,675 | | | | 143,948 | | | | 1,688 | | | | 1,447 | |
JPMorgan Intrepid America Fund, Class R6 Shares | | | 4,883 | | | | 203,213 | | | | 21,701 | | | | 34,537 | | | | 10,401 | | | | (4,488 | ) | | | 196,290 | | | | 3,017 | | | | 18,687 | |
JPMorgan Intrepid European Fund, Class L Shares | | | 1,710 | | | | 49,537 | | | | 832 | | | | 6,004 | | | | (88 | ) | | | 2,431 | | | | 46,708 | | | | 833 | | | | — | |
JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 1,721 | | | | 99,108 | | | | 841 | | | | 17,279 | | | | 10,622 | | | | 2,926 | | | | 96,218 | | | | 841 | | | | — | |
JPMorgan Large Cap Growth, Class R5 Shares | | | — | | | | — | | | | 29,329 | | | | 29,387 | | | | 58 | | | | — | | | | — | | | | — | | | | — | |
JPMorgan Large Cap Growth, Class R6 Shares | | | 1,121 | | | | — | | | | 27,516 | | | | 2,611 | | | | 164 | | | | 18,484 | | | | 43,553 | | | | — | | | | — | |
JPMorgan Large Cap Value Fund, Class R6 Shares | | | 1,559 | | | | 25,031 | | | | 2,097 | | | | 3,376 | | | | 176 | | | | 324 | | | | 24,252 | | | | 151 | | | | 1,946 | |
JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 30,932 | | | | 313,389 | | | | 2,871 | | | | 6,021 | | | | 19 | | | | (8 | ) | | | 310,250 | | | | 2,872 | | | | — | |
JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 4,208 | | | | 49,201 | | | | 5,290 | | | | 5,636 | | | | 483 | | | | (1,068 | ) | | | 48,270 | | | | 398 | | | | 4,891 | |
JPMorgan Mid Cap Growth Fund, Class R6 Shares | | | 1,116 | | | | 38,378 | | | | 2,293 | | | | 4,885 | | | | 887 | | | | 1,174 | | | | 37,847 | | | | — | | | | 2,292 | |
JPMorgan Multi-Cap Market Neutral Fund, Class I Shares | | | 3,525 | | | | 38,275 | | | | — | | | | 2,256 | | | | 156 | | | | 1,334 | | | | 37,509 | | | | — | | | | — | |
JPMorgan Research Market Neutral Fund, Class L Shares | | | 2,460 | | | | 38,011 | | | | 944 | | | | 1,499 | | | | 13 | | | | (297 | ) | | | 37,172 | | | | — | | | | 944 | |
JPMorgan Small Cap Value Fund, Class R6 Shares | | | 775 | | | | 24,562 | | | | 1,501 | | | | 2,249 | | | | 203 | | | | (264 | ) | | | 23,753 | | | | 194 | | | | 1,308 | |
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | | | — | | | | 71,794 | | | | 694 | | | | 73,414 | | | | (23 | ) | | | 949 | | | | — | | | | 694 | | | | — | |
JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 6,146 | | | | — | | | | 72,648 | | | | — | | | | — | | | | (1,232 | ) | | | 71,416 | | | | 357 | | | | — | |
JPMorgan Systematic Alpha Fund, Class R6 Shares | | | 5,971 | | | | 91,720 | | | | — | | | | — | | | | — | | | | (1,134 | ) | | | 90,586 | | | | — | | | | — | |
JPMorgan U.S. Equity Fund, Class R6 Shares | | | 11,006 | | | | 184,085 | | | | 14,164 | | | | 24,399 | | | | 8,534 | | | | (2,649 | ) | | | 179,735 | | | | 1,167 | | | | 12,996 | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 38,306 | | | | 34,329 | | | | 187,409 | | | | 183,432 | | | | — | | | | — | | | | 38,306 | | | | 168 | | | | — | |
JPMorgan Unconstrained Debt Fund, Class R6 Shares | | | 3,671 | | | | 35,884 | | | | 823 | | | | — | | | | — | | | | (38 | ) | | | 36,669 | | | | 824 | | | | — | |
JPMorgan Value Advantage Fund, Class R6 Shares | | | 1,767 | | | | 64,890 | | | | 1,429 | | | | 7,125 | | | | 1,434 | | | | 2,944 | | | | 63,572 | | | | 804 | | | | 625 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | 3,786,249 | | | | 570,984 | | | | 695,371 | | | | 38,925 | | | | 26,583 | | | | 3,727,370 | | | | 49,123 | | | | 52,204 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | For the six months ended December 31, 2017 | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales
($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Commodities Strategy Fund, Class R6 Shares | | | 1,133 | | | | 9,819 | | | | 21 | | | | — | | | | — | | | | 679 | | | | 10,519 | | | | 20 | | | | — | |
JPMorgan Core Bond Fund, Class R6 Shares | | | 10,895 | | | | 114,284 | | | | 12,403 | | | | — | | | | — | | | | (411 | ) | | | 126,276 | | | | 1,665 | | | | 282 | |
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Growth Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 3,823 | | | | 28,184 | | | | 3,436 | | | | — | | | | — | | | | 37 | | | | 31,657 | | | | 421 | | | | — | (a) |
JPMorgan Dynamic Growth Fund, Class R5 Shares | | | — | | | | 17,839 | | | | 1,787 | | | | 10,801 | | | | — | | | | (8,825 | ) | | | — | | | | 30 | | | | 1,757 | |
JPMorgan Emerging Economies Fund, Class R6 Shares | | | 3,626 | | | | 49,335 | | | | 1,163 | | | | 2,563 | | | | 36 | | | | 6,245 | | | | 54,216 | | | | 1,163 | | | | — | |
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 1,598 | | | | 12,842 | | | | 315 | | | | — | | | | — | | | | 219 | | | | 13,376 | | | | 315 | | | | — | |
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 1,829 | | | | 49,903 | | | | 299 | | | | 3,073 | | | | 347 | | | | 7,276 | | | | 54,752 | | | | 299 | | | | — | |
JPMorgan Equity Income Fund, Class R6 Shares | | | 2,859 | | | | 46,135 | | | | 930 | | | | 1,592 | | | | 98 | | | | 4,170 | | | | 49,741 | | | | 497 | | | | 434 | |
JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 2,344 | | | | 21,633 | | | | 428 | | | | — | | | | — | | | | (70 | ) | | | 21,991 | | | | 428 | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class I Shares | | | — | | | | 72,386 | | | | — | | | | 55,272 | | | | 254 | | | | (17,368 | ) | | | — | | | | — | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 3,477 | | | | — | | | | 55,013 | | | | — | | | | — | | | | 23,036 | | | | 78,049 | | | | 1,527 | | | | — | |
JPMorgan High Yield Fund, Class R6 Shares | | | 9,454 | | | | 70,302 | | | | 2,070 | | | | 2,035 | | | | 64 | | | | (349 | ) | | | 70,052 | | | | 2,071 | | | | — | |
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | — | | | | 83 | | | | — | (a) | | | 84 | | | | 2 | | | | (1 | ) | | | — | | | | — | (a) | | | — | |
JPMorgan International Equity Fund, Class R6 Shares | | | 6,818 | | | | 115,430 | | | | 2,056 | | | | 4,426 | | | | 164 | | | | 11,756 | | | | 124,980 | | | | 2,057 | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class I Shares | | | — | | | | 180,397 | | | | — | | | | 166,265 | | | | (1,002 | ) | | | (13,130 | ) | | | — | | | | — | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 10,080 | | | | — | | | | 166,010 | | | | — | | | | — | | | | 24,394 | | | | 190,404 | | | | 2,233 | | | | 1,904 | |
JPMorgan International Unconstrained Equity Fund, Class R6 Shares | | | 3,873 | | | | 76,454 | | | | 703 | | | | 796 | | | | 70 | | | | 7,294 | | | | 83,725 | | | | 704 | | | | — | |
JPMorgan Intrepid America Fund, Class R6 Shares | | | 7,989 | | | | 300,516 | | | | 35,795 | | | | 22,615 | | | | 4,898 | | | | 2,565 | | | | 321,159 | | | | 4,936 | | | | 30,860 | |
JPMorgan Intrepid European Fund, Class L Shares | | | 3,347 | | | | 86,498 | | | | 1,566 | | | | 796 | | | | (17 | ) | | | 4,152 | | | | 91,403 | | | | 1,567 | | | | — | |
JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 2,472 | | | | 127,427 | | | | 1,207 | | | | 8,703 | | | | 5,527 | | | | 12,771 | | | | 138,229 | | | | 1,209 | | | | — | |
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 1,976 | | | | 45,064 | | | | 3,504 | | | | 2,606 | | | | 964 | | | | 35 | | | | 46,961 | | | | 475 | | | | 3,029 | |
JPMorgan Large Cap Growth Fund, Class R5 Shares | | | — | | | | — | | | | 10,801 | | | | 10,801 | | | | — | | | | — | | | | — | | | | — | | | | — | |
JPMorgan Large Cap Growth Fund, Class R6 Shares | | | 6,170 | | | | 199,016 | | | | 38,776 | | | | 7,735 | | | | 2,607 | | | | 7,030 | | | | 239,694 | | | | — | | | | 27,972 | |
JPMorgan Large Cap Value Fund, Class R6 Shares | | | 18,116 | | | | 257,728 | | | | 23,088 | | | | 3,986 | | | | 114 | | | | 4,937 | | | | 281,881 | | | | 1,651 | | | | 21,438 | |
JPMorgan Latin America Fund, Class R6 Shares | | | — | | | | 10,006 | | | | — | | | | 11,020 | | | | 501 | | | | 513 | | | | — | | | | — | | | | — | |
JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 12,810 | | | | 143,402 | | | | 15,538 | | | | 10,217 | | | | 721 | | | | (2,518 | ) | | | 146,926 | | | | 1,213 | | | | 14,327 | |
JPMorgan Mid Cap Growth Fund, Class R6 Shares | | | 1,009 | | | | 33,536 | | | | 2,033 | | | | 3,158 | | | | 643 | | | | 1,172 | | | | 34,226 | | | | — | | | | 2,033 | |
JPMorgan Small Cap Value Fund, Class R6 Shares | | | 1,148 | | | | 33,213 | | | | 2,158 | | | | — | | | | — | | | | (191 | ) | | | 35,180 | | | | 280 | | | | 1,878 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 37 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Growth Fund (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Systematic Alpha Fund, Class R6 Shares | | | 2,166 | | | | 25,805 | | | | 7,437 | | | | — | | | | — | | | | (390 | ) | | | 32,852 | | | | — | | | | — | |
JPMorgan U.S. Equity Fund, Class R6 Shares | | | 23,466 | | | | 357,350 | | | | 30,021 | | | | 14,956 | | | | 1,307 | | | | 9,479 | | | | 383,201 | | | | 2,412 | | | | 27,605 | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 29,785 | | | | 24,595 | | | | 81,710 | | | | 76,520 | | | | — | | | | — | | | | 29,785 | | | | 125 | | | | — | |
JPMorgan Value Advantage Fund, Class R6 | | | 1,446 | | | | 47,527 | | | | 1,149 | | | | — | | | | — | | | | 3,352 | | | | 52,028 | | | | 658 | | | | 491 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | 2,556,709 | | | | 501,417 | | | | 420,020 | | | | 17,298 | | | | 87,859 | | | | 2,743,263 | | | | 27,956 | | | | 134,010 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Investor Growth & Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | For the six months ended December 31, 2017 | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from
Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Commodities Strategy Fund, Class R6 Shares | | | 990 | | | | 9,152 | | | | 17 | | | | 593 | | | | (327 | ) | | | 942 | | | | 9,191 | | | | 17 | | | | — | |
JPMorgan Core Bond Fund, Class R6 Shares | | | 27,439 | | | | 311,768 | | | | 12,884 | | | | 5,589 | | | | (60 | ) | | | (989 | ) | | | 318,014 | | | | 4,398 | | | | 728 | |
JPMorgan Core Plus Bond Fund, Class R6 Shares | | | 22,288 | | | | 187,208 | | | | 2,672 | | | | 5,589 | | | | 3 | | | | 251 | | | | 184,545 | | | | 2,672 | | | | — | |
JPMorgan Dynamic Growth Fund, Class R5 Shares | | | — | | | | 28,903 | | | | 2,619 | | | | 19,222 | | | | 1,374 | | | | (13,674 | ) | | | — | | | | 44 | | | | 2,575 | |
JPMorgan Emerging Economies Fund, Class R6 Shares | | | 3,431 | | | | 46,927 | | | | 1,100 | | | | 2,689 | | | | 60 | | | | 5,894 | | | | 51,292 | | | | 1,100 | | | | — | |
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | | | 1,859 | | | | 14,941 | | | | 366 | | | | — | | | | — | | | | 255 | | | | 15,562 | | | | 366 | | | | — | |
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | | | 1,749 | | | | 47,446 | | | | 286 | | | | 2,687 | | | | 386 | | | | 6,911 | | | | 52,342 | | | | 286 | | | | — | |
JPMorgan Equity Income Fund, Class R6 Shares | | | 3,236 | | | | 55,256 | | | | 1,095 | | | | 5,095 | | | | 966 | | | | 4,085 | | | | 56,307 | | | | 585 | | | | 510 | |
JPMorgan Floating Rate Income Fund, Class R6 Shares | | | 10,300 | | | | 97,698 | | | | 1,884 | | | | 2,676 | | | | (184 | ) | | | (112 | ) | | | 96,610 | | | | 1,884 | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class I Shares | | | — | | | | 104,179 | | | | — | | | | 79,987 | | | | 859 | | | | (25,051 | ) | | | — | | | | — | | | | — | |
JPMorgan Global Research Enhanced Index Fund, Class R6 Shares | | | 4,929 | | | | — | | | | 77,984 | | | | — | | | | — | | | | 32,676 | | | | 110,660 | | | | 2,166 | | | | — | |
JPMorgan High Yield Fund, Class R6 Shares | | | 15,722 | | | | 119,711 | | | | 3,448 | | | | 6,186 | | | | 10 | | | | (479 | ) | | | 116,504 | | | | 3,448 | | | | — | |
JPMorgan Inflation Managed Bond Fund, Class R6 Shares | | | 3,879 | | | | 40,738 | | | | 443 | | | | 1,473 | | | | (59 | ) | | | 184 | | | | 39,833 | | | | 443 | | | | — | |
JPMorgan International Equity Fund, Class R6 Shares | | | 4,461 | | | | 80,630 | | | | 1,346 | | | | 8,352 | | | | 1,061 | | | | 7,090 | | | | 81,775 | | | | 1,346 | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class I Shares | | | — | | | | 157,511 | | | | — | | | | 143,929 | | | | (1,423 | ) | | | (12,159 | ) | | | — | | | | — | | | | — | |
JPMorgan International Research Enhanced Equity Fund, Class R6 Shares | | | 8,472 | | | | — | | | | 137,558 | | | | — | | | | — | | | | 22,473 | | | | 160,031 | | | | 1,877 | | | | 1,601 | |
JPMorgan International Unconstrained Equity Fund, Class R6 Shares | | | 1,725 | | | | 33,729 | | | | 314 | | | | — | | | | — | | | | 3,254 | | | | 37,297 | | | | 314 | | | | — | |
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Growth & Income Fund (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Security Description | | Shares at
December 31,
2017 | | | Market Value
June 30,
2017 ($) | | | Purchases at
Cost ($) | | | Proceeds
from Sales ($) | | | Net
Realized
Gain
(Loss) ($) | | | Change
in Unrealized
Appreciation/
(Depreciation) ($) | | | Market Value
December 31,
2017 ($) | | | Dividend/ Interest
Income ($) | | | Capital Gain
Distributions ($) | |
JPMorgan Intrepid America Fund, Class R6 Shares | | | 8,114 | | | | 322,151 | | | | 36,359 | | | | 41,032 | | | | 17,193 | | | | (8,503 | ) | | | 326,168 | | | | 5,025 | | | | 31,339 | |
JPMorgan Intrepid European Fund, Class L Shares | | | 3,409 | | | | 91,556 | | | | 1,594 | | | | 4,460 | | | | (117 | ) | | | 4,515 | | | | 93,088 | | | | 1,596 | | | | — | |
JPMorgan Intrepid Growth Fund, Class R6 Shares | | | 1,742 | | | | 96,834 | | | | 852 | | | | 13,745 | | | | 8,751 | | | | 4,723 | | | | 97,415 | | | | 852 | | | | — | |
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares | | | 1,356 | | | | 30,658 | | | | 2,404 | | | | 1,505 | | | | 375 | | | | 297 | | | | 32,229 | | | | 326 | | | | 2,079 | |
JPMorgan Large Cap Growth Fund, Class R5 Shares | | | — | | | | — | | | | 16,229 | | | | 16,229 | | | | — | | | | — | | | | — | | | | — | | | | — | |
JPMorgan Large Cap Growth Fund, Class R6 Shares | | | 5,124 | | | | 162,136 | | | �� | 38,574 | | | | 15,541 | | | | 5,069 | | | | 8,820 | | | | 199,058 | | | | — | | | | 22,346 | |
JPMorgan Large Cap Value Fund, Class R6 Shares | | | 11,462 | | | | 175,420 | | | | 14,851 | | | | 15,605 | | | | 2,497 | | | | 1,190 | | | | 178,353 | | | | 1,078 | | | | 13,773 | |
JPMorgan Latin America Fund, Class R6 Shares | | | — | | | | 7,995 | | | | — | | | | 8,782 | | | | 606 | | | | 181 | | | | — | | | | — | | | | — | |
JPMorgan Limited Duration Bond Fund, Class R6 Shares | | | 3,680 | | | | 30,939 | | | | 5,975 | | | | — | | | | — | | | | (6 | ) | | | 36,908 | | | | 306 | | | | — | |
JPMorgan Market Expansion Enhanced Index Fund, Class I Shares | | | 10,110 | | | | 116,903 | | | | 12,412 | | | | 11,971 | | | | 1,688 | | | | (3,065 | ) | | | 115,967 | | | | 957 | | | | 11,456 | |
JPMorgan Mid Cap Growth Fund, Class R6 Shares | | | 911 | | | | 30,734 | | | | 1,836 | | | | 3,272 | | | | 597 | | | | 1,018 | | | | 30,913 | | | | — | | | | 1,836 | |
JPMorgan Multi-Cap Market Neutral Fund, Class I Shares | | | 2,165 | | | | 22,149 | | | | — | | | | — | | | | — | | | | 887 | | | | 23,036 | | | | — | | | | — | |
JPMorgan Research Market Neutral Fund, Class L Shares | | | 1,511 | | | | 22,440 | | | | 579 | | | | — | | | | — | | | | (186 | ) | | | 22,833 | | | | — | | | | 580 | |
JPMorgan Small Cap Value Fund, Class R6 Shares | | | 1,283 | | | | 37,972 | | | | 2,412 | | | | 897 | | | | 16 | | | | (190 | ) | | | 39,313 | | | | 315 | | | | 2,098 | |
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares | | | — | | | | 28,170 | | | | 275 | | | | 28,864 | | | | — | | | | 419 | | | | — | | | | 275 | | | | — | |
JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | 2,450 | | | | — | | | | 29,007 | | | | — | | | | — | | | | (541 | ) | | | 28,466 | | | | 142 | | | | — | |
JPMorgan Systematic Alpha Fund, Class R6 Shares | | | 3,403 | | | | 47,180 | | | | 5,080 | | | | — | | | | — | | | | (634 | ) | | | 51,626 | | | | — | | | | — | |
JPMorgan U.S. Equity Fund, Class R6 Shares | | | 20,355 | | | | 328,150 | | | | 25,965 | | | | 32,026 | | | | 9,427 | | | | 880 | | | | 332,396 | | | | 2,124 | | | | 23,841 | |
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | | | 32,600 | | | | 24,385 | | | | 160,149 | | | | 151,934 | | | | — | | | | — | | | | 32,600 | | | | 134 | | | | — | |
JPMorgan Value Advantage Fund, Class R6 Shares | | | 1,560 | | | | 55,015 | | | | 1,245 | | | | 3,898 | | | | 710 | | | | 3,062 | | | | 56,134 | | | | 710 | | | | 535 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | 2,966,584 | | | | 599,814 | | | | 633,828 | | | | 49,478 | | | | 44,418 | | | | 3,026,466 | | | | 34,786 | | | | 115,297 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 39 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class R6 | | | Class T | | | Total | |
Investor Balanced Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 201 | | | $ | 26 | | | $ | 8 | | | $ | — | (a) | | $ | — | (a) | | $ | 235 | |
Investor Conservative Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 104 | | | | 22 | | | | 7 | | | | — | (a) | | | — | (a) | | | 133 | |
Investor Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 316 | | | | 24 | | | | 16 | | | | — | (a) | | | — | (a) | | | 356 | |
Investor Growth & Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 253 | | | | 18 | | | | 7 | | | | — | (a) | | | — | (a) | | | 278 | |
| (a) | Amount rounds to less than 500. |
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 December 31, 2017, 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.
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 six months ended December 31, 2017, the effective annualized 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 T Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares do not charge distribution fees. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | |
| | | Class A | | Class C | | �� | Class T | |
| | 0.25% | | | 0.75 | % | | | 0.25 | % |
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A and Class T Shares and the CDSC from redemptions of Class C Shares and certain Class A and Class T Shares for which front-end sales charges have been waived. For the six months ended December 31, 2017, JPMDS retained the following amounts (in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Investor Balanced Fund | | $ | 221 | | | $ | — | (a) |
Investor Conservative Growth Fund | | | 151 | | | | 2 | |
Investor Growth Fund | | | 82 | | | | — | (a) |
Investor Growth & Income Fund | | | 96 | | | | — | (a) |
| (a) | Amount rounds to less than 500. |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets of each share class except for Class R6 shares which do not charge a service fee.
JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service 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 JPMDS 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 I | | | Class R6 | | | Class T | |
Investor Balanced Fund | | | 0.52 | % | | | 1.10 | % | | | 0.27 | % | | | 0.15 | % | | | 0.52 | % |
Investor Conservative Growth Fund | | | 0.52 | | | | 1.10 | | | | 0.27 | | | | 0.15 | | | | 0.52 | |
Investor Growth Fund | | | 0.52 | | | | 1.10 | | | | 0.27 | | | | 0.15 | | | | 0.52 | |
Investor Growth & Income Fund | | | 0.52 | | | | 1.10 | | | | 0.27 | | | | 0.15 | | | | 0.52 | |
The contractual expense limitation percentages are in place until at least October 31, 2018.
The Underlying Funds may impose separate advisory and service fees. To avoid charging a service fee at an effective rate above 0.25% of the Funds’ net assets, JPMDS will waive service fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of service 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’ service fees.
For the six months ended December 31, 2017, 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
Fees | | | Administration
Fees | | | Service
Fees | | | Total | |
Investor Balanced Fund | | $ | 6 | | | $ | — | | | $ | 2,460 | | | $ | 2,466 | |
Investor Conservative Growth Fund | | | 21 | | | | 11 | | | | 1,539 | | | | 1,571 | |
Investor Growth Fund | | | 12 | | | | 6 | | | | 1,746 | | | | 1,764 | |
Investor Growth & Income Fund | | | 6 | | | | 2 | | | | 1,804 | | | | 1,812 | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 41 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2017 were as follows (amounts in thousands):
| | | | |
Investor Balanced Fund | | $ | 48 | |
Investor Conservative Growth Fund | | | 36 | |
Investor Growth Fund | | | 26 | |
Investor Growth & Income Fund | | | 29 | |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. 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.
4. Investment Transactions
During the six months ended December 31, 2017, 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 | | $ | 85,699 | | | $ | 187,717 | |
Investor Conservative Growth Fund | | | 53,645 | | | | 182,000 | |
Investor Growth Fund | | | 129,813 | | | | 53,605 | |
Investor Growth & Income Fund | | | 104,748 | | | | 146,978 | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Investor Balanced Fund | | $ | 4,037,904 | | | $ | 977,139 | | | $ | 9,975 | | | $ | 967,164 | |
Investor Conservative Growth Fund | | | 3,256,487 | | | | 480,888 | | | | 10,005 | | | | 470,883 | |
Investor Growth Fund | | | 1,922,549 | | | | 824,898 | | | | 4,184 | | | | 820,714 | |
Investor Growth & Income Fund | | | 2,243,241 | | | | 790,907 | | | | 7,682 | | | | 783,225 | |
As of June 30, 2017, the Funds did not have any net capital loss carryforwards.
6. Borrowings
The Funds rely upon an exemptive order granted by the Securities and Exchange Commission (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of 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).
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 5, 2018.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended December 31, 2017.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
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 December 31, 2017, the Funds had one affiliated omnibus account, which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | |
| | | % of the Fund | |
Investor Balanced Fund | | | 84.0 | % |
Investor Conservative Growth Fund | | | 87.0 | |
Investor Growth Fund | | | 69.1 | |
Investor Growth & Income Fund | | | 75.3 | |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
As of December 31, 2017, 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 | | | 89.2 | % |
JPMorgan Systematic Alpha Fund | | | 57.8 | |
JPMorgan Research Market Neutral Fund | | | 52.1 | |
JPMorgan Limited Duration Bond Fund | | | 50.7 | |
JPMorgan Market Expansion Enhanced Index Fund | | | 44.4 | |
JPMorgan Intrepid Growth Fund | | | 43.9 | |
JPMorgan Large Cap Value Fund | | | 42.5 | |
JPMorgan Income Fund | | | 42.4 | |
JPMorgan Intrepid European Fund | | | 36.0 | |
JPMorgan International Unconstrained Equity Fund | | | 28.3 | |
JPMorgan Intrepid America Fund | | | 27.8 | |
JPMorgan Floating Rate Income Fund | | | 18.4 | |
JPMorgan Intrepid Mid Cap Fund | | | 18.3 | |
JPMorgan International Research Enhanced Equity Fund | | | 14.8 | |
JPMorgan Inflation Managed Bond Fund | | | 13.5 | |
JPMorgan Commodities Strategy Fund | | | 11.8 | |
JPMorgan Emerging Economies Fund | | | 10.3 | |
JPMorgan Core Plus Bond Fund | | | 10.2 | |
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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 43 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
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. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
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, July 1, 2017 and continued to hold your shares at the end of the reporting period, December 31, 2017.
