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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(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, 2019 through December 31, 2019
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1).
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Semi-Annual Report
J.P. Morgan Small Cap Funds
December 31, 2019 (Unaudited)
JPMorgan Small Cap Blend 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
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
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J.P. Morgan Small Cap Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Russell 2000 Index returned 7.3%.
| 2 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 8.11% | |||
| Russell 2000 Index | 7.30% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 438,912 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Blend Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, outperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the industrials and its underweight position in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and information technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nevro Corp. and Generac Holdings Inc. and its out-of-Benchmark position in Horizon Therapeutics PLC. Shares of Nevro, a medical devices maker, rose after the company reported better-than-expected results for the third quarter of 2019 and raised its 2019 revenue forecast. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period. Shares of Horizon Therapeutics, a pharmaceuticals company, rose after an advisory committee of the U.S. Food and Drug Administration recommended approval of the company’s drug for thyroid eye disease.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Farfetch Ltd. and Pluralsight Inc. and its underweight position in Medicines Co. Shares of Farfetch, a U.K. online luxury fashion retailer, fell after the company reported a wider-than-expected loss for the second quarter of 2019. Shares of Pluralsight, a provider of a cloud-based technology learning platform, fell after the company reported weak results for the second quarter of 2019. Shares of Medicines, a German pharmaceutical company not held in the Fund, rose ahead of its acquisition by Novartis AG.
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 companies that are attractively valued and stocks that have a history of growth. The Fund’s
portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate consistent earnings. The Fund is positioned to invest in small cap companies across both growth and value styles.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | ITT, Inc. | 1.2 | % | |||||
| 2. | Simpson Manufacturing Co., Inc. | 1.1 | ||||||
| 3. | Performance Food Group Co. | 1.0 | ||||||
| 4. | Generac Holdings, Inc. | 0.9 | ||||||
| 5. | Teladoc Health, Inc. | 0.9 | ||||||
| 6. | MSA Safety, Inc. | 0.9 | ||||||
| 7. | Littelfuse, Inc. | 0.8 | ||||||
| 8. | Amedisys, Inc. | 0.8 | ||||||
| 9. | Applied Industrial Technologies, Inc. | 0.8 | ||||||
| 10. | John Bean Technologies Corp. | 0.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Industrials | 19.2 | % | ||
| Information Technology | 15.3 | |||
| Financials | 14.0 | |||
| Health Care | 13.0 | |||
| Consumer Discretionary | 10.5 | |||
| Real Estate | 6.3 | |||
| Communication Services | 4.1 | |||
| Utilities | 3.3 | |||
| Consumer Staples | 2.5 | |||
| Materials | 1.8 | |||
| Energy | 1.3 | |||
| Short-Term Investments | 8.7 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 3 | ||||||
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JPMorgan Small Cap Blend Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | May 19, 1997 | |||||||||||||||||
With Sales Charge** | 2.41 | % | 23.32 | % | 12.11 | % | 14.06 | % | ||||||||||
Without Sales Charge | 8.11 | 30.15 | 13.33 | 14.67 | ||||||||||||||
CLASS C SHARES | January 7, 1998 | |||||||||||||||||
With CDSC*** | 6.88 | 28.60 | 12.77 | 14.08 | ||||||||||||||
Without CDSC | 7.88 | 29.60 | 12.77 | 14.08 | ||||||||||||||
CLASS I SHARES | April 5, 1999 | 8.30 | 30.51 | 13.62 | 15.00 | |||||||||||||
CLASS R6 SHARES | July 2, 2018 | 8.45 | 30.87 | 13.91 | 15.35 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to their inception dates 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 have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Blend Fund, the Russell 2000 Index and the LipperSmall-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 LipperSmall-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.
Effective June 1, 2018 (“the Effective Date”), the Fund’s investment strategies changed. 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.
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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class R5 Shares)* | 6.95% | |||
| Russell 2000 Index | 7.30% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 492,786 | ||
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 underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the pharmaceutical and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the software & services sector and the industrial cyclical sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc., Meritage Corp. and Core-Mark Holding Co. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Meritage, a developer of residential properties, fell amid weakness in the broader real estate sector during the second half of 2019. Shares of Core-Mark Holdings, a consumer goods distributor, fell amid investor concerns about the company’s tobacco products business.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tenet Healthcare Corp., Atkore International Group Inc. and Medicines Co. Shares of Tenet Healthcare, a hospitals and health care facilities operator, rose after the company reported better-than-expected results for both the second and third quarters of 2019. Shares of Atkore International Group, a manufacturer of electrical infrastructure products, rose after the company reported better-than-expected earnings for the third quarter of 2019 and raised its forecast for the 2020 first quarter and full year. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG.
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 the Fund’s relative performance versus the Benchmark. The Fund’s portfolio managers employ a bottom-up approach to stock selection,
using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong momentum. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Deckers Outdoor Corp. | 1.1 | % | |||||
| 2. | EMCOR Group, Inc. | 1.0 | ||||||
| 3. | Tenet Healthcare Corp. | 1.0 | ||||||
| 4. | Rent-A-Center, Inc. | 1.0 | ||||||
| 5. | Essent Group Ltd. | 1.0 | ||||||
| 6. | Atkore International Group, Inc. | 0.9 | ||||||
| 7. | Investors Bancorp, Inc. | 0.9 | ||||||
| 8. | PennyMac Financial Services, Inc. | 0.9 | ||||||
| 9. | First Horizon National Corp. | 0.9 | ||||||
| 10. | Vectrus, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 17.1 | % | ||
| Financials | 16.4 | |||
| Industrials | 16.1 | |||
| Information Technology | 12.5 | |||
| Consumer Discretionary | 8.6 | |||
| Real Estate | 6.4 | |||
| Materials | 3.6 | |||
| Utilities | 2.9 | |||
| Communication Services | 2.5 | |||
| Energy | 2.5 | |||
| Consumer Staples | 2.2 | |||
| Short-Term Investments | 9.2 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 5 | ||||||
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JPMorgan Small Cap Core Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | May 31, 2016 | |||||||||||||||||
With Sales Charge** | 1.12 | % | 17.50 | % | 6.10 | % | 11.84 | % | ||||||||||
Without Sales Charge | 6.73 | 24.00 | 7.25 | 12.45 | ||||||||||||||
CLASS C SHARES | May 31, 2016 | |||||||||||||||||
With CDSC*** | 5.44 | 22.36 | 6.87 | 12.25 | ||||||||||||||
Without CDSC | 6.44 | 23.36 | 6.87 | 12.25 | ||||||||||||||
CLASS I SHARES | January 3, 2017 | 6.85 | 24.31 | 7.47 | 12.56 | |||||||||||||
CLASS R2 SHARES | July 31, 2017 | 6.57 | 23.66 | 6.85 | 11.84 | |||||||||||||
CLASS R3 SHARES | July 31, 2017 | 6.71 | 23.94 | 7.11 | 12.12 | |||||||||||||
CLASS R4 SHARES | July 31, 2017 | 6.85 | 24.30 | 7.38 | 12.40 | |||||||||||||
CLASS R5 SHARES | January 1, 1997 | 6.95 | 24.54 | 7.60 | 12.63 | |||||||||||||
CLASS R6 SHARES | May 31, 2016 | 6.98 | 24.60 | 7.64 | 12.65 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares prior to their inception dates 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 these classes 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 $10,000 invested in Class R5 Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the LipperSmall-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 LipperSmall-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 no minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. 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 SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 7.06% | |||
| Russell 2000 Index | 7.30% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 7,273,029 | ||
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, 2019. The Fund’s security selection and underweight position in the health care sector and its security selection in the materials & processing sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the producer durables sector and its underweight position and security selection in the energy sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in ICU Medical Inc. and AptarGroup Inc. and its overweight position in Quaker Chemical Corp. Shares of ICU Medical, a medical devices manufacturer, fell after the company reported weaker-than-expected earnings for the second quarter of 2019. Shares of AptarGroup, a maker of consumer product dispensers, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Quaker Chemical, a specialty chemicals manufacturer, fell after the company reported weak August and September 2019 sales and lowered its forecast for the full year 2019.
Leading individual contributors to relative performance included the Fund’s overweight position in Performance Food Group Co. and its out-of-Benchmark positions in Toro Co. and Brunswick Corp. Shares of Performance Food Group, a food products distributor, rose after the company reported better-than-expected earnings and revenue for its fiscal first quarter. Shares of Toro, a manufacturer of lawn care and irrigation equipment, rose after the company reported better-than-expected earnings and issued a positive forecast for the full year 2019. Shares of Brunswick, a maker of recreational products, rose after the company increased its quarterly dividend by 14% and reported better-than-expected earnings for the third quarter of 2019.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals and proprietary analysis. The Fund’s portfolio managers looked for companies that, in their view, had leading competitive advantages, predictable and durable business models, and sustainable free cash flow generation with management teams committed to increasing intrinsic value.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Toro Co. (The) | 2.5 | % | |||||
| 2. | Performance Food Group Co. | 2.5 | ||||||
| 3. | Pool Corp. | 2.5 | ||||||
| 4. | AptarGroup, Inc. | 2.2 | ||||||
| 5. | Catalent, Inc. | 1.7 | ||||||
| 6. | Brunswick Corp. | 1.5 | ||||||
| 7. | EastGroup Properties, Inc. | 1.5 | ||||||
| 8. | MSA Safety, Inc. | 1.5 | ||||||
| 9. | West Pharmaceutical Services, Inc. | 1.5 | ||||||
| 10. | Encompass Health Corp. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Industrials | 21.3 | % | ||
| Financials | 16.9 | |||
| Information Technology | 10.5 | |||
| Health Care | 10.4 | |||
| Consumer Discretionary | 9.5 | |||
| Materials | 6.5 | |||
| Real Estate | 6.4 | |||
| Consumer Staples | 4.0 | |||
| Utilities | 2.6 | |||
| Energy | 1.9 | |||
| Communication Services | 1.5 | |||
| Mutual Funds | 0.4 | |||
| Short-Term Investments | 8.1 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | December 20, 1994 | |||||||||||||||||||
With Sales Charge** | 1.44 | % | 21.37 | % | 8.71 | % | 12.87 | % | ||||||||||||
Without Sales Charge | 7.06 | 28.10 | 9.88 | 13.49 | ||||||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||||||
With CDSC*** | 5.78 | 26.45 | 9.34 | 12.92 | ||||||||||||||||
Without CDSC | 6.78 | 27.45 | 9.34 | 12.92 | ||||||||||||||||
CLASS I SHARES | May 7, 1996 | 7.20 | 28.40 | 10.19 | 13.81 | |||||||||||||||
CLASS R2 SHARES | November 3, 2008 | 6.92 | 27.76 | 9.61 | 13.20 | |||||||||||||||
CLASS R3 SHARES | September 9, 2016 | 7.06 | 28.08 | 9.89 | 13.49 | |||||||||||||||
CLASS R4 SHARES | September 9, 2016 | 7.20 | 28.40 | 10.18 | 13.81 | |||||||||||||||
CLASS R5 SHARES | May 15, 2006 | 7.31 | 28.66 | 10.40 | 14.04 | |||||||||||||||
CLASS R6 SHARES | May 31, 2016 | 7.34 | 28.72 | 10.45 | 14.06 | |||||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of 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 at time of launch.
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 LipperSmall-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 LipperSmall-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. 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, 2019 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 8.29% | |||
| Russell 2000 Growth Index | 6.75% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 3,271,877 | ||
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, 2019. The Fund’s security selection in the producer durable and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and energy sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Nevro Corp. and Generac Holdings Inc. and its out-of-Benchmark position in Horizon Therapeutics PLC. Shares of Nevro, a medical devices maker, rose after the company reported better-than-expected results for the third quarter of 2019 and raised its 2019 revenue forecast. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period. Shares of Horizon Therapeutics, a pharmaceuticals company not held in the Benchmark, rose after an advisory committee of the U.S. Food and Drug Administration recommended approval of the company’s drug for thyroid eye disease.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Farfetch Ltd., Pluralsight Inc. and Zscaler Inc. Shares of Farfetch, a U.K. online luxury fashion retailer, fell after the company reported a wider-than-expected loss for the second quarter of 2019. Shares of Pluralsight, a provider of a cloud-based technology learning platform, fell after the company reported weak results for the second quarter of 2019. Shares of Zscaler, a provider of cloud-based internet security, fell amid investor concerns about slowing billings late in 2019.
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. | Performance Food Group Co. | 1.9 | % | |||||
| 2. | Generac Holdings, Inc. | 1.9 | ||||||
| 3. | Teladoc Health, Inc. | 1.7 | ||||||
| 4. | MSA Safety, Inc. | 1.7 | ||||||
| 5. | Amedisys, Inc. | 1.6 | ||||||
| 6. | John Bean Technologies Corp. | 1.5 | ||||||
| 7. | National Vision Holdings, Inc. | 1.5 | ||||||
| 8. | ManTech International Corp., Class A | 1.5 | ||||||
| 9. | Trex Co., Inc. | 1.4 | ||||||
| 10. | Simpson Manufacturing Co., Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 23.2 | % | ||
| Information Technology | 21.0 | |||
| Industrials | 20.2 | |||
| Consumer Discretionary | 14.4 | |||
| Consumer Staples | 3.7 | |||
| Financials | 3.6 | |||
| Real Estate | 2.6 | |||
| Communication Services | 2.6 | |||
| Materials | 0.3 | |||
| Short-Term Investments | 8.4 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | July 1, 1991 | |||||||||||||||||
With Sales Charge** | 2.61 | % | 29.93 | % | 12.98 | % | 14.68 | % | ||||||||||
Without Sales Charge | 8.29 | 37.10 | 14.20 | 15.30 | ||||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||||
With CDSC*** | 7.06 | 35.46 | 13.63 | 14.71 | ||||||||||||||
Without CDSC | 8.06 | 36.46 | 13.63 | 14.71 | ||||||||||||||
CLASS I SHARES | March 26, 1996 | 8.43 | 37.48 | 14.48 | 15.59 | |||||||||||||
CLASS L SHARES | February 19, 2005 | 8.52 | 37.66 | 14.66 | 15.76 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 8.15 | 36.76 | 13.92 | 15.02 | |||||||||||||
CLASS R3 SHARES | July 31, 2017 | 8.28 | 37.09 | 14.20 | 15.29 | |||||||||||||
CLASS R4 SHARES | July 31, 2017 | 8.47 | 37.54 | 14.48 | 15.59 | |||||||||||||
CLASS R5 SHARES | September 9, 2016 | 8.55 | 37.70 | 14.66 | 15.76 | |||||||||||||
CLASS R6 SHARES | November 30, 2010 | 8.60 | 37.86 | 14.77 | 15.86 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. Prior performance for Class R4 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R5 and Class R6 Shares prior to their inception dates 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 LipperSmall-Cap Growth Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 higherprice-to-book ratios and higher forecasted growth values. The LipperSmall-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. 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, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 7.14% | |||
| Russell 2000 Value Index | 7.87% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $1,330,886 | |||
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, 2019. The Fund’s security selection in the industrial and real estate investment trusts (REITs) sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the pharmaceutical and systems hardware sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight position in K12 Inc. and its out-of-Benchmark positions in Sinclair Broadcast Group Inc. and Geo Group Inc. Shares of K12, a provider of online educational products and services, fell after the company reported lower-than-expected earnings for its fiscal first quarter. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Geo Group, a prison and detention facilities REIT, fell amid U.S. Congressional scrutiny of private prison operators.
Leading individual contributors to relative performance included the Fund’s overweight positions in Medicines Co., Builders FirstSource Inc. and Synaptics Inc. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG. Shares of Builders FirstSource, a construction materials and components manufacturer, rose after the company reported better-than-expected earnings for the second and third quarters of 2019. Shares of Synaptics, a maker of human interface semiconductors for mobile and other electronic devices, rose on news reports that the company may have won a significant supplier contract from Apple Inc.
HOW WAS THE FUND POSITIONED?
In accordance 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 the Fund’s
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. | Washington Federal, Inc. | 1.2 | % | |||||
| 2. | United Bankshares, Inc. | 1.1 | ||||||
| 3. | Trustmark Corp. | 1.1 | ||||||
| 4. | TRI Pointe Group, Inc. | 1.1 | ||||||
| 5. | Rambus, Inc. | 1.0 | ||||||
| 6. | Westamerica Bancorp | 1.0 | ||||||
| 7. | Sanderson Farms, Inc. | 1.0 | ||||||
| 8. | Portland General Electric Co. | 1.0 | ||||||
| 9. | Delek US Holdings, Inc. | 1.0 | ||||||
| 10. | Sunstone Hotel Investors, Inc. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 26.8 | % | ||
| Industrials | 14.4 | |||
| Real Estate | 9.2 | |||
| Consumer Discretionary | 9.2 | |||
| Information Technology | 8.8 | |||
| Health Care | 6.1 | |||
| Utilities | 5.3 | |||
| Energy | 4.9 | |||
| Materials | 3.7 | |||
| Communication Services | 2.2 | |||
| Consumer Staples | 1.5 | |||
| Short-Term Investments | 7.9 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | January 27, 1995 | |||||||||||||||||
With Sales Charge** | 1.39 | % | 12.61 | % | 3.53 | % | 9.30 | % | ||||||||||
Without Sales Charge | 7.01 | 18.82 | 4.65 | 9.89 | ||||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||||
With CDSC*** | 5.77 | 17.20 | 4.07 | 9.25 | ||||||||||||||
Without CDSC | 6.77 | 18.20 | 4.07 | 9.25 | ||||||||||||||
CLASS I SHARES | January 27, 1995 | 7.14 | 19.08 | 4.90 | 10.17 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 6.89 | 18.53 | 4.37 | 9.61 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 7.03 | 18.84 | 4.64 | 9.88 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 7.14 | 19.09 | 4.88 | 10.15 | |||||||||||||
CLASS R5 SHARES | May 15, 2006 | 7.21 | 19.28 | 5.04 | 10.28 | |||||||||||||
CLASS R6 SHARES | February 22, 2005 | 7.29 | 19.42 | 5.16 | 10.37 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. Prior performance for 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 LipperSmall-Cap Value Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 lowerprice-to-book ratios and lower forecasted growth values. The LipperSmall-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. 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, 2019 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class L Shares)* | 9.25% | |||
| Russell 2000 Index | 7.30% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $1,334,155 | |||
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 outperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the systems hardware and semiconductors sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the real estate investment trusts and finance sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Forty Seven Inc., Cirrus Logic Co. and Generac Holdings Inc. Shares of Forty Seven, a drug development company, rose following positive data from clinical trials of its lead anti-cancer treatment. Shares of Cirrus Logic, a maker of analog and other integrated circuits, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period.
Leading individual detractors from relative performance included the Fund’s overweight positions in K12 Inc. and Allscripts Healthcare Solutions Inc. and its out-of-Benchmark position in Sinclair Broadcast Group Inc. Shares of K12, a provider of online educational products and services, fell after the company reported lower-than-expected earnings for its fiscal first quarter. Shares of Allscripts Healthcare Solutions, a provider of information technology to the health care sector, fell after the company reported lower-than-expected revenue for the second quarter of 2019. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019.
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 the Fund’s 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. | EMCOR Group, Inc. | 1.2 | % | |||||
| 2. | TRI Pointe Group, Inc. | 1.1 | ||||||
| 3. | Integer Holdings Corp. | 1.1 | ||||||
| 4. | Darling Ingredients, Inc. | 1.1 | ||||||
| 5. | ACI Worldwide, Inc. | 1.0 | ||||||
| 6. | KB Home | 1.0 | ||||||
| 7. | Allscripts Healthcare Solutions, Inc. | 1.0 | ||||||
| 8. | CommVault Systems, Inc. | 1.0 | ||||||
| 9. | Generac Holdings, Inc. | 1.0 | ||||||
| 10. | Trustmark Corp. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 18.3 | % | ||
| Industrials | 15.1 | |||
| Financials | 14.5 | |||
| Information Technology | 13.2 | |||
| Consumer Discretionary | 11.3 | |||
| Real Estate | 6.2 | |||
| Utilities | 3.0 | |||
| Materials | 3.0 | |||
| Energy | 2.7 | |||
| Communication Services | 2.3 | |||
| Consumer Staples | 1.9 | |||
| Short-Term Investments | 8.5 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OFDECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | November 1, 2007 | |||||||||||||||||
With Sales Charge** | 3.32 | % | 15.22 | % | 4.89 | % | 10.94 | % | ||||||||||
Without Sales Charge | 9.01 | 21.58 | 6.03 | 11.54 | ||||||||||||||