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
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Investor Balanced Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,063.60 | | | $ | 2.70 | | | | 0.52 | % |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,060.80 | | | | 5.66 | | | | 1.09 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.71 | | | | 5.55 | | | | 1.09 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,064.80 | | | | 1.41 | | | | 0.27 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.84 | | | | 1.38 | | | | 0.27 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,049.20 | | | | 0.52 | | | | 0.12 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.60 | | | | 0.61 | | | | 0.12 | |
Class T | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,063.50 | | | | 2.70 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
| | | | |
Investor Conservative Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,042.70 | | | | 2.68 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,039.00 | | | | 5.65 | | | | 1.10 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.66 | | | | 5.60 | | | | 1.10 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,044.60 | | | | 1.39 | | | | 0.27 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.84 | | | | 1.38 | | | | 0.27 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 45 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
Investor Conservative Growth Fund (continued) | | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual** | | $ | 1,000.00 | | | $ | 1,032.60 | | | $ | 0.55 | | | | 0.13 | % |
Hypothetical* | | | 1,000.00 | | | | 1,024.55 | | | | 0.66 | | | | 0.13 | |
Class T | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,042.50 | | | | 2.68 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
| | | | |
Investor Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,103.70 | | | | 2.76 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,100.70 | | | | 5.82 | | | | 1.10 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.66 | | | | 5.60 | | | | 1.10 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,105.00 | | | | 1.43 | | | | 0.27 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.84 | | | | 1.38 | | | | 0.27 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,080.70 | | | | 0.57 | | | | 0.13 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.55 | | | | 0.66 | | | | 0.13 | |
Class T | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,103.50 | | | | 2.76 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
| | | | |
Investor Growth & Income Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,082.50 | | | | 2.73 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,079.20 | | | | 5.76 | | | | 1.10 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.66 | | | | 5.60 | | | | 1.10 | |
Class I | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,083.90 | | | | 1.42 | | | | 0.27 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.84 | | | | 1.38 | | | | 0.27 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,064.10 | | | | 0.56 | | | | 0.13 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.55 | | | | 0.66 | | | | 0.13 | |
Class T | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,082.30 | | | | 2.73 | | | | 0.52 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.58 | | | | 2.65 | | | | 0.52 | |
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 153/365 (to reflect the actual period). Commencement of operations was July 31, 2017. |
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreement for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information concerning the Funds and the underlying J.P. Morgan Funds in which each of the Funds invests (the “Underlying Funds”). Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds and Underlying Funds received from the Adviser. This information includes the Funds’ and Underlying Funds’ performance as compared to the performance of the Funds’ and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Funds’ and the Underlying Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Funds and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees
discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds and Underlying Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreements was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds and Underlying Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds and Underlying Funds, their overall confidence in the Adviser’s integrity and the
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 47 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund and Underlying Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Funds and Underlying Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds and Underlying Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund and Underlying Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds including the benefits received by the Adviser and its affiliates in connection with the Funds’ investments in the Underlying Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds and/or Underlying Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the
Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior Officer
The Trustees noted that, upon their direction, the Senior Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser
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| 48 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Investor Balanced Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group, and in the third, second, and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in fourth, second, and second quintiles based upon the Peer Group, and in the third, second, and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Investor Conservative Growth Fund’s performance for Class A shares was in the fourth, third and fourth quintiles based upon the Peer Group, and in the third, second, and second quintiles based upon the Universe,
for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for the Class I shares was in the fourth, second and second quintiles based upon the Peer Group, and in the third, second, and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Investor Growth Fund’s performance for Class A shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2016, and in the first quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Investor Growth & Income Fund’s performance for Class A shares was in the first, second and first quintiles based upon the Peer Group, and in the second, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for the Class I shares was in the second, second and third quintiles based upon the Peer Group for the one-, three-, and five-year periods ended December 31, 20165, respectively, and in the second quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2016. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund.
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| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 49 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Investor Balanced Fund’s net advisory fee for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fifth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, in light of the information, the Trustees concluded that the advisory fees were satisfactory and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.
The Trustees noted that the Investor Conservative Growth Fund’s net advisory fee for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fifth and fourth quintiles based upon the Peer group and the Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe,
respectively. After considering all of the factors identified above, in light of the information, the Trustees concluded that the advisory fees were satisfactory and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.
The Trustees noted that the Investor Growth Fund’s net advisory fee and actual total expenses for Class A shares were in the third and second quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for the Class I shares were in the third and first quintiles, respectively, based upon both the Peer Group and Universe. After considering all of the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.
The Trustees noted that the Investor Growth & Income Fund’s net advisory fee for Class A shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first quintile based upon both the Peer Group and Universe. After considering all of the factors identified above, in light of the information, the Trustees concluded that the advisory fees were satisfactory and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.
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| 50 | | | | J.P. MORGAN INVESTOR FUNDS | | DECEMBER 31, 2017 |
TAX LETTER
(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, 2017. 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, 2017. The information necessary to complete your income tax returns for the calendar year ending December 31, 2017 will be provided under separate cover.
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2017, the Funds elected to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses were as follows or amounts as finally determined (amounts in thousands):
| | | | | | | | |
| | | Total Foreign
Source Income | | | Total Foreign
Tax Credit | |
Investor Balanced Fund | | $ | 11,660 | | | $ | 1,261 | |
Investor Conservative Growth Fund | | | 6,013 | | | | 631 | |
Investor Growth Fund | | | 8,273 | | | | 913 | |
Investor Growth & Income Fund | | | 8,051 | | | | 908 | |
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| DECEMBER 31, 2017 | | J.P. MORGAN INVESTOR FUNDS | | | | | 51 | |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-INV-1217 |
Semi-Annual Report
J.P. Morgan Intrepid Funds
December 31, 2017 (Unaudited)
JPMorgan Intrepid America Fund
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Sustainable Equity Fund
JPMorgan Intrepid Value Fund
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’ prospectuses 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.
CEO’S LETTER
February 1, 2018 (Unaudited)
Dear Shareholder,
The U.S. economy continued to grow in the second half of 2017, supported by a synchronized global economy and central bank policies that also helped lift equity prices in the U.S. and elsewhere.
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 | | “Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand.” — George C.W. Gatch |
The U.S. economy entered its third longest expansion on record in 2017, and gross domestic product (GDP) rose by 3.2% in the third quarter and an estimated 2.6% in the fourth quarter. During the second half of 2017, unemployment fell to 4.1% in December from 4.3% in June, and U.S. consumer confidence reached a 17-year high in November. Corporate profits rose during the second half of the year amid stable energy prices and a decline in the value of the U.S. dollar.
Notably, the second half of 2017 included three large hurricanes, wildfires and other assorted natural disasters that combined to cause an estimated $306 billion in damage in the U.S. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates in December 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during the reporting period and provided support for both the domestic economy and financial markets.
Most developed market and emerging market economies also continued to grow in the second half of 2017. Growth in Europe was strong enough that the European Central Bank committed
to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade and China’s GDP grew by an estimated 6.8% in the second half of 2017, supported by personal consumption and growth in foreign trade.
Roughly 120 countries, comprising three-fourths of global GDP, had experienced increased economic growth by the end of 2017, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns for the six months ended December 31, 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited growth from external demand and a reduction in U.S. corporate tax rates from the 2017 Tax Cuts and Jobs Act. Historically high consumer confidence, increased business investment and growth in corporate earnings all indicate that the U.S. economy should continue to expand. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
J.P. Morgan Intrepid Funds
MARKET OVERVIEW
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
U.S. equity markets overall provided positive returns throughout the reporting period amid strong growth in corporate profits, stable energy prices and continued low interest rates. During the reporting period, the Standard & Poor’s 500 Index (the “S&P 500”) reached more than two dozen record high closings and had positive returns for each month.
In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the reporting period and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks during the reporting period. For the six months ended December 31, 2017, the S&P 500 returned 11.42%
Intrepid Investment Philosophy and Process
The JPMorgan Behavioral Finance Team employs a philosophy that is rooted in behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.
The Team aims to capitalize on these market inefficiencies by targeting 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.
The Intrepid Sustainable Equity Fund also incorporates environmental, social and corporate governance (ESG) practices into its investment process. In managing the Fund, the adviser identifies companies that, in the adviser’s opinion, generally approach ESG practices in a thoughtful manner while also having attractive value, quality and momentum characteristics. The Fund seeks to invest in companies that, on a combined basis, appear attractive when considering all of these financial and sustainability characteristics. During the reporting period, the Funds were managed and positioned in accordance with these investment philosophies and processes.
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| 2 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid America Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | | | |
| REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* | | | 14.67% | |
| S&P 500 Index | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 4,244,910 | |
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 Class I Shares outperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrials and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and health care sectors was a leading detractor from relative performance.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Boeing Co. and WalMart Stores Inc., and its underweight position in General Electric Co. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan. Shares of Wal-Mart, a super store retail chain, rose amid an increase in consumer spending during the November-December holiday shopping season and investor expectations that the company will benefit from the 2017 Tax Cut and Jobs Act. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s efforts to implement a restructuring plan.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Expedia Inc., Everest Re Group Ltd. and eBay Inc. Shares of Expedia, an online travel booking company, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Everest Re Group, a property and casualty insurer, fell amid investor concerns about record high damage estimates from hurricanes and other catastrophes in 2017. Shares of eBay, an Internet marketplace provider, fell after the company issued a weaker-than-expected forecast for earnings and revenue for the fourth quarter of 2017.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Microsoft Corp. | | | 4.0 | % |
| | 2. | | | Apple, Inc. | | | 3.8 | |
| | 3. | | | Boeing Co. (The) | | | 2.6 | |
| | 4. | | | Bank of America Corp. | | | 2.5 | |
| | 5. | | | Citigroup, Inc. | | | 2.5 | |
| | 6. | | | Caterpillar, Inc. | | | 2.4 | |
| | 7. | | | Anthem, Inc. | | | 2.3 | |
| | 8. | | | Valero Energy Corp. | | | 2.2 | |
| | 9. | | | WalMart Stores, Inc. | | | 2.1 | |
| | 10. | | | eBay, Inc. | | | 2.0 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 23.6 | % |
| Financials | | | 15.7 | |
| Health Care | | | 12.5 | |
| Consumer Discretionary | | | 11.5 | |
| Industrials | | | 10.2 | |
| Consumer Staples | | | 7.5 | |
| Energy | | | 6.0 | |
| Materials | | | 3.2 | |
| Utilities | | | 2.7 | |
| Real Estate | | | 2.4 | |
| Telecommunication Services | | | 2.0 | |
| Short-Term Investment | | | 2.7 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
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| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 3 | |
JPMorgan Intrepid America Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 8.55 | % | | | 16.52 | % | | | 14.16 | % | | | 7.29 | % |
Without Sales Charge | | | | | 14.55 | | | | 22.99 | | | | 15.40 | | | | 7.87 | |
CLASS C SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 13.24 | | | | 21.36 | | | | 14.83 | | | | 7.34 | |
Without CDSC | | | | | 14.24 | | | | 22.36 | | | | 14.83 | | | | 7.34 | |
CLASS I SHARES | | February 28, 2003 | | | 14.67 | | | | 23.30 | | | | 15.72 | | | | 8.15 | |
CLASS R2 SHARES | | November 3, 2008 | | | 14.43 | | | | 22.69 | | | | 15.12 | | | | 7.63 | |
CLASS R5 SHARES | | May 15, 2006 | | | 14.80 | | | | 23.53 | | | | 15.93 | | | | 8.37 | |
CLASS R6 SHARES | | November 2, 2015 | | | 14.83 | | | | 23.63 | | | | 15.98 | | | | 8.39 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I Shares of the JPMorgan Intrepid America Fund, the S&P 500 Index, the Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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 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 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 and the Lipper Multi-Cap Core Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I 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.
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| 4 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Fund (Class I Shares)* | | | 15.58% | |
| Russell 1000 Growth Index | | | 14.23% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 1,141,438 | |
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 Class I Shares outperformed the Russell 1000 Growth Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrials and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and real estate sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Boeing Co., VMware Inc. and Align Technology Inc. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan. Shares of VMware, a provider of cloud computing services, rose after the company reported better-than-expected earnings for the third quarter of 2017. Shares of Align Technology, a maker of dental medical devices, rose after the company reported better-than-expected earnings and sales growth during the reporting period.
Leading individual detractors from the Fund’s relative performance included the Fund’s overweight positions in Dish Network Co., Expedia Inc. and Oracle Corp. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Expedia, an online travel booking company, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017. Shares of Oracle, a database software provider, fell after the company reported weak growth in its cloud computing business and issued a lower-than-expected earnings forecast.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Apple, Inc. | | | 6.3 | % |
| | 2. | | | Microsoft Corp. | | | 5.6 | |
| | 3. | | | Visa, Inc., Class A | | | 3.3 | |
| | 4. | | | Boeing Co. (The) | | | 3.2 | |
| | 5. | | | Caterpillar, Inc. | | | 2.7 | |
| | 6. | | | Amazon.com, Inc. | | | 2.6 | |
| | 7. | | | Home Depot, Inc. (The) | | | 2.4 | |
| | 8. | | | Amgen, Inc. | | | 2.2 | |
| | 9. | | | VMware, Inc., Class A | | | 2.1 | |
| | 10. | | | Applied Materials, Inc. | | | 2.1 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Information Technology | | | 37.5 | % |
| Consumer Discretionary | | | 17.8 | |
| Health Care | | | 13.1 | |
| Industrials | | | 12.7 | |
| Consumer Staples | | | 6.3 | |
| Materials | | | 3.5 | |
| Financials | | | 2.7 | |
| Real Estate | | | 2.1 | |
| Energy | | | 1.1 | |
| Others (each less than 1.0%) | | | 1.1 | |
| 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 5 | |
JPMorgan Intrepid Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 9.38 | % | | | 24.65 | % | | | 15.81 | % | | | 8.58 | % |
Without Sales Charge | | | | | 15.44 | | | | 31.55 | | | | 17.06 | | | | 9.17 | |
CLASS C SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 14.15 | | | | 29.93 | | | | 16.49 | | | | 8.63 | |
Without CDSC | | | | | 15.15 | | | | 30.93 | | | | 16.49 | | | | 8.63 | |
CLASS I SHARES | | February 28, 2003 | | | 15.58 | | | | 31.89 | | | | 17.35 | | | | 9.44 | |
CLASS R2 SHARES | | November 3, 2008 | | | 15.28 | | | | 31.26 | | | | 16.78 | | | | 8.92 | |
CLASS R5 SHARES | | May 15, 2006 | | | 15.67 | | | | 32.15 | | | | 17.58 | | | | 9.66 | |
CLASS R6 SHARES | | November 2, 2015 | | | 15.72 | | | | 32.21 | | | | 17.61 | | | | 9.67 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I Shares of the JPMorgan Intrepid Growth Fund, the Russell 1000 Growth Index, the Lipper Large-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index from December 31, 2007 to December 31, 2017. 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 and 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 Large-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I 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.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 10.31% | |
| Russell Midcap Index | | | 9.75% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 965,109 | |
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 Class I Shares outperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the utilities and consumer stable sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the systems hardware and software & services sectors was a leading positive detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in NRG Energy Inc., Pilgrim’s Pride Corp. and Tyson Foods Inc. Shares of NRG Energy, an electric utility, rose after the company unveiled a plan to sell off power plants, cut costs and reduce debt. Shares of Pilgrim’s Pride and Tyson Foods, both poultry processors, rose after they each reported better-than-expected earnings and revenue for the third quarter of 2017.
Leading individual detractors from relative performance included the Fund’s overweight positions in Popular Inc., Ingersoll-Rand PLC and United Continental Holdings Inc. Shares of Popular, a banking and financial services company based in San Juan, Puerto Rico, fell amid investor concerns about the impact of Puerto Rico’s slow recovery from Hurricane Maria and after the company reported a drop in earnings for the second quarter of 2017. Shares of Ingersoll-Rand, an industrial goods maker, fell after the company reported lower-than-expected revenue for the third quarter of 2017. Shares of United Continental Holdings, an airline operator, fell after the company reported canceling large numbers of flights due to hurricanes in Florida, Texas and the Caribbean.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Jacobs Engineering Group, Inc. | | | 2.1 | % |
| | 2. | | | Xerox Corp. | | | 2.0 | |
| | 3. | | | ManpowerGroup, Inc. | | | 2.0 | |
| | 4. | | | LPL Financial Holdings, Inc. | | | 1.9 | |
| | 5. | | | Huntington Ingalls Industries, Inc. | | | 1.9 | |
| | 6. | | | DXC Technology Co. | | | 1.8 | |
| | 7. | | | PVH Corp. | | | 1.8 | |
| | 8. | | | Equinix, Inc. | | | 1.7 | |
| | 9. | | | MSCI, Inc. | | | 1.6 | |
| | 10. | | | Marvell Technology Group Ltd., (Bermuda) | | | 1.6 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Industrials | | | 17.4 | % |
| Information Technology | | | 16.4 | |
| Financials | | | 13.1 | |
| Consumer Discretionary | | | 10.3 | |
| Health Care | | | 9.9 | |
| Real Estate | | | 9.5 | |
| Materials | | | 6.0 | |
| Energy | | | 5.8 | |
| Utilities | | | 5.6 | |
| Consumer Staples | | | 4.6 | |
| Telecommunication Services | | | 0.4 | |
| Short-Term Investment | | | 1.0 | |
| * | | 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 7 | |
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | May 1, 1992 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 4.35 | % | | | 10.56 | % | | | 13.38 | % | | | 7.59 | % |
Without Sales Charge | | | | | 10.16 | | | | 16.70 | | | | 14.61 | | | | 8.17 | |
CLASS C SHARES | | March 22, 1999 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 8.89 | | | | 15.03 | | | | 13.91 | | | | 7.49 | |
Without CDSC | | | | | 9.89 | | | | 16.03 | | | | 13.91 | | | | 7.49 | |
CLASS I SHARES | | June 1, 1991 | | | 10.31 | | | | 16.96 | | | | 14.90 | | | | 8.44 | |
CLASS R3 SHARES | | September 9, 2016 | | | 10.19 | | | | 16.69 | | | | 14.61 | | | | 8.17 | |
CLASS R4 SHARES | | September 9, 2016 | | | 10.29 | | | | 16.95 | | | | 14.88 | | | | 8.44 | |
CLASS R6 SHARES | | November 2, 2015 | | | 10.43 | | | | 17.29 | | | | 15.02 | | | | 8.50 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 R3 Shares prior to their inception date are based on the performance of Class A Shares. Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares and Class R4 Shares would have been similar to those shown because Class R3 Shares and Class R4 Shares have similar expenses to those of Class A and Class I Shares, respectively.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Intrepid Mid Cap Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class I 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.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Sustainable Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 10.59% | |
| Standard & Poor’s 500 Index | | | 11.42% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 20,702 | |
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Sustainable Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the consumer staples and energy sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s underweight position in the real estate sector and its security selection in the industrials sector were leading contributors to relative performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s overweight positions in Oracle Corp., Walgreens Boots Alliance Inc. and CenturyLink Inc. Shares of Oracle, a database software provider, fell after the company reported weak growth in its cloud computing business and issued a lower-than-expected earnings forecast. Shares of Walgreens Boots Alliance, a retail and wholesale pharmacy chain, fell amid investor concerns that its wholesale pharmacy business would lose significant market share to Amazon.com Inc. Shares of CenturyLink, a telecommunications services provider, fell ahead of the company’s planned $25 billion acquisition of Level 3 Communications Inc.
Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight position in General Electric Co. and its overweight positions in Lowe’s Cos. and Valero Energy Corp. Shares of General Electric, an industrial conglomerate not held by the Fund, fell amid the company’s efforts to implement a restructuring plan. Shares of Lowe’s, a home improvement retail chain, rose after the company reported better-than-expected earnings for the third quarter of 2017 and forecasted a 5% increase in sales for the full year 2017. Shares of Valero Energy, a petroleum refiner, rose amid rising fuel prices in the U.S.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Apple, Inc. | | | 6.0 | % |
| | 2. | | | Microsoft Corp. | | | 5.3 | |
| | 3. | | | Citigroup, Inc. | | | 3.9 | |
| | 4. | | | Home Depot, Inc. (The) | | | 2.6 | |
| | 5. | | | Lowe’s Cos., Inc. | | | 2.5 | |
| | 6. | | | PepsiCo, Inc. | | | 2.4 | |
| | 7. | | | Bank of America Corp. | | | 2.3 | |
| | 8. | | | Walgreens Boots Alliance, Inc. | | | 2.3 | |
| | 9. | | | Verizon Communications, Inc. | | | 2.2 | |
| | 10. | | | PNC Financial Services Group, Inc. (The) | | | 2.2 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
Information Technology | | | 23.6% | |
Financials | | | 17.1 | |
Consumer Discretionary | | | 13.5 | |
Health Care | | | 13.2 | |
Consumer Staples | | | 8.5 | |
Industrials | | | 8.0 | |
Energy | | | 5.8 | |
Telecommunication Services | | | 2.8 | |
Utilities | | | 2.6 | |
Materials | | | 1.7 | |
Real Estate | | | 0.8 | |
Short-Term Investment | | | 2.4 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 9 | |
JPMorgan Intrepid Sustainable Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With Sales Charge** | | | | | 4.67 | % | | | 14.64 | % | | | 13.99 | % | | | 7.06 | % |
Without Sales Charge | | | | | 10.47 | | | | 20.99 | | | | 15.23 | | | | 7.64 | |
CLASS C SHARES | | February 19, 2005 | | | | | | | | | | | | | | | | |
With CDSC*** | | | | | 9.19 | | | | 19.38 | | | | 14.66 | | | | 7.10 | |
Without CDSC | | | | | 10.19 | | | | 20.38 | | | | 14.66 | | | | 7.10 | |
CLASS I SHARES | | February 28, 2003 | | | 10.59 | | | | 21.28 | | | | 15.52 | | | | 7.91 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I Shares of the JPMorgan Intrepid Sustainable Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from December 31, 2007 to December 31, 2017. 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.
Class I 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.
Effective November 1, 2016, the Fund changed its investment strategies. 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.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 12.49% | |
| Russell 1000 Value Index | | | 8.61% | |
| |
| Net Assets as of 12/31/2017 (In Thousands) | | $ | 1,069,827 | |
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 Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2017. The Fund’s security selection in the industrials and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and real estate sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Boeing Co. and Valero Energy Co. and its underweight position in General Electric Co. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan. Shares of Valero Energy, a petroleum refiner, rose amid rising fuel prices in the U.S. Shares of General Electric, an industrial conglomerate not held by the Fund, fell amid the company’s efforts to implement a restructuring plan.
Leading individual detractors from relative performance included the Fund’s overweight positions in Allergan PLC and Assured Guaranty Ltd., and its underweight position in Intel Corp. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition by generic formulations of the drug. Shares of Assured Guaranty, a bond insurer, fell amid investor concerns about a potential default on bonds issued by Puerto Rico. Shares of Intel, a semiconductor maker not held by the Fund, rose amid gains in the broader semiconductor sector.