CLASS C SHARES | November 1, 2007 | |||||||||||||||||
With CDSC*** | 7.69 | 19.98 | 5.49 | 10.98 | ||||||||||||||
Without CDSC | 8.69 | 20.98 | 5.49 | 10.98 | ||||||||||||||
CLASS I SHARES | September 10, 2001 | 9.12 | 21.90 | 6.29 | 11.83 | |||||||||||||
CLASS L SHARES | November 4, 1993 | 9.25 | 22.15 | 6.47 | 12.02 | |||||||||||||
CLASS R2 SHARES | November 1, 2011 | 8.79 | 21.24 | 5.75 | 11.31 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 8.97 | 21.61 | 6.03 | 11.54 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 9.10 | 21.96 | 6.29 | 11.83 | |||||||||||||
CLASS R5 SHARES | September 9, 2016 | 9.23 | 22.08 | 6.46 | 12.01 | |||||||||||||
CLASS R6 SHARES | November 1, 2011 | 9.22 | 22.18 | 6.57 | 12.09 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 R2 and Class R3 shares prior to their inception dates 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 dates are based on the performance of the Class L Shares. The actual returns of Class R5 Shares would have been similar to those shown because Class R5 Shares have similar expenses to 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
LipperSmall-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperSmall-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 LipperSmall-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. 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, 2019 | ||||
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.0% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
Curtiss-Wright Corp. | 12 | 1,698 | ||||||
Hexcel Corp. | 25 | 1,851 | ||||||
National Presto Industries, Inc. (a) | 11 | 934 | ||||||
|
| |||||||
| 4,483 | ||||||||
|
| |||||||
Auto Components — 0.6% | ||||||||
Cooper-Standard Holdings, Inc. * | 11 | 381 | ||||||
Fox Factory Holding Corp. * (a) | 22 | 1,509 | ||||||
LCI Industries | 8 | 813 | ||||||
|
| |||||||
| 2,703 | ||||||||
|
| |||||||
Automobiles — 0.6% | ||||||||
Winnebago Industries, Inc. (a) | 50 | 2,666 | ||||||
|
| |||||||
Banks — 10.1% | ||||||||
1st Source Corp. | 22 | 1,137 | ||||||
BancFirst Corp. | 33 | 2,052 | ||||||
Camden National Corp. | 57 | 2,633 | ||||||
City Holding Co. | 25 | 2,065 | ||||||
Community Trust Bancorp, Inc. | 53 | 2,476 | ||||||
First Busey Corp. | 86 | 2,358 | ||||||
First Commonwealth Financial Corp. (a) | 139 | 2,019 | ||||||
First Financial Bancorp | 91 | 2,314 | ||||||
First Financial Bankshares, Inc. | 58 | 2,042 | ||||||
First Merchants Corp. | 53 | 2,214 | ||||||
Great Western Bancorp, Inc. (a) | 44 | 1,523 | ||||||
Heritage Commerce Corp. | 143 | 1,841 | ||||||
Heritage Financial Corp. | 50 | 1,428 | ||||||
Independent Bank Corp. | 70 | 1,580 | ||||||
Independent Bank Corp. (a) | 27 | 2,280 | ||||||
Lakeland Bancorp, Inc. | 127 | 2,201 | ||||||
NBT Bancorp, Inc. | 27 | 1,088 | ||||||
Park National Corp. | 11 | 1,099 | ||||||
S&T Bancorp, Inc. | 46 | 1,870 | ||||||
Sandy Spring Bancorp, Inc. (a) | 22 | 830 | ||||||
Signature Bank | 10 | 1,363 | ||||||
Simmons First National Corp., Class A | 45 | 1,206 | ||||||
Tompkins Financial Corp. (a) | 18 | 1,666 | ||||||
Trustmark Corp. (a) | 53 | 1,824 | ||||||
Webster Financial Corp. | 22 | 1,149 | ||||||
|
| |||||||
| 44,258 | ||||||||
|
| |||||||
Biotechnology — 6.0% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 36 | 1,520 | ||||||
Adverum Biotechnologies, Inc. * | 24 | 272 | ||||||
Amicus Therapeutics, Inc. * | 113 | 1,098 | ||||||
Atara Biotherapeutics, Inc. * (a) | 62 | 1,026 | ||||||
Avrobio, Inc. * | 57 | 1,142 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Biotechnology — continued | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 37 | 2,024 | ||||||
Bridgebio Pharma, Inc. * | 16 | 560 | ||||||
Coherus Biosciences, Inc. * | 84 | 1,518 | ||||||
FibroGen, Inc. * | 51 | 2,175 | ||||||
G1 Therapeutics, Inc. * (a) | 44 | 1,172 | ||||||
Global Blood Therapeutics, Inc. * | 12 | 922 | ||||||
Halozyme Therapeutics, Inc. * | 125 | 2,222 | ||||||
Heron Therapeutics, Inc. * (a) | 67 | 1,572 | ||||||
Homology Medicines, Inc. * (a) | 59 | 1,215 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 18 | 2,200 | ||||||
Natera, Inc. * (a) | 46 | 1,557 | ||||||
REGENXBIO, Inc. * (a) | 31 | 1,271 | ||||||
Rubius Therapeutics, Inc. * (a) | 30 | 288 | ||||||
Sage Therapeutics, Inc. * | 10 | 702 | ||||||
Twist Bioscience Corp. * (a) | 61 | 1,274 | ||||||
Viela Bio, Inc. * (a) | 26 | 704 | ||||||
|
| |||||||
| 26,434 | ||||||||
|
| |||||||
Building Products — 3.5% | ||||||||
Advanced Drainage Systems, Inc. | 83 | 3,243 | ||||||
CSW Industrials, Inc. | 26 | 2,018 | ||||||
Simpson Manufacturing Co., Inc. | 67 | 5,378 | ||||||
Trex Co., Inc. * | 37 | 3,333 | ||||||
Universal Forest Products, Inc. | 30 | 1,436 | ||||||
|
| |||||||
| 15,408 | ||||||||
|
| |||||||
Capital Markets — 1.0% | ||||||||
Evercore, Inc., Class A | 26 | 1,964 | ||||||
LPL Financial Holdings, Inc. | 26 | 2,426 | ||||||
|
| |||||||
| 4,390 | ||||||||
|
| |||||||
Chemicals — 1.8% | ||||||||
Ferro Corp. * | 48 | 710 | ||||||
Innophos Holdings, Inc. (a) | 60 | 1,922 | ||||||
Innospec, Inc. | 24 | 2,527 | ||||||
Sensient Technologies Corp. | 16 | 1,068 | ||||||
Stepan Co. | 16 | 1,608 | ||||||
|
| |||||||
| 7,835 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.0% | ||||||||
Brady Corp., Class A | 37 | 2,140 | ||||||
Brink’s Co. (The) | 28 | 2,527 | ||||||
Deluxe Corp. | 36 | 1,814 | ||||||
Kimball International, Inc., Class B | 63 | 1,299 | ||||||
MSA Safety, Inc. (a) | 32 | 4,063 | ||||||
UniFirst Corp. | 6 | 1,178 | ||||||
|
| |||||||
| 13,021 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Communications Equipment — 0.8% | ||||||||
Ciena Corp. * | 39 | 1,663 | ||||||
EchoStar Corp., Class A * | 47 | 2,041 | ||||||
|
| |||||||
| 3,704 | ||||||||
|
| |||||||
Construction & Engineering — 0.5% | ||||||||
Comfort Systems USA, Inc. | 42 | 2,117 | ||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
Silgan Holdings, Inc. | 22 | 681 | ||||||
|
| |||||||
Distributors — 0.6% | ||||||||
Pool Corp. | 12 | 2,646 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% | ||||||||
Bright Horizons Family Solutions, Inc. * | 14 | 2,176 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.4% | ||||||||
Cincinnati Bell, Inc. * (a) | 174 | 1,824 | ||||||
|
| |||||||
Electric Utilities — 0.3% | ||||||||
Portland General Electric Co. | 26 | 1,467 | ||||||
|
| |||||||
Electrical Equipment — 1.6% | ||||||||
EnerSys | 16 | 1,230 | ||||||
Generac Holdings, Inc. * | 44 | 4,405 | ||||||
nVent Electric plc | 60 | 1,541 | ||||||
|
| |||||||
| 7,176 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
ePlus, Inc. * | 19 | 1,570 | ||||||
Fabrinet (Thailand) * | 25 | 1,634 | ||||||
Littelfuse, Inc. (a) | 20 | 3,900 | ||||||
SYNNEX Corp. | 19 | 2,399 | ||||||
|
| |||||||
| 9,503 | ||||||||
|
| |||||||
Entertainment — 1.1% | ||||||||
Cinemark Holdings, Inc. | 39 | 1,336 | ||||||
Glu Mobile, Inc. * (a) | 137 | 829 | ||||||
Sciplay Corp., Class A * | 55 | 677 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 30 | 1,937 | ||||||
|
| |||||||
| 4,779 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.8% |
| |||||||
American Campus Communities, Inc. | 43 | 2,011 | ||||||
American Homes 4 Rent, Class A | 86 | 2,242 | ||||||
Brixmor Property Group, Inc. | 110 | 2,371 | ||||||
CubeSmart | 41 | 1,299 | ||||||
EastGroup Properties, Inc. | 14 | 1,861 | ||||||
Equity Commonwealth | 56 | 1,825 | ||||||
Highwoods Properties, Inc. | 39 | 1,884 | ||||||
JBG SMITH Properties | 48 | 1,928 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
National Health Investors, Inc. | 16 | 1,335 | ||||||
Rayonier, Inc. | 62 | 2,039 | ||||||
Rexford Industrial Realty, Inc. | 52 | 2,370 | ||||||
RLJ Lodging Trust | 110 | 1,941 | ||||||
Sunstone Hotel Investors, Inc. | 123 | 1,715 | ||||||
Terreno Realty Corp. | 60 | 3,257 | ||||||
Washington (a) | 56 | 1,626 | ||||||
|
| |||||||
| 29,704 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.3% | ||||||||
Grocery Outlet Holding Corp. * | 37 | 1,187 | ||||||
Performance Food Group Co. * | 89 | 4,602 | ||||||
|
| |||||||
| 5,789 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Flowers Foods, Inc. | 71 | 1,549 | ||||||
Freshpet, Inc. * | 53 | 3,123 | ||||||
|
| |||||||
| 4,672 | ||||||||
|
| |||||||
Gas Utilities — 1.6% | ||||||||
Chesapeake Utilities Corp. | 22 | 2,080 | ||||||
ONE Gas, Inc. | 30 | 2,809 | ||||||
Southwest Gas Holdings, Inc. | 28 | 2,103 | ||||||
|
| |||||||
| 6,992 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% | ||||||||
Insulet Corp. * | 14 | 2,321 | ||||||
iRhythm Technologies, Inc. * (a) | 33 | 2,258 | ||||||
Nevro Corp. * | 28 | 3,277 | ||||||
Shockwave Medical, Inc. * | 27 | 1,199 | ||||||
|
| |||||||
| 9,055 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% | ||||||||
Acadia Healthcare Co., Inc. * | 48 | 1,587 | ||||||
Amedisys, Inc. * | 22 | 3,739 | ||||||
Encompass Health Corp. | 29 | 2,014 | ||||||
Ensign Group, Inc. (The) | 31 | 1,413 | ||||||
Pennant Group, Inc. (The) * | 13 | 426 | ||||||
Providence Service Corp. (The) * (a) | 34 | 2,027 | ||||||
|
| |||||||
| 11,206 | ||||||||
|
| |||||||
Health Care Technology — 1.1% | ||||||||
Evolent Health, Inc., Class A * (a) | 100 | 905 | ||||||
Teladoc Health, Inc. * | 49 | 4,096 | ||||||
|
| |||||||
| 5,001 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.3% | ||||||||
Boyd Gaming Corp. | 108 | 3,244 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Hotels, Restaurants & Leisure — continued | ||||||||
Cheesecake Factory, Inc. (The) (a) | 35 | 1,376 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 8 | 1,283 | ||||||
Jack in the Box, Inc. | 9 | 684 | ||||||
Planet Fitness, Inc., Class A * | 29 | 2,185 | ||||||
Red Rock Resorts, Inc., Class A | 89 | 2,123 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 50 | 1,097 | ||||||
Texas Roadhouse, Inc. | 47 | 2,658 | ||||||
|
| |||||||
| 14,650 | ||||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
Helen of Troy Ltd. * | 9 | 1,652 | ||||||
TRI Pointe Group, Inc. * | 91 | 1,421 | ||||||
|
| |||||||
| 3,073 | ||||||||
|
| |||||||
Insurance — 2.2% | ||||||||
Argo Group International Holdings Ltd. | 7 | 487 | ||||||
eHealth, Inc. * (a) | 20 | 1,950 | ||||||
James River Group Holdings Ltd. | 17 | 706 | ||||||
Old Republic International Corp. | 78 | 1,742 | ||||||
Safety Insurance Group, Inc. | 16 | 1,446 | ||||||
Selective Insurance Group, Inc. | 27 | 1,786 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 127 | 1,341 | ||||||
|
| |||||||
| 9,458 | ||||||||
|
| |||||||
Interactive Media & Services — 0.3% | ||||||||
Cars.com, Inc. * | 99 | 1,205 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||
Farfetch Ltd., Class A (United Kingdom) * | 87 | 897 | ||||||
RealReal, Inc. (The) * (a) | 29 | 548 | ||||||
|
| |||||||
| 1,445 | ||||||||
|
| |||||||
IT Services — 2.8% |
| |||||||
CSG Systems International, Inc. | 35 | 1,812 | ||||||
ManTech International Corp., Class A (a) | 43 | 3,452 | ||||||
MAXIMUS, Inc. | 20 | 1,467 | ||||||
MongoDB, Inc. * (a) | 11 | 1,449 | ||||||
Science Applications International Corp. | 23 | 2,009 | ||||||
Wix.com Ltd. (Israel) * | 19 | 2,300 | ||||||
|
| |||||||
| 12,489 | ||||||||
|
| |||||||
Leisure Products — 0.3% | ||||||||
Callaway Golf Co. | 58 | 1,220 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% | ||||||||
10X Genomics, Inc., Class A * (a) | 9 | 693 | ||||||
Adaptive Biotechnologies Corp. * (a) | 13 | 375 | ||||||
Personalis, Inc. * (a) | 36 | 387 | ||||||
|
| |||||||
| 1,455 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Machinery — 6.6% | ||||||||
Alamo Group, Inc. | 19 | 2,443 | ||||||
Blue Bird Corp. * | 93 | 2,136 | ||||||
Chart Industries, Inc. * | 28 | 1,856 | ||||||
Crane Co. | 12 | 1,074 | ||||||
Graco, Inc. | 35 | 1,841 | ||||||
Hillenbrand, Inc. | 61 | 2,044 | ||||||
ITT, Inc. | 75 | 5,514 | ||||||
John Bean Technologies Corp. (a) | 33 | 3,679 | ||||||
Kadant, Inc. | 19 | 2,019 | ||||||
Lincoln Electric Holdings, Inc. (a) | 21 | 2,014 | ||||||
Mueller Industries, Inc. | 54 | 1,702 | ||||||
Oshkosh Corp. | 9 | 870 | ||||||
Watts Water Technologies, Inc., Class A | 18 | 1,844 | ||||||
|
| |||||||
| 29,036 | ||||||||
|
| |||||||
Marine — 0.3% | ||||||||
Kirby Corp. * | 15 | 1,382 | ||||||
|
| |||||||
Media — 2.6% | ||||||||
Cable One, Inc. | 1 | 927 | ||||||
Emerald Expositions Events, Inc. | 119 | 1,260 | ||||||
Hemisphere Media Group, Inc. * | 104 | 1,546 | ||||||
John Wiley & Sons, Inc., Class A | 16 | 797 | ||||||
Liberty Latin America Ltd., Class C (Chile) * (a) | 126 | 2,452 | ||||||
New York Times Co. (The), Class A (a) | 82 | 2,645 | ||||||
Nexstar Media Group, Inc., Class A | 15 | 1,704 | ||||||
|
| |||||||
| 11,331 | ||||||||
|
| |||||||
Multiline Retail — 0.2% | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. * (a) | 17 | 1,088 | ||||||
|
| |||||||
Multi-Utilities — 0.5% | ||||||||
Unitil Corp. | 34 | 2,086 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.3% | ||||||||
Callon Petroleum Co. * | 155 | 748 | ||||||
CNX Resources Corp. * (a) | 104 | 923 | ||||||
Delek US Holdings, Inc. | 39 | 1,293 | ||||||
Matador Resources Co. * (a) | 50 | 900 | ||||||
PDC Energy, Inc. * (a) | 33 | 860 | ||||||
SRC Energy, Inc. * | 219 | 903 | ||||||
|
| |||||||
| 5,627 | ||||||||
|
| |||||||
Personal Products — 0.3% | ||||||||
Inter Parfums, Inc. (a) | 21 | 1,521 | ||||||
|
| |||||||
Pharmaceuticals — 1.8% | ||||||||
Horizon Therapeutics plc * | 90 | 3,250 | ||||||
Optinose, Inc. * | 75 | 691 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued | ||||||||
Revance Therapeutics, Inc. * (a) | 101 | 1,641 | ||||||
TherapeuticsMD, Inc. * | 317 | 767 | ||||||
Tricida, Inc. * (a) | 43 | 1,636 | ||||||
|
| |||||||
| 7,985 | ||||||||
|
| |||||||
Professional Services — 0.7% | ||||||||
FTI Consulting, Inc. * | 7 | 827 | ||||||
Insperity, Inc. | 24 | 2,055 | ||||||
|
| |||||||
| 2,882 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
Marten Transport Ltd. | 63 | 1,357 | ||||||
Saia, Inc. * | 34 | 3,140 | ||||||
|
| |||||||
| 4,497 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
Cabot Microelectronics Corp. | 8 | 1,107 | ||||||
Entegris, Inc. | 58 | 2,906 | ||||||
Inphi Corp. * (a) | 39 | 2,863 | ||||||
MKS Instruments, Inc. | 29 | 3,140 | ||||||
Monolithic Power Systems, Inc. | 13 | 2,251 | ||||||
Semtech Corp. * | 51 | 2,696 | ||||||
|
| |||||||
| 14,963 | ||||||||
|
| |||||||
Software — 7.2% | ||||||||
Anaplan, Inc. * | 45 | 2,366 | ||||||
Bill.Com Holdings, Inc. * | 13 | 481 | ||||||
Coupa Software, Inc. * | 10 | 1,535 | ||||||
CyberArk Software Ltd. * | 19 | 2,220 | ||||||
Dynatrace, Inc. * (a) | 68 | 1,725 | ||||||
Elastic NV * | 27 | 1,741 | ||||||
Envestnet, Inc. * | 47 | 3,265 | ||||||
Globant SA (Argentina) * | 1 | 106 | ||||||
HubSpot, Inc. * | 10 | 1,509 | ||||||
LogMeIn, Inc. | 23 | 2,003 | ||||||
Medallia, Inc. * (a) | 35 | 1,088 | ||||||
Nuance Communications, Inc. * | 99 | 1,758 | ||||||
PagerDuty, Inc. * (a) | 23 | 540 | ||||||
Progress Software Corp. | 36 | 1,502 | ||||||
Proofpoint, Inc. * | 21 | 2,453 | ||||||
SailPoint Technologies Holding, Inc. * | 28 | 667 | ||||||
Smartsheet, Inc., Class A * | 43 | 1,953 | ||||||
Trade Desk, Inc. (The), Class A * | 3 | 847 | ||||||
Upland Software, Inc. * (a) | 39 | 1,393 | ||||||
Zendesk, Inc. * | 15 | 1,122 | ||||||
Zscaler, Inc. * (a) | 32 | 1,488 | ||||||
|
| |||||||
| 31,762 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Specialty Retail — 2.5% | ||||||||
Aaron’s, Inc. | 15 | 865 | ||||||
Hudson Ltd., Class A * | 137 | 2,094 | ||||||
Lithia Motors, Inc., Class A (a) | 19 | 2,843 | ||||||
National Vision Holdings, Inc. * | 113 | 3,678 | ||||||
Williams-Sonoma, Inc. | 19 | 1,367 | ||||||
|
| |||||||
| 10,847 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% | ||||||||
Carter’s, Inc. | 19 | 2,037 | ||||||
Columbia Sportswear Co. (a) | 13 | 1,321 | ||||||
Kontoor Brands, Inc. (a) | 29 | 1,221 | ||||||
Movado Group, Inc. | 39 | 857 | ||||||
Wolverine World Wide, Inc. | 47 | 1,580 | ||||||
|
| |||||||
| 7,016 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.8% | ||||||||
First Defiance Financial Corp. | 88 | 2,760 | ||||||
TrustCo Bank Corp. | 120 | 1,041 | ||||||
Washington Federal, Inc. | 44 | 1,621 | ||||||
WSFS Financial Corp. | 54 | 2,373 | ||||||
|
| |||||||
| 7,795 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.4% | ||||||||
Applied Industrial Technologies, Inc. | 56 | 3,726 | ||||||
H&E Equipment Services, Inc. (a) | 47 | 1,570 | ||||||
Rush Enterprises, Inc., Class A | 52 | 2,420 | ||||||
SiteOne Landscape Supply, Inc. * | 31 | 2,827 | ||||||
|
| |||||||
| 10,543 | ||||||||
|
| |||||||
Water Utilities — 1.2% | ||||||||
American States Water Co. | 31 | 2,693 | ||||||
Middlesex Water Co. | 40 | 2,571 | ||||||
|
| |||||||
| 5,264 | ||||||||
|
| |||||||
Total Common Stocks | 430,310 | |||||||
|
| |||||||
Master Limited Partnerships — 0.2% | ||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||
Energy Transfer LP * | 51 | 648 | ||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) | ||||||||
Biotechnology — 0.0%(b) | ||||||||
Clementia Pharmaceuticals, Inc. (Canada) * ‡ | 51 | — | (c) | |||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
INVESTMENTS | SHARES | VALUE | ||||||
Short-Term Investments — 9.4% | ||||||||
Investment Companies — 1.7% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e) | 7,196 | 7,198 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 7.7% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e) | 27,002 | 27,005 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e) | 6,922 | 6,922 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 33,927 | |||||||
|
| |||||||
Total Short-Term Investments |
| 41,125 | ||||||
|
| |||||||
Total Investments — 107.6% | 472,083 | |||||||
Liabilities in Excess of | (33,171 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 438,912 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $33,180,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Amount rounds to less than one thousand. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.7% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
Moog, Inc., Class A | 6 | 499 | ||||||
Vectrus, Inc. * | 87 | 4,460 | ||||||
|
| |||||||
| 4,959 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
Echo Global Logistics, Inc. * | 27 | 549 | ||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
SkyWest, Inc. | 44 | 2,829 | ||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Dana, Inc. | 29 | 528 | ||||||
Modine Manufacturing Co. * | 10 | 74 | ||||||
|
| |||||||
| 602 | ||||||||
|
| |||||||
Banks — 9.2% |
| |||||||
Ameris Bancorp | 19 | 819 | ||||||
Bancorp, Inc. (The) * | 84 | 1,089 | ||||||
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 48 | 1,784 | ||||||
Cathay General Bancorp | 14 | 535 | ||||||
Central Valley Community Bancorp | 5 | 118 | ||||||
Community Trust Bancorp, Inc. | 2 | 111 | ||||||
ConnectOne Bancorp, Inc. (a) | 42 | 1,083 | ||||||
Customers Bancorp, Inc. * | 75 | 1,778 | ||||||
Enterprise Financial Services Corp. | 3 | 134 | ||||||
Financial Institutions, Inc. | 32 | 1,022 | ||||||
First BanCorp (Puerto Rico) | 344 | 3,641 | ||||||
First Bank | 8 | 89 | ||||||
First Business Financial Services, Inc. | 8 | 214 | ||||||
First Choice Bancorp | 2 | 59 | ||||||
First Community Bankshares, Inc. | 6 | 182 | ||||||
First Hawaiian, Inc. | 15 | 428 | ||||||
First Horizon National Corp. | 272 | 4,504 | ||||||
Hancock Whitney Corp. | 67 | 2,931 | ||||||
Hanmi Financial Corp. | 59 | 1,176 | ||||||
Hilltop Holdings, Inc. | 6 | 152 | ||||||
IBERIABANK Corp. | 36 | 2,718 | ||||||
Investors Bancorp, Inc. | 399 | 4,751 | ||||||
Northeast Bank | 7 | 155 | ||||||
PacWest Bancorp | 43 | 1,630 | ||||||
Popular, Inc. (Puerto Rico) | 20 | 1,159 | ||||||
Shore Bancshares, Inc. | 11 | 188 | ||||||
Sierra Bancorp (a) | 5 | 150 | ||||||
Signature Bank | 24 | 3,217 | ||||||
Sterling Bancorp | 45 | 940 | ||||||
TCF Financial Corp. | 61 | 2,846 | ||||||
Umpqua Holdings Corp. | 138 | 2,439 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
United Community Banks, Inc. | 31 | 959 | ||||||
Wintrust Financial Corp. | 33 | 2,352 | ||||||
|
| |||||||
| 45,353 | ||||||||
|
| |||||||
Biotechnology — 7.4% |
| |||||||
Acorda Therapeutics, Inc. * | 17 | 34 | ||||||
Aduro Biotech, Inc. * | 321 | 379 | ||||||
Akebia Therapeutics, Inc. * | 60 | 376 | ||||||
Alector, Inc. * (a) | 85 | 1,471 | ||||||
AMAG Pharmaceuticals, Inc. * (a) | 12 | 146 | ||||||
Amicus Therapeutics, Inc. * | 100 | 976 | ||||||
AnaptysBio, Inc. * | 85 | 1,386 | ||||||
Arrowhead Pharmaceuticals, Inc. * (a) | 41 | 2,569 | ||||||
Assembly Biosciences, Inc. * | 46 | 933 | ||||||
Atara Biotherapeutics, Inc. * | 9 | 149 | ||||||
Bluebird Bio, Inc. * (a) | 7 | 590 | ||||||
Blueprint Medicines Corp. * (a) | 21 | 1,714 | ||||||
Bridgebio Pharma, Inc. * | 25 | 879 | ||||||
Catalyst Pharmaceuticals, Inc. * | 210 | 788 | ||||||
Coherus Biosciences, Inc. * | 65 | 1,164 | ||||||
Concert Pharmaceuticals, Inc. * | 33 | 305 | ||||||
Dicerna Pharmaceuticals, Inc. * | 100 | 2,193 | ||||||
Esperion Therapeutics, Inc. * (a) | 15 | 896 | ||||||
FibroGen, Inc. * (a) | 21 | 915 | ||||||
Gritstone Oncology, Inc. * | 14 | 130 | ||||||
Heron Therapeutics, Inc. * (a) | 78 | 1,824 | ||||||
Homology Medicines, Inc. * | 39 | 802 | ||||||
Immunomedics, Inc. * | 83 | 1,749 | ||||||
Insmed, Inc. * (a) | 46 | 1,087 | ||||||
Jounce Therapeutics, Inc. * | 41 | 356 | ||||||
Kura Oncology, Inc. * | 6 | 80 | ||||||
Medicines Co. (The) * | 14 | 1,191 | ||||||
MeiraGTx Holdings plc * | 35 | 694 | ||||||
Myriad Genetics, Inc. * | 130 | 3,540 | ||||||
Principia Biopharma, Inc. * (a) | 2 | 82 | ||||||
Radius Health, Inc. * | 5 | 104 | ||||||
Rhythm Pharmaceuticals, Inc. * (a) | 26 | 585 | ||||||
Sage Therapeutics, Inc. * | 21 | 1,541 | ||||||
Sarepta Therapeutics, Inc. * (a) | 10 | 1,245 | ||||||
Sutro Biopharma, Inc. * | 12 | 131 | ||||||
Syros Pharmaceuticals, Inc. * (a) | 228 | 1,578 | ||||||
TCR2 Therapeutics, Inc. * | 24 | 348 | ||||||
Viela Bio, Inc. * (a) | 31 | 836 | ||||||
Xencor, Inc. * (a) | 19 | 665 | ||||||
Y-mAbs Therapeutics, Inc. * | 4 | 116 | ||||||
|
| |||||||
| 36,547 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Building Products — 1.6% |
| |||||||
Advanced Drainage Systems, Inc. | 22 | 839 | ||||||
Builders FirstSource, Inc. * | 130 | 3,306 | ||||||
CSW Industrials, Inc. | 10 | 755 | ||||||
JELD-WEN Holding, Inc. * | 15 | 344 | ||||||
Quanex Building Products Corp. | 19 | 324 | ||||||
Universal Forest Products, Inc. | 49 | 2,353 | ||||||
|
| |||||||
| 7,921 | ||||||||
|
| |||||||
Capital Markets — 1.7% |
| |||||||
BGC Partners, Inc., Class A | 34 | 204 | ||||||
Blucora, Inc. * (a) | 96 | 2,501 | ||||||
Brightsphere Investment Group, Inc. | 13 | 135 | ||||||
Federated Investors, Inc., Class B | 87 | 2,830 | ||||||
Focus Financial Partners, Inc., Class A * | 55 | 1,606 | ||||||
Houlihan Lokey, Inc. | 14 | 692 | ||||||
Moelis & Co., Class A | 11 | 348 | ||||||
|
| |||||||
| 8,316 | ||||||||
|
| |||||||
Chemicals — 1.7% |
| |||||||
AdvanSix, Inc. * | 6 | 122 | ||||||
FutureFuel Corp. | 32 | 393 | ||||||
Koppers Holdings, Inc. * | 42 | 1,586 | ||||||
Kraton Corp. * | 39 | 979 | ||||||
PolyOne Corp. | 25 | 912 | ||||||
Stepan Co. | 22 | 2,259 | ||||||
Trinseo SA | 41 | 1,535 | ||||||
Tronox Holdings plc, Class A | 40 | 452 | ||||||
Valhi, Inc. | 16 | 29 | ||||||
|
| |||||||
| 8,267 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.0% |
| |||||||
ABM Industries, Inc. | 51 | 1,911 | ||||||
ACCO Brands Corp. | 272 | 2,542 | ||||||
Herman Miller, Inc. | 5 | 196 | ||||||
HNI Corp. | 52 | 1,956 | ||||||
Kimball International, Inc., Class B | 45 | 920 | ||||||
Knoll, Inc. | 104 | 2,631 | ||||||
Quad/Graphics, Inc. (a) | 52 | 241 | ||||||
RR Donnelley & Sons Co. | 102 | 401 | ||||||
Steelcase, Inc., Class A (a) | 102 | 2,095 | ||||||
UniFirst Corp. | 10 | 1,959 | ||||||
|
| |||||||
| 14,852 | ||||||||
|
| |||||||
Communications Equipment — 0.8% |
| |||||||
Cambium Networks Corp. * | 117 | 1,019 | ||||||
Ciena Corp. * | 11 | 449 | ||||||
Comtech Telecommunications Corp. | 24 | 841 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Communications Equipment — continued |
| |||||||
Extreme Networks, Inc. * | 79 | 582 | ||||||
Lumentum Holdings, Inc. * | 14 | 1,142 | ||||||
|
| |||||||
| 4,033 | ||||||||
|
| |||||||
Construction & Engineering — 2.5% |
| |||||||
Comfort Systems USA, Inc. | 24 | 1,183 | ||||||
EMCOR Group, Inc. | 61 | 5,274 | ||||||
Great Lakes Dredge & Dock Corp. * | 135 | 1,534 | ||||||
MasTec, Inc. * (a) | 62 | 3,967 | ||||||
Sterling Construction Co., Inc. * | 12 | 173 | ||||||
|
| |||||||
| 12,131 | ||||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
Enova International, Inc. * (a) | 21 | 493 | ||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
Berry Global Group, Inc. * | 5 | 259 | ||||||
Myers Industries, Inc. | 21 | 353 | ||||||
|
| |||||||
| 612 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.8% |
| |||||||
American Public Education, Inc. * | 14 | 378 | ||||||
K12, Inc. * | 84 | 1,719 | ||||||
Strategic Education, Inc. | 6 | 969 | ||||||
WW International, Inc. * | 19 | 719 | ||||||
|
| |||||||
| 3,785 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
IDT Corp., Class B * | 39 | 278 | ||||||
Ooma, Inc. * | 54 | 708 | ||||||
|
| |||||||
| 986 | ||||||||
|
| |||||||
Electric Utilities — 1.3% |
| |||||||
IDACORP, Inc. | 10 | 1,052 | ||||||
PNM Resources, Inc. | 20 | 1,002 | ||||||
Portland General Electric Co. | 51 | 2,829 | ||||||
Spark Energy, Inc., Class A (a) | 150 | 1,386 | ||||||
|
| |||||||
| 6,269 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
Atkore International Group, Inc. * | 122 | 4,933 | ||||||
Encore Wire Corp. | 14 | 802 | ||||||
Generac Holdings, Inc. * | 12 | 1,245 | ||||||
|
| |||||||
| 6,980 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.4% |
| |||||||
Benchmark Electronics, Inc. | 108 | 3,702 | ||||||
Fabrinet (Thailand) * | 21 | 1,357 | ||||||
Kimball Electronics, Inc. * | 11 | 194 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
Methode Electronics, Inc. | 82 | 3,237 | ||||||
Sanmina Corp. * | 109 | 3,724 | ||||||
Tech Data Corp. * | 8 | 1,112 | ||||||
Vishay Intertechnology, Inc. | 143 | 3,035 | ||||||
Vishay Precision Group, Inc. * (a) | 17 | 563 | ||||||
|
| |||||||
| 16,924 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.7% |
| |||||||
FTS International, Inc. * | 26 | 26 | ||||||
Matrix Service Co. * | 45 | 1,027 | ||||||
Nine Energy Service, Inc. * (a) | 35 | 276 | ||||||
Select Energy Services, Inc., Class A * | 202 | 1,872 | ||||||
|
| |||||||
| 3,201 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.7% |
| |||||||
American Assets Trust, Inc. | 9 | 404 | ||||||
Americold Realty Trust | 68 | 2,367 | ||||||
Armada Hoffler Properties, Inc. | 140 | 2,562 | ||||||
Ashford Hospitality Trust, Inc. | 18 | 49 | ||||||
Braemar Hotels & Resorts, Inc. | 14 | 125 | ||||||
CatchMark Timber Trust, Inc., Class A | 32 | 364 | ||||||
Chatham Lodging Trust (a) | 16 | 294 | ||||||
City Office REIT, Inc. | 88 | 1,190 | ||||||
CoreCivic, Inc. | 14 | 237 | ||||||
CorEnergy Infrastructure Trust, Inc. | 8 | 376 | ||||||
CoreSite Realty Corp. | 4 | 403 | ||||||
Cousins Properties, Inc. | 43 | 1,762 | ||||||
DiamondRock Hospitality Co. | 61 | 678 | ||||||
EastGroup Properties, Inc. | 9 | 1,128 | ||||||
First Industrial Realty Trust, Inc. | 76 | 3,151 | ||||||
Front Yard Residential Corp. | 11 | 141 | ||||||
GEO Group, Inc. (The) | 29 | 485 | ||||||
Getty Realty Corp. | 21 | 687 | ||||||
Gladstone Commercial Corp. | 58 | 1,270 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 29 | 918 | ||||||
Healthcare Realty Trust, Inc. | 61 | 2,019 | ||||||
Highwoods Properties, Inc. | 5 | 237 | ||||||
Hudson Pacific Properties, Inc. | 18 | 695 | ||||||
Investors Real Estate Trust | 2 | 174 | ||||||
Jernigan Capital, Inc. (a) | 4 | 78 | ||||||
Lexington Realty Trust | 29 | 312 | ||||||
LTC Properties, Inc. | 9 | 412 | ||||||
New Senior Investment Group, Inc. | 160 | 1,223 | ||||||
Physicians Realty Trust (a) | 170 | 3,224 | ||||||
Rexford Industrial Realty, Inc. | 6 | 268 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Saul Centers, Inc. | 6 | 333 | ||||||
Senior Housing Properties Trust | 50 | 420 | ||||||
Sun Communities, Inc. | 5 | 721 | ||||||
Sunstone Hotel Investors, Inc. | 134 | 1,866 | ||||||
Terreno Realty Corp. | 6 | 319 | ||||||
Urban Edge Properties | 24 | 462 | ||||||
Xenia Hotels & Resorts, Inc. | 75 | 1,610 | ||||||
|
| |||||||
| 32,964 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
Grocery Outlet Holding Corp. * (a) | 21 | 666 | ||||||
Performance Food Group Co. * | 59 | 3,027 | ||||||
SpartanNash Co. | 14 | 203 | ||||||
US Foods Holding Corp. * | 16 | 667 | ||||||
|
| |||||||
| 4,563 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Sanderson Farms, Inc. | 22 | 3,868 | ||||||
Simply Good Foods Co. (The) * | 36 | 1,019 | ||||||
TreeHouse Foods, Inc. * | 4 | 216 | ||||||
|
| |||||||
| 5,103 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
New Jersey Resources Corp. | 20 | 908 | ||||||
ONE Gas, Inc. | 8 | 756 | ||||||
Southwest Gas Holdings, Inc. | 22 | 1,682 | ||||||
|
| |||||||
| 3,346 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
CONMED Corp. | 6 | 657 | ||||||
Globus Medical, Inc., Class A * | 36 | 2,095 | ||||||
Haemonetics Corp. * | 29 | 3,344 | ||||||
Integer Holdings Corp. * | 47 | 3,756 | ||||||
Masimo Corp. * | 6 | 893 | ||||||
NuVasive, Inc. * | 25 | 1,933 | ||||||
OraSure Technologies, Inc. * (a) | 77 | 621 | ||||||
|
| |||||||
| 13,299 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.2% |
| |||||||
Amedisys, Inc. * (a) | 6 | 981 | ||||||
American Renal Associates Holdings, Inc. * (a) | 23 | 243 | ||||||
Cross Country Healthcare, Inc. * | 151 | 1,760 | ||||||
Encompass Health Corp. | 14 | 956 | ||||||
Ensign Group, Inc. (The) (a) | 92 | 4,166 | ||||||
Magellan Health, Inc. * | 35 | 2,715 | ||||||
Molina Healthcare, Inc. * | 22 | 2,924 | ||||||
Owens & Minor, Inc. | 456 | 2,355 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Health Care Providers & Services — continued |
| |||||||
Pennant Group, Inc. (The) * | 46 | 1,517 | ||||||
Select Medical Holdings Corp. * | 72 | 1,683 | ||||||
Tenet Healthcare Corp. * (a) | 136 | 5,162 | ||||||
Tivity Health, Inc. * | 52 | 1,050 | ||||||
|
| |||||||
| 25,512 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Livongo Health, Inc. * (a) | 18 | 456 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
Bloomin’ Brands, Inc. | 24 | 537 | ||||||
Boyd Gaming Corp. | 15 | 449 | ||||||
Everi Holdings, Inc. * | 153 | 2,055 | ||||||
Marriott Vacations Worldwide Corp. | 9 | 1,209 | ||||||
Penn National Gaming, Inc. * | 33 | 835 | ||||||
Red Robin Gourmet Burgers, Inc. * (a) | 3 | 93 | ||||||
|
| |||||||
| 5,178 | ||||||||
|
| |||||||
Household Durables — 2.9% |
| |||||||
Bassett Furniture Industries, Inc. | 9 | 153 | ||||||
Hamilton Beach Brands Holding Co., Class A | 6 | 114 | ||||||
Helen of Troy Ltd. * | 22 | 3,989 | ||||||
KB Home | 49 | 1,696 | ||||||
Lifetime Brands, Inc. | 22 | 151 | ||||||
Meritage Homes Corp. * (a) | 69 | 4,204 | ||||||
Taylor Morrison Home Corp. * | 183 | 3,993 | ||||||
|
| |||||||
| 14,300 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
Central Garden & Pet Co., Class A * (a) | 68 | 2,007 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.9% |
| |||||||
Atlantic Power Corp. * | 81 | 189 | ||||||
Clearway Energy, Inc. | 39 | 738 | ||||||
TerraForm Power, Inc., Class A | 206 | 3,174 | ||||||
Vistra Energy Corp. | 17 | 388 | ||||||
|
| |||||||
| 4,489 | ||||||||
|
| |||||||
Insurance — 0.3% |
| |||||||
FedNat Holding Co. | 16 | 264 | ||||||
National General Holdings Corp. | 15 | 335 | ||||||
ProSight Global, Inc. * | 16 | 256 | ||||||
Selective Insurance Group, Inc. | 7 | 429 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 17 | 174 | ||||||
|
| |||||||
| 1,458 | ||||||||
|
| |||||||
Interactive Media & Services — 0.2% |
| |||||||
Yelp, Inc. * | 31 | 1,087 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Internet & Direct Marketing Retail — 0.4% |
| |||||||
Groupon, Inc. * | 141 | 337 | ||||||
Stamps.com, Inc. * | 19 | 1,579 | ||||||
|
| |||||||
| 1,916 | ||||||||
|
| |||||||
IT Services — 3.0% |
| |||||||
Brightcove, Inc. * | 42 | 363 | ||||||
KBR, Inc. | 114 | 3,481 | ||||||
Limelight Networks, Inc. * | 126 | 513 | ||||||
ManTech International Corp., Class A | 6 | 495 | ||||||
MAXIMUS, Inc. | 4 | 275 | ||||||
NIC, Inc. (a) | 103 | 2,294 | ||||||
Perspecta, Inc. | 151 | 4,005 | ||||||
Unisys Corp. * | 194 | 2,297 | ||||||
Virtusa Corp. * (a) | 22 | 1,003 | ||||||
|
| |||||||
| 14,726 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
10X Genomics, Inc., Class A * (a) | 8 | 572 | ||||||
Adaptive Biotechnologies Corp. * (a) | 18 | 523 | ||||||
Personalis, Inc. * | 21 | 227 | ||||||
|
| |||||||
| 1,322 | ||||||||
|
| |||||||
Machinery — 1.9% |
| |||||||
Columbus McKinnon Corp. | 33 | 1,336 | ||||||
Hillenbrand, Inc. | 46 | 1,536 | ||||||
Hurco Cos., Inc. | 8 | 305 | ||||||
Meritor, Inc. * | 47 | 1,237 | ||||||
Mueller Industries, Inc. | 35 | 1,095 | ||||||
Park-Ohio Holdings Corp. | 7 | 226 | ||||||
TriMas Corp. * | 17 | 537 | ||||||
Wabash National Corp. | 224 | 3,297 | ||||||
|
| |||||||
| 9,569 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
Costamare, Inc. (Monaco) | 53 | 505 | ||||||
|
| |||||||
Media — 2.3% |
| |||||||
Central European Media Enterprises Ltd., Class A (Czech Republic) * | 73 | 331 | ||||||
Fluent, Inc. * | 123 | 308 | ||||||
Gray Television, Inc. * (a) | 67 | 1,430 | ||||||
Liberty Latin America Ltd., Class A (Chile) * | 172 | 3,322 | ||||||
Meredith Corp. (a) | 43 | 1,380 | ||||||
Nexstar Media Group, Inc., Class A | 15 | 1,729 | ||||||
Sinclair Broadcast Group, Inc., Class A | 51 | 1,687 | ||||||
TEGNA, Inc. | 66 | 1,095 | ||||||
|
| |||||||
| 11,282 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Metals & Mining — 0.9% |
| |||||||
Commercial Metals Co. | 64 | 1,429 | ||||||
Ramaco Resources, Inc. * | 16 | 56 | ||||||
Ryerson Holding Corp. * | 24 | 286 | ||||||
Warrior Met Coal, Inc. | 102 | 2,148 | ||||||
Worthington Industries, Inc. | 9 | 359 | ||||||
|
| |||||||
| 4,278 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. (a) | 34 | 629 | ||||||
Ladder Capital Corp. | 36 | 644 | ||||||
PennyMac Mortgage Investment Trust | 151 | 3,357 | ||||||
Redwood Trust, Inc. (a) | 64 | 1,056 | ||||||
|
| |||||||
| 5,686 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
Black Hills Corp. (a) | 14 | 1,074 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
Amplify Energy Corp. | 55 | 360 | ||||||
Arch Coal, Inc., Class A (a) | 14 | 1,001 | ||||||
Berry Petroleum Corp. | 138 | 1,298 | ||||||
CVR Energy, Inc. | 36 | 1,445 | ||||||
Delek US Holdings, Inc. (a) | 25 | 855 | ||||||
Denbury Resources, Inc. * | 1,366 | 1,926 | ||||||
Dorian LPG Ltd. * | 68 | 1,056 | ||||||
Gulfport Energy Corp. * | 135 | 410 | ||||||
Hallador Energy Co. | 8 | 23 | ||||||
REX American Resources Corp. * | 1 | 62 | ||||||
W&T Offshore, Inc. * | 219 | 1,220 | ||||||
|
| |||||||
| 9,656 | ||||||||
|
| |||||||
Paper & Forest Products — 1.2% |
| |||||||
Boise Cascade Co. | 49 | 1,782 | ||||||
Schweitzer-Mauduit International, Inc. | 90 | 3,764 | ||||||
Verso Corp., Class A * | 7 | 122 | ||||||
|
| |||||||
| 5,668 | ||||||||
|
| |||||||
Pharmaceuticals — 2.5% |
| |||||||
Aclaris Therapeutics, Inc. * (a) | 47 | 88 | ||||||
Arvinas, Inc. * (a) | 1 | 43 | ||||||
Cara Therapeutics, Inc. * (a) | 29 | 469 | ||||||
Dermira, Inc. * (a) | 101 | 1,528 | ||||||
Endo International plc * (a) | 569 | 2,667 | ||||||
Horizon Therapeutics plc * | 73 | 2,645 | ||||||
Lannett Co., Inc. * (a) | 190 | 1,673 | ||||||
Menlo Therapeutics, Inc. * | 92 | 425 | ||||||
NGM Biopharmaceuticals, Inc. * (a) | 66 | 1,224 | ||||||
Phibro Animal Health Corp., Class A | 18 | 437 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — continued |
| |||||||
Revance Therapeutics, Inc. * (a) | 8 | 136 | ||||||
TherapeuticsMD, Inc. * (a) | 170 | 411 | ||||||
WaVe Life Sciences Ltd. * (a) | 39 | 313 | ||||||
Zynerba Pharmaceuticals, Inc. * (a) | 78 | 470 | ||||||
|
| |||||||
| 12,529 | ||||||||
|
| |||||||
Professional Services — 2.0% |
| |||||||
Acacia Research Corp. * | 21 | 57 | ||||||
Barrett Business Services, Inc. (a) | 45 | 4,028 | ||||||
CBIZ, Inc. * | 52 | 1,397 | ||||||
CRA International, Inc. | 8 | 449 | ||||||
Heidrick & Struggles International, Inc. | 16 | 512 | ||||||
Kelly Services, Inc., Class A (a) | 21 | 463 | ||||||
Korn Ferry (a) | 10 | 429 | ||||||
TriNet Group, Inc. * | 8 | 470 | ||||||
TrueBlue, Inc. * | 85 | 2,047 | ||||||
|
| |||||||
| 9,852 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
Jones Lang LaSalle, Inc. | 3 | 526 | ||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
ArcBest Corp. | 68 | 1,880 | ||||||
Avis Budget Group, Inc. * | 13 | 427 | ||||||
Covenant Transportation Group, Inc., Class A * | 8 | 97 | ||||||
|
| |||||||
| 2,404 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
Advanced Energy Industries, Inc. * (a) | 23 | 1,608 | ||||||
Alpha & Omega Semiconductor Ltd. * | 99 | 1,343 | ||||||
Ichor Holdings Ltd. * | 37 | 1,217 | ||||||
NeoPhotonics Corp. * | 132 | 1,168 | ||||||
NVE Corp. | 10 | 714 | ||||||
Onto Innovation, Inc. * (a) | 41 | 1,516 | ||||||
Rambus, Inc. * | 262 | 3,612 | ||||||
SMART Global Holdings, Inc. * | 49 | 1,855 | ||||||
Ultra Clean Holdings, Inc. * | 49 | 1,143 | ||||||
Xperi Corp. | 65 | 1,201 | ||||||
|
| |||||||
| 15,377 | ||||||||
|
| |||||||
Software — 2.9% |
| |||||||
ACI Worldwide, Inc. * | 33 | 1,242 | ||||||
Avaya Holdings Corp. * (a) | 29 | 392 | ||||||
Bottomline Technologies DE, Inc. * | 10 | 548 | ||||||
Cloudflare, Inc., Class A * (a) | 124 | 2,121 | ||||||
Cornerstone OnDemand, Inc. * | 50 | 2,907 | ||||||
MicroStrategy, Inc., Class A * | 5 | 677 | ||||||
Progress Software Corp. | 83 | 3,461 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
SPS Commerce, Inc. * | 13 | 729 | ||||||
SVMK, Inc. * | 29 | 514 | ||||||
TiVo Corp. | 228 | 1,931 | ||||||
|
| |||||||
| 14,522 | ||||||||
|
| |||||||
Specialty Retail — 2.7% |
| |||||||
Barnes & Noble Education, Inc. * | 177 | 756 | ||||||
Hibbett Sports, Inc. * | 67 | 1,884 | ||||||
Lithia Motors, Inc., Class A | 4 | 632 | ||||||
Office Depot, Inc. | 481 | 1,318 | ||||||
Rent-A-Center, Inc. | 178 | 5,144 | ||||||
RH * (a) | 6 | 1,174 | ||||||
Signet Jewelers Ltd. | 7 | 161 | ||||||
Sportsman’s Warehouse Holdings, Inc. * | 61 | 486 | ||||||
Tilly’s, Inc., Class A | 62 | 761 | ||||||
Zumiez, Inc. * (a) | 33 | 1,129 | ||||||
|
| |||||||
| 13,445 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
Deckers Outdoor Corp. * | 33 | 5,572 | ||||||
Kontoor Brands, Inc. (a) | 13 | 546 | ||||||
|
| |||||||
| 6,118 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 5.0% |
| |||||||
Essent Group Ltd. | 99 | 5,137 | ||||||
Flagstar Bancorp, Inc. | 79 | 3,022 | ||||||
FS Bancorp, Inc. | 3 | 187 | ||||||
HomeStreet, Inc. * | 17 | 564 | ||||||
Luther Burbank Corp. | 22 | 250 | ||||||
MGIC Investment Corp. | 217 | 3,079 | ||||||
NMI Holdings, Inc., Class A * (a) | 29 | 969 | ||||||
OceanFirst Financial Corp. | 21 | 527 | ||||||
PennyMac Financial Services, Inc. | 133 | 4,542 | ||||||
Radian Group, Inc. | 107 | 2,702 | ||||||
Walker & Dunlop, Inc. (a) | 58 | 3,766 | ||||||
|
| |||||||
| 24,745 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.4% |
| |||||||
Aircastle Ltd. | 83 | 2,660 | ||||||
Applied Industrial Technologies, Inc. | 15 | 992 | ||||||
BMC Stock Holdings, Inc. * | 101 | 2,895 | ||||||
GMS, Inc. * | 72 | 1,950 | ||||||
MRC Global, Inc. * | 197 | 2,689 | ||||||
Rush Enterprises, Inc., Class A | 6 | 283 | ||||||
Veritiv Corp.* (a) | 22 | 433 | ||||||
|
| |||||||
| 11,902 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Water Utilities — 0.0% (b) |
| |||||||
Consolidated Water Co. Ltd. (Cayman Islands) | 4 | 71 | ||||||
|
| |||||||
Total Common Stocks | 476,544 | |||||||
|
| |||||||
Short-Term Investments — 9.8% |
| |||||||
Investment Companies — 3.0% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 14,770 | 14,774 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 6.8% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 28,000 | 28,002 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 5,623 | 5,623 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 33,625 | |||||||
|
| |||||||
Total Short-term Investments |
| 48,399 | ||||||
|
| |||||||
Total Investments — 106.5% |
| 524,943 | ||||||
Liabilities in Excess of |
| (32,157 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 492,786 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| REIT | Real Estate Investment Trust | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $32,946,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Russell 2000E-Mini Index | 151 | 03/2020 | USD | 12,608 | 54 | |||||||||||||||
|
| |||||||||||||||||||
Abbreviations | ||
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 95.2% |
| |||||||
Auto Components — 1.4% |
| |||||||
LCI Industries (a) | 921 | 98,702 | ||||||
|
| |||||||
Automobiles — 0.4% |
| |||||||
Thor Industries, Inc. (a) | 435 | 32,340 | ||||||
|
| |||||||
Banks — 10.0% |
| |||||||
BankUnited, Inc. | 1,979 | 72,367 | ||||||
Cadence BanCorp | 2,572 | 46,633 | ||||||
Commerce Bancshares, Inc. (a) | 1,332 | 90,474 | ||||||
Cullen/Frost Bankers, Inc. (a) | 666 | 65,165 | ||||||
First Financial Bancorp | 2,778 | 70,678 | ||||||
First Hawaiian, Inc. | 2,901 | 83,698 | ||||||
First Horizon National Corp. | 4,078 | 67,533 | ||||||
IBERIABANK Corp. | 790 | 59,134 | ||||||
Western Alliance Bancorp (a) | 1,636 | 93,276 | ||||||
Wintrust Financial Corp. | 1,154 | 81,794 | ||||||
|
| |||||||
| 730,752 | ||||||||
|
| |||||||
Beverages — 0.7% |
| |||||||
Cott Corp. (a) | 3,579 | 48,964 | ||||||
|
| |||||||
Building Products — 1.1% |
| |||||||
Fortune Brands Home & Security, Inc. | 1,215 | 79,364 | ||||||
|
| |||||||
Capital Markets — 5.1% |
| |||||||
Assetmark Financial Holdings, Inc. * | 556 | 16,126 | ||||||
Eaton Vance Corp. | 1,085 | 50,649 | ||||||
FactSet Research Systems, Inc. (a) | 197 | 52,890 | ||||||
Focus Financial Partners, Inc., Class A * | 1,890 | 55,696 | ||||||
Lazard Ltd., Class A | 1,858 | 74,257 | ||||||
Moelis & Co., Class A | 1,681 | 53,671 | ||||||
Morningstar, Inc. (a) | 434 | 65,658 | ||||||
|
| |||||||
| 368,947 | ||||||||
|
| |||||||
Chemicals — 3.6% |
| |||||||
GCP Applied Technologies, Inc. * | 2,632 | 59,765 | ||||||
PQ Group Holdings, Inc. * | 3,794 | 65,189 | ||||||
Quaker Chemical Corp. (a) | 520 | 85,508 | ||||||
Valvoline, Inc. | 2,234 | 47,839 | ||||||
|
| |||||||
| 258,301 | ||||||||
|
| |||||||
Commercial Services & Supplies — 5.9% |
| |||||||
Advanced Disposal Services, Inc. * | 1,319 | 43,370 | ||||||
Brady Corp., Class A | 1,665 | 95,337 | ||||||
BrightView Holdings, Inc. * | 1,393 | 23,493 | ||||||
IAA, Inc. * | 1,766 | 83,118 | ||||||
KAR Auction Services, Inc. | 1,819 | 39,635 | ||||||
MSA Safety, Inc. | 894 | 113,021 | ||||||
US Ecology, Inc. (a) | 558 | 32,342 | ||||||
|
| |||||||
| 430,316 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Construction & Engineering — 1.2% |
| |||||||
WillScot Corp. * | 4,780 | 88,382 | ||||||
|
| |||||||
Containers & Packaging — 3.2% |
| |||||||
AptarGroup, Inc. | 1,445 | 167,071 | ||||||
Crown Holdings, Inc. * | 941 | 68,287 | ||||||
|
| |||||||
| 235,358 | ||||||||
|
| |||||||
Distributors — 2.6% |
| |||||||
Pool Corp. | 878 | 186,383 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
ServiceMaster Global Holdings, Inc. * | 956 | 36,951 | ||||||
|
| |||||||
Electric Utilities — 1.3% |
| |||||||
Portland General Electric Co. (a) | 1,751 | 97,675 | ||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
Generac Holdings, Inc. * | 716 | 71,974 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
nLight, Inc. * (a) | 2,119 | 42,964 | ||||||
|
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
Core Laboratories NV (a) | 1,053 | 39,679 | ||||||
Patterson-UTI Energy, Inc. | 5,719 | 60,047 | ||||||
|
| |||||||
| 99,726 | ||||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
Cinemark Holdings, Inc. (a) | 2,554 | 86,465 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.6% |
| |||||||
CubeSmart | 2,508 | 78,958 | ||||||
EastGroup Properties, Inc. | 855 | 113,393 | ||||||
National Retail Properties, Inc. | 1,784 | 95,638 | ||||||
Outfront Media, Inc. | 1,943 | 52,117 | ||||||
RLJ Lodging Trust | 3,642 | 64,543 | ||||||
|
| |||||||
| 404,649 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.5% |
| |||||||
BJ’s Wholesale Club Holdings, Inc. * (a) | 2,850 | 64,803 | ||||||
Performance Food Group Co. * | 3,625 | 186,605 | ||||||
|
| |||||||
| 251,408 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.9% |
| |||||||
Envista Holdings Corp. * | 1,037 | 30,736 | ||||||
ICU Medical, Inc. * | 366 | 68,460 | ||||||
West Pharmaceutical Services, Inc. | 748 | 112,454 | ||||||
|
| |||||||
| 211,650 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.5% |
| |||||||
Encompass Health Corp. (a) | 1,623 | 112,412 | ||||||
HealthEquity, Inc. * (a) | 762 | 56,456 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
Molina Healthcare, Inc. * | 728 | 98,744 | ||||||
Premier, Inc., Class A * | 1,647 | 62,379 | ||||||
|
| |||||||
| 329,991 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
Monarch Casino & Resort, Inc. * | 509 | 24,736 | ||||||
Planet Fitness, Inc., Class A * | 442 | 33,014 | ||||||
Wendy’s Co. (The) (a) | 1,439 | 31,967 | ||||||
|
| |||||||
| 89,717 | ||||||||
|
| |||||||
Insurance — 2.5% |
| |||||||
Kinsale Capital Group, Inc. | 896 | 91,053 | ||||||
RLI Corp. (a) | 983 | 88,458 | ||||||
|
| |||||||
| 179,511 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.4% |
| |||||||
Grubhub, Inc. * (a) | 622 | 30,272 | ||||||
|
| |||||||
IT Services — 0.8% |
| |||||||
CoreLogic, Inc. * (a) | 1,298 | 56,720 | ||||||
|
| |||||||
Leisure Products — 2.4% |
| |||||||
Acushnet Holdings Corp. (a) | 1,801 | 58,547 | ||||||
Brunswick Corp. | 1,915 | 114,867 | ||||||
Malibu Boats, Inc., Class A * | 88 | 3,589 | ||||||
|
| |||||||
| 177,003 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Syneos Health, Inc. * (a) | 1,174 | 69,839 | ||||||
|
| |||||||
Machinery — 10.0% |
| |||||||
Altra Industrial Motion Corp. | 1,944 | 70,376 | ||||||
Douglas Dynamics, Inc. | 996 | 54,773 | ||||||
Gates Industrial Corp. plc * (a) | 4,343 | 59,760 | ||||||
Lincoln Electric Holdings, Inc. (a) | 1,147 | 110,959 | ||||||
RBC Bearings, Inc. * | 621 | 98,355 | ||||||
Toro Co. (The) | 2,406 | 191,675 | ||||||
Welbilt, Inc. * (a) | 2,779 | 43,379 | ||||||
Woodward, Inc. | 837 | 99,192 | ||||||
|
| |||||||
| 728,469 | ||||||||
|
| |||||||
Media — 0.4% |
| |||||||
EW Scripps Co. (The), Class A | 1,895 | 29,777 | ||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
NorthWestern Corp. | 1,353 | 96,957 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
Cimarex Energy Co. | 814 | 42,728 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — 2.4% |
| |||||||