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | |
| | 1. | | | Bank of America Corp. | | | 4.0 | % |
| | 2. | | | Citigroup, Inc. | | | 3.5 | |
| | 3. | | | PNC Financial Services Group, Inc. (The) | | | 2.5 | |
| | 4. | | | Valero Energy Corp. | | | 2.3 | |
| | 5. | | | Wal-Mart Stores, Inc. | | | 2.1 | |
| | 6. | | | Boeing Co. (The) | | | 1.9 | |
| | 7. | | | HP, Inc. | | | 1.9 | |
| | 8. | | | Humana, Inc. | | | 1.8 | |
| | 9. | | | Amgen, Inc. | | | 1.8 | |
| | 10. | | | Allstate Corp. (The) | | | 1.8 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR*** | |
| Financials | | | 27.4 | % |
| Health Care | | | 13.4 | |
| Energy | | | 10.8 | |
| Consumer Discretionary | | | 9.3 | |
| Information Technology | | | 9.2 | |
| Industrials | | | 8.7 | |
| Consumer Staples | | | 7.9 | |
| Utilities | | | 5.2 | |
| Real Estate | | | 3.1 | |
| Materials | | | 2.8 | |
| Telecommunication Services | | | 0.1 | |
| 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 December 31, 2017. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 11 | |
JPMorgan Intrepid Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | |
| | | | | |
| | | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 19, 2005 | | | | | | | | | | | | | | |
With Sales Charge** | | | | 6.47% | | | 10.34 | % | | | 12.22 | % | | | 6.31 | % |
Without Sales Charge | | | | 12.37 | | | 16.45 | | | | 13.43 | | | | 6.88 | |
CLASS C SHARES | | February 19, 2005 | | | | | | | | | | | | | | |
With CDSC*** | | | | 11.09 | | | 14.85 | | | | 12.86 | | | | 6.35 | |
Without CDSC | | | | 12.09 | | | 15.85 | | | | 12.86 | | | | 6.35 | |
CLASS I SHARES | | February 28, 2003 | | 12.49 | | | 16.66 | | | | 13.61 | | | | 7.07 | |
CLASS R2 SHARES | | November 3, 2008 | | 12.19 | | | 16.07 | | | | 13.13 | | | | 6.63 | |
CLASS R5 SHARES | | May 15, 2006 | | 12.59 | | | 16.87 | | | | 13.83 | | | | 7.29 | |
CLASS R6 SHARES | | November 30, 2010 | | 12.60 | | | 16.94 | | | | 13.89 | | | | 7.32 | |
| ** | | Sales Charge for Class A Shares is 5.25%. |
| *** | | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 Class I Shares of the JPMorgan Intrepid Value Fund, the Russell 1000 Value Index, the Lipper Large-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index from December 31, 2007 to December 31, 2017. 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 and the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 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. Lipper Large-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.6% | | | | |
| | | | Consumer Discretionary — 11.5% | | | | |
| | | | Automobiles — 0.6% | | | | |
| | 654 | | | General Motors Co. | | | 26,816 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.6% | | | | |
| | 930 | | | H&R Block, Inc. | | | 24,395 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.5% | | | | |
| | 207 | | | Hilton Worldwide Holdings, Inc. | | | 16,539 | |
| | 305 | | | Wyndham Worldwide Corp. | | | 35,317 | |
| | 253 | | | Yum China Holdings, Inc. | | | 10,125 | |
| | | | | | | | |
| | | | | | | 61,981 | |
| | | | | | | | |
| | | | Household Durables — 0.8% | | | | |
| | 729 | | | Toll Brothers, Inc. | | | 35,006 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 1.9% | | | | |
| | 37 | | | Amazon.com, Inc. (a) | | | 43,621 | |
| | 226 | | | Expedia, Inc. | | | 27,008 | |
| | 144 | | | Wayfair, Inc., Class A (a) | | | 11,551 | |
| | | | | | | | |
| | | | | | | 82,180 | |
| | | | | | | | |
| | | | Media — 2.1% | | | | |
| | 445 | | | CBS Corp. (Non-Voting), Class B | | | 26,273 | |
| | 643 | | | Comcast Corp., Class A | | | 25,736 | |
| | 234 | | | DISH Network Corp., Class A (a) | | | 11,159 | |
| | 1,444 | | | News Corp., Class A | | | 23,412 | |
| | | | | | | | |
| | | | | | | 86,580 | |
| | | | | | | | |
| | | | Specialty Retail — 3.4% | | | | |
| | 598 | | | Best Buy Co., Inc. | | | 40,966 | |
| | 293 | | | Burlington Stores, Inc. (a) | | | 35,998 | |
| | 292 | | | Home Depot, Inc. (The) | | | 55,381 | |
| | 126 | | | Tiffany & Co. | | | 13,108 | |
| | | | | | | | |
| | | | | | | 145,453 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.6% | | | | |
| | 187 | | | PVH Corp. | | | 25,631 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 488,042 | |
| | | | | | | | |
| | | | Consumer Staples — 7.5% | | | | |
| | | | Beverages — 0.9% | | | | |
| | 303 | | | PepsiCo, Inc. | | | 36,324 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.1% | | | | |
| | 911 | | | Wal-Mart Stores, Inc. | | | 89,912 | |
| | | | | | | | |
| | | | Food Products — 3.2% | | | | |
| | 766 | | | Conagra Brands, Inc. | | | 28,840 | |
| | 211 | | | Ingredion, Inc. | | | 29,470 | |
| | 925 | | | Pilgrim’s Pride Corp. (a) | | | 28,724 | |
| | 587 | | | Tyson Foods, Inc., Class A | | | 47,580 | |
| | | | | | | | |
| | | | | | | 134,614 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Household Products — 0.5% | | | | |
| | 488 | | | Energizer Holdings, Inc. | | | 23,409 | |
| | | | | | | | |
| | | | Personal Products — 0.8% | | | | |
| | 525 | | | Nu Skin Enterprises, Inc., Class A | | | 35,828 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 320,087 | |
| | | | | | | | |
| | | | Energy — 6.0% | | | | |
| | | | Energy Equipment & Services — 0.4% | | | | |
| | 451 | | | TechnipFMC plc, (United Kingdom) | | | 14,111 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 5.6% | | | | |
| | 320 | | | Andeavor | | | 36,577 | |
| | 507 | | | ConocoPhillips | | | 27,818 | |
| | 240 | | | Devon Energy Corp. | | | 9,924 | |
| | 759 | | | HollyFrontier Corp. | | | 38,871 | |
| | 506 | | | Marathon Petroleum Corp. | | | 33,379 | |
| | 1,004 | | | Valero Energy Corp. | | | 92,278 | |
| | | | | | | | |
| | | | | | | 238,847 | |
| | | | | | | | |
| | | | Total Energy | | | 252,958 | |
| | | | | | | | |
| | | | Financials — 15.7% | | | | |
| | | | Banks — 7.3% | | | | |
| | 3,653 | | | Bank of America Corp. | | | 107,840 | |
| | 639 | | | CIT Group, Inc. | | | 31,448 | |
| | 1,446 | | | Citigroup, Inc. | | | 107,567 | |
| | 329 | | | Comerica, Inc. | | | 28,535 | |
| | 159 | | | PNC Financial Services Group, Inc. (The) | | | 22,942 | |
| | 798 | | | Regions Financial Corp. | | | 13,789 | |
| | | | | | | | |
| | | | | | | 312,121 | |
| | | | | | | | |
| | | | Capital Markets — 3.9% | | | | |
| | 175 | | | Ameriprise Financial, Inc. | | | 29,674 | |
| | 200 | | | Moody’s Corp. | | | 29,463 | |
| | 234 | | | Morgan Stanley | | | 12,252 | |
| | 224 | | | MSCI, Inc. | | | 28,345 | |
| | 377 | | | S&P Global, Inc. | | | 63,897 | |
| | | | | | | | |
| | | | | | | 163,631 | |
| | | | | | | | |
| | | | Insurance — 4.0% | | | | |
| | 426 | | | Allstate Corp. (The) | | | 44,627 | |
| | 493 | | | Assured Guaranty Ltd. | | | 16,705 | |
| | 123 | | | Everest Re Group Ltd. | | | 27,127 | |
| | 266 | | | Lincoln National Corp. | | | 20,417 | |
| | 3 | | | MetLife, Inc. | | | 172 | |
| | 751 | | | Progressive Corp. (The) | | | 42,296 | |
| | 161 | | | RenaissanceRe Holdings Ltd., (Bermuda) | | | 20,165 | |
| | | | | | | | |
| | | | | | | 171,509 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 13 | |
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 0.5% | |
| | 400 | | | Chimera Investment Corp. | | | 7,396 | |
| | 782 | | | Two Harbors Investment Corp. | | | 12,708 | |
| | | | | | | | |
| | | | | | | 20,104 | |
| | | | | | | | |
| | | | Total Financials | | | 667,365 | |
| | | | | | | | |
| | | | Health Care — 12.6% | |
| | | | Biotechnology — 4.0% | |
| | 284 | | | AbbVie, Inc. | | | 27,485 | |
| | 251 | | | Amgen, Inc. | | | 43,631 | |
| | 1,121 | | | Gilead Sciences, Inc. | | | 80,316 | |
| | 125 | | | Vertex Pharmaceuticals, Inc. (a) | | | 18,777 | |
| | | | | | | | |
| | | | | | | 170,209 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 1.9% | |
| | 1,228 | | | Baxter International, Inc. | | | 79,346 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 5.9% | |
| | 435 | | | Anthem, Inc. | | | 97,812 | |
| | 340 | | | Centene Corp. (a) | | | 34,329 | |
| | 69 | | | Express Scripts Holding Co. (a) | | | 5,143 | |
| | 292 | | | Humana, Inc. | | | 72,461 | |
| | 102 | | | McKesson Corp. | | | 15,845 | |
| | 75 | | | Molina Healthcare, Inc. (a) | | | 5,736 | |
| | 97 | | | WellCare Health Plans, Inc. (a) | | | 19,506 | |
| | | | | | | | |
| | | | | | | 250,832 | |
| | | | | | | | |
| | | | Pharmaceuticals — 0.8% | |
| | 147 | | | Bristol-Myers Squibb Co. | | | 9,032 | |
| | 655 | | | Pfizer, Inc. | | | 23,728 | |
| | | | | | | | |
| | | | | | | 32,760 | |
| | | | | | | | |
| | | | Total Health Care | | | 533,147 | |
| | | | | | | | |
| | | | Industrials — 10.2% | |
| | | | Aerospace & Defense — 2.6% | |
| | 381 | | | Boeing Co. (The) | | | 112,272 | |
| | | | | | | | |
| | | | Airlines — 1.8% | |
| | 257 | | | Copa Holdings SA, (Panama), Class A | | | 34,426 | |
| | 660 | | | Delta Air Lines, Inc. | | | 36,946 | |
| | 98 | | | Southwest Airlines Co. | | | 6,414 | |
| | | | | | | | |
| | | | | | | 77,786 | |
| | | | | | | | |
| | | | Building Products — 0.6% | |
| | 259 | | | Owens Corning | | | 23,794 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.6% | |
| | 129 | | | Rockwell Automation, Inc. | | | 25,290 | |
| | | | | | | | |
| | | | Machinery — 3.4% | |
| | 650 | | | Caterpillar, Inc. | | | 102,443 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Machinery — continued | | | | |
| | 257 | | | Deere & Co. | | | 40,192 | |
| | | | | | | | |
| | | | | | | 142,635 | |
| | | | | | | | |
| | | | Professional Services — 0.7% | |
| | 252 | | | ManpowerGroup, Inc. | | | 31,805 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.5% | |
| | 113 | | | United Rentals, Inc. (a) | | | 19,495 | |
| | | | | | | | |
| | | | Total Industrials | | | 433,077 | |
| | | | | | | | |
| | | | Information Technology — 23.7% | |
| | | | Internet Software & Services — 4.3% | |
| | 20 | | | Alphabet, Inc., Class A (a) | | | 21,279 | |
| | 27 | | | Alphabet, Inc., Class C (a) | | | 28,148 | |
| | 2,306 | | | eBay, Inc. (a) | | | 87,029 | |
| | 77 | | | Facebook, Inc., Class A (a) | | | 13,499 | |
| | 279 | | | VeriSign, Inc. (a) | | | 31,883 | |
| | | | | | | | |
| | | | | | | 181,838 | |
| | | | | | | | |
| | | | IT Services — 2.1% | |
| | 361 | | | DXC Technology Co. | | | 34,217 | |
| | 494 | | | Visa, Inc., Class A | | | 56,291 | |
| | | | | | | | |
| | | | | | | 90,508 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 4.2% | |
| | 1,576 | | | Applied Materials, Inc. | | | 80,550 | |
| | 261 | | | First Solar, Inc. (a) | | | 17,643 | |
| | 321 | | | Lam Research Corp. | | | 59,068 | |
| | 188 | | | Maxim Integrated Products, Inc. | | | 9,829 | |
| | 245 | | | Teradyne, Inc. | | | 10,258 | |
| | | | | | | | |
| | | | | | | 177,348 | |
| | | | | | | | |
| | | | Software — 7.4% | |
| | 2,011 | | | Microsoft Corp. | | | 172,021 | |
| | 885 | | | Oracle Corp. | | | 41,852 | |
| | 153 | | | Take-Two Interactive Software, Inc. (a) | | | 16,774 | |
| | 651 | | | VMware, Inc., Class A (a) | | | 81,634 | |
| | | | | | | | |
| | | | | | | 312,281 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 5.7% | |
| | 953 | | | Apple, Inc. | | | 161,208 | |
| | 3,924 | | | HP, Inc. | | | 82,452 | |
| | | | | | | | |
| | | | | | | 243,660 | |
| | | | | | | | |
| | | | Total Information Technology | | | 1,005,635 | |
| | | | | | | | |
| | | | Materials — 3.3% | |
| | | | Chemicals — 0.8% | |
| | 1,044 | | | Huntsman Corp. | | | 34,758 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.1% | |
| | 89 | | | Berry Global Group, Inc. (a) | | | 5,233 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | | | | |
| | | | Metals & Mining — 1.9% | |
| | 678 | | | Alcoa Corp. (a) | | | 36,497 | |
| | 991 | | | Freeport-McMoRan, Inc. (a) | | | 18,793 | |
| | 624 | | | Newmont Mining Corp. | | | 23,394 | |
| | | | | | | | |
| | | | | | | 78,684 | |
| | | | | | | | |
| | | | Paper & Forest Products — 0.5% | |
| | 730 | | | Louisiana-Pacific Corp. (a) | | | 19,170 | |
| | | | | | | | |
| | | | Total Materials | | | 137,845 | |
| | | | | | | | |
| | | | Real Estate — 2.4% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.2% | |
| | 515 | | | American Tower Corp. | | | 73,418 | |
| | 269 | | | Equity Commonwealth (a) | | | 8,192 | |
| | 70 | | | GEO Group, Inc. (The) | | | 1,649 | |
| | 72 | | | Prologis, Inc. | | | 4,651 | |
| | 236 | | | Sunstone Hotel Investors, Inc. | | | 3,893 | |
| | | | | | | | |
| | | | | | | 91,803 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.2% | |
| | 214 | | | CBRE Group, Inc., Class A (a) | | | 9,273 | |
| | | | | | | | |
| | | | Total Real Estate | | | 101,076 | |
| | | | | | | | |
| | | | Telecommunication Services — 2.0% | |
| | | | Diversified Telecommunication Services — 2.0% | |
| | 2,208 | | | AT&T, Inc. | | | 85,859 | |
| | | | | | | | |
| | | | Utilities — 2.7% | |
| | | | Electric Utilities — 0.6% | |
| | 163 | | | NextEra Energy, Inc. | | | 25,443 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity Producers — 1.4% | |
| | 2,507 | | | AES Corp. | | | 27,146 | |
| | 1,078 | | | NRG Energy, Inc. | | | 30,687 | |
| | | | | | | | |
| | | | | | | 57,833 | |
| | | | | | | | |
| | | | Multi-Utilities — 0.7% | |
| | 1,098 | | | CenterPoint Energy, Inc. | | | 31,125 | |
| | | | | | | | |
| | | | Total Utilities | | | 114,401 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $3,066,448) | | | 4,139,492 | |
| | | | | | | | |
| | Short-Term Investment — 2.7% | |
| | | | Investment Company — 2.7% | |
| | 116,415 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $116,415) | | | 116,415 | |
| | | | | | | | |
| | | | Total Investments — 100.3%
(Cost $3,182,863) | | | 4,255,907 | |
| | | | Liabilities in Excess of
Other Assets — (0.3)% | | | (10,997 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 4,244,910 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
| S&P 500 E-Mini Index | | | 737 | | | | 03/2018 | | | | USD | | | $ | 98,611 | | | $ | 576 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 576 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 15 | |
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.8% | | | | |
| | | | Consumer Discretionary — 17.8% | |
| | | | Auto Components — 0.5% | |
| | 31 | | | Lear Corp. | | | 5,424 | |
| | | | | | | | |
| | | | Automobiles — 0.1% | |
| | 27 | | | General Motors Co. | | | 1,123 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 3.4% | |
| | 106 | | | Dunkin’ Brands Group, Inc. | | | 6,808 | |
| | 122 | | | Hilton Worldwide Holdings, Inc. | | | 9,711 | |
| | 55 | | | Marriott International, Inc., Class A | | | 7,438 | |
| | 64 | | | Scientific Games Corp., Class A (a) | | | 3,283 | |
| | 61 | | | Wyndham Worldwide Corp. | | | 7,010 | |
| | 123 | | | Yum China Holdings, Inc. | | | 4,935 | |
| | | | | | | | |
| | | | | | | 39,185 | |
| | | | | | | | |
| | | | Household Durables — 1.6% | |
| | 3 | | | NVR, Inc. (a) | | | 9,121 | |
| | 197 | | | Toll Brothers, Inc. | | | 9,467 | |
| | | | | | | | |
| | | | | | | 18,588 | |
| | | | | | | | |
| | | | Internet & Direct Marketing Retail — 4.8% | |
| | 25 | | | Amazon.com, Inc. (a) | | | 29,471 | |
| | 68 | | | Expedia, Inc. | | | 8,108 | |
| | 354 | | | Liberty Interactive Corp. QVC Group, Class A (a) | | | 8,652 | |
| | 2 | | | Priceline Group, Inc. (The) (a) | | | 2,954 | |
| | 66 | | | Wayfair, Inc., Class A (a) | | | 5,266 | |
| | | | | | | | |
| | | | | | | 54,451 | |
| | | | | | | | |
| | | | Media — 3.0% | |
| | 176 | | | Comcast Corp., Class A | | | 7,061 | |
| | 136 | | | DISH Network Corp., Class A (a) | | | 6,499 | |
| | 215 | | | Live Nation Entertainment, Inc. (a) | | | 9,144 | |
| | 237 | | | News Corp., Class A | | | 3,841 | |
| | 1,407 | | | Sirius XM Holdings, Inc. | | | 7,541 | |
| | | | | | | | |
| | | | | | | 34,086 | |
| | | | | | | | |
| | | | Specialty Retail — 4.1% | |
| | 144 | | | Best Buy Co., Inc. | | | 9,846 | |
| | 80 | | | Burlington Stores, Inc. (a) | | | 9,855 | |
| | 144 | | | Home Depot, Inc. (The) | | | 27,216 | |
| | | | | | | | |
| | | | | | | 46,917 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.3% | |
| | 23 | | | PVH Corp. | | | 3,183 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 202,957 | |
| | | | | | | | |
| | | | Consumer Staples — 6.3% | |
| | | | Beverages — 2.3% | |
| | 86 | | | National Beverage Corp. | | | 8,399 | |
| | 150 | | | PepsiCo, Inc. | | | 18,024 | |
| | | | | | | | |
| | | | | | | 26,423 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Food & Staples Retailing — 1.5% | |
| | 57 | | | Walgreens Boots Alliance, Inc. | | | 4,132 | |
| | 125 | | | Wal-Mart Stores, Inc. | | | 12,334 | |
| | | | | | | | |
| | | | | | | 16,466 | |
| | | | | | | | |
| | | | Food Products — 1.8% | |
| | 237 | | | Conagra Brands, Inc. | | | 8,917 | |
| | 280 | | | Pilgrim’s Pride Corp. (a) | | | 8,709 | |
| | 35 | | | Tyson Foods, Inc., Class A | | | 2,829 | |
| | | | | | | | |
| | | | | | | 20,455 | |
| | | | | | | | |
| | | | Personal Products — 0.7% | |
| | 118 | | | Nu Skin Enterprises, Inc., Class A | | | 8,031 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 71,375 | |
| | | | | | | | |
| | | | Energy — 1.2% | |
| | | | Oil, Gas & Consumable Fuels — 1.2% | |
| | 65 | | | Andeavor | | | 7,432 | |
| | 19 | | | Marathon Petroleum Corp. | | | 1,280 | |
| | 48 | | | Valero Energy Corp. | | | 4,375 | |
| | | | | | | | |
| | | | Total Energy | | | 13,087 | |
| | | | | | | | |
| | | | Financials — 2.7% | |
| | | | Banks — 0.4% | |
| | 3 | | | Citigroup, Inc. | | | 231 | |
| | 51 | | | Comerica, Inc. | | | 4,453 | |
| | | | | | | | |
| | | | | | | 4,684 | |
| | | | | | | | |
| | | | Capital Markets — 1.0% | |
| | 6 | | | Moody’s Corp. | | | 886 | |
| | 79 | | | MSCI, Inc. | | | 9,933 | |
| | | | | | | | |
| | | | | | | 10,819 | |
| | | | | | | | |
| | | | Insurance — 1.3% | |
| | 12 | | | Allstate Corp. (The) | | | 1,204 | |
| | 154 | | | Assured Guaranty Ltd. | | | 5,202 | |
| | 29 | | | Everest Re Group Ltd. | | | 6,306 | |
| | 32 | | | Lincoln National Corp. | | | 2,491 | |
| | | | | | | | |
| | | | | | | 15,203 | |
| | | | | | | | |
| | | | Total Financials | | | 30,706 | |
| | | | | | | | |
| | | | Health Care — 13.0% | |
| | | | Biotechnology — 4.7% | |
| | 84 | | | AbbVie, Inc. | | | 8,153 | |
| | 142 | | | Amgen, Inc. | | | 24,642 | |
| | 42 | | | Exelixis, Inc. (a) | | | 1,289 | |
| | 156 | | | Gilead Sciences, Inc. | | | 11,140 | |
| | 56 | | | Vertex Pharmaceuticals, Inc. (a) | | | 8,437 | |
| | | | | | | | |
| | | | | | | 53,661 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Health Care Equipment & Supplies — 2.9% | |
| | 39 | | | Align Technology, Inc. (a) | | | 8,754 | |
| | 182 | | | Baxter International, Inc. | | | 11,739 | |
| | 52 | | | IDEXX Laboratories, Inc. (a) | | | 8,194 | |
| | 38 | | | Masimo Corp. (a) | | | 3,197 | |
| | 18 | | | Varian Medical Systems, Inc. (a) | | | 2,034 | |
| | | | | | | | |
| | | | | | | 33,918 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 5.2% | |
| | 79 | | | Anthem, Inc. | | | 17,776 | |
| | 91 | | | Centene Corp. (a) | | | 9,200 | |
| | 12 | | | Cigna Corp. | | | 2,356 | |
| | 56 | | | Humana, Inc. | | | 13,942 | |
| | 120 | | | Molina Healthcare, Inc. (a) | | | 9,186 | |
| | 33 | | | WellCare Health Plans, Inc. (a) | | | 6,657 | |
| | | | | | | | |
| | | | | | | 59,117 | |
| | | | | | | | |
| | | | Health Care Technology — 0.2% | |
| | 39 | | | Veeva Systems, Inc., Class A (a) | | | 2,139 | |
| | | | | | | | |
| | | | Total Health Care | | | 148,835 | |
| | | | | | | | |
| | | | Industrials — 12.7% | |
| | | | Aerospace & Defense — 3.4% | |
| | 125 | | | Boeing Co. (The) | | | 36,716 | |
| | 27 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 2,382 | |
| | | | | | | | |
| | | | | | | 39,098 | |
| | | | | | | | |
| | | | Airlines — 2.6% | |
| | 78 | | | American Airlines Group, Inc. | | | 4,048 | |
| | 72 | | | Copa Holdings SA, (Panama), Class A | | | 9,586 | |
| | 207 | | | Delta Air Lines, Inc. | | | 11,592 | |
| | 73 | | | Southwest Airlines Co. | | | 4,745 | |
| | | | | | | | |
| | | | | | | 29,971 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.7% | |
| | 42 | | | Rockwell Automation, Inc. | | | 8,168 | |
| | | | | | | | |
| | | | Machinery — 4.3% | |
| | 194 | | | Caterpillar, Inc. | | | 30,539 | |
| | 75 | | | Deere & Co. | | | 11,754 | |
| | 69 | | | Lincoln Electric Holdings, Inc. | | | 6,273 | |
| | | | | | | | |
| | | | | | | 48,566 | |
| | | | | | | | |
| | | | Professional Services — 0.9% | |
| | 75 | | | ManpowerGroup, Inc. | | | 9,496 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.8% | |
| | 54 | | | United Rentals, Inc. (a) | | | 9,318 | |
| | | | | | | | |
| | | | Total Industrials | | | 144,617 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Information Technology — 37.4% | |
| | | | Electronic Equipment, Instruments & Components — 0.1% | |
| | 26 | | | Jabil, Inc. | | | 690 | |
| | | | | | | | |
| | | | Internet Software & Services — 8.2% | |
| | 18 | | | Alphabet, Inc., Class A (a) | | | 18,961 | |
| | 18 | | | Alphabet, Inc., Class C (a) | | | 18,417 | |
| | 601 | | | eBay, Inc. (a) | | | 22,686 | |
| | 107 | | | Facebook, Inc., Class A (a) | | | 18,934 | |
| | 41 | | | IAC/InterActiveCorp (a) | | | 5,050 | |
| | 87 | | | VeriSign, Inc. (a) | | | 9,910 | |
| | | | | | | | |
| | | | | | | 93,958 | |
| | | | | | | | |
| | | | IT Services — 4.7% | |
| | 95 | | | DXC Technology Co. | | | 9,035 | |
| | 23 | | | Mastercard, Inc., Class A | | | 3,527 | |
| | 78 | | | Teradata Corp. (a) | | | 3,015 | |
| | 330 | | | Visa, Inc., Class A | | | 37,592 | |
| | | | | | | | |
| | | | | | | 53,169 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 4.3% | |
| | 478 | | | Applied Materials, Inc. | | | 24,425 | |
| | 105 | | | Lam Research Corp. | | | 19,254 | |
| | 36 | | | Maxim Integrated Products, Inc. | | | 1,898 | |
| | 40 | | | Skyworks Solutions, Inc. | | | 3,779 | |
| | | | | | | | |
| | | | | | | 49,356 | |
| | | | | | | | |
| | | | Software — 12.1% | |
| | 90 | | | Adobe Systems, Inc. (a) | | | 15,772 | |
| | 13 | | | Citrix Systems, Inc. (a) | | | 1,118 | |
| | 749 | | | Microsoft Corp. | | | 64,057 | |
| | 229 | | | Oracle Corp. | | | 10,818 | |
| | 16 | | | Red Hat, Inc. (a) | | | 1,861 | |
| | 106 | | | Synopsys, Inc. (a) | | | 9,052 | |
| | 36 | | | Tableau Software, Inc., Class A (a) | | | 2,505 | |
| | 81 | | | Take-Two Interactive Software, Inc. (a) | | | 8,892 | |
| | 196 | | | VMware, Inc., Class A (a) | | | 24,500 | |
| | | | | | | | |
| | | | | | | 138,575 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 8.0% | |
| | 423 | | | Apple, Inc. | | | 71,644 | |
| | 952 | | | HP, Inc. | | | 19,999 | |
| | | | | | | | |
| | | | | | | 91,643 | |
| | | | | | | | |
| | | | Total Information Technology | | | 427,391 | |
| | | | | | | | |
| | | | Materials — 3.5% | |
| | | | Chemicals — 1.4% | |
| | 121 | | | Chemours Co. (The) | | | 6,072 | |
| | 297 | | | Huntsman Corp. | | | 9,890 | |
| | | | | | | | |
| | | | | | | 15,962 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 17 | |
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Containers & Packaging — 0.7% | |
| | 140 | | | Berry Global Group, Inc. (a) | | | 8,202 | |
| | | | | | | | |
| | | | Metals & Mining — 1.4% | |
| | 115 | | | Alcoa Corp. (a) | | | 6,174 | |
| | 225 | | | Freeport-McMoRan, Inc. (a) | | | 4,272 | |
| | 150 | | | Newmont Mining Corp. | | | 5,620 | |
| | | | | | | | |
| | | | | | | 16,066 | |
| | | | | | | | |
| | | | Total Materials | | | 40,230 | |
| | | | | | | | |
| | | | Real Estate — 2.1% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 1.7% | |
| | 69 | | | American Tower Corp. | | | 9,887 | |