Catalent, Inc. * | 2,280 | 128,366 | ||||||
Prestige Consumer Healthcare, Inc. * | 1,135 | 45,969 | ||||||
|
| |||||||
| 174,335 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.1% |
| |||||||
Cushman & Wakefield plc * | 3,905 | 79,820 | ||||||
|
| |||||||
Road & Rail — 1.9% |
| |||||||
Knight-Swift Transportation Holdings, Inc. (a) | 2,022 | 72,463 | ||||||
Landstar System, Inc. | 596 | 67,880 | ||||||
|
| |||||||
| 140,343 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
Cabot Microelectronics Corp. (a) | 677 | 97,760 | ||||||
Power Integrations, Inc. | 550 | 54,429 | ||||||
|
| |||||||
| 152,189 | ||||||||
|
| |||||||
Software — 7.5% |
| |||||||
Aspen Technology, Inc. * | 580 | 70,156 | ||||||
Bill.Com Holdings, Inc. * | 246 | 9,353 | ||||||
Blackbaud, Inc. (a) | 763 | 60,706 | ||||||
Cision Ltd. * (a) | 3,798 | 37,862 | ||||||
Cornerstone OnDemand, Inc. * (a) | 995 | 58,278 | ||||||
Envestnet, Inc. * (a) | 571 | 39,759 | ||||||
Guidewire Software, Inc. * (a) | 635 | 69,664 | ||||||
Medallia, Inc. * (a) | 396 | 12,331 | ||||||
Q2 Holdings, Inc. * (a) | 1,043 | 84,586 | ||||||
SailPoint Technologies Holding, Inc. * (a) | 1,294 | 30,550 | ||||||
Tyler Technologies, Inc. * (a) | 232 | 69,587 | ||||||
|
| |||||||
| 542,832 | ||||||||
|
| |||||||
Specialty Retail — 0.0%(b) |
| |||||||
National Vision Holdings, Inc. * | 113 | 3,652 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Carter’s, Inc. (a) | 583 | 63,772 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
Applied Industrial Technologies, Inc. | 1,119 | 74,610 | ||||||
|
| |||||||
Total Common Stocks | 6,923,808 | |||||||
|
| |||||||
Exchange-Traded Funds — 0.4% | ||||||||
U.S. Equity — 0.4% |
| |||||||
iShares Russell 2000 ETF (a) | 196 | 32,447 | ||||||
|
| |||||||
Short-Term Investments — 8.5% | ||||||||
Investment Companies — 4.6% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 332,976 | 333,076 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — continued | ||||||||
Investment of Cash Collateral from Securities Loaned — 3.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 253,017 | 253,043 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 30,027 | 30,027 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 283,070 | |||||||
|
| |||||||
Total Short-Term Investments |
| 616,146 | ||||||
|
| |||||||
Total Investments — 104.1% |
| 7,572,401 | ||||||
Liabilities in Excess of |
| (299,372 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 7,273,029 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| ETF | Exchange-Traded Fund | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $270,653,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.8% |
| |||||||
Aerospace & Defense — 0.8% |
| |||||||
Hexcel Corp. | 375 | 27,481 | ||||||
|
| |||||||
Auto Components — 0.7% |
| |||||||
Fox Factory Holding Corp. * (a) | 322 | 22,410 | ||||||
|
| |||||||
Automobiles — 1.2% |
| |||||||
Winnebago Industries, Inc. (a) | 747 | 39,579 | ||||||
|
| |||||||
Banks — 2.1% |
| |||||||
First Financial Bankshares, Inc. (a) | 864 | 30,322 | ||||||
Signature Bank | 148 | 20,242 | ||||||
Webster Financial Corp. | 320 | 17,055 | ||||||
|
| |||||||
| 67,619 | ||||||||
|
| |||||||
Biotechnology — 12.0% |
| |||||||
ACADIA Pharmaceuticals, Inc. * | 527 | 22,562 | ||||||
Adverum Biotechnologies, Inc. * (a) | 351 | 4,043 | ||||||
Amicus Therapeutics, Inc. * | 1,673 | 16,297 | ||||||
Atara Biotherapeutics, Inc. * (a) | 925 | 15,231 | ||||||
Avrobio, Inc. * (a) | 843 | 16,961 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 552 | 30,052 | ||||||
Bridgebio Pharma, Inc. * (a) | 237 | 8,312 | ||||||
Coherus Biosciences, Inc. * | 1,252 | 22,541 | ||||||
FibroGen, Inc. * (a) | 753 | 32,287 | ||||||
G1 Therapeutics, Inc. * (a) | 658 | 17,395 | ||||||
Global Blood Therapeutics, Inc. * | 172 | 13,684 | ||||||
Halozyme Therapeutics, Inc. * (a) | 1,861 | 32,991 | ||||||
Heron Therapeutics, Inc. * (a) | 993 | 23,343 | ||||||
Homology Medicines, Inc. * (a) | 872 | 18,044 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 264 | 32,660 | ||||||
Natera, Inc. * (a) | 686 | 23,116 | ||||||
REGENXBIO, Inc. * (a) | 461 | 18,871 | ||||||
Rubius Therapeutics, Inc. * (a) | 451 | 4,284 | ||||||
Sage Therapeutics, Inc. * | 144 | 10,420 | ||||||
Twist Bioscience Corp. * (a) | 901 | 18,912 | ||||||
Viela Bio, Inc. * (a) | 385 | 10,451 | ||||||
|
| |||||||
| 392,457 | ||||||||
|
| |||||||
Building Products — 4.5% |
| |||||||
Advanced Drainage Systems, Inc. | 1,240 | 48,150 | ||||||
Simpson Manufacturing Co., Inc. | 610 | 48,932 | ||||||
Trex Co., Inc. * (a) | 551 | 49,479 | ||||||
|
| |||||||
| 146,561 | ||||||||
|
| |||||||
Capital Markets — 0.9% |
| |||||||
Evercore, Inc., Class A | 390 | 29,156 | ||||||
|
| |||||||
Chemicals — 0.3% |
| |||||||
Ferro Corp. * | 711 | 10,544 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Commercial Services & Supplies — 3.0% |
| |||||||
Brink’s Co. (The) (a) | 414 | 37,523 | ||||||
MSA Safety, Inc. (a) | 477 | 60,316 | ||||||
|
| |||||||
| 97,839 | ||||||||
|
| |||||||
Communications Equipment — 0.7% |
| |||||||
Ciena Corp. * | 578 | 24,692 | ||||||
|
| |||||||
Distributors — 1.2% |
| |||||||
Pool Corp. | 185 | 39,285 | ||||||
|
| |||||||
Diversified Consumer Services — 1.0% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 215 | 32,314 | ||||||
|
| |||||||
Electrical Equipment — 2.0% |
| |||||||
Generac Holdings, Inc. * | 650 | 65,394 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.9% |
| |||||||
Littelfuse, Inc. (a) | 156 | 29,900 | ||||||
|
| |||||||
Entertainment — 1.6% |
| |||||||
Glu Mobile, Inc. * (a) | 2,033 | 12,302 | ||||||
Sciplay Corp., Class A * | 818 | 10,051 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 443 | 28,766 | ||||||
|
| |||||||
| 51,119 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.8% |
| |||||||
CubeSmart | 613 | 19,285 | ||||||
EastGroup Properties, Inc. | 208 | 27,624 | ||||||
National Health Investors, Inc. | 243 | 19,819 | ||||||
Terreno Realty Corp. | 461 | 24,952 | ||||||
|
| |||||||
| 91,680 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.6% |
| |||||||
Grocery Outlet Holding Corp. * (a) | 543 | 17,625 | ||||||
Performance Food Group Co. * | 1,327 | 68,321 | ||||||
|
| |||||||
| 85,946 | ||||||||
|
| |||||||
Food Products — 1.4% |
| |||||||
Freshpet, Inc. * | 785 | 46,359 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 4.1% |
| |||||||
Insulet Corp. * | 201 | 34,469 | ||||||
iRhythm Technologies, Inc. * (a) | 492 | 33,519 | ||||||
Nevro Corp. * (a) | 414 | 48,650 | ||||||
Shockwave Medical, Inc. * (a) | 405 | 17,805 | ||||||
|
| |||||||
| 134,443 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
Acadia Healthcare Co., Inc. * (a) | 709 | 23,560 | ||||||
Amedisys, Inc. * (a) | 333 | 55,509 | ||||||
|
| |||||||
| 79,069 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Health Care Technology — 2.3% |
| |||||||
Evolent Health, Inc., Class A * (a) | 1,486 | 13,444 | ||||||
Teladoc Health, Inc. * | 726 | 60,810 | ||||||
|
| |||||||
| 74,254 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.6% |
| |||||||
Boyd Gaming Corp. | 1,609 | 48,163 | ||||||
Planet Fitness, Inc., Class A * | 434 | 32,441 | ||||||
Red Rock Resorts, Inc., Class A | 1,316 | 31,526 | ||||||
Texas Roadhouse, Inc. | 701 | 39,468 | ||||||
|
| |||||||
| 151,598 | ||||||||
|
| |||||||
Household Durables — 0.6% |
| |||||||
TRI Pointe Group, Inc. * | 1,354 | 21,102 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
eHealth, Inc. * (a) | 301 | 28,946 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.7% |
| |||||||
Farfetch Ltd., Class A (United Kingdom) * (a) | 1,286 | 13,313 | ||||||
RealReal, Inc. (The) * (a) | 432 | 8,135 | ||||||
|
| |||||||
| 21,448 | ||||||||
|
| |||||||
IT Services — 3.3% |
| |||||||
ManTech International Corp., Class A | 642 | 51,257 | ||||||
MongoDB, Inc. * (a) | 163 | 21,517 | ||||||
Wix.com Ltd. (Israel) * (a) | 279 | 34,140 | ||||||
|
| |||||||
| 106,914 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% |
| |||||||
10X Genomics, Inc., Class A * (a) | 135 | 10,294 | ||||||
Adaptive Biotechnologies Corp. * (a) | 186 | 5,567 | ||||||
Personalis, Inc. * (a) | 527 | 5,747 | ||||||
|
| |||||||
| 21,608 | ||||||||
|
| |||||||
Machinery — 5.1% |
| |||||||
Chart Industries, Inc. * (a) | 408 | 27,564 | ||||||
Graco, Inc. | 526 | 27,331 | ||||||
ITT, Inc. | 595 | 43,992 | ||||||
John Bean Technologies Corp. (a) | 485 | 54,628 | ||||||
Oshkosh Corp. | 137 | 12,922 | ||||||
|
| |||||||
| 166,437 | ||||||||
|
| |||||||
Marine — 0.6% |
| |||||||
Kirby Corp. * (a) | 229 | 20,522 | ||||||
|
| |||||||
Media — 1.2% |
| |||||||
New York Times Co. (The), Class A (a) | 1,221 | 39,264 | ||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Ollie’s Bargain Outlet Holdings, Inc. * (a) | 247 | 16,155 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — 3.6% |
| |||||||
Horizon Therapeutics plc * (a) | 1,333 | 48,252 | ||||||
Optinose, Inc. * | 1,113 | 10,264 | ||||||
Revance Therapeutics, Inc.* (a) | 1,501 | 24,355 | ||||||
TherapeuticsMD, Inc. * | 4,708 | 11,394 | ||||||
Tricida, Inc.* (a) | 643 | 24,282 | ||||||
|
| |||||||
| 118,547 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
FTI Consulting, Inc. * | 111 | 12,283 | ||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
Saia, Inc. * (a) | 501 | 46,619 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.3% |
| |||||||
Entegris, Inc. | 862 | 43,153 | ||||||
Inphi Corp. * | 574 | 42,500 | ||||||
MKS Instruments, Inc. | 424 | 46,625 | ||||||
Monolithic Power Systems, Inc. (a) | 188 | 33,427 | ||||||
Semtech Corp. * | 757 | 40,024 | ||||||
|
| |||||||
| 205,729 | ||||||||
|
| |||||||
Software — 11.4% |
| |||||||
Anaplan, Inc. * | 670 | 35,125 | ||||||
Bill.Com Holdings, Inc. * | 188 | 7,144 | ||||||
Coupa Software, Inc. * | 156 | 22,794 | ||||||
CyberArk Software Ltd. * (a) | 283 | 32,954 | ||||||
Dynatrace, Inc. * (a) | 1,012 | 25,607 | ||||||
Elastic NV * (a) | 402 | 25,844 | ||||||
Envestnet, Inc. * | 696 | 48,470 | ||||||
Globant SA (Argentina) * | 14 | 1,529 | ||||||
HubSpot, Inc. * | 141 | 22,401 | ||||||
Medallia, Inc. * (a) | 519 | 16,159 | ||||||
PagerDuty, Inc. * (a) | 343 | 8,016 | ||||||
Proofpoint, Inc. * | 317 | 36,419 | ||||||
SailPoint Technologies Holding, Inc. * | 420 | 9,910 | ||||||
Smartsheet, Inc., Class A * | 646 | 28,999 | ||||||
Trade Desk, Inc. (The), Class A * (a) | 48 | 12,574 | ||||||
Zendesk, Inc. * | 217 | 16,661 | ||||||
Zscaler, Inc. * (a) | 475 | 22,086 | ||||||
|
| |||||||
| 372,692 | ||||||||
|
| |||||||
Specialty Retail — 4.3% |
| |||||||
Aaron’s, Inc. | 225 | 12,844 | ||||||
Hudson Ltd., Class A * | 2,034 | 31,203 | ||||||
Lithia Motors, Inc., Class A (a) | 287 | 42,202 | ||||||
National Vision Holdings, Inc. * | 1,684 | 54,612 | ||||||
|
| |||||||
| 140,861 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Wolverine World Wide, Inc. | 695 | 23,466 | ||||||
|
| |||||||
Trading Companies & Distributors — 4.0% |
| |||||||
Applied Industrial Technologies, Inc. | 429 | 28,594 | ||||||
H&E Equipment Services, Inc. | 697 | 23,313 | ||||||
Rush Enterprises, Inc., Class A | 773 | 35,933 | ||||||
SiteOne Landscape Supply, Inc. * (a) | 463 | 41,969 | ||||||
|
| |||||||
| 129,809 | ||||||||
|
| |||||||
Total Common Stocks |
| 3,232,101 | ||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) |
| |||||||
Biotechnology — 0.0%(b) |
| |||||||
Clementia Pharmaceuticals, Inc. (Canada) * ‡ | 927 | — | (c) | |||||
|
| |||||||
| SHARES (000) | ||||||||
Short-Term Investments — 9.1% |
| |||||||
Investment Companies — 1.1% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e) | 37,114 | 37,125 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 8.0% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e) | 234,016 | 234,039 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e) | 26,845 | 26,845 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 260,884 | ||||||
|
| |||||||
Total Short-Term Investments |
| 298,009 | ||||||
|
| |||||||
Total Investments — 107.9% |
| 3,530,110 | ||||||
Liabilities in Excess of |
| (258,233 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 3,271,877 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $255,206,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Amount rounds to less than one thousand. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.1% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
Moog, Inc., Class A | 67 | 5,726 | ||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
Echo Global Logistics, Inc. * | 289 | 5,972 | ||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Hawaiian Holdings, Inc. | 119 | 3,494 | ||||||
|
| |||||||
Auto Components — 0.7% |
| |||||||
Adient plc * (a) | 113 | 2,393 | ||||||
Cooper-Standard Holdings, Inc. * | 6 | 199 | ||||||
Gentherm, Inc. * | 99 | 4,394 | ||||||
Stoneridge, Inc. * | 90 | 2,645 | ||||||
|
| |||||||
| 9,631 | ||||||||
|
| |||||||
Banks — 18.2% |
| |||||||
1st Source Corp. (a) | 85 | 4,384 | ||||||
American National Bankshares, Inc. | 5 | 198 | ||||||
Atlantic Capital Bancshares, Inc. * | 60 | 1,097 | ||||||
Atlantic Union Bankshares Corp. | 7 | 244 | ||||||
BancFirst Corp. | 98 | 6,144 | ||||||
BancorpSouth Bank | 61 | 1,907 | ||||||
BankFinancial Corp. | 176 | 2,305 | ||||||
Banner Corp. | 33 | 1,867 | ||||||
Brookline Bancorp, Inc. | 181 | 2,981 | ||||||
Bryn Mawr Bank Corp. | 24 | 998 | ||||||
Cadence BanCorp | 13 | 239 | ||||||
Cathay General Bancorp | 161 | 6,137 | ||||||
Central Pacific Financial Corp. | 350 | 10,362 | ||||||
Central Valley Community Bancorp | 19 | 410 | ||||||
Century Bancorp, Inc., Class A (a) | 3 | 279 | ||||||
Citizens & Northern Corp. | 15 | 429 | ||||||
City Holding Co. | 50 | 4,122 | ||||||
Columbia Banking System, Inc. | 155 | 6,322 | ||||||
Community Bank System, Inc. (a) | 106 | 7,541 | ||||||
Community Trust Bancorp, Inc. | 96 | 4,457 | ||||||
East West Bancorp, Inc. | 10 | 465 | ||||||
Enterprise Financial Services Corp. | 166 | 7,984 | ||||||
Financial Institutions, Inc. | 54 | 1,746 | ||||||
First Bancorp | 24 | 946 | ||||||
First BanCorp (Puerto Rico) | 947 | 10,032 | ||||||
First Citizens BancShares, Inc., Class A (a) | 7 | 3,459 | ||||||
First Commonwealth Financial Corp. (a) | 754 | 10,939 | ||||||
First Community Bankshares, Inc. | 47 | 1,464 | ||||||
First Financial Corp. | 16 | 741 | ||||||
First Hawaiian, Inc. | 74 | 2,135 | ||||||
First Interstate BancSystem, Inc., Class A | 27 | 1,147 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
Flushing Financial Corp. | 114 | 2,467 | ||||||
Glacier Bancorp, Inc. (a) | 166 | 7,625 | ||||||
Great Southern Bancorp, Inc. | 29 | 1,830 | ||||||
Great Western Bancorp, Inc. | 80 | 2,783 | ||||||
Hancock Whitney Corp. | 20 | 887 | ||||||
Hilltop Holdings, Inc. | 188 | 4,677 | ||||||
Home BancShares, Inc. (a) | 301 | 5,918 | ||||||
Hope Bancorp, Inc. | 502 | 7,456 | ||||||
Independent Bank Corp. | 43 | 972 | ||||||
Investors Bancorp, Inc. | 761 | 9,071 | ||||||
Lakeland Financial Corp. (a) | 33 | 1,595 | ||||||
Mercantile Bank Corp. (a) | 15 | 547 | ||||||
OFG Bancorp (Puerto Rico) | 82 | 1,924 | ||||||
People’s United Financial, Inc. | 66 | 1,117 | ||||||
Preferred Bank | 14 | 823 | ||||||
Republic Bancorp, Inc., Class A | 15 | 716 | ||||||
S&T Bancorp, Inc. | 18 | 717 | ||||||
South State Corp. | 129 | 11,212 | ||||||
Stock Yards Bancorp, Inc. (a) | 15 | 616 | ||||||
Tompkins Financial Corp. (a) | 18 | 1,601 | ||||||
TriState Capital Holdings, Inc. * (a) | 20 | 522 | ||||||
Trustmark Corp. (a) | 450 | 15,540 | ||||||
UMB Financial Corp. (a) | 174 | 11,950 | ||||||
Umpqua Holdings Corp. | 461 | 8,168 | ||||||
United Bankshares, Inc. (a) | 410 | 15,843 | ||||||
Valley National Bancorp | 36 | 410 | ||||||
Washington Trust Bancorp, Inc. | 30 | 1,592 | ||||||
Webster Financial Corp. | 87 | 4,658 | ||||||
West Bancorp, Inc. | 10 | 258 | ||||||
Westamerica Bancorp (a) | 217 | 14,713 | ||||||
|
| |||||||
| 241,689 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
Acorda Therapeutics, Inc. * | 26 | 53 | ||||||
Arcus Biosciences, Inc. * | 259 | 2,612 | ||||||
Enanta Pharmaceuticals, Inc. * (a) | 27 | 1,686 | ||||||
Epizyme, Inc. * (a) | 234 | 5,764 | ||||||
Fate Therapeutics, Inc. * (a) | 136 | 2,656 | ||||||
Five Prime Therapeutics, Inc. * | 126 | 577 | ||||||
Iovance Biotherapeutics, Inc. * (a) | 225 | 6,239 | ||||||
Medicines Co. (The) * | 95 | 8,061 | ||||||
|
| |||||||
| 27,648 | ||||||||
|
| |||||||
Building Products — 1.4% |
| |||||||
Armstrong Flooring, Inc. * | 33 | 142 | ||||||
Builders FirstSource, Inc. * | 529 | 13,447 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Building Products — continued |
| |||||||
Masonite International Corp. * | 43 | 3,120 | ||||||
Quanex Building Products Corp. | 115 | 1,964 | ||||||
|
| |||||||
| 18,673 | ||||||||
|
| |||||||
Capital Markets — 0.9% |
| |||||||
Brightsphere Investment Group, Inc. | 83 | 850 | ||||||
Donnelley Financial Solutions, Inc. * | 141 | 1,480 | ||||||
Moelis & Co., Class A (a) | 11 | 361 | ||||||
Oppenheimer Holdings, Inc., Class A | 12 | 316 | ||||||
Stifel Financial Corp. (a) | 154 | 9,340 | ||||||
|
| |||||||
| 12,347 | ||||||||
|
| |||||||
Chemicals — 1.0% |
| |||||||
FutureFuel Corp. | 173 | 2,141 | ||||||
Minerals Technologies, Inc. | 106 | 6,091 | ||||||
Trinseo SA | 141 | 5,258 | ||||||
|
| |||||||
| 13,490 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.2% |
| |||||||
ABM Industries, Inc. (a) | 218 | 8,236 | ||||||
ACCO Brands Corp. | 1,062 | 9,938 | ||||||
Deluxe Corp. | 91 | 4,523 | ||||||
Ennis, Inc. | 65 | 1,412 | ||||||
Quad/Graphics, Inc. (a) | 523 | 2,441 | ||||||
VSE Corp. | 71 | 2,686 | ||||||
|
| |||||||
| 29,236 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
Comtech Telecommunications Corp. (a) | 28 | 983 | ||||||
NetScout Systems, Inc. * | 97 | 2,330 | ||||||
|
| |||||||
| 3,313 | ||||||||
|
| |||||||
Construction & Engineering — 1.6% |
| |||||||
EMCOR Group, Inc. | 156 | 13,489 | ||||||
MYR Group, Inc. * | 135 | 4,413 | ||||||
Sterling Construction Co., Inc. * | 84 | 1,177 | ||||||
Tutor Perini Corp. * (a) | 171 | 2,195 | ||||||
|
| |||||||
| 21,274 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
Nelnet, Inc., Class A | 71 | 4,135 | ||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
Myers Industries, Inc. | 43 | 712 | ||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
Core-Mark Holding Co., Inc. | 169 | 4,601 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Diversified Consumer Services — 0.9% |
| |||||||
Houghton Mifflin Harcourt Co. * | 429 | 2,680 | ||||||
K12, Inc. * | 436 | 8,869 | ||||||
|
| |||||||
| 11,549 | ||||||||
|
| |||||||
Diversified Financial Services — 0.0%(b) |
| |||||||
Marlin Business Services Corp. | 25 | 552 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
Consolidated Communications Holdings, Inc. (a) | 1,161 | 4,505 | ||||||
|
| |||||||
Electric Utilities — 1.2% |
| |||||||
IDACORP, Inc. | 12 | 1,303 | ||||||
Portland General Electric Co. | 253 | 14,093 | ||||||
Spark Energy, Inc., Class A | 73 | 677 | ||||||
|
| |||||||
| 16,073 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
American Superconductor Corp. * | 269 | 2,108 | ||||||
Bloom Energy Corp., Class A * | 11 | 78 | ||||||
Powell Industries, Inc. (a) | 93 | 4,576 | ||||||
|
| |||||||
| 6,762 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.9% |
| |||||||
Bel Fuse, Inc., Class B | 64 | 1,310 | ||||||
Benchmark Electronics, Inc. | 314 | 10,786 | ||||||
Fabrinet (Thailand) * | 89 | 5,764 | ||||||
OSI Systems, Inc. * | 9 | 886 | ||||||
Tech Data Corp. * | 46 | 6,548 | ||||||
|
| |||||||
| 25,294 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
Dril-Quip, Inc. * (a) | 45 | 2,106 | ||||||
Era Group, Inc. * | 65 | 663 | ||||||
FTS International, Inc. * | 75 | 78 | ||||||
Matrix Service Co. * | 307 | 7,031 | ||||||
NexTier Oilfield Solutions, Inc. * (a) | 133 | 894 | ||||||
SEACOR Holdings, Inc. * | 136 | 5,869 | ||||||
|
| |||||||
| 16,641 | ||||||||
|
| |||||||
Entertainment — 0.3% |
| |||||||
Eros International plc (India) * (a) | 1,181 | 4,003 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.8% |
| |||||||
Acadia Realty Trust | 106 | 2,749 | ||||||
Agree Realty Corp. (a) | 9 | 603 | ||||||
Alexander & Baldwin, Inc. (a) | 156 | 3,263 | ||||||
American Assets Trust, Inc. | 233 | 10,690 | ||||||
Ashford Hospitality Trust, Inc. | 604 | 1,684 | ||||||
Braemar Hotels & Resorts, Inc. | 167 | 1,493 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Cedar Realty Trust, Inc. | 214 | 631 | ||||||
City Office REIT, Inc. | 139 | 1,873 | ||||||
CoreCivic, Inc. | 61 | 1,064 | ||||||
CorEnergy Infrastructure Trust, Inc. (a) | 43 | 1,912 | ||||||
CoreSite Realty Corp. | 34 | 3,846 | ||||||
DiamondRock Hospitality Co. | 854 | 9,463 | ||||||
Easterly Government Properties, Inc. | 213 | 5,054 | ||||||
First Industrial Realty Trust, Inc. | 163 | 6,779 | ||||||
Franklin Street Properties Corp. | 140 | 1,199 | ||||||
Front Yard Residential Corp. | 65 | 796 | ||||||
GEO Group, Inc. (The) | 344 | 5,717 | ||||||
Getty Realty Corp. | 164 | 5,385 | ||||||
Gladstone Commercial Corp. | 179 | 3,913 | ||||||
Hersha Hospitality Trust | 48 | 700 | ||||||
Highwoods Properties, Inc. | 23 | 1,140 | ||||||
Industrial Logistics Properties Trust | 29 | 639 | ||||||
Kite Realty Group Trust | 70 | 1,365 | ||||||
Lexington Realty Trust | 356 | 3,778 | ||||||
Mack-Cali Realty Corp. | 224 | 5,186 | ||||||
Pebblebrook Hotel Trust (a) | 213 | 5,716 | ||||||
Physicians Realty Trust | 143 | 2,701 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 271 | 6,036 | ||||||
PotlatchDeltic Corp. | 10 | 428 | ||||||
PS Business Parks, Inc. | 23 | 3,841 | ||||||
Retail Opportunity Investments Corp. | 244 | 4,311 | ||||||
RLJ Lodging Trust | 66 | 1,170 | ||||||
Saul Centers, Inc. | 9 | 486 | ||||||
Service Properties Trust | 25 | 601 | ||||||
STAG Industrial, Inc. | 126 | 3,968 | ||||||
Sunstone Hotel Investors, Inc. | 972 | 13,532 | ||||||
Terreno Realty Corp. | 38 | 2,068 | ||||||
UMH Properties, Inc. | 27 | 426 | ||||||
Urstadt Biddle Properties, Inc., Class A | 61 | 1,503 | ||||||
Xenia Hotels & Resorts, Inc. | 154 | 3,334 | ||||||
|
| |||||||
| 131,043 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% |
| |||||||
Grocery Outlet Holding Corp. * (a) | 33 | 1,074 | ||||||
Rite Aid Corp. * (a) | 46 | 707 | ||||||
|
| |||||||
| 1,781 | ||||||||
|
| |||||||
Food Products — 1.2% |
| |||||||
Darling Ingredients, Inc. * | 83 | 2,325 | ||||||
Sanderson Farms, Inc. | 81 | 14,256 | ||||||
|
| |||||||
| 16,581 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Gas Utilities — 1.5% |
| |||||||
Northwest Natural Holding Co. | 76 | 5,611 | ||||||
ONE Gas, Inc. | 25 | 2,367 | ||||||
Southwest Gas Holdings, Inc. | 117 | 8,919 | ||||||
Spire, Inc. | 40 | 3,291 | ||||||
|
| |||||||
| 20,188 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.3% |
| |||||||
Varex Imaging Corp. * | 127 | 3,771 | ||||||
|
| |||||||
Health Care Providers & Services — 1.7% |
| |||||||
American Renal Associates Holdings, Inc. * (a) | 71 | 740 | ||||||
Cross Country Healthcare, Inc. * | 180 | 2,094 | ||||||
Diplomat Pharmacy, Inc. * | 406 | 1,625 | ||||||
Magellan Health, Inc. * | 166 | 12,989 | ||||||
Owens & Minor, Inc. (a) | 835 | 4,319 | ||||||
Patterson Cos., Inc. (a) | 56 | 1,141 | ||||||
|
| |||||||
| 22,908 | ||||||||
|
| |||||||
Health Care Technology — 0.9% |
| |||||||
Allscripts Healthcare Solutions, Inc. * | 1,172 | 11,507 | ||||||
Computer Programs & Systems, Inc. (a) | 24 | 631 | ||||||
|
| |||||||
| 12,138 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Boyd Gaming Corp. | 68 | 2,030 | ||||||
Brinker International, Inc. (a) | 268 | 11,269 | ||||||
Red Lion Hotels Corp. * (a) | 149 | 557 | ||||||
|
| |||||||
| 13,856 | ||||||||
|
| |||||||
Household Durables — 2.8% |
| |||||||
Helen of Troy Ltd. * (a) | 11 | 1,942 | ||||||
KB Home | 219 | 7,498 | ||||||
Meritage Homes Corp. * (a) | 49 | 2,982 | ||||||
Sonos, Inc. * | 602 | 9,398 | ||||||
Taylor Morrison Home Corp. * | 35 | 772 | ||||||
TRI Pointe Group, Inc. * | 974 | 15,175 | ||||||
|
| |||||||
| 37,767 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.3% |
| |||||||
Atlantic Power Corp. * | 1,612 | 3,756 | ||||||
Clearway Energy, Inc. | 319 | 6,103 | ||||||
Clearway Energy, Inc., Class C (a) | 366 | 7,298 | ||||||
|
| |||||||
| 17,157 | ||||||||
|
| |||||||
Insurance — 2.4% |
| |||||||
Ambac Financial Group, Inc. * (a) | 88 | 1,903 | ||||||
American Equity Investment Life Holding Co. | 265 | 7,943 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Insurance — continued |
| |||||||
AMERISAFE, Inc. | 75 | 4,946 | ||||||
Argo Group International Holdings Ltd. | 12 | 816 | ||||||
CNO Financial Group, Inc. | 482 | 8,742 | ||||||
Global Indemnity Ltd. (Cayman Islands) | 9 | 270 | ||||||
Hallmark Financial Services, Inc. * | 57 | 1,005 | ||||||
Heritage Insurance Holdings, Inc. | 78 | 1,032 | ||||||
Horace Mann Educators Corp. | 18 | 764 | ||||||
MBIA, Inc. * (a) | 193 | 1,790 | ||||||
Primerica, Inc. | 8 | 1,097 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 98 | 1,028 | ||||||
|
| |||||||
| 31,336 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.6% |
| |||||||
Stamps.com, Inc. * | 87 | 7,291 | ||||||
|
| |||||||
IT Services — 0.8% |
| |||||||
KBR, Inc. | 185 | 5,652 | ||||||
Perficient, Inc. * | 78 | 3,607 | ||||||
Unisys Corp. * | 141 | 1,672 | ||||||
|
| |||||||
| 10,931 | ||||||||
|
| |||||||
Machinery — 2.5% |
| |||||||
AGCO Corp. | 74 | 5,740 | ||||||
Astec Industries, Inc. | 105 | 4,401 | ||||||
Douglas Dynamics, Inc. | 118 | 6,512 | ||||||
EnPro Industries, Inc. | 16 | 1,077 | ||||||
Graham Corp. | 20 | 438 | ||||||
Harsco Corp. * | 25 | 577 | ||||||
Hurco Cos., Inc. | 35 | 1,354 | ||||||
LB Foster Co., Class A * | 26 | 502 | ||||||
Wabash National Corp. (a) | 867 | 12,739 | ||||||
|
| |||||||
| 33,340 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
Cumulus Media, Inc., Class A * | 155 | 2,715 | ||||||
Gannett Co., Inc. (a) | 213 | 1,356 | ||||||
Hemisphere Media Group, Inc. * | 234 | 3,481 | ||||||
Liberty Latin America Ltd., Class A (Chile) * | 151 | 2,912 | ||||||
Liberty Latin America Ltd., Class C (Chile) * (a) | 196 | 3,822 | ||||||
Sinclair Broadcast Group, Inc., Class A | 147 | 4,894 | ||||||
WideOpenWest, Inc. * (a) | 384 | 2,850 | ||||||
|
| |||||||
| 22,030 | ||||||||
|
| |||||||
Metals & Mining — 1.3% |
| |||||||
Century Aluminum Co. * (a) | 258 | 1,936 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Metals & Mining — continued |
| |||||||
Warrior Met Coal, Inc. | 262 | 5,528 | ||||||
Worthington Industries, Inc. | 236 | 9,933 | ||||||
|
| |||||||
| 17,397 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
ARMOUR Residential REIT, Inc. (a) | 208 | 3,724 | ||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 309 | 11,509 | ||||||
Cherry Hill Mortgage Investment Corp. (a) | 158 | 2,300 | ||||||
Exantas Capital Corp. | 45 | 528 | ||||||
Invesco Mortgage Capital, Inc. | 299 | 4,978 | ||||||
Ladder Capital Corp. | 383 | 6,913 | ||||||
Two Harbors Investment Corp. | 394 | 5,765 | ||||||
|
| |||||||
| 35,717 | ||||||||
|
| |||||||
Multi-Utilities — 1.4% |
| |||||||
Avista Corp. | 120 | 5,761 | ||||||
Black Hills Corp. | 151 | 11,867 | ||||||
Unitil Corp. | 17 | 1,039 | ||||||
|
| |||||||
| 18,667 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.0% |
| |||||||
Amplify Energy Corp. | 344 | 2,273 | ||||||
Arch Coal, Inc., Class A (a) | 103 | 7,375 | ||||||
CNX Resources Corp. * | 495 | 4,383 | ||||||
Delek US Holdings, Inc. (a) | 416 | 13,952 | ||||||
Green Plains, Inc. (a) | 230 | 3,549 | ||||||
Gulfport Energy Corp. * | 1,473 | 4,478 | ||||||
Peabody Energy Corp. | 81 | 742 | ||||||
Renewable Energy Group, Inc. * (a) | 72 | 1,935 | ||||||
REX American Resources Corp. * | 96 | 7,876 | ||||||
W&T Offshore, Inc. * | 999 | 5,552 | ||||||
Whiting Petroleum Corp. * (a) | 189 | 1,390 | ||||||
|
| |||||||
| 53,505 | ||||||||
|
| |||||||
Paper & Forest Products — 1.6% |
| |||||||
Boise Cascade Co. | 74 | 2,703 | ||||||
Domtar Corp. | 67 | 2,547 | ||||||
Louisiana-Pacific Corp. | 164 | 4,857 | ||||||
Schweitzer-Mauduit International, Inc. | 176 | 7,407 | ||||||
Verso Corp., Class A * | 176 | 3,168 | ||||||
|
| |||||||
| 20,682 | ||||||||
|
| |||||||
Pharmaceuticals — 1.5% |
| |||||||
Endo International plc * (a) | 1,397 | 6,551 | ||||||
Intra-Cellular Therapies, Inc. * (a) | 104 | 3,551 | ||||||
Lannett Co., Inc. * (a) | 545 | 4,811 | ||||||
Prestige Consumer Healthcare, Inc. * | 127 | 5,123 | ||||||
|
| |||||||
| 20,036 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Professional Services — 2.9% |
| |||||||
Acacia Research Corp. * | 369 | 980 | ||||||
Barrett Business Services, Inc. | 87 | 7,899 | ||||||
FTI Consulting, Inc. * | 112 | 12,438 | ||||||
Heidrick & Struggles International, Inc. | 48 | 1,560 | ||||||
Huron Consulting Group, Inc. * | 145 | 9,992 | ||||||
Kelly Services, Inc., Class A (a) | 59 | 1,326 | ||||||
TrueBlue, Inc. * | 201 | 4,846 | ||||||
|
| |||||||
| 39,041 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
ArcBest Corp. | 289 | 7,968 | ||||||
Covenant Transportation Group, Inc., Class A * | 34 | 437 | ||||||
|
| |||||||
| 8,405 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.2% |
| |||||||
Amkor Technology, Inc. * | 584 | 7,591 | ||||||
Cirrus Logic, Inc. * | 90 | 7,375 | ||||||
NeoPhotonics Corp. * | 566 | 4,993 | ||||||
Rambus, Inc. * | 1,073 | 14,785 | ||||||
Synaptics, Inc. * | 150 | 9,892 | ||||||
Veeco Instruments, Inc. * (a) | 319 | 4,689 | ||||||
Xperi Corp. | 385 | 7,128 | ||||||
|
| |||||||
| 56,453 | ||||||||
|
| |||||||
Software — 2.2% |
| |||||||
ACI Worldwide, Inc. * (a) | 196 | 7,441 | ||||||
Fair Isaac Corp. * | 10 | 3,634 | ||||||
MicroStrategy, Inc., Class A * | 17 | 2,453 | ||||||
SecureWorks Corp., Class A * | 112 | 1,858 | ||||||
Synchronoss Technologies, Inc. * (a) | 121 | 574 | ||||||
TiVo Corp. | 1,581 | 13,409 | ||||||
|
| |||||||
| 29,369 | ||||||||
|
| |||||||
Specialty Retail — 2.7% |
| |||||||
Abercrombie & Fitch Co., Class A (a) | 442 | 7,639 | ||||||
Barnes & Noble Education, Inc. * | 748 | 3,194 | ||||||
Cato Corp. (The), Class A | 116 | 2,011 | ||||||
Express, Inc. * (a) | 430 | 2,096 | ||||||
Haverty Furniture Cos., Inc. | 2 | 33 | ||||||
Hibbett Sports, Inc. * (a) | 309 | 8,670 | ||||||
Murphy USA, Inc. * | 26 | 3,054 | ||||||
Office Depot, Inc. | 1,129 | 3,093 | ||||||
Sally Beauty Holdings, Inc. * (a) | 111 | 2,033 | ||||||
Zumiez, Inc. * (a) | 108 | 3,713 | ||||||
|
| |||||||
| 35,536 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Deckers Outdoor Corp. * | 27 | 4,542 | ||||||
Fossil Group, Inc. * (a) | 324 | 2,550 | ||||||
G-III Apparel Group Ltd. * | 23 | 761 | ||||||
Movado Group, Inc. | 94 | 2,050 | ||||||
|
| |||||||
| 9,903 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 4.1% |
| |||||||
Essent Group Ltd. | 84 | 4,341 | ||||||
First Defiance Financial Corp. | 53 | 1,681 | ||||||
Luther Burbank Corp. | 48 | 557 | ||||||
Meridian Bancorp, Inc. | 242 | 4,870 | ||||||
MGIC Investment Corp. | 444 | 6,297 | ||||||
Northfield Bancorp, Inc. (a) | 487 | 8,251 | ||||||
Radian Group, Inc. | 260 | 6,547 | ||||||
Territorial Bancorp, Inc. | 12 | 384 | ||||||
United Community Financial Corp. | 33 | 386 | ||||||
Washington Federal, Inc. | 453 | 16,606 | ||||||
Waterstone Financial, Inc. | 69 | 1,313 | ||||||
WSFS Financial Corp. | 66 | 2,896 | ||||||
|
| |||||||
| 54,129 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
Vector Group Ltd. (a) | 170 | 2,278 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.5% |
| |||||||
BMC Stock Holdings, Inc. * | 173 | 4,952 | ||||||
DXP Enterprises, Inc. * | 90 | 3,579 | ||||||
Foundation Building Materials, Inc. * | 93 | 1,800 | ||||||
MRC Global, Inc. * | 392 | 5,343 | ||||||
NOW, Inc. * (a) | 1,024 | 11,509 | ||||||
Titan Machinery, Inc. * | 256 | 3,785 | ||||||
Veritiv Corp. * (a) | 94 | 1,851 | ||||||
|
| |||||||
| 32,819 | ||||||||
|
| |||||||
Water Utilities — 0.2% |
| |||||||
American States Water Co. | 35 | 3,032 | ||||||
|
| |||||||
Total Common Stocks |
| 1,306,407 | ||||||
|
| |||||||
Short-term Investments — 8.4% | ||||||||
Investment Companies — 2.0% | ||||||||
JPMorgan Prime Money Market Fund | 26,280 | 26,287 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — continued | ||||||||
Investment of Cash Collateral from Securities Loaned — 6.4% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 73,012 | 73,020 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 12,287 | 12,287 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 85,307 | |||||||
|
| |||||||
Total Short-term Investments | 111,594 | |||||||
|
| |||||||
Total Investments — 106.5% |
| 1,418,001 | ||||||
Liabilities in Excess of |
| (87,115 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| 1,330,886 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Abbreviations | ||
REIT | Real Estate Investment Trust | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $82,472,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
| Russell 2000E-Mini Index | 296 | 03/2020 | USD | 24,715 | 96 | |||||||||||||
|
| |||||||||||||||||
| Abbreviations | ||
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.6% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
Moog, Inc., Class A | 24 | 2,069 | ||||||
|
| |||||||
Air Freight & Logistics — 0.2% | ||||||||
Echo Global Logistics, Inc. * | 141 | 2,922 | ||||||
|
| |||||||
Auto Components — 1.0% | ||||||||
Gentherm, Inc. * | 144 | 6,388 | ||||||
Stoneridge, Inc. * | 256 | 7,512 | ||||||
|
| |||||||
| 13,900 | ||||||||
|
| |||||||
Banks — 8.6% | ||||||||
1st Source Corp. | 41 | 2,138 | ||||||
Atlantic Union Bankshares Corp. | 33 | 1,241 | ||||||
BancFirst Corp. | 126 | 7,855 | ||||||
BancorpSouth Bank | 169 | 5,303 | ||||||
BankFinancial Corp. | 64 | 834 | ||||||
Banner Corp. | 131 | 7,395 | ||||||
Brookline Bancorp, Inc. | 168 | 2,760 | ||||||
Cadence BanCorp | 10 | 187 | ||||||
Cathay General Bancorp | 66 | 2,510 | ||||||
Central Pacific Financial Corp. | 205 | 6,061 | ||||||
Central Valley Community Bancorp | 15 | 330 | ||||||
Columbia Banking System, Inc. (a) | 164 | 6,663 | ||||||
CVB Financial Corp. (a) | 273 | 5,885 | ||||||
Enterprise Financial Services Corp. | 39 | 1,871 | ||||||
First Commonwealth Financial Corp. (a) | 276 | 3,999 | ||||||
First Community Bankshares, Inc. | 18 | 568 | ||||||
First Hawaiian, Inc. | 60 | 1,735 | ||||||
First Interstate BancSystem, Inc., Class A | 42 | 1,758 | ||||||
Flushing Financial Corp. | 56 | 1,207 | ||||||
Great Western Bancorp, Inc. | 20 | 702 | ||||||
Hope Bancorp, Inc. | 135 | 2,003 | ||||||
IBERIABANK Corp. | 24 | 1,803 | ||||||
Independent Bank Corp. | 78 | 1,774 | ||||||
Independent Bank Corp. | 9 | 724 | ||||||
Investors Bancorp, Inc. | 185 | 2,205 | ||||||
National Bank Holdings Corp., Class A | 15 | 542 | ||||||
PacWest Bancorp | 45 | 1,720 | ||||||
People’s United Financial, Inc. (a) | 92 | 1,551 | ||||||
Simmons First National Corp., Class A | 78 | 2,097 | ||||||
South State Corp. | 10 | 841 | ||||||
TCF Financial Corp. | 86 | 4,036 | ||||||
Trustmark Corp. (a) | 413 | 14,257 | ||||||
UMB Financial Corp. (a) | 41 | 2,795 | ||||||
United Bankshares, Inc. | 121 | 4,676 | ||||||
Webster Financial Corp. | 39 | 2,102 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued | ||||||||
West Bancorp, Inc. (a) | 27 | 684 | ||||||
Westamerica Bancorp (a) | 152 | 10,303 | ||||||
|
| |||||||
| 115,115 | ||||||||
|
| |||||||
Biotechnology — 8.0% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 153 | 6,536 | ||||||
Aimmune Therapeutics, Inc. * (a) | 92 | 3,068 | ||||||
Alector, Inc. * (a) | 36 | 613 | ||||||
AMAG Pharmaceuticals, Inc. * (a) | 18 | 221 | ||||||
Amicus Therapeutics, Inc. * | 281 | 2,737 | ||||||
Arena Pharmaceuticals, Inc. * (a) | 86 | 3,890 | ||||||
Atara Biotherapeutics, Inc. * (a) | 94 | 1,556 | ||||||
Athenex, Inc. * (a) | 224 | 3,422 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 105 | 5,699 | ||||||
Bluebird Bio, Inc. * (a) | 14 | 1,250 | ||||||
Bridgebio Pharma, Inc. * (a) | 70 | 2,450 | ||||||
Clovis Oncology, Inc. * (a) | 277 | 2,889 | ||||||
CytomX Therapeutics, Inc. * | 96 | 797 | ||||||
Eagle Pharmaceuticals, Inc. * | 23 | 1,365 | ||||||
Eiger BioPharmaceuticals, Inc. * (a) | 241 | 3,592 | ||||||
Flexion Therapeutics, Inc. * (a) | 99 | 2,044 | ||||||
Forty Seven, Inc. * (a) | 179 | 7,044 | ||||||
Global Blood Therapeutics, Inc. * (a) | 92 | 7,349 | ||||||
Gritstone Oncology, Inc. * (a) | 42 | 373 | ||||||
Homology Medicines, Inc. * | 58 | 1,203 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 54 | 6,738 | ||||||
La Jolla Pharmaceutical Co. * (a) | 91 | 357 | ||||||
Mersana Therapeutics, Inc. * | 586 | 3,359 | ||||||
Myriad Genetics, Inc. * | 49 | 1,323 | ||||||
Principia Biopharma, Inc. * (a) | 103 | 5,640 | ||||||
Protagonist Therapeutics, Inc. * | 222 | 1,567 | ||||||
Puma Biotechnology, Inc. * (a) | 66 | 577 | ||||||
REGENXBIO, Inc. * (a) | 102 | 4,179 | ||||||
Sangamo Therapeutics, Inc. * | 55 | 458 | ||||||
Sarepta Therapeutics, Inc. * (a) | 25 | 3,181 | ||||||
Seres Therapeutics, Inc. * (a) | 466 | 1,608 | ||||||
Solid Biosciences, Inc. * | 89 | 396 | ||||||
Sutro Biopharma, Inc. * | 33 | 364 | ||||||
Synlogic, Inc. * | 183 | 471 | ||||||
TCR2 Therapeutics, Inc. * | 71 | 1,020 | ||||||
TG Therapeutics, Inc. * (a) | 198 | 2,195 | ||||||
UroGen Pharma Ltd. * (a) | 121 | 4,041 | ||||||
Vanda Pharmaceuticals, Inc. * | 143 | 2,340 | ||||||
Viela Bio, Inc. * (a) | 91 | 2,462 | ||||||
Voyager Therapeutics, Inc. * | 152 | 2,118 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Biotechnology — continued | ||||||||
Xencor, Inc. * (a) | 109 | 3,732 | ||||||
Y-mAbs Therapeutics, Inc. * | 10 | 303 | ||||||
|
| |||||||
| 106,527 | ||||||||
|
| |||||||
Building Products — 2.1% | ||||||||
Builders FirstSource, Inc. * | 303 | 7,709 | ||||||
Continental Building Products, Inc. * | 191 | 6,957 | ||||||
CSW Industrials, Inc. | 90 | 6,967 | ||||||
Masonite International Corp. * | 78 | 5,618 | ||||||
Quanex Building Products Corp. | 20 | 349 | ||||||
|
| |||||||
| 27,600 | ||||||||
|
| |||||||
Capital Markets — 1.0% | ||||||||
Brightsphere Investment Group, Inc. | 49 | 502 | ||||||
Cowen, Inc., Class A * (a) | 56 | 879 | ||||||
Donnelley Financial Solutions, Inc. * | 91 | 955 | ||||||
Houlihan Lokey, Inc. | 111 | 5,406 | ||||||
Moelis & Co., Class A | 30 | 961 | ||||||
Stifel Financial Corp. (a) | 74 | 4,485 | ||||||
|
| |||||||
| 13,188 | ||||||||
|
| |||||||
Chemicals — 1.0% | ||||||||
FutureFuel Corp. | 207 | 2,559 | ||||||
Minerals Technologies, Inc. | 81 | 4,667 | ||||||
PolyOne Corp. | 32 | 1,171 | ||||||
Stepan Co. | 13 | 1,332 | ||||||
Trinseo SA | 112 | 4,172 | ||||||
|
| |||||||
| 13,901 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% | ||||||||
ABM Industries, Inc. | 42 | 1,573 | ||||||
ACCO Brands Corp. | 884 | 8,271 | ||||||
Deluxe Corp. | 82 | 4,070 | ||||||
Ennis, Inc. | 231 | 4,996 | ||||||
HNI Corp. | 80 | 3,009 | ||||||
Quad/Graphics, Inc. (a) | 314 | 1,468 | ||||||
VSE Corp. | 16 | 614 | ||||||
|
| |||||||
| 24,001 | ||||||||
|
| |||||||
Communications Equipment — 0.6% | ||||||||
Extreme Networks, Inc. * (a) | 565 | 4,164 | ||||||
InterDigital, Inc. (a) | 68 | 3,689 | ||||||
|
| |||||||
| 7,853 | ||||||||
|
| |||||||
Construction & Engineering — 2.7% | ||||||||
Comfort Systems USA, Inc. | 86 | 4,272 | ||||||
EMCOR Group, Inc. | 203 | 17,536 | ||||||
MasTec, Inc. * (a) | 157 | 10,099 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Construction & Engineering — continued | ||||||||
MYR Group, Inc. * | 81 | 2,654 | ||||||
Sterling Construction Co., Inc. * | 125 | 1,755 | ||||||
|
| |||||||
| 36,316 | ||||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
Credit Acceptance Corp. * (a) | 7 | 3,218 | ||||||
FirstCash, Inc. | 22 | 1,800 | ||||||
Green Dot Corp., Class A * | 35 | 817 | ||||||
Nelnet, Inc., Class A | 10 | 594 | ||||||
|
| |||||||
| 6,429 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
Graphic Packaging Holding Co. | 90 | 1,490 | ||||||
Myers Industries, Inc. | 83 | 1,380 | ||||||
|
| |||||||
| 2,870 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
Core-Mark Holding Co., Inc. (a) | 71 | 1,939 | ||||||
|
| |||||||
Diversified Consumer Services — 0.6% | ||||||||
Houghton Mifflin Harcourt Co. * (a) | 46 | 286 | ||||||
K12, Inc. * | 394 | 8,014 | ||||||
|
| |||||||
| 8,300 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.8% | ||||||||
Cogent Communications Holdings, Inc. | 112 | 7,371 | ||||||
Consolidated Communications Holdings, Inc. (a) | 1,006 | 3,901 | ||||||
|
| |||||||
| 11,272 | ||||||||
|
| |||||||
Electric Utilities — 1.0% | ||||||||
IDACORP, Inc. | 12 | 1,282 | ||||||
PNM Resources, Inc. | 59 | 2,982 | ||||||
Portland General Electric Co. | 133 | 7,416 | ||||||
Spark Energy, Inc., Class A (a) | 208 | 1,915 | ||||||
|
| |||||||
| 13,595 | ||||||||
|
| |||||||
Electrical Equipment — 1.3% | ||||||||
Bloom Energy Corp., Class A * | 8 | 62 | ||||||
Generac Holdings, Inc. * | 142 | 14,324 | ||||||
Powell Industries, Inc. | 69 | 3,396 | ||||||
|
| |||||||
| 17,782 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.0% |
| |||||||
Benchmark Electronics, Inc. | 115 | 3,966 | ||||||
Fabrinet (Thailand) * | 76 | 4,933 | ||||||
Insight Enterprises, Inc. * (a) | 39 | 2,741 | ||||||
OSI Systems, Inc. * | 84 | 8,500 | ||||||
Tech Data Corp. * | 22 | 3,102 | ||||||
TTM Technologies, Inc. * | 252 | 3,791 | ||||||
|
| |||||||
| 27,033 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Energy Equipment & Services — 0.7% | ||||||||
FTS International, Inc. * | 16 | 17 | ||||||
Matrix Service Co. * | 294 | 6,721 | ||||||
SEACOR Holdings, Inc. * | 69 | 2,982 | ||||||
|
| |||||||
| 9,720 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.7% |
| |||||||
Agree Realty Corp. | 9 | 603 | ||||||
Alexander & Baldwin, Inc. | 34 | 711 | ||||||
American Assets Trust, Inc. | 212 | 9,730 | ||||||
Americold Realty Trust (a) | 165 | 5,798 | ||||||
Ashford Hospitality Trust, Inc. | 300 | 837 | ||||||
CoreSite Realty Corp. | 86 | 9,617 | ||||||
CubeSmart | 53 | 1,654 | ||||||
DiamondRock Hospitality Co. | 507 | 5,614 | ||||||
Easterly Government Properties, Inc. | 52 | 1,241 | ||||||
EastGroup Properties, Inc. | 27 | 3,642 | ||||||
Equity LifeStyle Properties, Inc. | 40 | 2,823 | ||||||
First Industrial Realty Trust, Inc. | 138 | 5,728 | ||||||
Four Corners Property Trust, Inc. | 23 | 634 | ||||||
Front Yard Residential Corp. | 31 | 386 | ||||||
GEO Group, Inc. (The) | 302 | 5,017 | ||||||
Getty Realty Corp. | 59 | 1,930 | ||||||
Gladstone Commercial Corp. | 80 | 1,750 | ||||||
Hersha Hospitality Trust | 64 | 925 | ||||||
Highwoods Properties, Inc. | 29 | 1,423 | ||||||
Lexington Realty Trust | 272 | 2,890 | ||||||
Mack-Cali Realty Corp. | 70 | 1,624 | ||||||
National Retail Properties, Inc. | 10 | 515 | ||||||
Pebblebrook Hotel Trust (a) | 204 | 5,481 | ||||||
Physicians Realty Trust | 117 | 2,207 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 193 | 4,286 | ||||||
PS Business Parks, Inc. | 6 | 977 | ||||||
RLJ Lodging Trust | 44 | 777 | ||||||
Saul Centers, Inc. | 38 | 2,016 | ||||||
Sunstone Hotel Investors, Inc. | 405 | 5,638 | ||||||
Taubman Centers, Inc. | 14 | 441 | ||||||
Terreno Realty Corp. | 16 | 883 | ||||||
UMH Properties, Inc. | 27 | 420 | ||||||
Xenia Hotels & Resorts, Inc. | 33 | 712 | ||||||
|
| |||||||
| 88,930 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% | ||||||||
Grocery Outlet Holding Corp. * (a) | 33 | 1,058 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food Products — 1.6% | ||||||||
Darling Ingredients, Inc. * | 544 | 15,269 | ||||||
Sanderson Farms, Inc. | 30 | 5,322 | ||||||
Seneca Foods Corp., Class A * | 16 | 634 | ||||||
|
| |||||||
| 21,225 | ||||||||
|
| |||||||
Gas Utilities — 0.6% | ||||||||
New Jersey Resources Corp. | 27 | 1,221 | ||||||
Northwest Natural Holding Co. | 20 | 1,475 | ||||||
ONE Gas, Inc. | 27 | 2,554 | ||||||
Southwest Gas Holdings, Inc. | 40 | 3,016 | ||||||
|
| |||||||
| 8,266 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% |
| |||||||
AngioDynamics, Inc. * | 234 | 3,738 | ||||||
Integer Holdings Corp. * | 191 | 15,350 | ||||||
Lantheus Holdings, Inc. * | 62 | 1,264 | ||||||
Meridian Bioscience, Inc. | 171 | 1,674 | ||||||
Nevro Corp. * | 57 | 6,709 | ||||||
NuVasive, Inc. * | 107 | 8,258 | ||||||
Orthofix Medical, Inc. * | 38 | 1,750 | ||||||
Varex Imaging Corp. * (a) | 276 | 8,216 | ||||||
|
| |||||||
| 46,959 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.2% |
| |||||||
Amedisys, Inc. * | 10 | 1,749 | ||||||
Community Health Systems, Inc. * (a) | 240 | 696 | ||||||
Cross Country Healthcare, Inc. * | 312 | 3,622 | ||||||
Diplomat Pharmacy, Inc. * (a) | 164 | 654 | ||||||
Magellan Health, Inc. * | 149 | 11,675 | ||||||
Owens & Minor, Inc. | 467 | 2,413 | ||||||
Patterson Cos., Inc. (a) | 232 | 4,754 | ||||||
Surgery Partners, Inc. * (a) | 109 | 1,713 | ||||||
Tenet Healthcare Corp. * (a) | 60 | 2,281 | ||||||
|
| |||||||
| 29,557 | ||||||||
|
| |||||||
Health Care Technology — 1.9% |
| |||||||
Allscripts Healthcare Solutions, Inc. * | 1,479 | 14,513 | ||||||
Evolent Health, Inc., Class A * (a) | 518 | 4,684 | ||||||
HealthStream, Inc. * | 179 | 4,866 | ||||||
Livongo Health, Inc. * (a) | 50 | 1,251 | ||||||
|
| |||||||
| 25,314 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Bloomin’ Brands, Inc. | 410 | 9,053 | ||||||
Boyd Gaming Corp. | 110 | 3,306 | ||||||
Brinker International, Inc. (a) | 288 | 12,101 | ||||||
Red Lion Hotels Corp. * (a) | 140 | 521 | ||||||
|
| |||||||
| 24,981 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Durables — 3.2% |
| |||||||
Hamilton Beach Brands Holding Co., Class A | 32 | 614 | ||||||
KB Home | 425 | 14,566 | ||||||
Sonos, Inc. * (a) | 706 | 11,020 | ||||||
TRI Pointe Group, Inc. * | 1,018 | 15,854 | ||||||
|
| |||||||
| 42,054 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.4% |
| |||||||
Atlantic Power Corp. * | 1,910 | 4,451 | ||||||
Clearway Energy, Inc. | 73 | 1,399 | ||||||
|
| |||||||
| 5,850 | ||||||||
|
| |||||||
Insurance — 1.3% |
| |||||||
American Equity Investment Life Holding Co. | 13 | 391 | ||||||
CNO Financial Group, Inc. | 134 | 2,422 | ||||||
First American Financial Corp. | 26 | 1,544 | ||||||
Global Indemnity Ltd. (Cayman Islands) | 16 | 461 | ||||||
Kemper Corp. | 14 | 1,081 | ||||||
Kinsale Capital Group, Inc. | 45 | 4,529 | ||||||
MBIA, Inc. * (a) | 47 | 434 | ||||||
Primerica, Inc. | 49 | 6,339 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 46 | 485 | ||||||
|
| |||||||
| 17,686 | ||||||||
|
| |||||||
Interactive Media & Services — 0.4% |
| |||||||
Yelp, Inc. * | 152 | 5,287 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.6% |
| |||||||
Etsy, Inc. * | 19 | 859 | ||||||
Groupon, Inc. * | 401 | 959 | ||||||
Stamps.com, Inc. * | 73 | 6,089 | ||||||
|
| |||||||
| 7,907 | ||||||||
|
| |||||||
IT Services — 1.9% |
| |||||||
Brightcove, Inc. * | 282 | 2,451 | ||||||
CACI International, Inc., Class A * | 21 | 5,262 | ||||||
Euronet Worldwide, Inc. * | 14 | 2,214 | ||||||