| | 139 | | | Equity Commonwealth (a) | | | 4,235 | |
| | 106 | | | GEO Group, Inc. (The) | | | 2,509 | |
| | 190 | | | Sunstone Hotel Investors, Inc. | | | 3,142 | |
| | | | | | | | |
| | | | | | | 19,773 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.4% | |
| | 76 | | | CBRE Group, Inc., Class A (a) | | | 3,274 | |
| | 47 | | | Realogy Holdings Corp. | | | 1,244 | |
| | | | | | | | |
| | | | | | | 4,518 | |
| | | | | | | | |
| | | | Total Real Estate | | | 24,291 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.7% | |
| | | | Diversified Telecommunication Services — 0.4% | |
| | 111 | | | AT&T, Inc. | | | 4,317 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Wireless Telecommunication Services — 0.3% | |
| | 52 | | | T-Mobile US, Inc. (a) | | | 3,315 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 7,632 | |
| | | | | | | | |
| | | | Utilities — 0.4% | |
| | | | Independent Power and Renewable Electricity Producers — 0.4% | |
| | 145 | | | NRG Energy, Inc. | | | 4,141 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $741,257) | | | 1,115,262 | |
| | | | | | | | |
| | Short-Term Investment — 2.1% | |
| | | | Investment Company — 2.1% | |
| | 24,487 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $24,487) | | | 24,487 | |
| | | | | | | | |
| | | | Total Investments — 99.9%
(Cost $765,744) | | | 1,139,749 | |
| | | | Other Assets in Excess of
Liabilities — 0.1% | | | 1,689 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,141,438 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
| S&P 500 E-Mini Index | | | 181 | | | | 03/2018 | | | | USD | | | $ | 24,218 | | | $ | 306 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 306 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 98.9% | |
| | | | Consumer Discretionary — 10.3% | |
| | | | Auto Components — 1.1% | |
| | 81 | | | Visteon Corp. (a) | | | 10,149 | |
| | | | | | | | |
| | | | Automobiles — 0.0% (g) | |
| | 3 | | | Thor Industries, Inc. | | | 377 | |
| | | | | | | | |
| | | | Diversified Consumer Services — 0.6% | |
| | 112 | | | ServiceMaster Global Holdings, Inc. (a) | | | 5,758 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 1.3% | |
| | 21 | | | Royal Caribbean Cruises Ltd. | | | 2,445 | |
| | 21 | | | Vail Resorts, Inc. | | | 4,483 | |
| | 142 | | | Yum China Holdings, Inc. | | | 5,663 | |
| | | | | | | | |
| | | | | | | 12,591 | |
| | | | | | | | |
| | | | Household Durables — 0.2% | |
| | — | (h) | | NVR, Inc. (a) | | | 1,579 | |
| | | | | | | | |
| | | | Media — 1.4% | |
| | — | (h) | | Cable One, Inc. | | | 281 | |
| | 113 | | | Liberty Media Corp.-Liberty SiriusXM, Class A (a) | | | 4,462 | |
| | 12 | | | Lions Gate Entertainment Corp., Class A (a) | | | 392 | |
| | 278 | | | Viacom, Inc., Class B | | | 8,578 | |
| | | | | | | | |
| | | | | | | 13,713 | |
| | | | | | | | |
| | | | Multiline Retail — 1.4% | |
| | 126 | | | Dollar Tree, Inc. (a) | | | 13,521 | |
| | | | | | | | |
| | | | Specialty Retail — 1.8% | |
| | 180 | | | Best Buy Co., Inc. | | | 12,338 | |
| | 29 | | | Tiffany & Co. | | | 3,025 | |
| | 63 | | | Urban Outfitters, Inc. (a) | | | 2,205 | |
| | | | | | | | |
| | | | | | | 17,568 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 2.5% | |
| | 106 | | | Michael Kors Holdings Ltd. (a) | | | 6,654 | |
| | 125 | | | PVH Corp. | | | 17,137 | |
| | | | | | | | |
| | | | | | | 23,791 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 99,047 | |
| | | | | | | | |
| | | | Consumer Staples — 4.6% | |
| | | | Food & Staples Retailing — 0.3% | |
| | 1,684 | | | Rite Aid Corp. (a) | | | 3,318 | |
| | | | | | | | |
| | | | Food Products — 4.1% | |
| | 27 | | | Bunge Ltd. | | | 1,784 | |
| | 90 | | | Ingredion, Inc. | | | 12,610 | |
| | 325 | | | Pilgrim’s Pride Corp. (a) | | | 10,079 | |
| | 182 | | | Tyson Foods, Inc., Class A | | | 14,730 | |
| | | | | | | | |
| | | | | | | 39,203 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Personal Products — 0.2% | |
| | 31 | | | Nu Skin Enterprises, Inc., Class A | | | 2,115 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 44,636 | |
| | | | | | | | |
| | | | Energy — 5.8% | |
| | | | Energy Equipment & Services — 0.4% | |
| | 120 | | | Baker Hughes a GE Co. | | | 3,813 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 5.4% | |
| | 42 | | | Andeavor | | | 4,802 | |
| | 306 | | | Cabot Oil & Gas Corp. | | | 8,740 | |
| | 43 | | | Cimarex Energy Co. | | | 5,301 | |
| | 75 | | | Devon Energy Corp. | | | 3,092 | |
| | 6 | | | EQT Corp. | | | 351 | |
| | 424 | | | Marathon Oil Corp. | | | 7,171 | |
| | 83 | | | Marathon Petroleum Corp. | | | 5,443 | |
| | 39 | | | Murphy Oil Corp. | | | 1,202 | |
| | 6 | | | Noble Energy, Inc. | | | 166 | |
| | 44 | | | ONEOK, Inc. | | | 2,368 | |
| | 46 | | | PBF Energy, Inc., Class A | | | 1,645 | |
| | 87 | | | QEP Resources, Inc. (a) | | | 833 | |
| | 24 | | | Valero Energy Corp. | | | 2,197 | |
| | 61 | | | Williams Cos., Inc. (The) | | | 1,857 | |
| | 177 | | | World Fuel Services Corp. | | | 4,981 | |
| | 136 | | | WPX Energy, Inc. (a) | | | 1,918 | |
| | | | | | | | |
| | | | | | | 52,067 | |
| | | | | | | | |
| | | | Total Energy | | | 55,880 | |
| | | | | | | | |
| | | | Financials — 13.1% | |
| | | | Banks — 3.9% | |
| | 29 | | | Citizens Financial Group, Inc. | | | 1,201 | |
| | 44 | | | East West Bancorp, Inc. | | | 2,646 | |
| | 179 | | | KeyCorp | | | 3,606 | |
| | 330 | | | Popular, Inc., (Puerto Rico) | | | 11,726 | |
| | 236 | | | Regions Financial Corp. | | | 4,080 | |
| | 17 | | | SVB Financial Group (a) | | | 3,927 | |
| | 169 | | | Synovus Financial Corp. | | | 8,097 | |
| | 47 | | | Zions Bancorp | | | 2,374 | |
| | | | | | | | |
| | | | | | | 37,657 | |
| | | | | | | | |
| | | | Capital Markets — 4.4% | |
| | 10 | | | Ameriprise Financial, Inc. | | | 1,746 | |
| | 82 | | | BGC Partners, Inc., Class A | | | 1,237 | |
| | 324 | | | LPL Financial Holdings, Inc. | | | 18,488 | |
| | 121 | | | MSCI, Inc. | | | 15,362 | |
| | 57 | | | Raymond James Financial, Inc. | | | 5,108 | |
| | | | | | | | |
| | | | | | | 41,941 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 19 | |
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Consumer Finance — 0.2% | |
| | 14 | | | Discover Financial Services | | | 1,084 | |
| | 23 | | | Synchrony Financial | | | 900 | |
| | | | | | | | |
| | | | | | | 1,984 | |
| | | | | | | | |
| | | | Diversified Financial Services — 0.2% | |
| | 33 | | | Voya Financial, Inc. | | | 1,637 | |
| | | | | | | | |
| | | | Insurance — 4.3% | |
| | 50 | | | American Financial Group, Inc. | | | 5,470 | |
| | 4 | | | American National Insurance Co. | | | 487 | |
| | 12 | | | Arch Capital Group Ltd. (a) | | | 1,067 | |
| | 24 | | | Aspen Insurance Holdings Ltd., (Bermuda) | | | 978 | |
| | 24 | | | Assurant, Inc. | | | 2,435 | |
| | 36 | | | Assured Guaranty Ltd. | | | 1,219 | |
| | 9 | | | Everest Re Group Ltd. | | | 1,881 | |
| | 133 | | | First American Financial Corp. | | | 7,476 | |
| | 77 | | | FNF Group | | | 3,019 | |
| | 52 | | | Hanover Insurance Group, Inc. (The) | | | 5,653 | |
| | 33 | | | Hartford Financial Services Group, Inc. (The) | | | 1,852 | |
| | 22 | | | Lincoln National Corp. | | | 1,722 | |
| | 30 | | | Principal Financial Group, Inc. | | | 2,110 | |
| | 35 | | | Progressive Corp. (The) | | | 1,971 | |
| | 4 | | | Torchmark Corp. | | | 383 | |
| | 62 | | | Unum Group | | | 3,409 | |
| | 15 | | | Validus Holdings Ltd. | | | 709 | |
| | | | | | | | |
| | | | | | | 41,841 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 0.1% | |
| | 40 | | | AGNC Investment Corp. | | | 805 | |
| | 8 | | | Chimera Investment Corp. | | | 146 | |
| | | | | | | | |
| | | | | | | 951 | |
| | | | | | | | |
| | | | Total Financials | | | 126,011 | |
| | | | | | | | |
| | | | Health Care — 9.9% | |
| | | | Biotechnology — 2.0% | |
| | 44 | | | BioMarin Pharmaceutical, Inc. (a) | | | 3,888 | |
| | 19 | | | Bioverativ, Inc. (a) | | | 1,003 | |
| | 41 | | | Incyte Corp. (a) | | | 3,864 | |
| | 37 | | | Intercept Pharmaceuticals, Inc. (a) | | | 2,173 | |
| | 51 | | | Ionis Pharmaceuticals, Inc. (a) | | | 2,545 | |
| | 59 | | | Juno Therapeutics, Inc. (a) | | | 2,692 | |
| | 41 | | | TESARO, Inc. (a) | | | 3,390 | |
| | | | | | | | |
| | | | | | | 19,555 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 3.4% | |
| | 134 | | | Hill-Rom Holdings, Inc. | | | 11,261 | |
| | 153 | | | Hologic, Inc. (a) | | | 6,549 | |
| | 6 | | | STERIS plc | | | 499 | |
| | 9 | | | Teleflex, Inc. | | | 2,314 | |
| | 101 | | | Zimmer Biomet Holdings, Inc. | | | 12,164 | |
| | | | | | | | |
| | | | | | | 32,787 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Health Care Providers & Services — 3.2% | |
| | 134 | | | AmerisourceBergen Corp. | | | 12,295 | |
| | 39 | | | Centene Corp. (a) | | | 3,884 | |
| | 42 | | | DaVita, Inc. (a) | | | 2,998 | |
| | 266 | | | Premier, Inc., Class A (a) | | | 7,773 | |
| | 21 | | | WellCare Health Plans, Inc. (a) | | | 4,213 | |
| | | | | | | | |
| | | | | | | 31,163 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.4% | |
| | 49 | | | Agilent Technologies, Inc. | | | 3,261 | |
| | | | | | | | |
| | | | Pharmaceuticals — 0.9% | |
| | 255 | | | Endo International plc (a) | | | 1,975 | |
| | 116 | | | Mylan NV (a) | | | 4,917 | |
| | 22 | | | Perrigo Co. plc | | | 1,952 | |
| | | | | | | | |
| | | | | | | 8,844 | |
| | | | | | | | |
| | | | Total Health Care | | | 95,610 | |
| | | | | | | | |
| | | | Industrials — 17.4% | |
| | | | Aerospace & Defense — 3.8% | |
| | 100 | | | HEICO Corp., Class A | | | 7,865 | |
| | 78 | | | Huntington Ingalls Industries, Inc. | | | 18,271 | |
| | 27 | | | L3 Technologies, Inc. | | | 5,342 | |
| | 54 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 4,746 | |
| | | | | | | | |
| | | | | | | 36,224 | |
| | | | | | | | |
| | | | Airlines — 1.4% | |
| | 99 | | | Copa Holdings SA, (Panama), Class A | | | 13,258 | |
| | | | | | | | |
| | | | Building Products — 0.6% | |
| | 67 | | | Owens Corning | | | 6,188 | |
| | | | | | | | |
| | | | Commercial Services & Supplies — 0.7% | |
| | 99 | | | KAR Auction Services, Inc. | | | 5,011 | |
| | 30 | | | Stericycle, Inc. (a) | | | 2,060 | |
| | | | | | | | |
| | | | | | | 7,071 | |
| | | | | | | | |
| | | | Construction & Engineering — 2.2% | |
| | 23 | | | Fluor Corp. | | | 1,193 | |
| | 302 | | | Jacobs Engineering Group, Inc. | | | 19,913 | |
| | | | | | | | |
| | | | | | | 21,106 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.4% | |
| | 56 | | | Regal Beloit Corp. | | | 4,267 | |
| | | | | | | | |
| | | | Machinery — 5.4% | |
| | 106 | | | Crane Co. | | | 9,448 | |
| | 140 | | | Gardner Denver Holdings, Inc. (a) | | | 4,737 | |
| | 161 | | | Ingersoll-Rand plc | | | 14,351 | |
| | 49 | | | Parker-Hannifin Corp. | | | 9,769 | |
| | 93 | | | WABCO Holdings, Inc. (a) | | | 13,317 | |
| | | | | | | | |
| | | | | | | 51,622 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Professional Services — 2.7% | |
| | 153 | | | ManpowerGroup, Inc. | | | 19,232 | |
| | 122 | | | TransUnion (a) | | | 6,699 | |
| | | | | | | | |
| | | | | | | 25,931 | |
| | | | | | | | |
| | | | Road & Rail — 0.2% | |
| | 19 | | | Landstar System, Inc. | | | 1,947 | |
| | | | | | | | |
| | | | Total Industrials | | | 167,614 | |
| | | | | | | | |
| | | | Information Technology — 16.4% | |
| | | | Communications Equipment — 1.4% | |
| | 432 | | | ARRIS International plc (a) | | | 11,096 | |
| | 16 | | | F5 Networks, Inc. (a) | | | 2,047 | |
| | | | | | | | |
| | | | | | | 13,143 | |
| | | | | | | | |
| | | | Internet Software & Services — 0.2% | |
| | 93 | | | Twitter, Inc. (a) | | | 2,242 | |
| | | | | | | | |
| | | | IT Services — 4.3% | |
| | 24 | | | Black Knight, Inc. (a) | | | 1,043 | |
| | 186 | | | DXC Technology Co. | | | 17,623 | |
| | 40 | | | Fidelity National Information Services, Inc. | | | 3,726 | |
| | 80 | | | Square, Inc., Class A (a) | | | 2,760 | |
| | 85 | | | Total System Services, Inc. | | | 6,730 | |
| | 129 | | | Vantiv, Inc., Class A (a) | | | 9,503 | |
| | | | | | | | |
| | | | | | | 41,385 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.5% | |
| | 7 | | | First Solar, Inc. (a) | | | 500 | |
| | 37 | | | KLA-Tencor Corp. | | | 3,877 | |
| | 36 | | | Lam Research Corp. | | | 6,627 | |
| | 715 | | | Marvell Technology Group Ltd., (Bermuda) | | | 15,340 | |
| | 371 | | | ON Semiconductor Corp. (a) | | | 7,762 | |
| | | | | | | | |
| | | | | | | 34,106 | |
| | | | | | | | |
| | | | Software — 3.6% | |
| | 52 | | | Activision Blizzard, Inc. | | | 3,267 | |
| | 243 | | | CA, Inc. | | | 8,084 | |
| | 87 | | | Citrix Systems, Inc. (a) | | | 7,682 | |
| | 141 | | | Nuance Communications, Inc. (a) | | | 2,309 | |
| | 21 | | | Tableau Software, Inc., Class A (a) | | | 1,433 | |
| | 65 | | | Take-Two Interactive Software, Inc. (a) | | | 7,103 | |
| | 1,173 | | | Zynga, Inc., Class A (a) | | | 4,690 | |
| | | | | | | | |
| | | | | | | 34,568 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 3.4% | |
| | 119 | | | NCR Corp. (a) | | | 4,048 | |
| | 115 | | | Western Digital Corp. | | | 9,122 | |
| | 673 | | | Xerox Corp. | | | 19,613 | |
| | | | | | | | |
| | | | | | | 32,783 | |
| | | | | | | | |
| | | | Total Information Technology | | | 158,227 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Materials — 5.9% | |
| | | | Chemicals — 1.9% | |
| | 207 | | | Cabot Corp. | | | 12,755 | |
| | 170 | | | Huntsman Corp. | | | 5,673 | |
| | | | | | | | |
| | | | | | | 18,428 | |
| | | | | | | | |
| | | | Containers & Packaging — 2.4% | |
| | 47 | | | Avery Dennison Corp. | | | 5,341 | |
| | 259 | | | Berry Global Group, Inc. (a) | | | 15,178 | |
| | 50 | | | International Paper Co. | | | 2,891 | |
| | | | | | | | |
| | | | | | | 23,410 | |
| | | | | | | | |
| | | | Metals & Mining — 1.6% | |
| | 24 | | | Alcoa Corp. (a) | | | 1,282 | |
| | 109 | | | Freeport-McMoRan, Inc. (a) | | | 2,057 | |
| | 12 | | | Newmont Mining Corp. | | | 450 | |
| | 14 | | | Reliance Steel & Aluminum Co. | | | 1,167 | |
| | 246 | | | Steel Dynamics, Inc. | | | 10,593 | |
| | | | | | | | |
| | | | | | | 15,549 | |
| | | | | | | | |
| | | | Total Materials | | | 57,387 | |
| | | | | | | | |
| | | | Real Estate — 9.5% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 9.2% | |
| | 12 | | | Alexandria Real Estate Equities, Inc. | | | 1,606 | |
| | 45 | | | American Campus Communities, Inc. | | | 1,834 | |
| | 105 | | | American Homes 4 Rent, Class A | | | 2,289 | |
| | 10 | | | Apartment Investment & Management Co., Class A | | | 433 | |
| | 288 | | | Apple Hospitality REIT, Inc. | | | 5,654 | |
| | 79 | | | Brixmor Property Group, Inc. | | | 1,474 | |
| | 192 | | | CoreCivic, Inc. | | | 4,320 | |
| | 123 | | | Corporate Office Properties Trust | | | 3,583 | |
| | 14 | | | Crown Castle International Corp. | | | 1,543 | |
| | 40 | | | CyrusOne, Inc. | | | 2,393 | |
| | 5 | | | DCT Industrial Trust, Inc. | | | 276 | |
| | 19 | | | Digital Realty Trust, Inc. | | | 2,198 | |
| | 23 | | | Douglas Emmett, Inc. | | | 924 | |
| | 36 | | | Equinix, Inc. | | | 16,226 | |
| | 167 | | | Equity Commonwealth (a) | | | 5,085 | |
| | 33 | | | Equity LifeStyle Properties, Inc. | | | 2,973 | |
| | 121 | | | Invitation Homes, Inc. | | | 2,845 | |
| | 32 | | | Liberty Property Trust | | | 1,359 | |
| | 39 | | | Mid-America Apartment Communities, Inc. | | | 3,908 | |
| | 115 | | | Prologis, Inc. | | | 7,412 | |
| | 31 | | | Regency Centers Corp. | | | 2,165 | |
| | 103 | | | Retail Properties of America, Inc., Class A | | | 1,384 | |
| | 48 | | | SBA Communications Corp. (a) | | | 7,874 | |
| | 2 | | | SL Green Realty Corp. | | | 222 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 21 | |
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | Common Stocks — continued | |
| | | | Equity Real Estate Investment Trusts (REITs) — continued | |
| | 31 | | | Sun Communities, Inc. | | | 2,830 | |
| | 10 | | | Vornado Realty Trust | | | 782 | |
| | 137 | | | Weyerhaeuser Co. | | | 4,817 | |
| | | | | | | | |
| | | | | | | 88,409 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.3% | |
| | 78 | | | CBRE Group, Inc., Class A (a) | | | 3,395 | |
| | | | | | | | |
| | | | Total Real Estate | | | 91,804 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.4% | |
| | | | Diversified Telecommunication Services — 0.4% | |
| | 250 | | | CenturyLink, Inc. | | | 4,162 | |
| | | | | | | | |
| | | | Utilities — 5.6% | |
| | | | Electric Utilities — 1.6% | |
| | 79 | | | Edison International | | | 5,015 | |
| | 49 | | | Entergy Corp. | | | 4,004 | |
| | 163 | | | FirstEnergy Corp. | | | 5,003 | |
| | 46 | | | Great Plains Energy, Inc. | | | 1,470 | |
| | 5 | | | Pinnacle West Capital Corp. | | | 452 | |
| | | | | | | | |
| | | | | | | 15,944 | |
| | | | | | | | |
| | | | Gas Utilities — 0.9% | |
| | 23 | | | National Fuel Gas Co. | | | 1,268 | |
| | 162 | | | UGI Corp. | | | 7,604 | |
| | | | | | | | |
| | | | | | | 8,872 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity
Producers — 1.8% | |
| | 469 | | | NRG Energy, Inc. | | | 13,354 | |
| | 213 | | | Vistra Energy Corp. (a) | | | 3,897 | |
| | | | | | | | |
| | | | | | | 17,251 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.3% | |
| | 33 | | | Ameren Corp. | | | 1,917 | |
| | 85 | | | CenterPoint Energy, Inc. | | | 2,396 | |
| | 79 | | | CMS Energy Corp. | | | 3,751 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Multi-Utilities — continued | | | | |
| | 21 | | | Consolidated Edison, Inc. | | | 1,810 | |
| | 13 | | | DTE Energy Co. | | | 1,423 | |
| | 33 | | | MDU Resources Group, Inc. | | | 882 | |
| | | | | | | | |
| | | | | | | 12,179 | |
| | | | | | | | |
| | | | Total Utilities | | | 54,246 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $729,249) | | | 954,624 | |
| | | | | | | | |
| | |
NUMBER OF
RIGHTS | | | | | | |
| | Rights — 0.0% (g) | | | | |
| | | | Consumer Staples — 0.0% (g) | |
| | | | Food & Staples Retailing — 0.0% (g) | |
| | 121 | | | Safeway, Inc. Casa Ley CVR, expiring 01/30/2018 (a) (bb) | | | 8 | |
| | 121 | | | Safeway, Inc. PDC CVR (a) (bb) | | | 4 | |
| | | | | | | | |
| | | | Total Rights
(Cost $—) | | | 12 | |
| | | | | | | | |
| | |
| SHARES | | | | | | |
| | Short-Term Investment — 1.0% | | | | |
| | | | Investment Company — 1.0% | |
| | 9,491 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $9,491) | | | 9,491 | |
| | | | | | | | |
| | | | Total Investments — 99.9%
(Cost $738,740) | | | 964,127 | |
| | | | Other Assets in Excess of
Liabilities — 0.1% | | | 982 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 965,109 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | | TRADING CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
| S&P Midcap 400 E-Mini Index | | | 33 | | | | 03/2018 | | | | USD | | | $ | 6,278 | | | $ | 50 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 50 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Sustainable Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.5% | |
| | | | Consumer Discretionary — 13.5% | |
| | | | Hotels, Restaurants & Leisure — 0.8% | |
| | 3 | | | Dunkin’ Brands Group, Inc. | | | 163 | |
| | | | | | | | |
| | | | Media — 4.5% | |
| | 5 | | | Comcast Corp., Class A | | | 184 | |
| | 38 | | | Sirius XM Holdings, Inc. | | | 204 | |
| | 3 | | | Time Warner, Inc. | | | 256 | |
| | 3 | | | Walt Disney Co. (The) | | | 299 | |
| | | | | | | | |
| | | | | | | 943 | |
| | | | | | | | |
| | | | Multiline Retail — 1.5% | |
| | 5 | | | Target Corp. | | | 308 | |
| | | | | | | | |
| | | | Specialty Retail — 5.1% | |
| | 3 | | | Home Depot, Inc. (The) | | | 530 | |
| | 6 | | | Lowe’s Cos., Inc. | | | 523 | |
| | | | | | | | |
| | | | | | | 1,053 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 1.6% | |
| | 2 | | | PVH Corp. | | | 333 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 2,800 | |
| | | | | | | | |
| | | | Consumer Staples — 8.5% | |
| | | | Beverages — 3.7% | |
| | 3 | | | Dr Pepper Snapple Group, Inc. | | | 262 | |
| | 4 | | | PepsiCo, Inc. | | | 495 | |
| | | | | | | | |
| | | | | | | 757 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.2% | |
| | 6 | | | Walgreens Boots Alliance, Inc. | | | 466 | |
| | | | | | | | |
| | | | Household Products — 1.8% | |
| | 4 | | | Procter & Gamble Co. (The) | | | 372 | |
| | | | | | | | |
| | | | Tobacco — 0.8% | |
| | 2 | | | Philip Morris International, Inc. | | | 169 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 1,764 | |
| | | | | | | | |
| | | | Energy — 5.8% | |
| | | | Energy Equipment & Services — 3.3% | |
| | 5 | | | Baker Hughes a GE Co. | | | 150 | |
| | 2 | | | Halliburton Co. | | | 117 | |
| | 5 | | | National Oilwell Varco, Inc. | | | 185 | |
| | 3 | | | Schlumberger Ltd. | | | 217 | |
| | | | | | | | |
| | | | | | | 669 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 2.5% | |
| | 3 | | | Exxon Mobil Corp. | | | 280 | |
| | 3 | | | Valero Energy Corp. | | | 244 | |
| | | | | | | | |
| | | | | | | 524 | |
| | | | | | | | |
| | | | Total Energy | | | 1,193 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | |
| | | | Financials — 17.1% | |
| | | | Banks — 9.9% | |
| | 16 | | | Bank of America Corp. | | | 484 | |
| | 11 | | | Citigroup, Inc. | | | 809 | |
| | 3 | | | PNC Financial Services Group, Inc. (The) | | | 447 | |
| | 5 | | | Wells Fargo & Co. | | | 299 | |
| | | | | | | | |
| | | | | | | 2,039 | |
| | | | | | | | |
| | | | Capital Markets — 2.8% | |
| | 5 | | | Bank of New York Mellon Corp. (The) | | | 252 | |
| | 1 | | | MSCI, Inc. | | | 130 | |
| | 2 | | | Northern Trust Corp. | | | 207 | |
| | | | | | | | |
| | | | | | | 589 | |
| | | | | | | | |
| | | | Consumer Finance — 1.0% | |
| | 2 | | | American Express Co. | | | 201 | |
| | | | | | | | |
| | | | Insurance — 3.4% | |
| | 3 | | | Allstate Corp. (The) | | | 270 | |
| | 4 | | | Hartford Financial Services Group, Inc. (The) | | | 219 | |
| | 2 | | | Travelers Cos., Inc. (The) | | | 217 | |
| | | | | | | | |
| | | | | | | 706 | |
| | | | | | | | |
| | | | Total Financials | | | 3,535 | |
| | | | | | | | |
| | | | Health Care — 13.2% | |
| | | | Biotechnology — 6.1% | |
| | 2 | | | Amgen, Inc. | | | 343 | |
| | 1 | | | Biogen, Inc. (a) | | | 311 | |
| | — | (h) | | Bioverativ, Inc. (a) | | | 17 | |
| | 2 | | | Celgene Corp. (a) | | | 188 | |
| | 6 | | | Gilead Sciences, Inc. | | | 405 | |
| | | | | | | | |
| | | | | | | 1,264 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 0.9% | |
| | 1 | | | Becton Dickinson and Co. | | | 193 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 4.7% | |
| | 1 | | | Anthem, Inc. | | | 298 | |
| | 1 | | | Cigna Corp. | | | 223 | |
| | 2 | | | Humana, Inc. | | | 447 | |
| | | | | | | | |
| | | | | | | 968 | |
| | | | | | | | |
| | | | Life Sciences Tools & Services — 0.8% | |
| | 1 | | | Waters Corp. (a) | | | 174 | |
| | | | | | | | |
| | | | Pharmaceuticals — 0.7% | |
| | 2 | | | Bristol-Myers Squibb Co. | | | 135 | |
| | | | | | | | |
| | | | Total Health Care | | | 2,734 | |
| | | | | | | | |
| | | | Industrials — 7.9% | |
| | | | Aerospace & Defense — 1.8% | |
| | 1 | | | Raytheon Co. | | | 202 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 23 | |
JPMorgan Intrepid Sustainable Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Aerospace & Defense — continued | |
| | 1 | | | United Technologies Corp. | | | 175 | |
| | | | | | | | |
| | | | | | | 377 | |
| | | | | | | | |
| | | | Airlines — 2.6% | |
| | 5 | | | Delta Air Lines, Inc. | | | 262 | |
| | 4 | | | Southwest Airlines Co. | | | 270 | |
| | | | | | | | |
| | | | | | | 532 | |
| | | | | | | | |
| | | | Machinery — 0.8% | |
| | 1 | | | Cummins, Inc. | | | 164 | |
| | | | | | | | |
| | | | Professional Services — 1.0% | |
| | 2 | | | ManpowerGroup, Inc. | | | 205 | |
| | | | | | | | |
| | | | Road & Rail — 0.7% | |
| | 3 | | | CSX Corp. | | | 150 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 1.0% | |
| | 1 | | | United Rentals, Inc. (a) | | | 219 | |
| | | | | | | | |
| | | | Total Industrials | | | 1,647 | |
| | | | | | | | |
| | | | Information Technology — 23.6% | |
| | | | Communications Equipment — 0.8% | |
| | 5 | | | Cisco Systems, Inc. | | | 174 | |
| | | | | | | | |
| | | | IT Services — 5.0% | |
| | 2 | | | Accenture plc, Class A | | | 276 | |
| | 3 | | | DXC Technology Co. | | | 244 | |
| | 1 | | | Mastercard, Inc., Class A | | | 166 | |
| | 3 | | | Visa, Inc., Class A | | | 342 | |
| | | | | | | | |
| | | | | | | 1,028 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 1.9% | |
| | 2 | | | Lam Research Corp. | | | 308 | |
| | 1 | | | QUALCOMM, Inc. | | | 85 | |
| | | | | | | | |
| | | | | | | 393 | |
| | | | | | | | |
| | | | Software — 8.6% | |
| | 3 | | | Autodesk, Inc. (a) | | | 312 | |
| | 13 | | | Microsoft Corp. | | | 1,101 | |
| | 8 | | | Oracle Corp. | | | 376 | |
| | | | | | | | |
| | | | | | | 1,789 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 7.3% | |
| | 7 | | | Apple, Inc. | | | 1,244 | |
| | 9 | | | Hewlett Packard Enterprise Co. | | | 135 | |
| | 6 | | | HP, Inc. | | | 125 | |
| | | | | | | | |
| | | | | | | 1,504 | |
| | | | | | | | |
| | | | Total Information Technology | | | 4,888 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Materials — 1.7% | |
| | | | Chemicals — 1.7% | |
| | 3 | | | DowDuPont, Inc. | | | 212 | |
| | 1 | | | International Flavors & Fragrances, Inc. | | | 145 | |
| | | | | | | | |
| | | | Total Materials | | | 357 | |
| | | | | | | | |
| | | | Real Estate — 0.8% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 0.8% | |
| | 2 | | | Prologis, Inc. | | | 158 | |
| | | | | | | | |
| | | | Telecommunication Services — 2.8% | |
| | | | Diversified Telecommunication Services — 2.8% | |
| | 7 | | | CenturyLink, Inc. | | | 112 | |
| | 9 | | | Verizon Communications, Inc. | | | 458 | |
| | | | | | | | |
| | | | Total Telecommunication Services | | | 570 | |
| | | | | | | | |
| | | | Utilities — 2.6% | |
| | | | Electric Utilities — 1.6% | |
| | 2 | | | NextEra Energy, Inc. | | | 246 | |
| | 2 | | | Portland General Electric Co. | | | 88 | |
| | | | | | | | |
| | | | | | | 334 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.0% | |
| | 3 | | | WEC Energy Group, Inc. | | | 207 | |
| | | | | | | | |
| | | | Total Utilities | | | 541 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $14,859) | | | 20,187 | |
| | | | | | | | |
| | Short-Term Investment — 2.4% | |
| | | | Investment Company — 2.4% | |
| | 493 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l)
(Cost $493) | | | 493 | |
| | | | | | | | |
| | | | Total Investments — 99.9%
(Cost $15,352) | | | 20,680 | |
| | | | Other Assets in Excess of
Liabilities — 0.1% | | | 22 | |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 20,702 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — 97.9% | | | | |
| | | | Consumer Discretionary — 9.3% | |
| | | | Automobiles — 1.1% | |
| | 295 | | | General Motors Co. | | | 12,104 | |
| | | | | | | | |
| | | | Hotels, Restaurants & Leisure — 0.4% | |
| | 43 | | | Wyndham Worldwide Corp. | | | 4,925 | |
| | | | | | | | |
| | | | Household Durables — 0.9% | |
| | 192 | | | Toll Brothers, Inc. | | | 9,225 | |
| | | | | | | | |
| | | | Media — 4.5% | |
| | 43 | | | CBS Corp. (Non-Voting), Class B | | | 2,508 | |
| | 38 | | | Charter Communications, Inc., Class A (a) | | | 12,632 | |
| | 338 | | | Comcast Corp., Class A | | | 13,525 | |
| | 15 | | | Madison Square Garden Co. (The), Class A (a) | | | 3,078 | |
| | 1,509 | | | Sirius XM Holdings, Inc. | | | 8,088 | |
| | 74 | | | Walt Disney Co. (The) | | | 7,966 | |
| | | | | | | | |
| | | | | | | 47,797 | |
| | | | | | | | |
| | | | Specialty Retail — 1.9% | |
| | 138 | | | Best Buy Co., Inc. | | | 9,456 | |
| | 60 | | | Burlington Stores, Inc. (a) | | | 7,419 | |
| | 32 | | | Tiffany & Co. | | | 3,305 | |
| | | | | | | | |
| | | | | | | 20,180 | |
| | | | | | | | |
| | | | Textiles, Apparel & Luxury Goods — 0.5% | |
| | 23 | | | Michael Kors Holdings Ltd. (a) | | | 1,416 | |
| | 31 | | | PVH Corp. | | | 4,295 | |
| | | | | | | | |
| | | | | | | 5,711 | |
| | | | | | | | |
| | | | Total Consumer Discretionary | | | 99,942 | |
| | | | | | | | |
| | | | Consumer Staples — 7.9% | |
| | | | Beverages — 0.2% | |
| | 18 | | | PepsiCo, Inc. | | | 2,099 | |
| | | | | | | | |
| | | | Food & Staples Retailing — 2.6% | |
| | 59 | | | CVS Health Corp. | | | 4,256 | |
| | 24 | | | Walgreens Boots Alliance, Inc. | | | 1,764 | |
| | 226 | | | Wal-Mart Stores, Inc. | | | 22,288 | |
| | | | | | | | |
| | | | | | | 28,308 | |
| | | | | | | | |
| | | | Food Products — 3.1% | |
| | 187 | | | Archer-Daniels-Midland Co. | | | 7,499 | |
| | 195 | | | Conagra Brands, Inc. | | | 7,361 | |
| | 240 | | | Pilgrim’s Pride Corp. (a) | | | 7,445 | |
| | 129 | | | Tyson Foods, Inc., Class A | | | 10,442 | |
| | | | | | | | |
| | | | | | | 32,747 | |
| | | | | | | | |
| | | | Household Products — 1.2% | |
| | 146 | | | Energizer Holdings, Inc. | | | 7,005 | |
| | 61 | | | Procter & Gamble Co. (The) | | | 5,577 | |
| | | | | | | | |
| | | | | | | 12,582 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Personal Products — 0.8% | |
| | 124 | | | Nu Skin Enterprises, Inc., Class A | | | 8,440 | |
| | | | | | | | |
| | | | Total Consumer Staples | | | 84,176 | |
| | | | | | | | |
| | | | Energy — 10.8% | |
| | | | Energy Equipment & Services — 2.0% | |
| | 186 | | | Baker Hughes a GE Co. | | | 5,869 | |
| | 158 | | | Halliburton Co. | | | 7,712 | |
| | 231 | | | TechnipFMC plc, (United Kingdom) | | | 7,217 | |
| | | | | | | | |
| | | | | | | 20,798 | |
| | | | | | | | |
| | | | Oil, Gas & Consumable Fuels — 8.8% | |
| | 80 | | | Andeavor | | | 9,170 | |
| | 58 | | | Chevron Corp. | | | 7,205 | |
| | 196 | | | ConocoPhillips | | | 10,753 | |
| | 228 | | | Devon Energy Corp. | | | 9,439 | |
| | 56 | | | Exxon Mobil Corp. | | | 4,709 | |
| | 193 | | | HollyFrontier Corp. | | | 9,906 | |
| | 82 | | | Marathon Oil Corp. | | | 1,383 | |
| | 185 | | | Marathon Petroleum Corp. | | | 12,233 | |
| | 64 | | | Occidental Petroleum Corp. | | | 4,744 | |
| | 273 | | | Valero Energy Corp. | | | 25,054 | |
| | | | | | | | |
| | | | | | | 94,596 | |
| | | | | | | | |
| | | | Total Energy | | | 115,394 | |
| | | | | | | | |
| | | | Financials — 27.4% | |
| | | | Banks — 13.3% | |
| | 1,469 | | | Bank of America Corp. | | | 43,354 | |
| | 163 | | | CIT Group, Inc. | | | 8,015 | |
| | 500 | | | Citigroup, Inc. | | | 37,196 | |
| | 53 | | | Comerica, Inc. | | | 4,601 | |
| | 184 | | | PNC Financial Services Group, Inc. (The) | | | 26,604 | |
| | 369 | | | Regions Financial Corp. | | | 6,375 | |
| | 169 | | | Synovus Financial Corp. | | | 8,111 | |
| | 136 | | | Wells Fargo & Co. | | | 8,275 | |
| | | | | | | | |
| | | | | | | 142,531 | |
| | | | | | | | |
| | | | Capital Markets — 4.2% | |
| | 57 | | | Ameriprise Financial, Inc. | | | 9,711 | |
| | 43 | | | Goldman Sachs Group, Inc. (The) | | | 10,891 | |
| | 252 | | | Morgan Stanley | | | 13,196 | |
| | 67 | | | MSCI, Inc. | | | 8,478 | |
| | 16 | | | S&P Global, Inc. | | | 2,778 | |
| | | | | | | | |
| | | | | | | 45,054 | |
| | | | | | | | |
| | | | Consumer Finance — 1.0% | |
| | 11 | | | Capital One Financial Corp. | | | 1,055 | |
| | 124 | | | Discover Financial Services | | | 9,515 | |
| | | | | | | | |
| | | | | | | 10,570 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 25 | |
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Insurance — 7.5% | |
| | 180 | | | Allstate Corp. (The) | | | 18,858 | |
| | 193 | | | Assured Guaranty Ltd. | | | 6,523 | |
| | 33 | | | Everest Re Group Ltd. | | | 7,324 | |
| | 104 | | | Lincoln National Corp. | | | 8,025 | |
| | 51 | | | MetLife, Inc. | | | 2,589 | |
| | 198 | | | Progressive Corp. (The) | | | 11,129 | |
| | 63 | | | Prudential Financial, Inc. | | | 7,290 | |
| | 47 | | | RenaissanceRe Holdings Ltd., (Bermuda) | | | 5,953 | |
| | 70 | | | Torchmark Corp. | | | 6,341 | |
| | 39 | | | Willis Towers Watson plc | | | 5,937 | |
| | | | | | | | |
| | | | | | | 79,969 | |
| | | | | | | | |
| | | | Mortgage Real Estate Investment Trusts (REITs) — 1.4% | |
| | 138 | | | AGNC Investment Corp. | | | 2,776 | |
| | 427 | | | Chimera Investment Corp. | | | 7,884 | |
| | 256 | | | Two Harbors Investment Corp. | | | 4,155 | |
| | | | | | | | |
| | | | | | | 14,815 | |
| | | | | | | | |
| | | | Total Financials | | | 292,939 | |
| | | | | | | | |
| | | | Health Care — 13.4% | |
| | | | Biotechnology — 4.4% | |
| | 107 | | | AbbVie, Inc. | | | 10,338 | |
| | 114 | | | Amgen, Inc. | | | 19,755 | |
| | 234 | | | Gilead Sciences, Inc. | | | 16,764 | |
| | | | | | | | |
| | | | | | | 46,857 | |
| | | | | | | | |
| | | | Health Care Equipment & Supplies — 0.4% | |
| | 61 | | | Baxter International, Inc. | | | 3,943 | |
| | | | | | | | |
| | | | Health Care Providers & Services — 6.3% | |
| | 61 | | | Anthem, Inc. | | | 13,793 | |
| | 70 | | | Centene Corp. (a) | | | 7,092 | |
| | 172 | | | Express Scripts Holding Co. (a) | | | 12,868 | |
| | 80 | | | Humana, Inc. | | | 19,820 | |
| | 33 | | | McKesson Corp. | | | 5,084 | |
| | 46 | | | WellCare Health Plans, Inc. (a) | | | 9,231 | |
| | | | | | | | |
| | | | | | | 67,888 | |
| | | | | | | | |
| | | | Pharmaceuticals — 2.3% | |
| | 59 | | | Allergan plc | | | 9,602 | |
| | 418 | | | Pfizer, Inc. | | | 15,123 | |
| | | | | | | | |
| | | | | | | 24,725 | |
| | | | | | | | |
| | | | Total Health Care | | | 143,413 | |
| | | | | | | | |
| | | | Industrials — 8.7% | |
| | | | Aerospace & Defense — 2.1% | |
| | 70 | | | Boeing Co. (The) | | | 20,762 | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Aerospace & Defense — continued | |
| | 18 | | | Spirit AeroSystems Holdings, Inc., Class A | | | 1,605 | |
| | | | | | | | |
| | | | | | | 22,367 | |
| | | | | | | | |
| | | | Airlines — 1.8% | |
| | 44 | | | Copa Holdings SA, (Panama), Class A | | | 5,926 | |
| | 237 | | | Delta Air Lines, Inc. | | | 13,283 | |
| | | | | | | | |
| | | | | | | 19,209 | |
| | | | | | | | |
| | | | Construction & Engineering — 0.2% | |
| | 32 | | | Jacobs Engineering Group, Inc. | | | 2,091 | |
| | | | | | | | |
| | | | Electrical Equipment — 0.6% | |
| | 36 | | | Rockwell Automation, Inc. | | | 6,970 | |
| | | | | | | | |
| | | | Machinery — 2.5% | |
| | 108 | | | Caterpillar, Inc. | | | 17,066 | |
| | 43 | | | Cummins, Inc. | | | 7,649 | |
| | 16 | | | Deere & Co. | | | 2,551 | |
| | | | | | | | |
| | | | | | | 27,266 | |
| | | | | | | | |
| | | | Professional Services — 0.8% | |
| | 66 | | | ManpowerGroup, Inc. | | | 8,348 | |
| | | | | | | | |
| | | | Trading Companies & Distributors — 0.7% | |
| | 42 | | | United Rentals, Inc. (a) | | | 7,289 | |
| | | | | | | | |
| | | | Total Industrials | | | 93,540 | |
| | | | | | | | |
| | | | Information Technology — 9.2% | |
| | | | Internet Software & Services — 0.3% | |
| | 27 | | | VeriSign, Inc. (a) | | | 3,078 | |
| | | | | | | | |
| | | | IT Services — 0.8% | |
| | 84 | | | DXC Technology Co. | | | 8,010 | |
| | | | | | | | |
| | | | Semiconductors & Semiconductor Equipment — 3.1% | |
| | 350 | | | Applied Materials, Inc. | | | 17,872 | |
| | 66 | | | First Solar, Inc. (a) | | | 4,483 | |
| | 30 | | | Lam Research Corp. | | | 5,522 | |
| | 19 | | | Skyworks Solutions, Inc. | | | 1,842 | |
| | 87 | | | Teradyne, Inc. | | | 3,622 | |
| | | | | | | | |
| | | | | | | 33,341 | |
| | | | | | | | |
| | | | Software — 1.8% | |
| | 196 | | | Cadence Design Systems, Inc. (a) | | | 8,205 | |
| | 33 | | | Electronic Arts, Inc. (a) | | | 3,414 | |
| | 9 | | | Take-Two Interactive Software, Inc. (a) | | | 1,021 | |
| | 54 | | | VMware, Inc., Class A (a) | | | 6,805 | |
| | | | | | | | |
| | | | | | | 19,445 | |
| | | | | | | | |
| | | | Technology Hardware, Storage & Peripherals — 3.2% | |
| | 31 | | | Apple, Inc. | | | 5,297 | |
| | 965 | | | HP, Inc. | | | 20,264 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | Common Stocks — continued | |
| | | | Technology Hardware, Storage & Peripherals — continued | |
| | 97 | | | NetApp, Inc. | | | 5,388 | |
| | 47 | | | Western Digital Corp. | | | 3,738 | |
| | | | | | | | |
| | | | | | | 34,687 | |
| | | | | | | | |
| | | | Total Information Technology | | | 98,561 | |
| | | | | | | | |
| | | | Materials — 2.8% | |
| | | | Chemicals — 1.0% | |
| | 34 | | | Cabot Corp. | | | 2,119 | |
| | 270 | | | Huntsman Corp. | | | 8,978 | |
| | | | | | | | |
| | | | | | | 11,097 | |
| | | | | | | | |
| | | | Containers & Packaging — 0.5% | |
| | 41 | | | Packaging Corp. of America | | | 4,918 | |
| | | | | | | | |
| | | | Metals & Mining — 1.3% | |
| | 65 | | | Alcoa Corp. (a) | | | 3,502 | |
| | 42 | | | Newmont Mining Corp. | | | 1,587 | |
| | 208 | | | Steel Dynamics, Inc. | | | 8,988 | |
| | | | | | | | |
| | | | | | | 14,077 | |
| | | | | | | | |
| | | | Total Materials | | | 30,092 | |
| | | | | | | | |
| | | | Real Estate — 3.1% | |
| | | | Equity Real Estate Investment Trusts (REITs) — 2.5% | |
| | 400 | | | Brandywine Realty Trust | | | 7,274 | |
| | 235 | | | Equity Commonwealth (a) | | | 7,157 | |
| | 121 | | | GEO Group, Inc. (The) | | | 2,851 | |
| | 101 | | | Hospitality Properties Trust | | | 3,012 | |
| | 334 | | | Piedmont Office Realty Trust, Inc., Class A | | | 6,546 | |
| | | | | | | | |
| | | | | | | 26,840 | |
| | | | | | | | |
| | | | Real Estate Management & Development — 0.6% | |
| | 71 | | | CBRE Group, Inc., Class A (a) | | | 3,069 | |
| | 125 | | | Realogy Holdings Corp. | | | 3,299 | |
| | | | | | | | |
| | | | | | | 6,368 | |
| | | | | | | | |
| | | | Total Real Estate | | | 33,208 | |
| | | | | | | | |
| | | | Telecommunication Services — 0.1% | |
| | | | Diversified Telecommunication Services — 0.1% | |
| | 22 | | | AT&T, Inc. | | | 840 | |
| | | | | | | | |
| | | | | | | | |
| SHARES | | | SECURITY DESCRIPTION | | VALUE($) | |
| | | | | | | | |
| | | | Utilities — 5.2% | |
| | | | Electric Utilities — 2.3% | |
| | 11 | | | Edison International | | | 702 | |
| | 156 | | | Exelon Corp. | | | 6,148 | |
| | 62 | | | NextEra Energy, Inc. | | | 9,684 | |
| | 174 | | | Portland General Electric Co. | | | 7,926 | |
| | | | | | | | |
| | | | | | | 24,460 | |
| | | | | | | | |
| | | | Gas Utilities — 0.1% | |
| | 24 | | | UGI Corp. | | | 1,129 | |
| | | | | | | | |
| | | | Independent Power and Renewable Electricity Producers — 1.4% | |
| | 685 | | | AES Corp. | | | 7,416 | |
| | 283 | | | NRG Energy, Inc. | | | 8,071 | |
| | | | | | | | |
| | | | | | | 15,487 | |
| | | | | | | | |
| | | | Multi-Utilities — 1.4% | |
| | 298 | | | CenterPoint Energy, Inc. | | | 8,440 | |
| | 231 | | | MDU Resources Group, Inc. | | | 6,212 | |
| | | | | | | | |
| | | | | | | 14,652 | |
| | | | | | | | |
| | | | Total Utilities | | | 55,728 | |
| | | | | | | | |
| | | | Total Common Stocks
(Cost $790,108) | | | 1,047,833 | |
| | | | | | | | |
| | Short-Term Investment — 2.1% | |
| | | | Investment Company — 2.1% | |
| | 22,120 | | | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.14% (b) (l)
(Cost $22,120) | | | 22,120 | |
| | | | | | | | |
| | | | Total Investments — 100.0%
(Cost $812,228) | | | 1,069,953 | |
| | | | Liabilities in Excess of Other
Assets — 0.0% (g) | | | (126 | ) |
| | | | | | | | |
| | | | NET ASSETS — 100.0% | | $ | 1,069,827 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of December 31, 2017: | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Contracts | | | | | | | | | | | | | | | | | | |
| S&P 500 E-Mini Index | | 171 | | | 03/2018 | | | | USD | | | $ | 22,880 | | | $ | 107 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 107 | |
| | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 27 | |
J.P. Morgan Intrepid Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
| | |
| 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. |
| (l) | | — The rate shown is the current yield as of December 31, 2017. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 29 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | |
| | | Intrepid
America
Fund | | | Intrepid
Growth Fund | | | Intrepid
Mid Cap
Fund | |
ASSETS: | | | | | | | | | | | | |
Investments in non-affiliates, at value | | $ | 4,139,492 | | | $ | 1,115,262 | | | $ | 954,636 | |
Investments in affiliates, at value | | | 116,415 | | | | 24,487 | | | | 9,491 | |
Cash | | | — | | | | — | | | | 4 | |
Deposits at broker for futures contracts | | | 5,501 | | | | 1,450 | | | | 405 | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | 12,295 | | | | 2,165 | | | | — | |
Fund shares sold | | | 233 | | | | 689 | | | | 1,284 | |
Dividends from non-affiliates | | | 3,908 | | | | 736 | | | | 1,144 | |
Dividends from affiliates | | | 108 | | | | 26 | | | | 16 | |
| | | | | | | | | | | | |
Total Assets | | | 4,277,952 | | | | 1,144,815 | | | | 966,980 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | — | (a) | | | — | (a) | | | — | |
Investment securities purchased | | | 6,467 | | | | 2,579 | | | | — | |
Fund shares redeemed | | | 24,757 | | | | 173 | | | | 993 | |
Variation margin on futures contracts | | | 440 | | | | 90 | | | | 38 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 1,117 | | | | 306 | | | | 464 | |
Administration fees | | | 75 | | | | — | | | | 23 | |
Distribution fees | | | 25 | | | | 49 | | | | 119 | |
Service fees | | | 36 | | | | 89 | | | | 139 | |
Custodian and accounting fees | | | 41 | | | | 17 | | | | 20 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | (a) | | | — | |
Audit fees | | | 6 | | | | 7 | | | | 2 | |
Printing and mailing cost | | | 27 | | | | 26 | | | | 41 | |
Registration fees | | | 27 | | | | 21 | | | | 2 | |
Other | | | 24 | | | | 20 | | | | 30 | |
| | | | | | | | | | | | |
Total Liabilities | | | 33,042 | | | | 3,377 | | | | 1,871 | |
| | | | | | | | | | | | |
Net Assets | | $ | 4,244,910 | | | $ | 1,141,438 | | | $ | 965,109 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | |
| | | |
| | | Intrepid
America
Fund | | | Intrepid
Growth Fund | | | Intrepid
Mid Cap
Fund | |
NET ASSETS: | | | | | | | | | | | | |
Paid-in-Capital | | $ | 3,129,384 | | | $ | 766,610 | | | $ | 720,781 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (1,020 | ) | | | (103 | ) | | | (162 | ) |
Accumulated net realized gains (losses) | | | 42,926 | | | | 620 | | | | 19,053 | |
Net unrealized appreciation (depreciation) | | | 1,073,620 | | | | 374,311 | | | | 225,437 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 4,244,910 | | | $ | 1,141,438 | | | $ | 965,109 | |
| | | | | | | | | | | | |
| | | |
Net Assets: | | | | | | | | | | | | |
Class A | | $ | 98,929 | | | $ | 111,011 | | | $ | 336,336 | |
Class C | | | 4,956 | | | | 37,142 | | | | 70,067 | |
Class I | | | 69,421 | | | | 187,379 | | | | 308,327 | |
Class R2 | | | 2,406 | | | | 5,895 | | | | — | |
Class R3 | | | — | | | | — | | | | 13,434 | |
Class R4 | | | — | | | | — | | | | 116 | |
Class R5 | | | 4,987 | | | | 222,223 | | | | — | |
Class R6 | | | 4,064,211 | | | | 577,788 | | | | 236,829 | |
| | | | | | | | | | | | |
Total | | $ | 4,244,910 | | | $ | 1,141,438 | | | $ | 965,109 | |
| | | | | | | | | | | | |
| | | |
Outstanding units of beneficial interest (shares) | | | | | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 2,479 | | | | 1,988 | | | | 14,916 | |
Class C | | | 125 | | | | 676 | | | | 3,670 | |
Class I | | | 1,692 | | | | 3,307 | | | | 12,978 | |
Class R2 | | | 61 | | | | 108 | | | | — | |
Class R3 | | | — | | | | — | | | | 597 | |
Class R4 | | | — | | | | — | | | | 5 | |
Class R5 | | | 122 | | | | 3,972 | | | | — | |
Class R6 | | | 101,096 | | | | 10,333 | | | | 9,968 | |
| | | |
Net Asset Value (a): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 39.91 | | | $ | 55.84 | | | $ | 22.55 | |
Class C — Offering price per share (b) | | | 39.74 | | | | 54.94 | | | | 19.09 | |
Class I — Offering and redemption price per share | | | 41.01 | | | | 56.66 | | | | 23.76 | |
Class R2 — Offering and redemption price per share | | | 39.09 | | | | 54.83 | | | | — | |
Class R3 — Offering and redemption price per share | | | — | | | | — | | | | 22.49 | |
Class R4 — Offering and redemption price per share | | | — | | | | — | | | | 23.70 | |
Class R5 — Offering and redemption price per share | | | 40.88 | | | | 55.94 | | | | — | |
Class R6 — Offering and redemption price per share | | | 40.20 | | | | 55.91 | | | | 23.76 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 42.12 | | | $ | 58.93 | | | $ | 23.80 | |
| | | | | | | | | | | | |
| | | |
Cost of investments in non-affiliates | | $ | 3,066,448 | | | $ | 741,257 | | | $ | 729,249 | |
Cost of investments in affiliates | | | 116,415 | | | | 24,487 | | | | 9,491 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 31 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | |
| | |
| | | Intrepid
Sustainable
Equity Fund | | | Intrepid
Value Fund | |
ASSETS: | | | | | | | | |
Investments in non-affiliates, at value | | $ | 20,187 | | | $ | 1,047,833 | |
Investments in affiliates, at value | | | 493 | | | | 22,120 | |
Deposits at broker for futures contracts | | | — | | | | 2,075 | |
Receivables: | | | | | | | | |
Investment securities sold | | | — | | | | 4,411 | |
Fund shares sold | | | 61 | | | | 1,073 | |
Dividends from non-affiliates | | | 19 | | | | 1,394 | |
Dividends from affiliates | | | 1 | | | | 22 | |
Due from adviser | | | 2 | | | | — | |
| | | | | | | | |
Total Assets | | | 20,763 | | | | 1,078,928 | |
| | | | | | | | |
| | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Due to custodian | | | — | | | | — | (a) |
Investment securities purchased | | | — | | | | 4,584 | |
Fund shares redeemed | | | 8 | | | | 3,422 | |
Variation margin on futures contracts | | | — | | | | 85 | |
Accrued liabilities: | | | | | | | | |
Investment advisory fees | | | — | | | | 275 | |
Administration fees | | | — | | | | 12 | |
Distribution fees | | | 5 | | | | 47 | |
Service fees | | | — | | | | 183 | |
Custodian and accounting fees | | | 8 | | | | 20 | |
Audit fees | | | 6 | | | | 3 | |
Printing and mailing cost | | | 4 | | | | 145 | |
Legal fees | | | 11 | | | | — | |
Registration fees | | | 17 | | | | 38 | |
Other | | | 2 | | | | 287 | |
| | | | | | | | |
Total Liabilities | | | 61 | | | | 9,101 | |
| | | | | | | | |
Net Assets | | $ | 20,702 | | | $ | 1,069,827 | |
| | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| | |
| | | Intrepid
Sustainable
Equity Fund | | | Intrepid
Value Fund | |
NET ASSETS: | | | | | | | | |
Paid-in-Capital | | $ | 15,059 | | | $ | 802,562 | |
Accumulated undistributed (distributions in excess of) net investment income | | | (10 | ) | | | (225 | ) |
Accumulated net realized gains (losses) | | | 325 | | | | 9,658 | |
Net unrealized appreciation (depreciation) | | | 5,328 | | | | 257,832 | |
| | | | | | | | |
Total Net Assets | | $ | 20,702 | | | $ | 1,069,827 | |
| | | | | | | | |
| | |
Net Assets: | | | | | | | | |
Class A | | $ | 9,274 | | | $ | 98,571 | |
Class C | | | 3,861 | | | | 26,105 | |
Class I | | | 7,567 | | | | 708,592 | |
Class R2 | | | — | | | | 20,941 | |
Class R5 | | | — | | | | 89,421 | |
Class R6 | | | — | | | | 126,197 | |
| | | | | | | | |
Total | | $ | 20,702 | | | $ | 1,069,827 | |
| | | | | | | | |
| | |
Outstanding units of beneficial interest (shares) | | | | | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | |
Class A | | | 228 | | | | 2,872 | |
Class C | | | 96 | | | | 770 | |
Class I | | | 185 | | | | 20,541 | |