KBR, Inc. | 62 | 1,900 | ||||||
NIC, Inc. (a) | 63 | 1,416 | ||||||
Perficient, Inc. * | 260 | 11,962 | ||||||
Unisys Corp. * | 29 | 349 | ||||||
|
| |||||||
| 25,554 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
10X Genomics, Inc., Class A * (a) | 21 | 1,609 | ||||||
Adaptive Biotechnologies Corp. * (a) | 50 | 1,484 | ||||||
Medpace Holdings, Inc. * | 75 | 6,319 | ||||||
Personalis, Inc. * | 56 | 612 | ||||||
|
| |||||||
| 10,024 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Machinery — 3.1% |
| |||||||
Actuant Corp., Class A | 12 | 301 | ||||||
Astec Industries, Inc. | 119 | 4,990 | ||||||
Douglas Dynamics, Inc. | 183 | 10,090 | ||||||
EnPro Industries, Inc. | 39 | 2,582 | ||||||
Graham Corp. | 28 | 603 | ||||||
Harsco Corp. * | 58 | 1,335 | ||||||
Kadant, Inc. (a) | 35 | 3,737 | ||||||
LB Foster Co., Class A * | 18 | 344 | ||||||
Meritor, Inc. * | 136 | 3,559 | ||||||
Wabash National Corp. (a) | 968 | 14,219 | ||||||
|
| |||||||
| 41,760 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
Gannett Co., Inc. (a) | 98 | 624 | ||||||
Hemisphere Media Group, Inc. * | 172 | 2,551 | ||||||
Nexstar Media Group, Inc., Class A (a) | 43 | 5,065 | ||||||
Sinclair Broadcast Group, Inc., Class A | 142 | 4,743 | ||||||
WideOpenWest, Inc. * (a) | 346 | 2,570 | ||||||
|
| |||||||
| 15,553 | ||||||||
|
| |||||||
Metals & Mining — 1.0% |
| |||||||
Kaiser Aluminum Corp. | 10 | 1,064 | ||||||
Warrior Met Coal, Inc. | 216 | 4,558 | ||||||
Worthington Industries, Inc. | 193 | 8,157 | ||||||
|
| |||||||
| 13,779 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 198 | 7,384 | ||||||
Cherry Hill Mortgage Investment Corp. | 19 | 276 | ||||||
Invesco Mortgage Capital, Inc. | 117 | 1,951 | ||||||
Ladder Capital Corp. | 62 | 1,111 | ||||||
Two Harbors Investment Corp. | 172 | 2,515 | ||||||
|
| |||||||
| 13,237 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% |
| |||||||
Black Hills Corp. | 62 | 4,854 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
Arch Coal, Inc., Class A (a) | 51 | 3,655 | ||||||
CVR Energy, Inc. | 15 | 597 | ||||||
Delek US Holdings, Inc. | 251 | 8,406 | ||||||
Dorian LPG Ltd. * | 4 | 68 | ||||||
Gulfport Energy Corp. * (a) | 694 | 2,110 | ||||||
Peabody Energy Corp. (a) | 49 | 449 | ||||||
Renewable Energy Group, Inc. * (a) | 71 | 1,914 | ||||||
REX American Resources Corp. * | 72 | 5,907 | ||||||
W&T Offshore, Inc. * | 1,003 | 5,577 | ||||||
|
| |||||||
| 28,683 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Paper & Forest Products — 0.9% |
| |||||||
Boise Cascade Co. | 73 | 2,672 | ||||||
Domtar Corp. | 31 | 1,194 | ||||||
Louisiana-Pacific Corp. | 119 | 3,526 | ||||||
Verso Corp., Class A * | 258 | 4,655 | ||||||
|
| |||||||
| 12,047 | ||||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
Edgewell Personal Care Co. * | 36 | 1,117 | ||||||
Herbalife Nutrition Ltd. * (a) | 27 | 1,310 | ||||||
Medifast, Inc. | 10 | 1,128 | ||||||
USANA Health Sciences, Inc. * | 16 | 1,237 | ||||||
|
| |||||||
| 4,792 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
Arvinas, Inc. * (a) | 3 | 124 | ||||||
Endo International plc * (a) | 690 | 3,236 | ||||||
Horizon Therapeutics plc * | 231 | 8,349 | ||||||
Lannett Co., Inc. * (a) | 342 | 3,013 | ||||||
Menlo Therapeutics, Inc. * | 76 | 354 | ||||||
MyoKardia, Inc. * (a) | 99 | 7,186 | ||||||
Paratek Pharmaceuticals, Inc. * (a) | 1,246 | 5,021 | ||||||
Prestige Consumer Healthcare, Inc. * (a) | 147 | 5,958 | ||||||
Reata Pharmaceuticals, Inc., Class A * | 41 | 8,449 | ||||||
resTORbio, Inc. * | 56 | 84 | ||||||
|
| |||||||
| 41,774 | ||||||||
|
| |||||||
Professional Services — 2.5% |
| |||||||
Barrett Business Services, Inc. (a) | 128 | 11,616 | ||||||
Heidrick & Struggles International, Inc. | 18 | 591 | ||||||
Huron Consulting Group, Inc. * | 164 | 11,248 | ||||||
Kforce, Inc. | 108 | 4,291 | ||||||
Korn Ferry | 75 | 3,159 | ||||||
TrueBlue, Inc. * | 124 | 2,990 | ||||||
|
| |||||||
| 33,895 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
ArcBest Corp. | 218 | 6,004 | ||||||
Schneider National, Inc., Class B | 40 | 866 | ||||||
|
| |||||||
| 6,870 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.0% |
| |||||||
Amkor Technology, Inc. * | 720 | 9,357 | ||||||
Cirrus Logic, Inc. * | 144 | 11,896 | ||||||
NeoPhotonics Corp. * | 201 | 1,777 | ||||||
Rambus, Inc. * | 942 | 12,970 | ||||||
Synaptics, Inc. * (a) | 120 | 7,891 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Veeco Instruments, Inc. * | 247 | 3,623 | ||||||
Xperi Corp. | 289 | 5,339 | ||||||
|
| |||||||
| 52,853 | ||||||||
|
| |||||||
Software — 5.6% |
| |||||||
ACI Worldwide, Inc. * | 393 | 14,875 | ||||||
Avaya Holdings Corp. * (a) | 335 | 4,517 | ||||||
Box, Inc., Class A * (a) | 228 | 3,821 | ||||||
Cloudflare, Inc., Class A * | 28 | 474 | ||||||
CommVault Systems, Inc. * | 321 | 14,327 | ||||||
Dynatrace, Inc. * (a) | 175 | 4,415 | ||||||
j2 Global, Inc. (a) | 57 | 5,356 | ||||||
Manhattan Associates, Inc. * | 33 | 2,668 | ||||||
MicroStrategy, Inc., Class A * | 14 | 1,933 | ||||||
Proofpoint, Inc. * | 30 | 3,409 | ||||||
Qualys, Inc. * (a) | 57 | 4,783 | ||||||
Synchronoss Technologies, Inc. * (a) | 814 | 3,866 | ||||||
Telenav, Inc. * | 127 | 618 | ||||||
TiVo Corp. | 1,132 | 9,603 | ||||||
|
| |||||||
| 74,665 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
Abercrombie & Fitch Co., Class A (a) | 512 | 8,853 | ||||||
Barnes & Noble Education, Inc. * | 554 | 2,366 | ||||||
Conn’s, Inc. * (a) | 36 | 443 | ||||||
Five Below, Inc. * | 10 | 1,228 | ||||||
Haverty Furniture Cos., Inc. | 2 | 32 | ||||||
Hibbett Sports, Inc. * (a) | 180 | 5,048 | ||||||
Murphy USA, Inc. * (a) | 50 | 5,900 | ||||||
Office Depot, Inc. | 1,119 | 3,067 | ||||||
Sally Beauty Holdings, Inc. * | 25 | 451 | ||||||
Sleep Number Corp. * (a) | 167 | 8,203 | ||||||
Tailored Brands, Inc. (a) | 166 | 686 | ||||||
Zumiez, Inc. * (a) | 184 | 6,358 | ||||||
|
| |||||||
| 42,635 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
Crocs, Inc. * | 58 | 2,444 | ||||||
Deckers Outdoor Corp. * | 84 | 14,104 | ||||||
Fossil Group, Inc. * (a) | 327 | 2,578 | ||||||
|
| |||||||
| 19,126 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 3.1% |
| |||||||
Capitol Federal Financial, Inc. | 14 | 199 | ||||||
Essent Group Ltd. | 83 | 4,336 | ||||||
First Defiance Financial Corp. | 30 | 935 | ||||||
Meridian Bancorp, Inc. | 404 | 8,123 | ||||||
MGIC Investment Corp. | 315 | 4,462 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Thrifts & Mortgage Finance — continued |
| |||||||
NMI Holdings, Inc., Class A * | 41 | 1,345 | ||||||
Northfield Bancorp, Inc. | 393 | 6,665 | ||||||
Radian Group, Inc. | 80 | 2,002 | ||||||
Washington Federal, Inc. | 348 | 12,766 | ||||||
|
| |||||||
| 40,833 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.7% |
| |||||||
BMC Stock Holdings, Inc. * | 95 | 2,723 | ||||||
DXP Enterprises, Inc. * | 91 | 3,617 | ||||||
MRC Global, Inc. * | 278 | 3,798 | ||||||
NOW, Inc. * (a) | 865 | 9,717 | ||||||
Titan Machinery, Inc. * | 74 | 1,096 | ||||||
Veritiv Corp. * (a) | 56 | 1,093 | ||||||
|
| |||||||
| 22,044 | ||||||||
|
| |||||||
Water Utilities — 0.8% |
| |||||||
American States Water Co. | 122 | 10,540 | ||||||
|
| |||||||
Total Common Stocks |
| 1,302,924 | ||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) |
| |||||||
Biotechnology — 0.0%(b) |
| |||||||
Alder Biopharmaceuticals, Inc. * ‡ | 187 | 164 | ||||||
|
| |||||||
| SHARES (000) | ||||||||
Short-Term Investments — 9.1% |
| |||||||
Investment Companies — 0.7% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 9,492 | 9,495 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 8.4% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 87,012 | 87,021 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 24,394 | 24,394 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 111,415 | ||||||
|
| |||||||
Total Short-Term Investments | 120,910 | |||||||
|
| |||||||
Total Investments — 106.7% |
| 1,423,998 | ||||||
Liabilities in Excess of |
| (89,843 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,334,155 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $108,465,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
| Russell 2000E-Mini Index | 382 | 03/2020 | USD | 31,895 | 110 | |||||||||||||
|
| |||||||||||||||||
Abbreviations | ||
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | JPMorgan Small Cap Equity Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments innon-affiliates, at value | $ | 430,958 | $ | 476,544 | $ | 6,956,255 | ||||||
Investments in affiliates, at value | 7,198 | 14,774 | 333,076 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | 33,927 | 33,625 | 283,070 | |||||||||
Cash | 16 | 16 | 492 | |||||||||
Deposits at broker for futures contracts | — | 547 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 695 | 801 | |||||||||
Fund shares sold | 1,327 | 14,786 | 3,099 | |||||||||
Dividends fromnon-affiliates | 369 | 566 | 7,032 | |||||||||
Dividends from affiliates | 1 | 1 | 16 | |||||||||
Securities lending income (See Note 2.C.) | 22 | 15 | 250 | |||||||||
Variation margin on futures contracts | — | 13 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 473,818 | 541,582 | 7,584,091 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 14,507 | 728 | |||||||||
Collateral received on securities loaned (See Note 2.C.) | 33,927 | 33,625 | 283,070 | |||||||||
Fund shares redeemed | 488 | 204 | 21,100 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 228 | 248 | 3,933 | |||||||||
Administration fees | 22 | 22 | 458 | |||||||||
Distribution fees | 51 | 4 | 250 | |||||||||
Service fees | 63 | 18 | 946 | |||||||||
Custodian and accounting fees | 15 | 14 | 27 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | — | |||||||||
Other | 111 | 153 | 550 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 34,906 | 48,796 | 311,062 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 438,912 | $ | 492,786 | $ | 7,273,029 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | JPMorgan Small Cap Equity Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 368,887 | $ | 427,603 | $ | 5,077,974 | ||||||
Total distributable earnings (loss) | 70,025 | 65,183 | 2,195,055 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 438,912 | $ | 492,786 | $ | 7,273,029 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 136,538 | $ | 5,483 | $ | 851,677 | ||||||
Class C | 34,609 | 2,467 | 106,662 | |||||||||
Class I | 142,821 | 18,953 | 3,394,469 | |||||||||
Class R2 | — | 202 | 9,134 | |||||||||
Class R3 | — | 5,685 | 2,950 | |||||||||
Class R4 | — | 2,587 | 541 | |||||||||
Class R5 | — | 226,890 | 1,232,025 | |||||||||
Class R6 | 124,944 | 230,519 | 1,675,571 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 438,912 | $ | 492,786 | $ | 7,273,029 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 6,591 | 107 | 16,697 | |||||||||
Class C | 2,612 | 49 | 2,941 | |||||||||
Class I | 5,712 | 368 | 56,705 | |||||||||
Class R2 | — | 4 | 183 | |||||||||
Class R3 | — | 110 | 58 | |||||||||
Class R4 | — | 50 | 9 | |||||||||
Class R5 | — | 4,390 | 20,531 | |||||||||
Class R6 | 4,986 | 4,468 | 27,936 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 20.71 | $ | 51.32 | $ | 51.01 | ||||||
Class C — Offering price per share (b) | 13.25 | 50.58 | 36.27 | |||||||||
Class I — Offering and redemption price per share | 25.00 | 51.54 | 59.86 | |||||||||
Class R2 — Offering and redemption price per share | — | 51.33 | 49.95 | |||||||||
Class R3 — Offering and redemption price per share | — | 51.45 | 50.65 | |||||||||
Class R4 — Offering and redemption price per share | — | 51.56 | 59.78 | |||||||||
Class R5 — Offering and redemption price per share | — | 51.69 | 60.01 | |||||||||
Class R6 — Offering and redemption price per share | 25.06 | 51.59 | 59.98 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 21.86 | $ | 54.16 | $ | 53.84 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 351,715 | $ | 405,491 | $ | 4,775,043 | ||||||
Cost of investments in affiliates | 7,198 | 14,774 | 333,076 | |||||||||
Investment securities on loan, at value (See Note 2.C.) | 33,180 | 32,946 | 270,653 | |||||||||
Cost of investment of cash collateral (See Note 2.C.) | 33,926 | 33,624 | 283,062 | |||||||||
| (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, 2019 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Small Cap Growth Fund | JPMorgan Small Cap Value Fund | JPMorgan U.S. Small Company Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments innon-affiliates, at value | $ | 3,232,101 | $ | 1,306,407 | $ | 1,303,088 | ||||||
Investments in affiliates, at value | 37,125 | 26,287 | 9,495 | |||||||||
Investment of cash collateral received from securities loaned, at value | 260,884 | 85,307 | 111,415 | |||||||||
Cash | 73 | 52 | 33 | |||||||||
Deposits at broker for futures contracts | — | 1,262 | 476 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 2,669 | 25,465 | |||||||||
Fund shares sold | 9,628 | 485 | 1,524 | |||||||||
Dividends fromnon-affiliates | 1,247 | 2,787 | 1,463 | |||||||||
Dividends from affiliates | 2 | 1 | — | (a) | ||||||||
Securities lending income (See Note 2.C.) | 284 | 27 | 185 | |||||||||
Variation margin on futures contracts | — | 28 | 29 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 3,541,344 | 1,425,312 | 1,453,173 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 1,776 | 484 | |||||||||
Collateral received on securities loaned (See Note 2.C.) | 260,884 | 85,307 | 111,415 | |||||||||
Fund shares redeemed | 6,159 | 6,162 | 5,993 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,744 | 745 | 680 | |||||||||
Administration fees | 191 | 87 | 86 | |||||||||
Distribution fees | 143 | 65 | 66 | |||||||||
Service fees | 228 | 99 | 142 | |||||||||
Custodian and accounting fees | 12 | 14 | 21 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | — | ||||||||
Other | 106 | 171 | 131 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 269,467 | 94,426 | 119,018 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 3,271,877 | $ | 1,330,886 | $ | 1,334,155 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Growth Fund | JPMorgan Small Cap Value Fund | JPMorgan U.S. Small Company Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 2,508,553 | $ | 1,129,145 | $ | 1,097,456 | ||||||
Total distributable earnings (loss) | 763,324 | 201,741 | 236,699 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 3,271,877 | $ | 1,330,886 | $ | 1,334,155 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 444,329 | $ | 174,095 | $ | 128,369 | ||||||
Class C | 60,733 | 14,874 | 25,996 | |||||||||
Class I | 331,901 | 236,475 | 266,398 | |||||||||
Class L | 624,305 | — | 432,903 | |||||||||
Class R2 | 25,758 | 35,334 | 38,212 | |||||||||
Class R3 | 3,691 | 15,347 | 25,693 | |||||||||
Class R4 | 2,417 | 83 | 8,765 | |||||||||
Class R5 | 17,110 | 43,401 | 7,917 | |||||||||
Class R6 | 1,761,633 | 811,277 | 399,902 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,271,877 | $ | 1,330,886 | $ | 1,334,155 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 25,670 | 7,316 | 7,399 | |||||||||
Class C | 5,222 | 795 | 1,589 | |||||||||
Class I | 16,982 | 9,243 | 14,967 | |||||||||
Class L | 30,818 | — | 24,365 | |||||||||
Class R2 | 1,557 | 1,504 | 2,255 | |||||||||
Class R3 | 214 | 646 | 1,491 | |||||||||
Class R4 | 139 | 3 | 495 | |||||||||
Class R5 | 844 | 1,694 | 447 | |||||||||
Class R6 | 85,901 | 31,629 | 22,498 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 17.31 | $ | 23.80 | $ | 17.35 | ||||||
Class C — Offering price per share (b) | 11.63 | 18.71 | 16.36 | |||||||||
Class I — Offering and redemption price per share | 19.54 | 25.58 | 17.80 | |||||||||
Class L — Offering and redemption price per share | 20.26 | — | 17.77 | |||||||||
Class R2 — Offering and redemption price per share | 16.54 | 23.49 | 16.95 | |||||||||
Class R3 — Offering and redemption price per share | 17.28 | 23.75 | 17.23 | |||||||||
Class R4 — Offering and redemption price per share | 17.41 | 25.59 | 17.70 | |||||||||
Class R5 — Offering and redemption price per share | 20.28 | 25.61 | 17.73 | |||||||||
Class R6 — Offering and redemption price per share | 20.51 | 25.65 | 17.77 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 18.27 | $ | 25.12 | $ | 18.31 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 2,411,990 | $ | 1,052,447 | $ | 1,035,200 | ||||||
Cost of investments in affiliates | 37,125 | 26,287 | 9,495 | |||||||||
Investment securities on loan, at value (See Note 2.C.) | 255,206 | 82,472 | 108,465 | |||||||||
Cost of investment of cash collateral (See Note 2.C.) | 260,874 | 85,306 | 111,412 | |||||||||
| (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, 2019 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | JPMorgan Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income fromnon-affiliates | $ | — | $ | 7 | $ | — | ||||||
Interest income from affiliates | — | (a) | — | (a) | — | (a) | ||||||
Dividend income fromnon-affiliates | 2,728 | 3,177 | 46,676 | |||||||||
Dividend income from affiliates | 108 | 167 | 3,293 | |||||||||
Income from securities lending (net) (See Note 2.C.) | 102 | 109 | 2,035 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,938 | 3,460 | 52,004 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 1,251 | 1,475 | 22,378 | |||||||||
Administration fees | 144 | 170 | 2,582 | |||||||||
Distribution fees: | ||||||||||||
Class A | 155 | 7 | 1,014 | |||||||||
Class C | 134 | 9 | 403 | |||||||||
Class R2 | — | — | (a) | 23 | ||||||||
Class R3 | — | 6 | 4 | |||||||||
Service fees: | ||||||||||||
Class A | 155 | 7 | 1,014 | |||||||||
Class C | 45 | 3 | 134 | |||||||||
Class I | 154 | 21 | 3,984 | |||||||||
Class R2 | — | — | (a) | 12 | ||||||||
Class R3 | — | 6 | 3 | |||||||||
Class R4 | — | 3 | 1 | |||||||||
Class R5 | — | 107 | 610 | |||||||||
Custodian and accounting fees | 41 | 38 | 94 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | 5 | |||||||
Professional fees | 28 | 30 | 64 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 14 | 25 | |||||||||
Printing and mailing costs | 29 | 4 | 235 | |||||||||
Registration and filing fees | 34 | 86 | 42 | |||||||||
Transfer agency fees (See Note 2.F.) | 17 | 9 | 131 | |||||||||
Other | 5 | 7 | 53 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 2,206 | 2,002 | 32,811 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (147 | ) | (207 | ) | (589 | ) | ||||||
Less expense reimbursements | — | — | (a) | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 2,059 | 1,795 | 32,222 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 879 | 1,665 | 19,782 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | 2,544 | 4,124 | 131,247 | |||||||||
Investments in affiliates | — | (a) | (1 | ) | (12 | ) | ||||||
Futures contracts | — | 610 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 2,544 | 4,733 | 131,235 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||
Investments innon-affiliates | 29,162 | 24,856 | 340,956 | |||||||||
Investments in affiliates | (3 | ) | (2 | ) | (33 | ) | ||||||
Futures contracts | — | (187 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 29,159 | 24,667 | 340,923 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 31,703 | 29,400 | 472,158 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 32,582 | $ | 31,065 | $ | 491,940 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Growth Fund | JPMorgan Small Cap Value Fund | JPMorgan U.S. Small | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income fromnon-affiliates | $ | — | $ | 14 | $ | 11 | ||||||
Interest income from affiliates | 1 | — | (a) | — | (a) | |||||||
Dividend income fromnon-affiliates | 8,149 | 15,154 | 8,883 | |||||||||
Dividend income from affiliates | 548 | 350 | 288 | |||||||||
Income from securities lending (net) (See Note 2.C.) | 1,414 | 192 | 494 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 10,112 | 15,710 | 9,676 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: |
| |||||||||||
Investment advisory fees | 9,768 | 4,735 | 4,083 | |||||||||
Administration fees | 1,127 | 546 | 510 | |||||||||
Distribution fees: | ||||||||||||
Class A | 515 | 226 | 162 | |||||||||
Class C | 217 | 61 | 99 | |||||||||
Class R2 | 64 | 90 | 103 | |||||||||
Class R3 | 2 | 19 | 30 | |||||||||
Service fees: | ||||||||||||
Class A | 515 | 226 | 162 | |||||||||
Class C | 72 | 20 | 33 | |||||||||
Class I | 375 | 314 | 331 | |||||||||
Class L | 293 | — | 218 | |||||||||
Class R2 | 32 | 45 | 52 | |||||||||
Class R3 | 2 | 19 | 31 | |||||||||
Class R4 | 2 | — | (a) | 9 | ||||||||
Class R5 | 7 | 29 | 5 | |||||||||
Custodian and accounting fees | 56 | 39 | 39 | |||||||||
Interest expense to affiliates | 2 | — | (a) | — | (a) | |||||||
Professional fees | 43 | 34 | 34 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 18 | 16 | 15 | |||||||||
Printing and mailing costs | 145 | 64 | 65 | |||||||||
Registration and filing fees | 134 | 65 | 58 | |||||||||
Transfer agency fees (See Note 2.F.) | 58 | 55 | 52 | |||||||||
Other | 23 | 15 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 13,470 | 6,618 | 6,105 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (267 | ) | (160 | ) | (20 | ) | ||||||
Less expense reimbursements | (16 | ) | (8 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 13,187 | 6,450 | 6,085 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (3,075 | ) | 9,260 | 3,591 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||
Investments innon-affiliates | $ | 15,034 | $ | 8,393 | $ | 10,400 | ||||||
Investments in affiliates | (3 | ) | (3 | ) | 2 | |||||||
Futures contracts | — | 2,488 | 1,320 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 15,031 | 10,878 | 11,722 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||
Investments innon-affiliates | $ | 241,831 | $ | 75,037 | $ | 101,514 | ||||||
Investments in affiliates | (23 | ) | (9 | ) | (10 | ) | ||||||
Futures contracts | — | (486 | ) | (609 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 241,808 | 74,542 | 100,895 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 256,839 | 85,420 | 112,617 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 253,764 | $ | 94,680 | $ | 116,208 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 879 | $ | 197 | $ | 1,665 | $ | 2,136 | ||||||||
Net realized gain (loss) | 2,544 | 14,852 | 4,733 | 16,926 | ||||||||||||
Change in net unrealized appreciation/depreciation | 29,159 | (8,858 | ) | 24,667 | (32,543 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 32,582 | 6,191 | 31,065 | (13,481 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (4,206 | ) | (22,374 | ) | (207 | ) | (352 | ) | ||||||||
Class C | (1,643 | ) | (12,520 | ) | (85 | ) | (172 | ) | ||||||||
Class I | (3,897 | ) | (24,328 | ) | (765 | ) | (1,269 | ) | ||||||||
Class R2 | — | — | (7 | ) | (3 | ) | ||||||||||
Class R3 | — | — | (227 | ) | (2 | ) | ||||||||||
Class R4 | — | — | (104 | ) | (114 | ) | ||||||||||
Class R5 | — | — | (9,535 | ) | (16,043 | ) | ||||||||||
Class R6 (a) | (3,543 | ) | (4 | ) | (9,154 | ) | (6,241 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (13,289 | ) | (59,226 | ) | (20,084 | ) | (24,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 71,362 | 182,535 | 32,261 | 173,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 90,655 | 129,500 | 43,242 | 135,724 | ||||||||||||