Class R2 | | | — | | | | 615 | |
Class R5 | | | — | | | | 2,585 | |
Class R6 | | | — | | | | 3,648 | |
| | |
Net Asset Value (a): | | | | | | | | |
Class A — Redemption price per share | | $ | 40.76 | | | $ | 34.32 | |
Class C — Offering price per share (b) | | | 40.02 | | | | 33.88 | |
Class I — Offering and redemption price per share | | | 40.98 | | | | 34.50 | |
Class R2 — Offering and redemption price per share | | | — | | | | 34.08 | |
Class R5 — Offering and redemption price per share | | | — | | | | 34.59 | |
Class R6 — Offering and redemption price per share | | | — | | | | 34.59 | |
Class A maximum sales charge | | | 5.25 | % | | | 5.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 43.02 | | | $ | 36.22 | |
| | | | | | | | |
Cost of investments in non-affiliates | | $ | 14,859 | | | $ | 790,108 | |
Cost of investments in affiliates | | | 493 | | | | 22,120 | |
| (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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 33 | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
(Amounts in thousands)
| | | | | | | | | | | | |
| | | |
| | | Intrepid
America
Fund | | | Intrepid
Growth
Fund | | | Intrepid
Mid Cap
Fund | |
INVESTMENT INCOME: | | | | | | | | | | | | |
Interest income from affiliates | | $ | — | (a) | | $ | — | (a) | | $ | — | (a) |
Dividend income from non-affiliates | | | 46,836 | | | | 7,228 | | | | 9,733 | |
Dividend income from affiliates | | | 464 | | | | 146 | | | | 84 | |
Non-cash dividend income from non-affiliates | | | 4,508 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total investment income | | | 51,808 | | | | 7,374 | | | | 9,817 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 8,528 | | | | 2,768 | | | | 3,000 | |
Administration fees | | | 1,736 | | | | 451 | | | | 376 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 112 | | | | 124 | | | | 398 | |
Class C | | | 33 | | | | 156 | | | | 292 | |
Class R2 | | | 7 | | | | 14 | | | | — | |
Class R3 | | | — | | | | — | | | | 15 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 112 | | | | 124 | | | | 398 | |
Class C | | | 11 | | | | 52 | | | | 97 | |
Class I | | | 145 | | | | 229 | | | | 388 | |
Class R2 | | | 3 | | | | 7 | | | | — | |
Class R3 | | | — | | | | — | | | | 15 | |
Class R4 | | | — | | | | — | | | | — | (a) |
Class R5 | | | 3 | | | | 105 | | | | — | |
Custodian and accounting fees | | | 57 | | | | 23 | | | | 27 | |
Professional fees | | | 50 | | | | 32 | | | | 27 | |
Trustees’ and Chief Compliance Officer’s fees | | | 17 | | | | 15 | | | | 14 | |
Printing and mailing costs | | | 34 | | | | 17 | | | | 48 | |
Registration and filing fees | | | 55 | | | | 51 | | | | 62 | |
Transfer agency fees (See Note 2.D.) | | | 22 | | | | 14 | | | | 42 | |
Other | | | 31 | | | | 11 | | | | 12 | |
| | | | | | | | | | | | |
Total expenses | | | 10,956 | | | | 4,193 | | | | 5,211 | |
| | | | | | | | | | | | |
Less fees waived | | | (1,194 | ) | | | (1,237 | ) | | | (636 | ) |
Less expense reimbursements | | | (4 | ) | | | — | | | | (2 | ) |
| | | | | | | | | | | | |
Net expenses | | | 9,758 | | | | 2,956 | | | | 4,573 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 42,050 | | | | 4,418 | | | | 5,244 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments in non-affiliates | | | 129,828 | | | | 53,652 | | | | 40,566 | |
Futures contracts | | | 8,631 | | | | 2,798 | | | | 747 | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 138,459 | | | | 56,450 | | | | 41,313 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | | | | | |
Investments in non-affiliates | | | 406,786 | | | | 98,009 | | | | 43,241 | |
Futures contracts | | | 623 | | | | 378 | | | | 36 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 407,409 | | | | 98,387 | | | | 43,277 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 545,868 | | | | 154,837 | | | | 84,590 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 587,918 | | | $ | 159,255 | | | $ | 89,834 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| | |
| | | Intrepid
Sustainable
Equity Fund | | | Intrepid
Value Fund | |
INVESTMENT INCOME: | | | | | | | | |
Interest income from affiliates | | $ | — | (a) | | $ | 1 | |
Dividend income from non-affiliates | | | 261 | | | | 14,997 | |
Dividend income from affiliates | | | 2 | | | | 99 | |
Non-cash dividend income from non-affiliates | | | — | | | | 1,474 | |
| | | | | | | | |
Total investment income | | | 263 | | | | 16,571 | |
| | | | | | | | |
| | |
EXPENSES: | | | | | | | | |
Investment advisory fees | | | 49 | | | | 2,223 | |
Administration fees | | | 8 | | | | 453 | |
Distribution fees: | | | | | | | | |
Class A | | | 11 | | | | 116 | |
Class C | | | 18 | | | | 125 | |
Class R2 | | | — | | | | 51 | |
Service fees: | | | | | | | | |
Class A | | | 11 | | | | 116 | |
Class C | | | 6 | | | | 42 | |
Class I | | | 7 | | | | 913 | |
Class R2 | | | — | | | | 25 | |
Class R5 | | | — | | | | 44 | |
Custodian and accounting fees | | | 11 | | | | 24 | |
Professional fees | | | 34 | | | | 32 | |
Trustees’ and Chief Compliance Officer’s fees | | | 13 | | | | 15 | |
Printing and mailing costs | | | 5 | | | | 75 | |
Registration and filing fees | | | 26 | | | | 64 | |
Transfer agency fees (See Note 2.D.) | | | 3 | | | | 34 | |
Other | | | 4 | | | | 13 | |
| | | | | | | | |
Total expenses | | | 206 | | | | 4,365 | |
| | | | | | | | |
Less fees waived | | | (81 | ) | | | (787 | ) |
Less expense reimbursements | | | (24 | ) | | | — | (a) |
| | | | | | | | |
Net expenses | | | 101 | | | | 3,578 | |
| | | | | | | | |
Net investment income (loss) | | | 162 | | | | 12,993 | |
| | | | | | | | |
| | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | |
Investments in non-affiliates | | | 858 | | | | 61,421 | |
Futures contracts | | | — | | | | 2,128 | |
| | | | | | | | |
Net realized gain (loss) | | | 858 | | | | 63,549 | |
| | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | |
Investments in non-affiliates | | | 891 | | | | 52,190 | |
Futures contracts | | | — | | | | 155 | |
| | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 891 | | | | 52,345 | |
| | | | | | | | |
Net realized/unrealized gains (losses) | | | 1,749 | | | | 115,894 | |
| | | | | | | | |
Change in net assets resulting from operations | | $ | 1,911 | | | $ | 128,887 | |
| | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 35 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Intrepid America Fund | | | Intrepid Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 42,050 | | | $ | 49,592 | | | $ | 4,418 | | | $ | 8,495 | |
Net realized gain (loss) | | | 138,459 | | | | 384,294 | | | | 56,450 | | | | 94,266 | |
Change in net unrealized appreciation/depreciation | | | 407,409 | | | | 169,242 | | | | 98,387 | | | | 93,909 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 587,918 | | | | 603,128 | | | | 159,255 | | | | 196,670 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (1,172 | ) | | | (398 | ) | | | (505 | ) | | | (532 | ) |
From net realized gains | | | (9,595 | ) | | | (1,471 | ) | | | — | | | | — | |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (34 | ) | | | — | | | | (40 | ) |
From net realized gains | | | (491 | ) | | | (311 | ) | | | — | | | | — | |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (610 | ) | | | (2,317 | ) | | | (1,170 | ) | | | (1,415 | ) |
From net realized gains | | | (6,861 | ) | | | (5,697 | ) | | | — | | | | — | |
Class R2 | | | | | | | | | | | | | | | | |
From net investment income | | | (15 | ) | | | (20 | ) | | | (12 | ) | | | (27 | ) |
From net realized gains | | | (242 | ) | | | (104 | ) | | | — | | | | — | |
Class R5 | | | | | | | | | | | | | | | | |
From net investment income | | | (71 | ) | | | (49 | ) | | | (1,822 | ) | | | (1,807 | ) |
From net realized gains | | | (468 | ) | | | (100 | ) | | | — | | | | — | |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (64,689 | ) | | | (49,652 | ) | | | (5,125 | ) | | | (5,624 | ) |
From net realized gains | | | (402,574 | ) | | | (94,209 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (486,788 | ) | | | (154,362 | ) | | | (8,634 | ) | | | (9,445 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 60,923 | | | | (32,461 | ) | | | (28,306 | ) | | | (156,325 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 162,053 | | | | 416,305 | | | | 122,315 | | | | 30,900 | |
Beginning of period | | | 4,082,857 | | | | 3,666,552 | | | | 1,019,123 | | | | 988,223 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 4,244,910 | | | $ | 4,082,857 | | | $ | 1,141,438 | | | $ | 1,019,123 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (1,020 | ) | | $ | 23,487 | | | $ | (103 | ) | | $ | 4,113 | |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Intrepid Mid Cap Fund | | | Intrepid Sustainable Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 5,244 | | | $ | 5,449 | | | $ | 162 | | | $ | 129 | |
Net realized gain (loss) | | | 41,313 | | | | 67,839 | | | | 858 | | | | 2,415 | |
Change in net unrealized appreciation/depreciation | | | 43,277 | | | | 61,410 | | | | 891 | | | | 662 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 89,834 | | | | 134,698 | | | | 1,911 | | | | 3,206 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
From net investment income | | | (2,004 | ) | | | (1,163 | ) | | | (109 | ) | | | (79 | ) |
From net realized gains | | | (23,010 | ) | | | (64 | ) | | | (484 | ) | | | — | |
Class C | | | | | | | | | | | | | | | | |
From net investment income | | | (32 | ) | | | (111 | ) | | | (18 | ) | | | (21 | ) |
From net realized gains | | | (5,654 | ) | | | (20 | ) | | | (208 | ) | | | — | |
Class I | | | | | | | | | | | | | | | | |
From net investment income | | | (2,355 | ) | | | (1,250 | ) | | | (102 | ) | | | (47 | ) |
From net realized gains | | | (20,208 | ) | | | (51 | ) | | | (379 | ) | | | — | |
Class R3 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (103 | ) | | | — | (b) | | | — | | | | — | |
From net realized gains | | | (935 | ) | | | — | (b) | | | — | | | | — | |
Class R4 (a) | | | | | | | | | | | | | | | | |
From net investment income | | | (1 | ) | | | — | (b) | | | — | | | | — | |
From net realized gains | | | (8 | ) | | | — | (b) | | | — | | | | — | |
Class R6 | | | | | | | | | | | | | | | | |
From net investment income | | | (2,366 | ) | | | (1,834 | ) | | | — | | | | — | |
From net realized gains | | | (14,905 | ) | | | (59 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (71,581 | ) | | | (4,552 | ) | | | (1,300 | ) | | | (147 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 57,117 | | | | (205,002 | ) | | | 2,047 | | | | (4,054 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 75,370 | | | | (74,856 | ) | | | 2,658 | | | | (995 | ) |
Beginning of period | | | 889,739 | | | | 964,595 | | | | 18,044 | | | | 19,039 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 965,109 | | | $ | 889,739 | | | $ | 20,702 | | | $ | 18,044 | |
| | | | | | | | | | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (162 | ) | | $ | 1,455 | | | $ | (10 | ) | | $ | 57 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Intrepid Mid Cap Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 37 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | | Intrepid Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 12,993 | | | $ | 20,561 | |
Net realized gain (loss) | | | 63,549 | | | | 154,933 | |
Change in net unrealized appreciation/depreciation | | | 52,345 | | | | 21,719 | |
| | | | | | | | |
Change in net assets resulting from operations | | | 128,887 | | | | 197,213 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class A | | | | | | | | |
From net investment income | | | (1,149 | ) | | | (1,822 | ) |
From net realized gains | | | (13,008 | ) | | | (976 | ) |
Class C | | | | | | | | |
From net investment income | | | (310 | ) | | | (427 | ) |
From net realized gains | | | (3,459 | ) | | | (328 | ) |
Class I | | | | | | | | |
From net investment income | | | (8,988 | ) | | | (14,704 | ) |
From net realized gains | | | (91,343 | ) | | | (6,865 | ) |
Class R2 | | | | | | | | |
From net investment income | | | (221 | ) | | | (251 | ) |
From net realized gains | | | (2,692 | ) | | | (158 | ) |
Class R5 | | | | | | | | |
From net investment income | | | (1,249 | ) | | | (1,707 | ) |
From net realized gains | | | (11,535 | ) | | | (727 | ) |
Class R6 | | | | | | | | |
From net investment income | | | (2,286 | ) | | | (1,965 | ) |
From net realized gains | | | (21,060 | ) | | | (845 | ) |
| | | | | | | | |
Total distributions to shareholders | | | (157,300 | ) | | | (30,775 | ) |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | (134,604 | ) | | | (630,829 | ) |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | (163,017 | ) | | | (464,391 | ) |
Beginning of period | | | 1,232,844 | | | | 1,697,235 | |
| | | | | | | | |
End of period | | $ | 1,069,827 | | | $ | 1,232,844 | |
| | | | | | | | |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (225 | ) | | $ | 985 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Intrepid America Fund | | | Intrepid Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 50,628 | | | $ | 5,999 | | | $ | 17,421 | | | $ | 27,666 | |
Distributions reinvested | | | 10,595 | | | | 1,826 | | | | 308 | | | | 357 | |
Cost of shares redeemed | | | (13,076 | ) | | | (21,894 | ) | | | (10,810 | ) | | | (45,136 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 48,147 | | | $ | (14,069 | ) | | $ | 6,919 | | | $ | (17,113 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 67 | | | $ | 430 | | | $ | 2,993 | | | $ | 4,411 | |
Distributions reinvested | | | 458 | | | | 319 | | | | — | | | | 29 | |
Cost of shares redeemed | | | (6,485 | ) | | | (4,382 | ) | | | (14,542 | ) | | | (18,954 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (5,960 | ) | | $ | (3,633 | ) | | $ | (11,549 | ) | | $ | (14,514 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 14,518 | | | $ | 34,005 | | | $ | 10,164 | | | $ | 46,031 | |
Distributions reinvested | | | 7,177 | | | | 1,830 | | | | 1,069 | | | | 1,050 | |
Cost of shares redeemed | | | (174,969 | ) | | | (93,190 | ) | | | (32,317 | ) | | | (46,388 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (153,274 | ) | | $ | (57,355 | ) | | $ | (21,084 | ) | | $ | 693 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 298 | | | $ | 786 | | | $ | 1,146 | | | $ | 1,831 | |
Distributions reinvested | | | 91 | | | | 61 | | | | 3 | | | | 6 | |
Cost of shares redeemed | | | (1,470 | ) | | | (2,478 | ) | | | (1,306 | ) | | | (1,672 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | (1,081 | ) | | $ | (1,631 | ) | | $ | (157 | ) | | $ | 165 | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 420 | | | $ | 1,408 | | | $ | 14,287 | | | $ | 26,918 | |
Distributions reinvested | | | 334 | | | | 80 | | | | 1,534 | | | | 1,528 | |
Cost of shares redeemed | | | (567 | ) | | | (1,205 | ) | | | (14,040 | ) | | | (75,964 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 187 | | | $ | 283 | | | $ | 1,781 | | | $ | (47,518 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 187,841 | | | $ | 168,666 | | | $ | 71,102 | | | $ | 17,417 | |
Distributions reinvested | | | 467,260 | | | | 143,577 | | | | 5,125 | | | | 5,624 | |
Cost of shares redeemed | | | (482,197 | ) | | | (268,299 | ) | | | (80,443 | ) | | | (101,079 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 172,904 | | | $ | 43,944 | | | $ | (4,216 | ) | | $ | (78,038 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 60,923 | | | $ | (32,461 | ) | | $ | (28,306 | ) | | $ | (156,325 | ) |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 39 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Intrepid America Fund | | | Intrepid Growth Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 1,250 | | | | 163 | | | | 324 | | | | 630 | |
Reinvested | | | 265 | | | | 49 | | | | 6 | | | | 8 | |
Redeemed | | | (311 | ) | | | (586 | ) | | | (207 | ) | | | (1,016 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 1,204 | | | | (374 | ) | | | 123 | | | | (378 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 2 | | | | 11 | | | | 57 | | | | 101 | |
Reinvested | | | 12 | | | | 9 | | | | — | | | | 1 | |
Redeemed | | | (156 | ) | | | (120 | ) | | | (278 | ) | | | (434 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (142 | ) | | | (100 | ) | | | (221 | ) | | | (332 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 344 | | | | 897 | | | | 191 | | | | 1,020 | |
Reinvested | | | 175 | | | | 48 | | | | 19 | | | | 24 | |
Redeemed | | | (4,242 | ) | | | (2,482 | ) | | | (618 | ) | | | (1,023 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (3,723 | ) | | | (1,537 | ) | | | (408 | ) | | | 21 | |
| | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Issued | | | 7 | | | | 21 | | | | 22 | | | | 43 | |
Reinvested | | | 2 | | | | 2 | | | | — | (a) | | | — | (a) |
Redeemed | | | (37 | ) | | | (69 | ) | | | (25 | ) | | | (38 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R2 Shares | | | (28 | ) | | | (46 | ) | | | (3 | ) | | | 5 | |
| | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | |
Issued | | | 11 | | | | 37 | | | | 270 | | | | 602 | |
Reinvested | | | 8 | | | | 2 | | | | 27 | | | | 35 | |
Redeemed | | | (14 | ) | | | (32 | ) | | | (266 | ) | | | (1,762 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R5 Shares | | | 5 | | | | 7 | | | | 31 | | | | (1,125 | ) |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | 4,591 | | | | 4,471 | | | | 1,392 | | | | 367 | |
Reinvested | | | 11,580 | | | | 3,844 | | | | 91 | | | | 129 | |
Redeemed | | | (11,643 | ) | | | (7,129 | ) | | | (1,509 | ) | | | (2,190 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 4,528 | | | | 1,186 | | | | (26 | ) | | | (1,694 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Intrepid Mid Cap Fund | | | Intrepid Sustainable Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 43,710 | | | $ | 81,290 | | | $ | 1,660 | | | $ | 997 | |
Distributions reinvested | | | 22,481 | | | | 1,110 | | | | 573 | | | | 79 | |
Cost of shares redeemed | | | (40,608 | ) | | | (131,036 | ) | | | (1,167 | ) | | | (3,288 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 25,583 | | | $ | (48,636 | ) | | $ | 1,066 | | | $ | (2,212 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 3,493 | | | $ | 14,601 | | | $ | 93 | | | $ | 287 | |
Distributions reinvested | | | 4,798 | | | | 103 | | | | 209 | | | | 21 | |
Cost of shares redeemed | | | (21,470 | ) | | | (33,172 | ) | | | (1,731 | ) | | | (2,328 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (13,179 | ) | | $ | (18,468 | ) | | $ | (1,429 | ) | | $ | (2,020 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 31,427 | | | $ | 143,668 | | | $ | 2,494 | | | $ | 1,296 | |
Distributions reinvested | | | 19,557 | | | | 1,101 | | | | 463 | | | | 31 | |
Cost of shares redeemed | | | (60,690 | ) | | | (130,084 | ) | | | (547 | ) | | | (1,149 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (9,706 | ) | | $ | 14,685 | | | $ | 2,410 | | | $ | 178 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 4,777 | | | $ | 9,663 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 990 | | | | — | (b) | | | — | | | | — | |
Cost of shares redeemed | | | (1,301 | ) | | | (869 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R3 capital transactions | | $ | 4,466 | | | $ | 8,794 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 85 | | | $ | 20 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 8 | | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R4 capital transactions | | $ | 93 | | | $ | 20 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 49,654 | | | $ | 12,224 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 17,215 | | | | 1,889 | | | | — | | | | — | |
Cost of shares redeemed | | | (17,009 | ) | | | (175,510 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 49,860 | | | $ | (161,397 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 57,117 | | | $ | (205,002 | ) | | $ | 2,047 | | | $ | (4,054 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Intrepid Mid Cap Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 41 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Intrepid Mid Cap Fund | | | Intrepid Sustainable Equity Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 1,898 | | | | 3,903 | | | | 40 | | | | 27 | |
Reinvested | | | 1,000 | | | | 53 | | | | 14 | | | | 2 | |
Redeemed | | | (1,774 | ) | | | (6,167 | ) | | | (28 | ) | | | (91 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 1,124 | | | | (2,211 | ) | | | 26 | | | | (62 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 180 | | | | 814 | | | | 2 | | | | 8 | |
Reinvested | | | 253 | | | | 6 | | | | 5 | | | | 1 | |
Redeemed | | | (1,088 | ) | | | (1,823 | ) | | | (43 | ) | | | (66 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (655 | ) | | | (1,003 | ) | | | (36 | ) | | | (57 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 1,309 | | | | 6,474 | | | | 60 | | | | 34 | |
Reinvested | | | 824 | | | | 50 | | | | 11 | | | | 1 | |
Redeemed | | | (2,519 | ) | | | (5,834 | ) | | | (13 | ) | | | (32 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | (386 | ) | | | 690 | | | | 58 | | | | 3 | |
| | | | | | | | | | | | | | | | |
Class R3 (a) | | | | | | | | | | | | | | | | |
Issued | | | 209 | | | | 441 | | | | — | | | | — | |
Reinvested | | | 44 | | | | — | (b) | | | — | | | | — | |
Redeemed | | | (57 | ) | | | (40 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R3 Shares | | | 196 | | | | 401 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R4 (a) | | | | | | | | | | | | | | | | |
Issued | | | 4 | | | | 1 | | | | — | | | | — | |
Reinvested | | | — | (b) | | | — | (b) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R4 Shares | | | 4 | | | | 1 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Issued | | | 2,039 | | | | 548 | | | | — | | | | — | |
Reinvested | | | 724 | | | | 87 | | | | — | | | | — | |
Redeemed | | | (704 | ) | | | (7,657 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 2,059 | | | | (7,022 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective September 9, 2016 for Intrepid Mid Cap Fund. |
| (b) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | |
| | | Intrepid Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Class A | | | | | | | | |
Proceeds from shares issued | | $ | 15,185 | | | $ | 20,073 | |
Distributions reinvested | | | 13,187 | | | | 2,584 | |
Cost of shares redeemed | | | (22,487 | ) | | | (186,659 | ) |
| | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 5,885 | | | $ | (164,002 | ) |
| | | | | | | | |
Class C | | | | | | | | |
Proceeds from shares issued | | $ | 1,053 | | | $ | 1,926 | |
Distributions reinvested | | | 3,586 | | | | 698 | |
Cost of shares redeemed | | | (14,347 | ) | | | (14,665 | ) |
| | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (9,708 | ) | | $ | (12,041 | ) |
| | | | | | | | |
Class I | | | | | | | | |
Proceeds from shares issued | | $ | 66,812 | | | $ | 206,583 | |
Distributions reinvested | | | 98,936 | | | | 19,832 | |
Cost of shares redeemed | | | (325,856 | ) | | | (678,570 | ) |
| | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | (160,108 | ) | | $ | (452,155 | ) |
| | | | | | | | |
Class R2 | | | | | | | | |
Proceeds from shares issued | | $ | 3,179 | | | $ | 6,817 | |
Distributions reinvested | | | 2,525 | | | | 347 | |
Cost of shares redeemed | | | (3,871 | ) | | | (7,671 | ) |
| | | | | | | | |
Change in net assets resulting from Class R2 capital transactions | | $ | 1,833 | | | $ | (507 | ) |
| | | | | | | | |
Class R5 | | | | | | | | |
Proceeds from shares issued | | $ | 5,889 | | | $ | 14,877 | |
Distributions reinvested | | | 12,784 | | | | 2,434 | |
Cost of shares redeemed | | | (13,067 | ) | | | (28,444 | ) |
| | | | | | | | |
Change in net assets resulting from Class R5 capital transactions | | $ | 5,606 | | | $ | (11,133 | ) |
| | | | | | | | |
Class R6 | | | | | | | | |
Proceeds from shares issued | | $ | 51,746 | | | $ | 34,643 | |
Distributions reinvested | | | 22,951 | | | | 2,810 | |
Cost of shares redeemed | | | (52,809 | ) | | | (28,444 | ) |
| | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 21,888 | | | $ | 9,009 | |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (134,604 | ) | | $ | (630,829 | ) |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 43 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | | Intrepid Value Fund | |
| | | Six Months Ended
December 31, 2017
(Unaudited) | | | Year Ended
June 30, 2017 | |
SHARE TRANSACTIONS: | | | | | | | | |
Class A | | | | | | | | |
Issued | | | 408 | | | | 602 | |
Reinvested | | | 385 | | | | 76 | |
Redeemed | | | (619 | ) | | | (5,697 | ) |
| | | | | | | | |
Change in Class A Shares | | | 174 | | | | (5,019 | ) |
| | | | | | | | |
Class C | | | | | | | | |
Issued | | | 30 | | | | 57 | |
Reinvested | | | 106 | | | | 21 | |
Redeemed | | | (390 | ) | | | (440 | ) |
| | | | | | | | |
Change in Class C Shares | | | (254 | ) | | | (362 | ) |
| | | | | | | | |
Class I | | | | | | | | |
Issued | | | 1,816 | | | | 6,068 | |
Reinvested | | | 2,872 | | | | 576 | |
Redeemed | | | (8,990 | ) | | | (20,858 | ) |
| | | | | | | | |
Change in Class I Shares | | | (4,302 | ) | | | (14,214 | ) |
| | | | | | | | |
Class R2 | | | | | | | | |
Issued | | | 89 | | | | 203 | |
Reinvested | | | 74 | | | | 10 | |
Redeemed | | | (106 | ) | | | (226 | ) |
| | | | | | | | |
Change in Class R2 Shares | | | 57 | | | | (13 | ) |
| | | | | | | | |
Class R5 | | | | | | | | |
Issued | | | 158 | | | | 438 | |
Reinvested | | | 370 | | | | 71 | |
Redeemed | | | (351 | ) | | | (826 | ) |
| | | | | | | | |
Change in Class R5 Shares | | | 177 | | | | (317 | ) |
| | | | | | | | |
Class R6 | | | | | | | | |
Issued | | | 1,445 | | | | 1,044 | |
Reinvested | | | 665 | | | | 81 | |
Redeemed | | | (1,495 | ) | | | (837 | ) |
| | | | | | | | |
Change in Class R6 Shares | | | 615 | | | | 288 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 45 | |
FINANCIAL HIGHLIGHTS
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 | |
Intrepid America Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 39.06 | | | $ | 0.28 | | | $ | 5.35 | | | $ | 5.63 | | | $ | (0.48 | ) | | $ | (4.30 | ) | | $ | (4.78 | ) |
Year Ended June 30, 2017 | | | 34.75 | | | | 0.28 | | | | 5.30 | | | | 5.58 | | | | (0.27 | ) | | | (1.00 | ) | | | (1.27 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.59 | | | | 0.19 | | | | 5.26 | | | | 5.45 | | | | — | | | | (4.30 | ) | | | (4.30 | ) |
Year Ended June 30, 2017 | | | 34.37 | | | | 0.09 | | | | 5.24 | | | | 5.33 | | | | (0.11 | ) | | | (1.00 | ) | | | (1.11 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.87 | | | | 0.44 | | | | 5.36 | | | | 5.80 | | | | (0.36 | ) | | | (4.30 | ) | | | (4.66 | ) |
Year Ended June 30, 2017 | | | 35.48 | | | | 0.39 | | | | 5.41 | | | | 5.80 | | | | (0.41 | ) | | | (1.00 | ) | | | (1.41 | ) |
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 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.18 | | | | 0.27 | | | | 5.18 | | | | 5.45 | | | | (0.24 | ) | | | (4.30 | ) | | | (4.54 | ) |
Year Ended June 30, 2017 | | | 34.01 | | | | 0.19 | | | | 5.17 | | | | 5.36 | | | | (0.19 | ) | | | (1.00 | ) | | | (1.19 | ) |
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 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.91 | | | | 0.40 | | | | 5.46 | | | | 5.86 | | | | (0.59 | ) | | | (4.30 | ) | | | (4.89 | ) |
Year Ended June 30, 2017 | | | 35.53 | | | | 0.46 | | | | 5.40 | | | | 5.86 | | | | (0.48 | ) | | | (1.00 | ) | | | (1.48 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.34 | | | | 0.41 | | | | 5.38 | | | | 5.79 | | | | (0.63 | ) | | | (4.30 | ) | | | (4.93 | ) |
Year Ended June 30, 2017 | | | 35.03 | | | | 0.49 | | | | 5.33 | | | | 5.82 | | | | (0.51 | ) | | | (1.00 | ) | | | (1.51 | ) |
November 2, 2015 (f) through June 30, 2016 | | | 39.15 | | | | 0.41 | | | | (1.77 | ) | | | (1.36 | ) | | | (0.51 | ) | | | (2.25 | ) | | | (2.76 | ) |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 39.91 | | | | 14.52 | % | | $ | 98,929 | | | | 0.94 | % | | | 1.33 | % | | | 1.00 | % | | | 33 | % |
| | 39.06 | | | | 16.27 | | | | 49,774 | | | | 1.03 | | | | 0.76 | | | | 1.08 | | | | 95 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 39.74 | | | | 14.24 | | | | 4,956 | | | | 1.47 | | | | 0.92 | | | | 1.51 | | | | 33 | |
| | 38.59 | | | | 15.69 | | | | 10,306 | | | | 1.53 | | | | 0.25 | | | | 1.57 | | | | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 41.01 | | | | 14.67 | | | | 69,421 | | | | 0.71 | | | | 2.12 | | | | 0.75 | | | | 33 | |
| | 39.87 | | | | 16.58 | | | | 215,888 | | | | 0.76 | | | | 1.03 | | | | 0.77 | | | | 95 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 39.09 | | | | 14.40 | | | | 2,406 | | | | 1.21 | | | | 1.33 | | | | 1.26 | | | | 33 | |
| | 38.18 | | | | 15.98 | | | | 3,394 | | | | 1.27 | | | | 0.52 | | | | 1.41 | | | | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.88 | | | | 14.80 | | | | 4,987 | | | | 0.54 | | | | 1.90 | | | | 0.60 | | | | 33 | |
| | 39.91 | | | | 16.75 | | | | 4,681 | | | | 0.59 | | | | 1.20 | | | | 0.63 | | | | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.20 | | | | 14.83 | | | | 4,064,211 | | | | 0.44 | | | | 1.98 | | | | 0.49 | | | | 33 | |
| | 39.34 | | | | 16.91 | | | | 3,798,814 | | | | 0.49 | | | | 1.30 | | | | 0.49 | | | | 95 | |
| | 35.03 | | | | (3.39 | ) | | | 3,341,467 | | | | 0.49 | | | | 1.78 | | | | 0.50 | | | | 70 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 47 | |
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 | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 48.60 | | | $ | 0.12 | | | $ | 7.37 | | | $ | 7.49 | | | $ | (0.25 | ) |
Year Ended June 30, 2017 | | | 40.37 | | | | 0.22 | | | | 8.27 | | | | 8.49 | | | | (0.26 | ) |
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 | (f) | | | 7.64 | | | | 7.82 | | | | (0.13 | ) |
Year Ended June 30, 2013 | | | 25.00 | | | | 0.21 | | | | 4.34 | | | | 4.55 | | | | (0.19 | ) |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 47.72 | | | | (0.02 | ) | | | 7.24 | | | | 7.22 | | | | — | |
Year Ended June 30, 2017 | | | 39.63 | | | | — | (g) | | | 8.13 | | | | 8.13 | | | | (0.04 | ) |
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 | (f) | | | 7.52 | | | | 7.53 | | | | (0.01 | ) |
Year Ended June 30, 2013 | | | 24.64 | | | | 0.07 | | | | 4.27 | | | | 4.34 | | | | (0.05 | ) |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 49.34 | | | | 0.19 | | | | 7.49 | | | | 7.68 | | | | (0.36 | ) |
Year Ended June 30, 2017 | | | 40.99 | | | | 0.34 | | | | 8.40 | | | | 8.74 | | | | (0.39 | ) |
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 | (f) | | | 7.69 | | | | 7.95 | | | | (0.24 | ) |
Year Ended June 30, 2013 | | | 25.15 | | | | 0.28 | | | | 4.35 | | | | 4.63 | | | | (0.26 | ) |
| | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 47.66 | | | | 0.05 | | | | 7.23 | | | | 7.28 | | | | (0.11 | ) |
Year Ended June 30, 2017 | | | 39.66 | | | | 0.11 | | | | 8.12 | | | | 8.23 | | | | (0.23 | ) |
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 | (f) | | | 7.54 | | | | 7.63 | | | | (0.05 | ) |
Year Ended June 30, 2013 | | | 24.72 | | | | 0.13 | | | | 4.27 | | | | 4.40 | | | | (0.21 | ) |
| | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 48.76 | | | | 0.23 | | | | 7.41 | | | | 7.64 | | | | (0.46 | ) |
Year Ended June 30, 2017 | | | 40.51 | | | | 0.42 | | | | 8.29 | | | | 8.71 | | | | (0.46 | ) |
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 | (f) | | | 7.65 | | | | 7.98 | | | | (0.30 | ) |
Year Ended June 30, 2013 | | | 25.05 | | | | 0.33 | | | | 4.34 | | | | 4.67 | | | | (0.31 | ) |
| | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 48.74 | | | | 0.25 | | | | 7.41 | | | | 7.66 | | | | (0.49 | ) |
Year Ended June 30, 2017 | | | 40.50 | | | | 0.44 | | | | 8.29 | | | | 8.73 | | | | (0.49 | ) |
November 2, 2015 (i) through June 30, 2016 | | | 42.20 | | | | 0.36 | | | | (1.60 | ) | | | (1.24 | ) | | | (0.46 | ) |
| (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) | 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, $0.26, $0.09 and $0.32 for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been 0.51%, 0.01%, 0.76%, 0.26% and 0.96% for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively. |
| (g) | Amount rounds to less than 0.005. |
| (h) | Amount rounds to less than 0.005%. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 55.84 | | | | 15.42 | % | | $ | 111,011 | | | | 0.89 | % | | | 0.45 | % | | | 1.12 | % | | | 27 | % |
| | 48.60 | | | | 21.12 | | | | 90,633 | | | | 0.92 | | | | 0.50 | | | | 1.20 | | | | 68 | |
| | 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 | (f) | | | 1.17 | | | | 67 | |
| | 29.36 | | | | 18.27 | | | | 33,582 | | | | 1.24 | | | | 0.76 | | | | 1.30 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 54.94 | | | | 15.13 | | | | 37,142 | | | | 1.39 | | | | (0.07 | ) | | | 1.61 | | | | 27 | |
| | 47.72 | | | | 20.52 | | | | 42,811 | | | | 1.41 | | | | 0.00 | (h) | | | 1.67 | | | | 68 | |
| | 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 | (f) | | | 1.67 | | | | 67 | |
| | 28.93 | | | | 17.66 | | | | 15,462 | | | | 1.74 | | | | 0.26 | | | | 1.79 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 56.66 | | | | 15.55 | | | | 187,379 | | | | 0.64 | | | | 0.69 | | | | 0.86 | | | | 27 | |
| | 49.34 | | | | 21.43 | | | | 183,265 | | | | 0.68 | | | | 0.75 | | | | 0.89 | | | | 68 | |
| | 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 | (f) | | | 0.92 | | | | 67 | |
| | 29.52 | | | | 18.52 | | | | 538,378 | | | | 0.99 | | | | 1.02 | | | | 1.05 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 54.83 | | | | 15.28 | | | | 5,895 | | | | 1.14 | | | | 0.18 | | | | 1.38 | | | | 27 | |
| | 47.66 | | | | 20.82 | | | | 5,277 | | | | 1.17 | | | | 0.26 | | | | 1.68 | | | | 68 | |
| | 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 | (f) | | | 1.42 | | | | 67 | |
| | 28.91 | | | | 17.90 | | | | 603 | | | | 1.49 | | | | 0.49 | | | | 1.54 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 55.94 | | | | 15.67 | | | | 222,223 | | | | 0.46 | | | | 0.87 | | | | 0.71 | | | | 27 | |
| | 48.76 | | | | 21.65 | | | | 192,164 | | | | 0.48 | | | | 0.94 | | | | 0.72 | | | | 68 | |
| | 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 | (f) | | | 0.72 | | | | 67 | |
| | 29.41 | | | | 18.79 | | | | 105,839 | | | | 0.79 | | | | 1.21 | | | | 0.85 | | | | 67 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 55.91 | | | | 15.72 | | | | 577,788 | | | | 0.39 | | | | 0.94 | | | | 0.61 | | | | 27 | |
| | 48.74 | | | | 21.70 | | | | 504,973 | | | | 0.43 | | | | 0.99 | | | | 0.61 | | | | 68 | |
| | 40.50 | | | | (2.94 | ) | | | 488,138 | | | | 0.42 | | | | 1.38 | | | | 0.61 | | | | 70 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 49 | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 22.11 | | | $ | 0.11 | | | $ | 2.12 | | | $ | 2.23 | | | $ | (0.13 | ) | | $ | (1.66 | ) | | $ | (1.79 | ) |
Year Ended June 30, 2017 | | | 19.48 | | | | 0.08 | | | | 2.62 | | | | 2.70 | | | | (0.07 | ) | | | — | (f) | | | (0.07 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 18.90 | | | | 0.05 | | | | 1.81 | | | | 1.86 | | | | (0.01 | ) | | | (1.66 | ) | | | (1.67 | ) |
Year Ended June 30, 2017 | | | 16.72 | | | | (0.04 | ) | | | 2.24 | | | | 2.20 | | | | (0.02 | ) | | | — | (f) | | | (0.02 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 23.22 | | | | 0.15 | | | | 2.23 | | | | 2.38 | | | | (0.18 | ) | | | (1.66 | ) | | | (1.84 | ) |
Year Ended June 30, 2017 | | | 20.43 | | | | 0.14 | | | | 2.75 | | | | 2.89 | | | | (0.10 | ) | | | — | (f) | | | (0.10 | ) |
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 | ) |
| | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 22.08 | | | | 0.10 | | | | 2.14 | | | | 2.24 | | | | (0.17 | ) | | | (1.66 | ) | | | (1.83 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 19.97 | | | | 0.11 | | | | 2.09 | | | | 2.20 | | | | (0.09 | ) | | | — | (f) | | | (0.09 | ) |
| | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 23.20 | | | | 0.12 | | | | 2.26 | | | | 2.38 | | | | (0.22 | ) | | | (1.66 | ) | | | (1.88 | ) |
September 9, 2016 (i) through June 30, 2017 | | | 20.95 | | | | 0.12 | | | | 2.24 | | | | 2.36 | | | | (0.11 | ) | | | — | (f) | | | (0.11 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 23.25 | | | | 0.18 | | | | 2.23 | | | | 2.41 | | | | (0.24 | ) | | | (1.66 | ) | | | (1.90 | ) |
Year Ended June 30, 2017 | | | 20.42 | | | | 0.19 | | | | 2.76 | | | | 2.95 | | | | (0.12 | ) | | | — | (f) | | | (0.12 | ) |
November 2, 2015 (i) through June 30, 2016 | | | 22.41 | | | | 0.20 | | | | (0.29 | ) | | | (0.09 | ) | | | (0.18 | ) | | | (1.72 | ) | | | (1.90 | ) |
| (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) | Amount rounds to less than $0.005. |
| (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 Class I 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 Class I 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 Class I 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 Class I Shares, respectively. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 22.55 | | | | 10.16 | % | | $ | 336,336 | | | | 1.14 | % | | | 0.99 | % | | | 1.29 | % | | | 28 | % |
| | 22.11 | | | | 13.91 | | | | 304,927 | | | | 1.14 | | | | 0.40 | | | | 1.38 | | | | 70 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.09 | | | | 9.89 | | | | 70,067 | | | | 1.65 | | | | 0.50 | | | | 1.78 | | | | 28 | |
| | 18.90 | | | | 13.20 | | | | 81,761 | | | | 1.74 | | | | (0.21 | ) | | | 1.87 | | | | 70 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 23.76 | | | | 10.31 | | | | 308,327 | | | | 0.89 | | | | 1.25 | | | | 1.03 | | | | 28 | |
| | 23.22 | | | | 14.17 | | | | 310,316 | | | | 0.89 | | | | 0.65 | | | | 1.11 | | | | 70 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 22.49 | | | | 10.19 | | | | 13,434 | | | | 1.14 | | | | 0.89 | | | | 1.27 | | | | 28 | |
| | 22.08 | | | | 11.07 | | | | 8,854 | | | | 1.15 | | | | 0.64 | | | | 1.34 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 23.70 | | | | 10.29 | | | | 116 | | | | 0.89 | | | | 0.98 | | | | 2.31 | | | | 28 | |
| | 23.20 | | | | 11.30 | | | | 22 | | | | 0.90 | | | | 0.67 | | | | 1.11 | | | | 70 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 23.76 | | | | 10.43 | | | | 236,829 | | | | 0.64 | | | | 1.45 | | | | 0.77 | | | | 28 | |
| | 23.25 | | | | 14.52 | | | | 183,859 | | | | 0.65 | | | | 0.86 | | | | 0.77 | | | | 70 | |
| | 20.42 | | | | 0.12 | | | | 304,934 | | | | 0.65 | | | | 1.53 | | | | 0.78 | | | | 78 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 51 | |
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 Sustainable Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 39.35 | | | $ | 0.36 | | | $ | 3.75 | | | $ | 4.11 | | | $ | (0.48 | ) | | $ | (2.22 | ) | | $ | (2.70 | ) |
Year Ended June 30, 2017 | | | 33.20 | | | | 0.29 | | | | 6.20 | | | | 6.49 | | | | (0.34 | ) | | | — | | | | (0.34 | ) |
Year Ended June 30, 2016 | | | 34.01 | | | | 0.62 | (f) | | | (0.87 | )(f) | | | (0.25 | ) | | | (0.56 | ) | | | — | | | | (0.56 | ) |
Year Ended June 30, 2015 | | | 31.93 | | | | 0.28 | | | | 2.02 | | | | 2.30 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
Year Ended June 30, 2014 | | | 25.54 | | | | 0.20 | | | | 6.37 | | | | 6.57 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
Year Ended June 30, 2013 | | | 21.13 | | | | 0.21 | (g) | | | 4.44 | | | | 4.65 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 38.51 | | | | 0.27 | | | | 3.64 | | | | 3.91 | | | | (0.18 | ) | | | (2.22 | ) | | | (2.40 | ) |
Year Ended June 30, 2017 | | | 32.48 | | | | 0.11 | | | | 6.06 | | | | 6.17 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
Year Ended June 30, 2016 | | | 33.29 | | | | 0.44 | (f) | | | (0.85 | )(f) | | | (0.41 | ) | | | (0.40 | ) | | | — | | | | (0.40 | ) |
Year Ended June 30, 2015 | | | 31.38 | | | | 0.12 | | | | 1.98 | | | | 2.10 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
Year Ended June 30, 2014 | | | 25.14 | | | | 0.05 | | | | 6.26 | | | | 6.31 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
Year Ended June 30, 2013 | | | 20.81 | | | | 0.10 | (g) | | | 4.37 | | | | 4.47 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 39.59 | | | | 0.40 | | | | 3.78 | | | | 4.18 | | | | (0.57 | ) | | | (2.22 | ) | | | (2.79 | ) |
Year Ended June 30, 2017 | | | 33.40 | | | | 0.38 | | | | 6.25 | | | | 6.63 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
Year Ended June 30, 2016 | | | 34.22 | | | | 0.68 | (f) | | | (0.86 | )(f) | | | (0.18 | ) | | | (0.64 | ) | | | — | | | | (0.64 | ) |
Year Ended June 30, 2015 | | | 32.07 | | | | 0.37 | | | | 2.04 | | | | 2.41 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
Year Ended June 30, 2014 | | | 25.65 | | | | 0.28 | | | | 6.39 | | | | 6.67 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
Year Ended June 30, 2013 | | | 21.21 | | | | 0.28 | (g) | | | 4.45 | | | | 4.73 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| (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) | The 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 Class I 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 Class I 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 Class I Shares, respectively. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.17, $0.06 and $0.23 for Class A, Class C and Class I 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 Class I Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 40.76 | | | | 10.47 | % | | $ | 9,274 | | | | 0.97 | % | | | 1.73 | % | | | 2.06 | % | | | 23 | % |
| | 39.35 | | | | 19.64 | | | | 7,943 | | | | 1.08 | | | | 0.80 | | | | 2.29 | | | | 53 | |
| | 33.20 | | | | (0.72 | ) | | | 8,760 | | | | 1.15 | | | | 1.90 | (f) | | | 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 | (g) | | | 2.40 | | | | 82 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.02 | | | | 10.19 | | | | 3,861 | | | | 1.48 | | | | 1.31 | | | | 2.57 | | | | 23 | |
| | 38.51 | | | | 19.02 | | | | 5,063 | | | | 1.58 | | | | 0.30 | | | | 2.79 | | | | 53 | |
| | 32.48 | | | | (1.21 | ) | | | 6,131 | | | | 1.65 | | | | 1.38 | (f) | | | 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 | (g) | | | 2.91 | | | | 82 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 40.98 | | | | 10.59 | | | | 7,567 | | | | 0.72 | | | | 1.90 | | | | 1.79 | | | | 23 | |
| | 39.59 | | | | 19.95 | | | | 5,038 | | | | 0.83 | | | | 1.04 | | | | 2.03 | | | | 53 | |
| | 33.40 | | | | (0.48 | ) | | | 4,148 | | | | 0.90 | | | | 2.05 | (f) | | | 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 | (g) | | | 2.16 | | | | 82 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 53 | |
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 Value Fund | |
Class A | |
Six Months Ended December 31, 2017 (Unaudited) | | $ | 35.54 | | | $ | 0.40 | | | $ | 3.92 | | | $ | 4.32 | | | $ | (0.45 | ) | | $ | (5.09 | ) | | $ | (5.54 | ) |
Year Ended June 30, 2017 | | | 31.20 | | | | 0.47 | | | | 4.66 | | | | 5.13 | | | | (0.52 | ) | | | (0.27 | ) | | | (0.79 | ) |
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 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 35.14 | | | | 0.28 | | | | 3.89 | | | | 4.17 | | | | (0.34 | ) | | | (5.09 | ) | | | (5.43 | ) |
Year Ended June 30, 2017 | | | 30.87 | | | | 0.30 | | | | 4.60 | | | | 4.90 | | | | (0.36 | ) | | | (0.27 | ) | | | (0.63 | ) |
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 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 35.69 | | | | 0.44 | | | | 3.94 | | | | 4.38 | | | | (0.48 | ) | | | (5.09 | ) | | | (5.57 | ) |
Year Ended June 30, 2017 | | | 31.34 | | | | 0.53 | | | | 4.67 | | | | 5.20 | | | | (0.58 | ) | | | (0.27 | ) | | | (0.85 | ) |
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 | ) |
| | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 35.33 | | | | 0.33 | | | | 3.90 | | | | 4.23 | | | | (0.39 | ) | | | (5.09 | ) | | | (5.48 | ) |
Year Ended June 30, 2017 | | | 31.04 | | | | 0.38 | | | | 4.62 | | | | 5.00 | | | | (0.44 | ) | | | (0.27 | ) | | | (0.71 | ) |
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 | ) |
| | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 35.78 | | | | 0.46 | | | | 3.95 | | | | 4.41 | | | | (0.51 | ) | | | (5.09 | ) | | | (5.60 | ) |
Year Ended June 30, 2017 | | | 31.42 | | | | 0.59 | | | | 4.69 | | | | 5.28 | | | | (0.65 | ) | | | (0.27 | ) | | | (0.92 | ) |
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 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended December 31, 2017 (Unaudited) | | | 35.78 | | | | 0.45 | | | | 3.97 | | | | 4.42 | | | | (0.52 | ) | | | (5.09 | ) | | | (5.61 | ) |
Year Ended June 30, 2017 | | | 31.42 | | | | 0.61 | | | | 4.69 | | | | 5.30 | | | | (0.67 | ) | | | (0.27 | ) | | | (0.94 | ) |
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 | ) |
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 34.32 | | | | 12.37 | % | | $ | 98,571 | | | | 0.83 | % | | | 2.14 | % | | | 1.03 | % | | | 26 | % |
| | 35.54 | | | | 16.55 | | | | 95,891 | | | | 0.83 | | | | 1.41 | | | | 1.16 | | | | 81 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 33.88 | | | | 12.09 | | | | 26,105 | | | | 1.33 | | | | 1.55 | | | | 1.53 | | | | 26 | |
| | 35.14 | | | | 15.97 | | | | 35,999 | | | | 1.32 | | | | 0.89 | | | | 1.59 | | | | 81 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 34.50 | | | | 12.49 | | | | 708,592 | | | | 0.65 | | | | 2.39 | | | | 0.77 | | | | 26 | |
| | 35.69 | | | | 16.72 | | | | 886,602 | | | | 0.68 | | | | 1.56 | | | | 0.90 | | | | 81 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 34.08 | | | | 12.19 | | | | 20,941 | | | | 1.15 | | | | 1.77 | | | | 1.46 | | | | 26 | |
| | 35.33 | | | | 16.24 | | | | 19,693 | | | | 1.10 | | | | 1.12 | | | | 1.59 | | | | 81 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 34.59 | | | | 12.56 | | | | 89,421 | | | | 0.46 | | | | 2.46 | | | | 0.62 | | | | 26 | |
| | 35.78 | | | | 16.97 | | | | 86,134 | | | | 0.48 | | | | 1.73 | | | | 0.61 | | | | 81 | |
| | 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 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 34.59 | | | | 12.60 | | | | 126,197 | | | | 0.39 | | | | 2.41 | | | | 0.52 | | | | 26 | |
| | 35.78 | | | | 17.03 | | | | 108,525 | | | | 0.43 | | | | 1.79 | | | | 0.52 | | | | 81 | |
| | 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 55 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited)
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 5 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| | | | | | |
| | | Classes Offered | | Trust | | Diversified/Non-Diversified |
| Intrepid America Fund | | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | JPM I | | Diversified |
| Intrepid Growth Fund | | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | JPM I | | Diversified |
| Intrepid Mid Cap Fund | | Class A, Class C, Class I, Class R3, Class R4 and Class R6 | | JPM II | | Diversified |
| Intrepid Sustainable Equity Fund | | Class A, Class C and Class I | | JPM I | | Diversified |
| Intrepid Value Fund | | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | JPM I | | Diversified |
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.