Beginning of period | 348,257 | 218,757 | 449,544 | 313,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 438,912 | $ | 348,257 | $ | 492,786 | $ | 449,544 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Equity Fund | JPMorgan Small Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 19,782 | $ | 35,326 | $ | (3,075 | ) | $ | (7,955 | ) | ||||||
Net realized gain (loss) | 131,235 | 378,486 | 15,031 | 206,505 | ||||||||||||
Change in net unrealized appreciation/depreciation | 340,923 | (267,309 | ) | 241,808 | (56,778 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 491,940 | 146,503 | 253,764 | 141,772 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (40,838 | ) | (61,854 | ) | (25,608 | ) | (37,004 | ) | ||||||||
Class C | (6,716 | ) | (11,312 | ) | (5,161 | ) | (8,359 | ) | ||||||||
Class I | (145,648 | ) | (172,497 | ) | (17,200 | ) | (25,203 | ) | ||||||||
Class L | — | — | (32,083 | ) | (48,328 | ) | ||||||||||
Class R2 | (416 | ) | (723 | ) | (1,612 | ) | (3,487 | ) | ||||||||
Class R3 | (144 | ) | (155 | ) | (220 | ) | (93 | ) | ||||||||
Class R4 | (23 | ) | (50 | ) | (139 | ) | (91 | ) | ||||||||
Class R5 | (54,434 | ) | (79,273 | ) | (807 | ) | (3,229 | ) | ||||||||
Class R6 | (73,447 | ) | (85,443 | ) | (90,416 | ) | (122,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (321,666 | ) | (411,307 | ) | (173,246 | ) | (247,996 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 826,831 | (287,511 | ) | 314,693 | 792,978 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 997,105 | (552,315 | ) | 395,211 | 686,754 | |||||||||||
Beginning of period | 6,275,924 | 6,828,239 | 2,876,666 | 2,189,912 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,273,029 | $ | 6,275,924 | $ | 3,271,877 | $ | 2,876,666 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Small Cap Value Fund | JPMorgan U.S. Small Company Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 9,260 | $ | 20,233 | $ | 3,591 | $ | 7,591 | ||||||||
Net realized gain (loss) | 10,878 | 128,031 | 11,722 | 28,971 | ||||||||||||
Change in net unrealized appreciation/depreciation | 74,542 | (325,551 | ) | 100,895 | (191,152 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 94,680 | (177,287 | ) | 116,208 | (154,590 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (10,605 | ) | (33,379 | ) | (357 | ) | (17,753 | ) | ||||||||
Class C | (1,133 | ) | (3,600 | ) | (14 | ) | (3,937 | ) | ||||||||
Class I | (13,916 | ) | (37,990 | ) | (1,438 | ) | (34,817 | ) | ||||||||
Class L | — | — | (3,033 | ) | (50,872 | ) | ||||||||||
Class R2 | (2,102 | ) | (5,236 | ) | (20 | ) | (5,054 | ) | ||||||||
Class R3 | (912 | ) | (1,914 | ) | (95 | ) | (2,105 | ) | ||||||||
Class R4 | (4 | ) | (53 | ) | (52 | ) | (678 | ) | ||||||||
Class R5 | (2,575 | ) | (15,233 | ) | (50 | ) | (1,146 | ) | ||||||||
Class R6 | (49,428 | ) | (121,650 | ) | (3,261 | ) | (45,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (80,675 | ) | (219,055 | ) | (8,320 | ) | (161,883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | (236,401 | ) | 21,342 | (166,680 | ) | (69,426 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | (222,396 | ) | (375,000 | ) | (58,792 | ) | (385,899 | ) | ||||||||
Beginning of period | 1,553,282 | 1,928,282 | 1,392,947 | 1,778,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,330,886 | $ | 1,553,282 | $ | 1,334,155 | $ | 1,392,947 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 25,068 | $ | 56,422 | $ | 386 | $ | 3,052 | ||||||||
Distributions reinvested | 3,607 | 17,078 | 206 | 351 | ||||||||||||
Cost of shares redeemed | (14,724 | ) | (21,654 | ) | (1,124 | ) | (1,451 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 13,951 | $ | 51,846 | $ | (532 | ) | $ | 1,952 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 5,715 | $ | 24,795 | $ | 416 | $ | 1,749 | ||||||||
Distributions reinvested | 347 | 1,178 | 85 | 172 | ||||||||||||
Cost of shares redeemed | (10,971 | ) | (15,655 | ) | (395 | ) | (1,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (4,909 | ) | $ | 10,318 | $ | 106 | $ | 856 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 42,141 | $ | 122,678 | $ | 8,794 | $ | 14,346 | ||||||||
Distributions reinvested | 3,883 | 24,212 | 750 | 1,269 | ||||||||||||
Cost of shares redeemed | (20,047 | ) | (105,365 | ) | (4,320 | ) | (15,564 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 25,977 | $ | 41,525 | $ | 5,224 | $ | 51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 25 | $ | 164 | ||||||||
Distributions reinvested | — | — | 7 | 3 | ||||||||||||
Cost of shares redeemed | — | — | (1 | ) | (31 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 31 | $ | 136 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,803 | $ | 4,058 | ||||||||
Distributions reinvested | — | — | 227 | 2 | ||||||||||||
Cost of shares redeemed | — | — | (1,390 | ) | (369 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | $ | — | $ | 1,640 | $ | 3,691 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 836 | $ | 825 | ||||||||
Distributions reinvested | — | — | 104 | 114 | ||||||||||||
Cost of shares redeemed | — | — | (352 | ) | (337 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | — | $ | — | $ | 588 | $ | 602 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 19,703 | $ | 53,375 | ||||||||
Distributions reinvested | — | — | 9,135 | 15,379 | ||||||||||||
Cost of shares redeemed | — | — | (22,634 | ) | (50,254 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 6,204 | $ | 18,500 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(a) | ||||||||||||||||
Proceeds from shares issued | $ | 43,921 | $ | 84,215 | $ | 38,287 | $ | 159,605 | ||||||||
Distributions reinvested | 3,542 | 4 | 9,153 | 6,240 | ||||||||||||
Cost of shares redeemed | (11,120 | ) | (5,373 | ) | (28,440 | ) | (18,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 36,343 | $ | 78,846 | $ | 19,000 | $ | 147,613 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 71,362 | $ | 182,535 | $ | 32,261 | $ | 173,401 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Core Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,258 | 2,757 | 8 | 58 | ||||||||||||
Reinvested | 177 | 976 | 4 | 7 | ||||||||||||
Redeemed | (746 | ) | (1,042 | ) | (23 | ) | (28 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 689 | 2,691 | (11 | ) | 37 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 441 | 1,952 | 8 | 33 | ||||||||||||
Reinvested | 27 | 103 | 2 | 4 | ||||||||||||
Redeemed | (851 | ) | (1,095 | ) | (8 | ) | (22 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (383 | ) | 960 | 2 | 15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 1,764 | 4,930 | 178 | 277 | ||||||||||||
Reinvested | 157 | 1,154 | 15 | 27 | ||||||||||||
Redeemed | (845 | ) | (4,485 | ) | (88 | ) | (312 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 1,076 | 1,599 | 105 | (8 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 1 | 4 | ||||||||||||
Reinvested | — | — | — | (a) | — | (a) | ||||||||||
Redeemed | — | — | — | (a) | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 1 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | — | — | 59 | 82 | ||||||||||||
Reinvested | — | — | 4 | — | (a) | |||||||||||
Redeemed | — | — | (28 | ) | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 35 | 75 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | — | — | 16 | 16 | ||||||||||||
Reinvested | — | — | 2 | 2 | ||||||||||||
Redeemed | — | — | (7 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 11 | 12 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | — | — | 391 | 1,028 | ||||||||||||
Reinvested | — | — | 177 | 329 | ||||||||||||
Redeemed | — | — | (455 | ) | (966 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 113 | 391 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(b) | ||||||||||||||||
Issued | 1,833 | 3,705 | 757 | 3,183 | ||||||||||||
Reinvested | 143 | — | (a) | 177 | 134 | |||||||||||
Redeemed | (465 | ) | (230 | ) | (570 | ) | (365 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 1,511 | 3,475 | 364 | 2,952 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
| (b) | Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Equity Fund | JPMorgan Small Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 165,984 | $ | 161,692 | $ | 73,609 | $ | 186,511 | ||||||||
Distributions reinvested | 38,275 | 57,371 | 24,237 | 34,926 | ||||||||||||
Cost of shares redeemed | (160,698 | ) | (467,700 | ) | (61,250 | ) | (139,043 | ) | ||||||||
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Change in net assets resulting from Class A capital transactions | $ | 43,561 | $ | (248,637 | ) | $ | 36,596 | $ | 82,394 | |||||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,241 | $ | 4,981 | $ | 10,146 | $ | 31,303 | ||||||||
Distributions reinvested | 6,552 | 11,037 | 4,812 | 8,141 | ||||||||||||
Cost of shares redeemed | (12,778 | ) | (37,555 | ) | (11,813 | ) | (17,570 | ) | ||||||||
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Change in net assets resulting from Class C capital transactions | $ | (4,985 | ) | $ | (21,537 | ) | $ | 3,145 | $ | 21,874 | ||||||
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Class I | ||||||||||||||||
Proceeds from shares issued | $ | 826,923 | $ | 812,167 | $ | 80,607 | $ | 249,007 | ||||||||
Distributions reinvested | 138,087 | 161,114 | 13,161 | 22,035 | ||||||||||||
Cost of shares redeemed | (372,305 | ) | (1,009,139 | ) | (58,801 | ) | (234,917 | ) | ||||||||
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Change in net assets resulting from Class I capital transactions | $ | 592,705 | $ | (35,858 | ) | $ | 34,967 | $ | 36,125 | |||||||
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Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 97,332 | $ | 299,095 | ||||||||
Distributions reinvested | — | — | 28,396 | 42,498 | ||||||||||||
Cost of shares redeemed | — | — | (86,682 | ) | (182,736 | ) | ||||||||||
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Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | 39,046 | $ | 158,857 | ||||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,034 | $ | 3,928 | $ | 1,759 | $ | 5,637 | ||||||||
Distributions reinvested | 325 | 442 | 1,583 | 3,392 | ||||||||||||
Cost of shares redeemed | (2,130 | ) | (6,276 | ) | (3,939 | ) | (12,461 | ) | ||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | (771 | ) | $ | (1,906 | ) | $ | (597 | ) | $ | (3,432 | ) | ||||
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Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 320 | $ | 780 | $ | 2,503 | $ | 700 | ||||||||
Distributions reinvested | 125 | 131 | 220 | 93 | ||||||||||||
Cost of shares redeemed | (145 | ) | (764 | ) | (170 | ) | (162 | ) | ||||||||
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Change in net assets resulting from Class R3 capital transactions | $ | 300 | $ | 147 | $ | 2,553 | $ | 631 | ||||||||
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Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 37 | $ | 437 | $ | 1,348 | $ | 742 | ||||||||
Distributions reinvested | 23 | 49 | 138 | 91 | ||||||||||||
Cost of shares redeemed | (8 | ) | (556 | ) | (404 | ) | (210 | ) | ||||||||
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Change in net assets resulting from Class R4 capital transactions | $ | 52 | $ | (70 | ) | $ | 1,082 | $ | 623 | |||||||
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Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 76,268 | $ | 249,768 | $ | 4,039 | $ | 15,804 | ||||||||
Distributions reinvested | 49,703 | 72,102 | 807 | 3,229 | ||||||||||||
Cost of shares redeemed | (139,470 | ) | (311,556 | ) | (1,966 | ) | (29,628 | ) | ||||||||
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Change in net assets resulting from Class R5 capital transactions | $ | (13,499 | ) | $ | 10,314 | $ | 2,880 | $ | (10,595 | ) | ||||||
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Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 346,762 | $ | 273,648 | $ | 387,796 | $ | 737,982 | ||||||||
Distributions reinvested | 72,408 | 84,729 | 89,486 | 120,678 | ||||||||||||
Cost of shares redeemed | (209,702 | ) | (348,341 | ) | (282,261 | ) | (352,159 | ) | ||||||||
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Change in net assets resulting from Class R6 capital transactions | $ | 209,468 | $ | 10,036 | $ | 195,021 | $ | 506,501 | ||||||||
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Total change in net assets resulting from capital transactions | $ | 826,831 | $ | (287,511 | ) | $ | 314,693 | $ | 792,978 | |||||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Small Cap Equity Fund | JPMorgan Small Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,292 | 3,220 | 4,326 | 11,086 | ||||||||||||
Reinvested | 760 | 1,280 | 1,419 | 2,442 | ||||||||||||
Redeemed | (3,177 | ) | (9,569 | ) | (3,612 | ) | (8,306 | ) | ||||||||
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Change in Class A Shares | 875 | (5,069 | ) | 2,133 | 5,222 | |||||||||||
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Class C | ||||||||||||||||
Issued | 34 | 137 | 869 | 2,555 | ||||||||||||
Reinvested | 184 | 339 | 419 | 819 | ||||||||||||
Redeemed | (352 | ) | (1,057 | ) | (1,014 | ) | (1,609 | ) | ||||||||
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Change in Class C Shares | (134 | ) | (581 | ) | 274 | 1,765 | ||||||||||
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Class I | ||||||||||||||||
Issued | 14,077 | 14,200 | 4,222 | 13,101 | ||||||||||||
Reinvested | 2,334 | 3,089 | 682 | 1,377 | ||||||||||||
Redeemed | (6,328 | ) | (18,069 | ) | (3,101 | ) | (12,472 | ) | ||||||||
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Change in Class I Shares | 10,083 | (780 | ) | 1,803 | 2,006 | |||||||||||
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Class L | ||||||||||||||||
Issued | — | — | 4,948 | 15,406 | ||||||||||||
Reinvested | — | — | 1,419 | 2,570 | ||||||||||||
Redeemed | — | — | (4,393 | ) | (9,858 | ) | ||||||||||
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Change in Class L Shares | — | — | 1,974 | 8,118 | ||||||||||||
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Class R2 | ||||||||||||||||
Issued | 20 | 81 | 107 | 352 | ||||||||||||
Reinvested | 7 | 10 | 97 | 247 | ||||||||||||
Redeemed | (43 | ) | (128 | ) | (242 | ) | (774 | ) | ||||||||
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Change in Class R2 Shares | (16 | ) | (37 | ) | (38 | ) | (175 | ) | ||||||||
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Class R3 | ||||||||||||||||
Issued | 6 | 15 | 148 | 42 | ||||||||||||
Reinvested | 3 | 3 | 13 | 7 | ||||||||||||
Redeemed | (3 | ) | (15 | ) | (10 | ) | (10 | ) | ||||||||
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Change in Class R3 Shares | 6 | 3 | 151 | 39 | ||||||||||||
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Class R4 | ||||||||||||||||
Issued | 1 | 7 | 77 | 45 | ||||||||||||
Reinvested | — | (a) | 1 | 8 | 6 | |||||||||||
Redeemed | — | (a) | (10 | ) | (24 | ) | (12 | ) | ||||||||
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Change in Class R4 Shares | 1 | (2 | ) | 61 | 39 | |||||||||||
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Class R5 | ||||||||||||||||
Issued | 1,292 | 4,320 | 202 | 779 | ||||||||||||
Reinvested | 837 | 1,380 | 40 | 195 | ||||||||||||
Redeemed | (2,348 | ) | (5,632 | ) | (99 | ) | (1,640 | ) | ||||||||
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Change in Class R5 Shares | (219 | ) | 68 | 143 | (666 | ) | ||||||||||
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Class R6 | ||||||||||||||||
Issued | 5,892 | 4,903 | 19,521 | 37,658 | ||||||||||||
Reinvested | 1,219 | 1,623 | 4,411 | 7,213 | ||||||||||||
Redeemed | (3,547 | ) | (6,057 | ) | (14,155 | ) | (18,147 | ) | ||||||||
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Change in Class R6 Shares | 3,564 | 469 | 9,777 | 26,724 | ||||||||||||
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| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Small Cap Value Fund | JPMorgan U.S. Small Company Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 9,818 | $ | 39,092 | $ | 8,065 | $ | 31,276 | ||||||||
Distributions reinvested | 9,932 | 30,915 | �� | 328 | 16,222 | |||||||||||
Cost of shares redeemed | (40,469 | ) | (150,367 | ) | (26,876 | ) | (84,556 | ) | ||||||||
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Change in net assets resulting from Class A capital transactions | $ | (20,719 | ) | $ | (80,360 | ) | $ | (18,483 | ) | $ | (37,058 | ) | ||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 275 | $ | 1,412 | $ | 649 | $ | 4,264 | ||||||||
Distributions reinvested | 1,043 | 3,378 | 13 | 3,767 | ||||||||||||
Cost of shares redeemed | (4,373 | ) | (6,345 | ) | (5,187 | ) | (17,367 | ) | ||||||||
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Change in net assets resulting from Class C capital transactions | $ | (3,055 | ) | $ | (1,555 | ) | $ | (4,525 | ) | $ | (9,336 | ) | ||||
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Class I | ||||||||||||||||
Proceeds from shares issued | $ | 33,775 | $ | 111,050 | $ | 29,178 | $ | 93,832 | ||||||||
Distributions reinvested | 13,904 | 37,950 | 1,403 | 33,313 | ||||||||||||
Cost of shares redeemed | (99,258 | ) | (129,351 | ) | (58,755 | ) | (216,008 | ) | ||||||||
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Change in net assets resulting from Class I capital transactions | $ | (51,579 | ) | $ | 19,649 | $ | (28,174 | ) | $ | (88,863 | ) | |||||
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Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 62,546 | $ | 138,828 | ||||||||
Distributions reinvested | — | — | 2,129 | 43,991 | ||||||||||||
Cost of shares redeemed | — | — | (99,753 | ) | (204,856 | ) | ||||||||||
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Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | (35,078 | ) | $ | (22,037 | ) | ||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 4,122 | $ | 11,408 | $ | 3,238 | $ | 18,232 | ||||||||
Distributions reinvested | 2,044 | 4,865 | 18 | 3,913 | ||||||||||||
Cost of shares redeemed | (7,292 | ) | (15,716 | ) | (12,353 | ) | (17,683 | ) | ||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | (1,126 | ) | $ | 557 | $ | (9,097 | ) | $ | 4,462 | ||||||
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Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 2,492 | $ | 6,293 | $ | 2,984 | $ | 13,013 | ||||||||
Distributions reinvested | 912 | 1,910 | 86 | 2,049 | ||||||||||||
Cost of shares redeemed | (3,066 | ) | (2,872 | ) | (3,304 | ) | (5,163 | ) | ||||||||
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Change in net assets resulting from Class R3 capital transactions | $ | 338 | $ | 5,331 | $ | (234 | ) | $ | 9,899 | |||||||
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Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 20 | $ | 514 | $ | 2,472 | $ | 3,626 | ||||||||
Distributions reinvested | 4 | 53 | 52 | 678 | ||||||||||||
Cost of shares redeemed | (355 | ) | (142 | ) | (777 | ) | (2,627 | ) | ||||||||
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Change in net assets resulting from Class R4 capital transactions | $ | (331 | ) | $ | 425 | $ | 1,747 | $ | 1,677 | |||||||
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Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 4,700 | $ | 23,910 | $ | 1,421 | $ | 8,102 | ||||||||
Distributions reinvested | 2,427 | 14,495 | 33 | 958 | ||||||||||||
Cost of shares redeemed | (33,611 | ) | (70,249 | ) | (6,031 | ) | (1,751 | ) | ||||||||
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Change in net assets resulting from Class R5 capital transactions | $ | (26,484 | ) | $ | (31,844 | ) | $ | (4,577 | ) | $ | 7,309 | |||||
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Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 67,057 | $ | 212,292 | $ | 32,180 | $ | 117,831 | ||||||||
Subscriptionsin-kind (See Note 8) | — | — | — | 13,799 | ||||||||||||
Distributions reinvested | 49,428 | 121,650 | 3,215 | 45,073 | ||||||||||||
Cost of shares redeemed | (249,930 | ) | (224,803 | ) | (103,654 | ) | (112,182 | ) | ||||||||
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Change in net assets resulting from Class R6 capital transactions | $ | (133,445 | ) | $ | 109,139 | $ | (68,259 | ) | $ | 64,521 | ||||||
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Total change in net assets resulting from capital transactions | $ | (236,401 | ) | $ | 21,342 | $ | (166,680 | ) | $ | (69,426 | ) | |||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Small Cap Value Fund | JPMorgan U.S. Small Company Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 416 | 1,538 | 499 | 1,816 | ||||||||||||
Reinvested | 421 | 1,333 | 19 | 1,049 | ||||||||||||
Redeemed | (1,703 | ) | (5,737 | ) | (1,666 | ) | (5,034 | ) | ||||||||
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Change in Class A Shares | (866 | ) | (2,866 | ) | (1,148 | ) | (2,169 | ) | ||||||||
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Class C | ||||||||||||||||
Issued | 15 | 68 | 43 | 258 | ||||||||||||
Reinvested | 56 | 182 | 1 | 257 | ||||||||||||
Redeemed | (233 | ) | (320 | ) | (344 | ) | (1,066 | ) | ||||||||
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Change in Class C Shares | (162 | ) | (70 | ) | (300 | ) | (551 | ) | ||||||||
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Class I | ||||||||||||||||
Issued | 1,327 | 4,075 | 1,728 | 5,437 | ||||||||||||
Reinvested | 548 | 1,528 | 79 | 2,098 | ||||||||||||
Redeemed | (3,969 | ) | (4,698 | ) | (3,512 | ) | (12,470 | ) | ||||||||
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Change in Class I Shares | (2,094 | ) | 905 | (1,705 | ) | (4,935 | ) | |||||||||
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Class L | ||||||||||||||||
Issued | — | — | 3,797 | 8,225 | ||||||||||||
Reinvested | — | — | 120 | 2,772 | ||||||||||||
Redeemed | — | — | (6,014 | ) | (12,189 | ) | ||||||||||
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Change in Class L Shares | — | — | (2,097 | ) | (1,192 | ) | ||||||||||
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Class R2 | ||||||||||||||||
Issued | 176 | 456 | 204 | 1,048 | ||||||||||||
Reinvested | 88 | 212 | 1 | 259 | ||||||||||||
Redeemed | (313 | ) | (619 | ) | (779 | ) | (1,064 | ) | ||||||||
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Change in Class R2 Shares | (49 | ) | 49 | (574 | ) | 243 | ||||||||||
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Class R3 | ||||||||||||||||
Issued | 106 | 233 | 186 | 778 | ||||||||||||
Reinvested | 39 | 83 | 5 | 133 | ||||||||||||
Redeemed | (128 | ) | (113 | ) | (205 | ) | (312 | ) | ||||||||
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Change in Class R3 Shares | 17 | 203 | (14 | ) | 599 | |||||||||||
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Class R4 | ||||||||||||||||
Issued | 1 | 17 | 152 | 208 | ||||||||||||
Reinvested | — | (a) | 2 | 3 | 43 | |||||||||||
Redeemed | (15 | ) | (5 | ) | (47 | ) | (153 | ) | ||||||||
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Change in Class R4 Shares | (14 | ) | 14 | 108 | 98 | |||||||||||
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Class R5 | ||||||||||||||||
Issued | 184 | 838 | 84 | 437 | ||||||||||||
Reinvested | 95 | 582 | 2 | 61 | ||||||||||||
Redeemed | (1,342 | ) | (2,739 | ) | (359 | ) | (102 | ) | ||||||||
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Change in Class R5 Shares | (1,063 | ) | (1,319 | ) | (273 | ) | 396 | |||||||||