The investment objective of both the Intrepid Sustainable Equity Fund and the Intrepid Value Fund is to seek to provide long-term capital appreciation.
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 I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. 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. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
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.
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.
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| 56 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
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 America Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 4,255,907 | | | $ | — | | | $ | — | | | $ | 4,255,907 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 576 | | | $ | — | | | $ | — | | | $ | 576 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Intrepid Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 1,139,749 | | | $ | — | | | $ | — | | | $ | 1,139,749 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 306 | | | $ | — | | | $ | — | | | $ | 306 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Intrepid Mid Cap Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (b) | | $ | 964,115 | | | $ | — | | | $ | 12 | | | $ | 964,127 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 50 | | | $ | — | | | $ | — | | | $ | 50 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Intrepid Sustainable Equity Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 20,680 | | | $ | — | | | $ | — | | | $ | 20,680 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
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| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 57 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | |
| | | | |
| JPMorgan Intrepid Value Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 1,069,953 | | | $ | — | | | $ | — | | | $ | 1,069,953 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts (a) | | $ | 107 | | | $ | — | | | $ | — | | | $ | 107 | |
| | | | | | | | | | | | | | | | |
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers among any levels during the six months ended December 31, 2017.
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 six months ended December 31, 2017 (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Intrepid
America
Fund | | | Intrepid
Growth
Fund | | | Intrepid
Mid Cap
Fund | | | Intrepid
Value
Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 99,261 | | | $ | 29,452 | | | $ | 14,671 | | | $ | 20,488 | |
Ending Notional Balance Long | | | 98,611 | | | | 24,218 | | | | 6,278 | | | | 22,880 | |
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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| 58 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended December 31, 2017 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | | | Total | |
Intrepid America Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 5 | | | $ | 1 | | | $ | 2 | | | $ | — | (a) | | | n/a | | | | n/a | | | $ | — | (a) | | $ | 14 | | | $ | 22 | |
Intrepid Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 5 | | | | 2 | | | | 3 | | | | 1 | | | | n/a | | | | n/a | | | | 1 | | | | 2 | | | | 14 | |
Intrepid Mid Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 31 | | | | 4 | | | | 5 | | | | n/a | | | $ | — | (a) | | $ | 1 | | | | n/a | | | | 1 | | | | 42 | |
Intrepid Sustainable Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 1 | | | | 1 | | | | 1 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 3 | |
Intrepid Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 5 | | | | 2 | | | | 6 | | | | 19 | | | | n/a | | | | n/a | | | | 1 | | | | 1 | | | | 34 | |
| (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 December 31, 2017, 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 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.
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 America Fund | | | 0.40 | % |
Intrepid Growth Fund | | | 0.50 | |
Intrepid Mid Cap Fund | | | 0.65 | |
Intrepid Sustainable Equity Fund | | | 0.50 | |
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 six months ended December 31, 2017, 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 59 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal 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, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class R2 | | | Class R3 | |
Intrepid America Fund | | | 0.25 | % | | | 0.75 | % | | | 0.50 | % | | | n/a | |
Intrepid Growth Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | n/a | |
Intrepid Mid Cap Fund | | | 0.25 | | | | 0.75 | | | | n/a | | | | 0.25 | % |
Intrepid Sustainable Equity Fund | | | 0.25 | | | | 0.75 | | | | n/a | | | | n/a | |
Intrepid Value Fund | | | 0.25 | | | | 0.75 | | | | 0.50 | | | | n/a | |
In addition, JPMDS 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 six months ended December 31, 2017, JPMDS retained the following (amounts in thousands):
| | | | | | | | |
| | | Front-End Sales Charge | | | CDSC | |
Intrepid America Fund | | $ | — | (a) | | $ | — | (a) |
Intrepid Growth Fund | | | 10 | | | | — | (a) |
Intrepid Mid Cap Fund | | | 5 | | | | — | |
Intrepid Sustainable Equity Fund | | | — | (a) | | | — | |
Intrepid Value Fund | | | 1 | | | | — | (a) |
| (a) | Amount rounds to less than 500. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service 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 I | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | |
Intrepid America Fund | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | n/a | | | | n/a | | | | 0.10 | % |
Intrepid Growth Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | | | | 0.10 | |
Intrepid Mid Cap Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | 0.25 | % | | | 0.25 | % | | | n/a | |
Intrepid Sustainable Equity Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Intrepid Value Fund | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | | | | 0.10 | |
JPMDS 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 JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived Service 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 JPMDS 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
| | | | | | |
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| 60 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
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 I | | | Class R2 | | | Class R3 | | | Class R4 | | | Class R5 | | | Class R6 | |
Intrepid America Fund (1) | | | 0.84 | % | | | 1.34 | % | | | 0.59 | % | | | 1.09 | % | | | n/a | | | | n/a | | | | 0.44 | % | | | 0.34 | % |
Intrepid Growth Fund (2) | | | 0.84 | | | | 1.34 | | | | 0.59 | | | | 1.09 | | | | n/a | | | | n/a | | | | 0.44 | | | | 0.34 | |
Intrepid Mid Cap Fund (3) | | | 1.14 | | | | 1.64 | | | | 0.89 | | | | n/a | | | | 1.14 | % | | | 0.89 | % | | | n/a | | | | 0.64 | |
Intrepid Sustainable Equity Fund (4) | | | 0.84 | | | | 1.34 | | | | 0.59 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Intrepid Value Fund (5) | | | 0.83 | | | | 1.33 | | | | 0.59 | | | | 1.09 | | | | n/a | | | | n/a | | | | 0.44 | | | | 0.34 | |
| (1) | Prior to November 1, 2017, the contractual expense limitations for Intrepid America Fund were 1.04%, 1.54%, 0.80%, 1.30%, 0.60% and 0.55% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (2) | Prior to November 1, 2017, the contractual expense limitations for Intrepid Growth Fund were 0.93%, 1.42%, 0.68%, 1.18%, 0.48% and 0.43% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
| (3) | Prior to November 1, 2017, the contractual expense limitations for Intrepid Mid Cap Fund were 1.15%, 1.79%, 0.90%, 1.15%, 0.90% and 0.65% for Class A, Class C, Class I, Class R3, Class R4 and Class R6 Shares, respectively. |
| (4) | Prior to November 1, 2017, the contractual expense limitations for Intrepid Sustainable Equity Fund were 1.05%, 1.55% and 0.80% for Class A, Class C and Class I Shares, respectively. |
| (5) | Prior to November 1, 2017, the contractual expense limitations for Intrepid Value Fund were 0.68%, 1.18%, 0.48% and 0.43% for Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2017 and are in place until at least October 31, 2019.
For the six months ended December 31, 2017, 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 Fees | | | Administration Fees | | | Service Fess | | | Total | | | Contractual
Reimbursements | |
Intrepid America Fund | | $ | 661 | | | $ | 440 | | | $ | 3 | | | $ | 1,104 | | | $ | 4 | |
Intrepid Growth Fund | | | 746 | | | | 417 | | | | 45 | | | | 1,208 | | | | — | |
Intrepid Mid Cap Fund | | | 349 | | | | 232 | | | | 38 | | | | 619 | | | | 2 | |
Intrepid Sustainable Equity Fund | | | 49 | | | | 8 | | | | 24 | | | | 81 | | | | 24 | |
Intrepid Value Fund | | | 408 | | | | 272 | | | | 85 | | | | 765 | | | | — | (a) |
| (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). The Adviser, Administrator and/or JPMDS, 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.
The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2017 were as follows (amounts in thousands):
| | | | |
Intrepid America Fund | | $ | 90 | |
Intrepid Growth Fund | | | 29 | |
Intrepid Mid Cap Fund | | | 17 | |
Intrepid Sustainable Equity Fund | | | — | (a) |
Intrepid Value Fund | | | 22 | |
| (a) | Amount rounds to less than 500. |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. 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.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 61 | |
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (Unaudited) (continued)
The Funds may use related party broker-dealers. For the six months ended December 31, 2017, 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 | | | — | (a) |
Intrepid Value 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 six months ended December 31, 2017, 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) | |
Intrepid America Fund | | $ | 1,361,356 | | | $ | 1,779,890 | |
Intrepid Growth Fund | | | 287,972 | | | | 319,736 | |
Intrepid Mid Cap Fund | | | 256,240 | | | | 269,617 | |
Intrepid Sustainable Equity Fund | | | 4,898 | | | | 4,333 | |
Intrepid Value Fund | | | 280,607 | | | | 554,138 | |
During the six months ended December 31, 2017, 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 investments held at December 31, 2017 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Intrepid America Fund | | $ | 3,182,863 | | | $ | 1,122,534 | | | $ | 48,914 | | | $ | 1,073,620 | |
Intrepid Growth Fund | | | 765,744 | | | | 382,686 | | | | 8,375 | | | | 374,311 | |
Intrepid Mid Cap Fund | | | 738,740 | | | | 248,700 | | | | 23,263 | | | | 225,437 | |
Intrepid Sustainable Equity Fund | | | 15,352 | | | | 5,647 | | | | 319 | | | | 5,328 | |
Intrepid Value Fund | | | 812,228 | | | | 276,112 | | | | 18,280 | | | | 257,832 | |
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, 2017, 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 | | | Total | |
Intrepid Growth Fund | | $ | 52,534 | | | $ | 52,534 | |
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).
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
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
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 5, 2018.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“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. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended December 31, 2017.
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 December 31, 2017, 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:
| | | | | | | | |
| | | JPMorgan
Investor Funds | | | JPMorgan
SmartRetirement Funds | |
Intrepid America Fund | | | 27.8 | % | | | 65.7 | % |
Intrepid Growth Fund | | | 43.9 | | | | — | |
Intrepid Mid Cap Fund | | | 18.3 | | | | — | |
As of December 31, 2017, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | | | | | | | | | |
| | | Number of Affiliated
Omnibus Accounts | | | % of the Fund | | | Number of Non-Affiliated
Omnibus Accounts | | | % of the Fund | |
Intrepid Mid Cap Fund | | | 1 | | | | 12.7 | % | | | — | | | | — | |
Intrepid Sustainable Equity Fund | | | 1 | | | | 16.0 | | | | 2 | | | | 24.4 | % |
Intrepid Value Fund | | | — | | | | — | | | | 1 | | | | 52.7 | |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of December 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 63 | |
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, July 1, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
Intrepid America Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,145.20 | | | $ | 5.08 | | | | 0.94 | % |
Hypothetical | | | 1,000.00 | | | | 1,020.47 | | | | 4.79 | | | | 0.94 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,142.40 | | | | 7.94 | | | | 1.47 | |
Hypothetical | | | 1,000.00 | | | | 1,017.80 | | | | 7.48 | | | | 1.47 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,146.70 | | | | 3.84 | | | | 0.71 | |
Hypothetical | | | 1,000.00 | | | | 1,021.63 | | | | 3.62 | | | | 0.71 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,144.00 | | | | 6.54 | | | | 1.21 | |
Hypothetical | | | 1,000.00 | | | | 1,019.11 | | | | 6.16 | | | | 1.21 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,148.00 | | | | 2.92 | | | | 0.54 | |
Hypothetical | | | 1,000.00 | | | | 1,022.48 | | | | 2.75 | | | | 0.54 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,148.30 | | | | 2.38 | | | | 0.44 | |
Hypothetical | | | 1,000.00 | | | | 1,022.99 | | | | 2.24 | | | | 0.44 | |
| | | | |
Intrepid Growth Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,154.20 | | | | 4.83 | | | | 0.89 | |
Hypothetical | | | 1,000.00 | | | | 1,020.72 | | | | 4.53 | | | | 0.89 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,151.30 | | | | 7.54 | | | | 1.39 | |
Hypothetical | | | 1,000.00 | | | | 1,018.20 | | | | 7.07 | | | | 1.39 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,155.50 | | | | 3.48 | | | | 0.64 | |
Hypothetical | | | 1,000.00 | | | | 1,021.98 | | | | 3.26 | | | | 0.64 | |
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
Intrepid Growth Fund (continued) | | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,152.80 | | | $ | 6.19 | | | | 1.14 | % |
Hypothetical | | | 1,000.00 | | | | 1,019.46 | | | | 5.80 | | | | 1.14 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,156.70 | | | | 2.50 | | | | 0.46 | |
Hypothetical | | | 1,000.00 | | | | 1,022.89 | | | | 2.35 | | | | 0.46 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,157.20 | | | | 2.12 | | | | 0.39 | |
Hypothetical | | | 1,000.00 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| | | | |
Intrepid Mid Cap Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,101.60 | | | | 6.04 | | | | 1.14 | |
Hypothetical | | | 1,000.00 | | | | 1,019.46 | | | | 5.80 | | | | 1.14 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,098.90 | | | | 8.73 | | | | 1.65 | |
Hypothetical | | | 1,000.00 | | | | 1,016.89 | | | | 8.39 | | | | 1.65 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,103.10 | | | | 4.72 | | | | 0.89 | |
Hypothetical | | | 1,000.00 | | | | 1,020.72 | | | | 4.53 | | | | 0.89 | |
Class R3 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,101.90 | | | | 6.04 | | | | 1.14 | |
Hypothetical | | | 1,000.00 | | | | 1,019.46 | | | | 5.80 | | | | 1.14 | |
Class R4 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,102.90 | | | | 4.72 | | | | 0.89 | |
Hypothetical | | | 1,000.00 | | | | 1,020.72 | | | | 4.53 | | | | 0.89 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,104.30 | | | | 3.39 | | | | 0.64 | |
Hypothetical | | | 1,000.00 | | | | 1,021.98 | | | | 3.26 | | | | 0.64 | |
| | | | |
Intrepid Sustainable Equity Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,104.70 | | | | 5.15 | | | | 0.97 | |
Hypothetical | | | 1,000.00 | | | | 1,020.32 | | | | 4.94 | | | | 0.97 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,101.90 | | | | 7.84 | | | | 1.48 | |
Hypothetical | | | 1,000.00 | | | | 1,017.74 | | | | 7.53 | | | | 1.48 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,105.90 | | | | 3.82 | | | | 0.72 | |
Hypothetical | | | 1,000.00 | | | | 1,021.58 | | | | 3.67 | | | | 0.72 | |
| | | | |
Intrepid Value Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,123.70 | | | | 4.44 | | | | 0.83 | |
Hypothetical | | | 1,000.00 | | | | 1,021.02 | | | | 4.23 | | | | 0.83 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,120.90 | | | | 7.11 | | | | 1.33 | |
Hypothetical | | | 1,000.00 | | | | 1,018.50 | | | | 6.77 | | | | 1.33 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,124.90 | | | | 3.48 | | | | 0.65 | |
Hypothetical | | | 1,000.00 | | | | 1,021.93 | | | | 3.31 | | | | 0.65 | |
Class R2 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,121.90 | | | | 6.15 | | | | 1.15 | |
Hypothetical | | | 1,000.00 | | | | 1,019.41 | | | | 5.85 | | | | 1.15 | |
Class R5 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,125.60 | | | | 2.46 | | | | 0.46 | |
Hypothetical | | | 1,000.00 | | | | 1,022.89 | | | | 2.35 | | | | 0.46 | |
| | | | | | | | |
| | | |
| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 65 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2017 | | | Ending
Account Value
December 31, 2017 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
Intrepid Value Fund (continued) | | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,126.00 | | | $ | 2.09 | | | | 0.39 | % |
Hypothetical | | | 1,000.00 | | | | 1,023.24 | | | | 1.99 | | | | 0.39 | |
| * | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2017, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 16, 2017.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set
forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreements was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
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| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 67 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of
scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Intrepid Mid Cap Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
The Trustees noted that, upon their direction, the Chief Compliance Officer for the, Intrepid America Fund, Intrepid Growth Fund, Intrepid Sustainable Equity Fund and Intrepid Value Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser
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| 68 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Intrepid America Fund’s performance for Class A shares was in the fourth, first and first quintiles based upon the Peer Group, and in the fourth, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the third, first, and second quintiles based upon the Peer Group, and in the fourth, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Intrepid Growth Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group, and in the second, first and second quintiles based upon the Universe, for the one-, three-
and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the second, first and first quintiles based upon the both the Peer Group, and the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Intrepid Mid Cap Fund’s performance for Class A shares was in the fourth, second, and first quintiles based upon the Peer Group, and in the fourth, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fifth, first, and second quintiles based upon the Peer Group, and in the fourth, third, and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Intrepid Sustainable Equity Fund’s performance for Class A shares was in the third, second and first quintiles based upon the Peer Group, and in the third, third and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2016, respectively, and in the third, second, and first quintiles based upon the Universe for the one-, three- and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser, and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Intrepid Value Fund’s performance for Class A shares was in the fourth, fourth and third quintiles based upon the Peer Group, and in the fifth, fourth, and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees noted that the performance for Class I shares was in the fourth, third and third quintiles based upon the Peer Group,
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| DECEMBER 31, 2017 | | J.P. MORGAN INTREPID FUNDS | | | | | 69 | |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
and in the fifth, third, and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Intrepid America Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Fund.
The Trustees noted that the Intrepid Growth Fund’s net advisory fee and actual total expenses for both Class A and Class I shares were in the first quintile based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Intrepid Mid Cap Fund’s net advisory fee and actual total expenses for the Class A shares were in the first and second quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Intrepid Sustainable Equity Fund’s net advisory fee for both Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for both Class A and Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s contractual Fee Caps were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Intrepid Value Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and the Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for the Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the Fund’s contractual Fee Caps for certain share classes were lowered effective November 1, 2017. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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| 70 | | | | J.P. MORGAN INTREPID FUNDS | | DECEMBER 31, 2017 |
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.
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.
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| | © JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | | SAN-INT-1217 |
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 13(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.
Not applicable to a semiannual 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.
(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)).
(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 to a semiannual report.
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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
Not applicable to a semiannual report.
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 to a semiannual report.
ITEM 6. 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.
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.
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 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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| | (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(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.
Not applicable.
(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.
(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.
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
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| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | March 6, 2018 |
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 |
| | March 6, 2018 |
| |
| By: | | /s/ Matthew J. Plastina |
| | Matthew J. Plastina |
| | Acting Treasurer and Principal Financial Officer |
| | March 6, 2018 |