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Class R6 | ||||||||||||||||
Issued | 2,696 | 8,015 | 1,934 | 6,749 | ||||||||||||
Subscriptionsin-kind (See Note 8) | — | — | — | 828 | ||||||||||||
Reinvested | 1,942 | 4,881 | 181 | 2,839 | ||||||||||||
Redeemed | (9,786 | ) | (8,321 | ) | (6,156 | ) | (6,595 | ) | ||||||||
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Change in Class R6 Shares | (5,148 | ) | 4,575 | (4,041 | ) | 3,821 | ||||||||||
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| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 61 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Blend Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 19.78 | $ | 0.03 | $ | 1.57 | $ | 1.60 | $ | (0.02 | ) | $ | (0.65 | ) | $ | (0.67 | ) | |||||||||||
Year Ended June 30, 2019 | 26.65 | — | (f) | (0.63 | ) | (0.63 | ) | — | (6.24 | ) | (6.24 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.03 | (0.20 | ) | 7.54 | 7.34 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 19.14 | (0.16 | ) | 6.24 | 6.08 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 26.04 | (0.16 | ) | (3.52 | ) | (3.68 | ) | — | (3.22 | ) | (3.22 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 25.11 | (0.20 | ) | 3.17 | 2.97 | — | (2.04 | ) | (2.04 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 12.90 | (0.01 | ) | 1.01 | 1.00 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 19.89 | (0.08 | ) | (0.67 | ) | (0.75 | ) | — | (6.24 | ) | (6.24 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.12 | (0.24 | ) | 5.73 | 5.49 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.58 | (0.21 | ) | 4.94 | 4.73 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 21.97 | (0.22 | ) | (2.95 | ) | (3.17 | ) | — | (3.22 | ) | (3.22 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 21.61 | (0.28 | ) | 2.68 | 2.40 | — | (2.04 | ) | (2.04 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.75 | 0.07 | 1.88 | 1.95 | (0.05 | ) | (0.65 | ) | (0.70 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 30.53 | 0.05 | (0.59 | ) | (0.54 | ) | — | (6.24 | ) | (6.24 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 24.83 | (0.15 | ) | 8.57 | 8.42 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 21.17 | (0.12 | ) | 6.97 | 6.85 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 28.34 | (0.14 | ) | (3.81 | ) | (3.95 | ) | — | (3.22 | ) | (3.22 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 27.08 | (0.15 | ) | 3.45 | 3.30 | — | (2.04 | ) | (2.04 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.82 | 0.10 | 1.89 | 1.99 | (0.10 | ) | (0.65 | ) | (0.75 | ) | ||||||||||||||||||
July 2, 2018 (g) through June 30, 2019 | 30.73 | 0.18 | (0.85 | ) | (0.67 | ) | — | (6.24 | ) | (6.24 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 20.71 | 8.11 | % | $ | 136,538 | 1.24 | % | 0.29 | % | 1.33 | % | 15 | % | |||||||||||||
| 19.78 | 0.70 | 116,751 | 1.24 | (0.01 | ) | 1.37 | 75 | |||||||||||||||||||
| 26.65 | 35.55 | 85,586 | 1.24 | (0.81 | ) | 1.36 | 89 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 13.25 | 7.80 | 34,609 | 1.74 | (0.22 | ) | 1.82 | 15 | |||||||||||||||||||
| 12.90 | 0.25 | 38,625 | 1.74 | (0.53 | ) | 1.85 | 75 | |||||||||||||||||||
| 19.89 | 34.88 | 40,470 | 1.74 | (1.31 | ) | 1.83 | 89 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.00 | 8.25 | 142,821 | 0.99 | 0.54 | 1.06 | 15 | ||||||||||||||||||||
| 23.75 | 0.94 | 110,123 | 0.99 | 0.20 | 1.10 | 75 | ||||||||||||||||||||
| 30.53 | 35.91 | 92,701 | 0.99 | (0.56 | ) | 1.08 | 89 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.06 | 8.40 | 124,944 | 0.74 | 0.80 | 0.81 | 15 | ||||||||||||||||||||
| 23.82 | 0.55 | 82,758 | 0.74 | 0.79 | 1.10 | 75 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 63 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Core Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 49.98 | $ | 0.07 | $ | 3.28 | $ | 3.35 | $ | (0.15 | ) | $ | (1.86 | ) | $ | (2.01 | ) | |||||||||||
Year Ended June 30, 2019 | 57.16 | 0.11 | (3.52 | ) | (3.41 | ) | (0.02 | ) | (3.75 | ) | (3.77 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.32 | 0.04 | (f) | 9.19 | 9.23 | (0.01 | ) | (4.38 | ) | (4.39 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.88 | (0.04 | ) | 11.81 | 11.77 | (0.20 | ) | (5.13 | ) | (5.33 | ) | |||||||||||||||||
May 31, 2016 (g) through June 30, 2016 | 45.81 | 0.02 | (f) | 0.05 | 0.07 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 49.27 | (0.05 | ) | 3.22 | 3.17 | — | (1.86 | ) | (1.86 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 56.67 | (0.15 | ) | (3.50 | ) | (3.65 | ) | — | (3.75 | ) | (3.75 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.14 | (0.24 | )(f) | 9.15 | 8.91 | — | (4.38 | ) | (4.38 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 45.86 | (0.24 | ) | 11.74 | 11.50 | (0.09 | ) | (5.13 | ) | (5.22 | ) | |||||||||||||||||
May 31, 2016 (g) through June 30, 2016 | 45.81 | — | (f)(h) | 0.05 | 0.05 | — | — | — | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.25 | 0.14 | 3.30 | 3.44 | (0.29 | ) | (1.86 | ) | (2.15 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.44 | 0.23 | (3.55 | ) | (3.32 | ) | (0.12 | ) | (3.75 | ) | (3.87 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.58 | 0.17 | (f) | 9.24 | 9.41 | (0.17 | ) | (4.38 | ) | (4.55 | ) | |||||||||||||||||
January 3, 2017 (g) through June 30, 2017 | 50.44 | 0.07 | 2.07 | 2.14 | — | — | — | |||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.01 | 0.01 | 3.28 | 3.29 | (0.11 | ) | (1.86 | ) | (1.97 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.32 | 0.04 | (3.60 | ) | (3.56 | ) | — | (3.75 | ) | (3.75 | ) | |||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | (0.08 | )(f) | 8.58 | 8.50 | (0.04 | ) | (4.38 | ) | (4.42 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.18 | 0.08 | 3.28 | 3.36 | (0.23 | ) | (1.86 | ) | (2.09 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.40 | 0.26 | (3.71 | ) | (3.45 | ) | (0.02 | ) | (3.75 | ) | (3.77 | ) | ||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | 0.05 | (f) | 8.58 | 8.63 | (0.09 | ) | (4.38 | ) | (4.47 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.28 | 0.14 | 3.30 | 3.44 | (0.30 | ) | (1.86 | ) | (2.16 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.48 | 0.23 | (3.56 | ) | (3.33 | ) | (0.12 | ) | (3.75 | ) | (3.87 | ) | ||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | 0.18 | (f) | 8.58 | 8.76 | (0.14 | ) | (4.38 | ) | (4.52 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.42 | 0.18 | 3.32 | 3.50 | (0.37 | ) | (1.86 | ) | (2.23 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.63 | 0.33 | (3.58 | ) | (3.25 | ) | (0.21 | ) | (3.75 | ) | (3.96 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.64 | 0.26 | (f) | 9.28 | 9.54 | (0.17 | ) | (4.38 | ) | (4.55 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.90 | 0.20 | 11.83 | 12.03 | (0.16 | ) | (5.13 | ) | (5.29 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 56.18 | 0.15 | (f) | (5.25 | ) | (5.10 | ) | (0.32 | ) | (4.86 | ) | (5.18 | ) | |||||||||||||||
Year Ended June 30, 2015 | 58.70 | 0.37 | 3.20 | 3.57 | (0.10 | ) | (5.99 | ) | (6.09 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.34 | 0.20 | 3.31 | 3.51 | (0.40 | ) | (1.86 | ) | (2.26 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.55 | 0.39 | (3.61 | ) | (3.22 | ) | (0.24 | ) | (3.75 | ) | (3.99 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.57 | 0.33 | (f) | 9.23 | 9.56 | (0.20 | ) | (4.38 | ) | (4.58 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.90 | 0.29 | 11.76 | 12.05 | (0.25 | ) | (5.13 | ) | (5.38 | ) | ||||||||||||||||||
May 31, 2016 (g) through June 30, 2016 | 45.81 | 0.04 | (f) | 0.05 | 0.09 | — | — | — | ||||||||||||||||||||
| (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. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 51.32 | 6.73 | % | $ | 5,483 | 1.24 | % | 0.28 | % | 1.37 | % | 36 | % | |||||||||||||
| 49.98 | (5.48 | ) | 5,896 | 1.23 | 0.21 | 1.36 | 74 | |||||||||||||||||||
| 57.16 | 18.37 | 4,624 | 1.24 | 0.07 | (f) | 1.41 | 39 | |||||||||||||||||||
| 52.32 | 26.29 | 2,203 | 1.24 | (0.07 | ) | 1.45 | 61 | |||||||||||||||||||
| 45.88 | 0.15 | 23 | 1.25 | 0.56 | (f) | 1.39 | 58 | |||||||||||||||||||
| 50.58 | 6.46 | 2,467 | 1.74 | (0.21 | ) | 1.83 | 36 | |||||||||||||||||||
| 49.27 | (5.97 | ) | 2,307 | 1.73 | (0.30 | ) | 1.86 | 74 | ||||||||||||||||||
| 56.67 | 17.79 | 1,816 | 1.74 | (0.45 | )(f) | 1.90 | 39 | |||||||||||||||||||
| 52.14 | 25.68 | 1,017 | 1.74 | (0.47 | ) | 1.96 | 61 | |||||||||||||||||||
| 45.86 | 0.11 | 20 | 1.74 | 0.06 | (f) | 1.89 | 58 | |||||||||||||||||||
| 51.54 | 6.87 | 18,953 | 0.99 | 0.57 | 1.07 | 36 | ||||||||||||||||||||
| 50.25 | (5.24 | ) | 13,211 | 0.98 | 0.45 | 1.09 | 74 | |||||||||||||||||||
| 57.44 | 18.64 | 15,557 | 0.99 | 0.32 | (f) | 1.12 | 39 | |||||||||||||||||||
| 52.58 | 4.24 | 3,545 | 0.99 | 0.26 | 1.21 | 61 | ||||||||||||||||||||
| 51.33 | 6.62 | 202 | 1.49 | 0.05 | 1.72 | 36 | ||||||||||||||||||||
| 50.01 | (5.73 | ) | 166 | 1.48 | 0.08 | 2.08 | 74 | |||||||||||||||||||
| 57.32 | 16.67 | 24 | 1.49 | (0.15 | )(f) | 1.72 | 39 | |||||||||||||||||||
| 51.45 | 6.73 | 5,685 | 1.24 | 0.31 | 1.30 | 36 | ||||||||||||||||||||
| 50.18 | (5.51 | ) | 3,768 | 1.23 | 0.53 | 1.59 | 74 | |||||||||||||||||||
| 57.40 | 16.94 | 24 | 1.24 | 0.10 | (f) | 1.46 | 39 | |||||||||||||||||||
| 51.56 | 6.88 | 2,587 | 0.99 | 0.57 | 1.07 | 36 | ||||||||||||||||||||
| 50.28 | (5.26 | ) | 1,941 | 0.98 | 0.45 | 1.10 | 74 | |||||||||||||||||||
| 57.48 | 17.21 | 1,536 | 0.99 | 0.36 | (f) | 1.11 | 39 | |||||||||||||||||||
| 51.69 | 6.98 | 226,890 | 0.80 | 0.73 | 0.91 | 36 | ||||||||||||||||||||
| 50.42 | (5.07 | ) | 215,630 | 0.79 | 0.63 | 0.93 | 74 | |||||||||||||||||||
| 57.63 | 18.88 | 223,933 | 0.79 | 0.48 | (f) | 0.97 | 39 | |||||||||||||||||||
| 52.64 | 26.87 | 187,198 | 0.79 | 0.40 | 1.11 | 61 | ||||||||||||||||||||
| 45.90 | (8.97 | ) | 164,573 | 0.80 | 0.30 | (f) | 1.16 | 58 | ||||||||||||||||||
| 56.18 | 7.01 | 815,652 | 0.80 | 0.66 | 1.13 | 56 | ||||||||||||||||||||
| 51.59 | 7.00 | 230,519 | 0.74 | 0.79 | 0.81 | 36 | ||||||||||||||||||||
| 50.34 | (5.02 | ) | 206,625 | 0.73 | 0.75 | 0.83 | 74 | |||||||||||||||||||
| 57.55 | 18.95 | 66,306 | 0.74 | 0.59 | (f) | 0.86 | 39 | |||||||||||||||||||
| 52.57 | 26.94 | 16,782 | 0.74 | 0.56 | 0.98 | 61 | ||||||||||||||||||||
| 45.90 | 0.20 | 20 | 0.74 | 1.06 | (f) | 0.88 | 58 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 50.05 | $ | 0.07 | $ | 3.42 | $ | 3.49 | $ | (0.15 | ) | $ | (2.38 | ) | $ | (2.53 | ) | |||||||||||
Year Ended June 30, 2019 | 52.43 | 0.12 | 0.95 | 1.07 | (0.06 | ) | (3.39 | ) | (3.45 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.63 | 0.10 | 6.67 | 6.77 | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 36.25 | (0.04 | ) | 2.46 | 2.42 | (0.02 | ) | (2.38 | ) | (2.40 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 39.12 | (0.09 | ) | 0.61 | 0.52 | — | (3.39 | ) | (3.39 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.07 | (0.12 | ) | 5.04 | 4.92 | — | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 58.34 | 0.16 | 4.00 | 4.16 | (0.26 | ) | (2.38 | ) | (2.64 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 60.52 | 0.29 | 1.12 | 1.41 | (0.20 | ) | (3.39 | ) | (3.59 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.69 | 0.26 | 7.67 | 7.93 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 48.98 | — | (g) | 3.35 | 3.35 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 51.44 | — | (g) | 0.93 | 0.93 | — | (3.39 | ) | (3.39 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.81 | (0.03 | ) | 6.55 | 6.52 | (0.02 | ) | (2.87 | ) | (2.89 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 41.08 | — | (g) | 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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 49.73 | 0.07 | 3.40 | 3.47 | (0.17 | ) | (2.38 | ) | (2.55 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.13 | 0.13 | 0.92 | 1.05 | (0.06 | ) | (3.39 | ) | (3.45 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.54 | 0.12 | 6.63 | 6.75 | (0.29 | ) | (2.87 | ) | (3.16 | ) | ||||||||||||||||||
September 9, 2016 (i) 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, 2019 (Unaudited) | 58.26 | 0.16 | 3.99 | 4.15 | (0.25 | ) | (2.38 | ) | (2.63 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 60.42 | 0.29 | 1.12 | 1.41 | (0.18 | ) | (3.39 | ) | (3.57 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.64 | 0.33 | 7.59 | 7.92 | (0.27 | ) | (2.87 | ) | (3.14 | ) | ||||||||||||||||||
September 9, 2016 (i) 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, 2019 (Unaudited) | 58.51 | 0.21 | 4.02 | 4.23 | (0.35 | ) | (2.38 | ) | (2.73 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 60.69 | 0.41 | 1.11 | 1.52 | (0.31 | ) | (3.39 | ) | (3.70 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.84 | 0.37 | 7.70 | 8.07 | (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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 58.50 | 0.23 | 4.02 | 4.25 | (0.39 | ) | (2.38 | ) | (2.77 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 60.68 | 0.44 | 1.11 | 1.55 | (0.34 | ) | (3.39 | ) | (3.73 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.83 | 0.41 | 7.69 | 8.10 | (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 (i) 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. |
| (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.
| 66 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 51.01 | 7.06 | % | $ | 851,677 | 1.24 | % | 0.26 | % | 1.26 | % | 7 | % | |||||||||||||
| 50.05 | 2.82 | 791,846 | 1.23 | 0.24 | 1.25 | 23 | ||||||||||||||||||||
| 52.43 | 14.33 | 1,095,395 | 1.24 | 0.19 | 1.26 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.27 | 6.78 | 106,662 | 1.74 | (0.24 | ) | 1.75 | 7 | |||||||||||||||||||
| 36.25 | 2.31 | 111,453 | 1.73 | (0.25 | ) | 1.75 | 23 | |||||||||||||||||||
| 39.12 | 13.76 | 143,030 | 1.74 | (0.32 | ) | 1.76 | 17 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 59.86 | 7.20 | 3,394,469 | 0.99 | 0.54 | 0.99 | 7 | ||||||||||||||||||||
| 58.34 | 3.05 | 2,720,056 | 0.98 | 0.51 | 1.00 | 23 | ||||||||||||||||||||
| 60.52 | 14.61 | 2,868,739 | 0.98 | 0.45 | 1.00 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 49.95 | 6.92 | 9,134 | 1.49 | 0.01 | 1.52 | 7 | ||||||||||||||||||||
| 48.98 | 2.56 | 9,718 | 1.48 | 0.00 | (h) | 1.52 | 23 | |||||||||||||||||||
| 51.44 | 14.02 | 12,133 | 1.49 | (0.06 | ) | 1.52 | 17 | |||||||||||||||||||
| 47.81 | 19.85 | 13,078 | 1.53 | 0.00 | (h) | 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 | |||||||||||||||||||
| 50.65 | 7.06 | 2,950 | 1.24 | 0.28 | 1.24 | 7 | ||||||||||||||||||||
| 49.73 | 2.79 | 2,597 | 1.23 | 0.26 | 1.25 | 23 | ||||||||||||||||||||
| 52.13 | 14.33 | 2,542 | 1.23 | 0.24 | 1.30 | 17 | ||||||||||||||||||||
| 48.54 | 15.92 | 104 | 1.24 | 0.32 | 1.36 | 21 | ||||||||||||||||||||
| 59.78 | 7.20 | 541 | 0.99 | 0.53 | 1.02 | 7 | ||||||||||||||||||||
| 58.26 | 3.05 | 475 | 0.98 | 0.50 | 1.03 | 23 | ||||||||||||||||||||
| 60.42 | 14.61 | 624 | 0.98 | 0.57 | 1.07 | 17 | ||||||||||||||||||||
| 55.64 | 16.14 | 60 | 0.99 | 0.55 | 1.14 | 21 | ||||||||||||||||||||
| 60.01 | 7.31 | 1,232,025 | 0.80 | 0.71 | 0.84 | 7 | ||||||||||||||||||||
| 58.51 | 3.26 | 1,214,075 | 0.79 | 0.70 | 0.85 | 23 | ||||||||||||||||||||
| 60.69 | 14.83 | 1,255,251 | 0.79 | 0.64 | 0.85 | 17 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 59.98 | 7.34 | 1,675,571 | 0.73 | 0.78 | 0.74 | 7 | ||||||||||||||||||||
| 58.50 | 3.33 | 1,425,704 | 0.73 | 0.76 | 0.75 | 23 | ||||||||||||||||||||
| 60.68 | 14.89 | 1,450,525 | 0.73 | 0.71 | 0.75 | 17 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 67 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 17.00 | $ | (0.05 | ) | $ | 1.43 | $ | 1.38 | $ | — | $ | (1.07 | ) | $ | (1.07 | ) | |||||||||||
Year Ended June 30, 2019 | 18.45 | (0.11 | ) | 0.67 | 0.56 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 14.81 | (0.14 | )(f) | 5.11 | 4.97 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 11.43 | (0.10 | ) | 3.94 | 3.84 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 14.50 | (0.09 | ) | (1.94 | ) | (2.03 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 13.96 | (0.11 | )(f) | 1.77 | 1.66 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 11.78 | (0.06 | ) | 0.98 | 0.92 | — | (1.07 | ) | (1.07 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 13.55 | (0.14 | ) | 0.38 | 0.24 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 11.23 | (0.16 | )(f) | 3.81 | 3.65 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 8.82 | (0.13 | ) | 3.00 | 2.87 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 11.50 | (0.12 | ) | (1.52 | ) | (1.64 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 11.36 | (0.14 | )(f) | 1.40 | 1.26 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.05 | (0.03 | ) | 1.60 | 1.57 | (0.01 | ) | (1.07 | ) | (1.08 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 20.35 | (0.08 | ) | 0.79 | 0.71 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.18 | (0.11 | )(f) | 5.61 | 5.50 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.42 | (0.07 | ) | 4.29 | 4.22 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 15.61 | (0.07 | ) | (2.08 | ) | (2.15 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 14.91 | (0.08 | )(f) | 1.90 | 1.82 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.71 | (0.02 | ) | 1.67 | 1.65 | (0.03 | ) | (1.07 | ) | (1.10 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 20.95 | (0.05 | ) | 0.82 | 0.77 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.60 | (0.08 | )(f) | 5.76 | 5.68 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.72 | (0.05 | ) | 4.39 | 4.34 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 15.93 | (0.05 | ) | (2.12 | ) | (2.17 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 15.17 | (0.06 | )(f) | 1.94 | 1.88 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.31 | (0.07 | ) | 1.37 | 1.30 | — | (1.07 | ) | (1.07 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 17.84 | (0.15 | ) | 0.63 | 0.48 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 14.39 | (0.17 | )(f) | 4.95 | 4.78 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 11.15 | (0.13 | ) | 3.83 | 3.70 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 14.20 | (0.12 | ) | (1.89 | ) | (2.01 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 13.73 | (0.14 | )(f) | 1.73 | 1.59 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 17.00 | (0.04 | ) | 1.42 | 1.38 | (0.03 | ) | (1.07 | ) | (1.10 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 18.45 | (0.10 | ) | 0.66 | 0.56 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 15.17 | (0.13 | )(f) | 4.74 | 4.61 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 17.09 | (0.03 | ) | 1.45 | 1.42 | (0.03 | ) | (1.07 | ) | (1.10 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 18.50 | (0.07 | ) | 0.67 | 0.60 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 15.17 | (0.09 | )(f) | 4.75 | 4.66 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.72 | (0.02 | ) | 1.67 | 1.65 | (0.02 | ) | (1.07 | ) | (1.09 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 20.96 | (0.07 | ) | 0.84 | 0.77 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.60 | (0.07 | )(f) | 5.76 | 5.69 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 13.75 | (0.04 | ) | 3.35 | 3.31 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.95 | (0.01 | ) | 1.69 | 1.68 | (0.05 | ) | (1.07 | ) | (1.12 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 21.16 | (0.03 | ) | 0.83 | 0.80 | — | (2.01 | ) | (2.01 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.73 | (0.06 | )(f) | 5.82 | 5.76 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.80 | (0.04 | ) | 4.43 | 4.39 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 16.01 | (0.03 | ) | (2.14 | ) | (2.17 | ) | — | (1.04 | ) | (1.04 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 15.23 | (0.05 | )(f) | 1.95 | 1.90 | — | (1.12 | ) | (1.12 | ) | ||||||||||||||||||
| (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% 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. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 17.31 | 8.23 | % | $ | 444,329 | 1.24 | % | (0.57 | )% | 1.27 | % | 22 | % | |||||||||||||
| 17.00 | 5.08 | 400,127 | 1.24 | (0.68 | ) | 1.27 | 58 | |||||||||||||||||||
| 18.45 | 35.14 | 337,933 | 1.24 | (0.83 | )(f) | 1.29 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 11.63 | 7.96 | 60,733 | 1.74 | (1.07 | ) | 1.76 | 22 | |||||||||||||||||||
| 11.78 | 4.51 | 58,288 | 1.74 | (1.17 | ) | 1.77 | 58 | |||||||||||||||||||
| 13.55 | 34.56 | 43,116 | 1.74 | (1.32 | )(f) | 1.77 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 19.54 | 8.32 | 331,901 | 0.99 | (0.31 | ) | 1.01 | 22 | |||||||||||||||||||
| 19.05 | 5.36 | 289,094 | 0.99 | (0.43 | ) | 1.02 | 58 | |||||||||||||||||||
| 20.35 | 35.45 | 268,082 | 0.99 | (0.57 | )(f) | 1.02 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 20.26 | 8.46 | 624,305 | 0.84 | (0.17 | ) | 0.86 | 22 | |||||||||||||||||||
| 19.71 | 5.51 | 568,539 | 0.84 | (0.27 | ) | 0.86 | 58 | |||||||||||||||||||
| 20.95 | 35.65 | 434,286 | 0.84 | (0.43 | )(f) | 0.86 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 16.54 | 8.08 | 25,758 | 1.49 | (0.82 | ) | 1.52 | 22 | |||||||||||||||||||
| 16.31 | 4.79 | 26,011 | 1.49 | (0.94 | ) | 1.52 | 58 | |||||||||||||||||||
| 17.84 | 34.83 | 31,569 | 1.49 | (1.08 | )(f) | 1.52 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 17.28 | 8.22 | 3,691 | 1.24 | (0.52 | ) | 1.32 | 22 | |||||||||||||||||||
| 17.00 | 5.08 | 1,072 | 1.24 | (0.63 | ) | 1.37 | 58 | |||||||||||||||||||
| 18.45 | 31.93 | 446 | 1.23 | (0.80 | )(f) | 1.28 | 58 | |||||||||||||||||||
| 17.41 | 8.41 | 2,417 | 0.99 | (0.30 | ) | 1.01 | 22 | |||||||||||||||||||
| 17.09 | 5.30 | 1,336 | 0.99 | (0.39 | ) | 1.01 | 58 | |||||||||||||||||||
| 18.50 | 32.28 | 726 | 0.99 | (0.53 | )(f) | 1.17 | 58 | |||||||||||||||||||
| 20.28 | 8.44 | 17,110 | 0.84 | (0.16 | ) | 0.86 | 22 | |||||||||||||||||||
| 19.72 | 5.50 | 13,817 | 0.84 | (0.34 | ) | 0.86 | 58 | |||||||||||||||||||
| 20.96 | 35.71 | 28,656 | 0.84 | (0.37 | )(f) | 0.88 | 58 | |||||||||||||||||||
| 16.60 | 24.72 | 1,186 | 0.82 | (0.31 | ) | 0.84 | 42 | |||||||||||||||||||
| 20.51 | 8.49 | 1,761,633 | 0.74 | (0.06 | ) | 0.76 | 22 | |||||||||||||||||||
| 19.95 | 5.60 | 1,518,382 | 0.74 | (0.16 | ) | 0.76 | 58 | |||||||||||||||||||
| 21.16 | 35.86 | 1,045,098 | 0.74 | (0.32 | )(f) | 0.76 | 58 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 69 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 23.65 | $ | 0.11 | $ | 1.52 | $ | 1.63 | $ | (0.15 | ) | $ | (1.33 | ) | $ | (1.48 | ) | |||||||||||
Year Ended June 30, 2019 | 30.42 | 0.21 | (3.28 | ) | (3.07 | ) | (0.24 | ) | (3.46 | ) | (3.70 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 29.18 | 0.20 | (f) | 3.01 | 3.21 | (0.23 | ) | (1.74 | ) | (1.97 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.90 | 0.04 | 1.22 | 1.26 | (0.12 | ) | (1.33 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 25.21 | 0.07 | (2.73 | ) | (2.66 | ) | (0.19 | ) | (3.46 | ) | (3.65 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 24.55 | 0.04 | (f) | 2.50 | 2.54 | (0.14 | ) | (1.74 | ) | (1.88 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 25.32 | 0.15 | 1.62 | 1.77 | (0.18 | ) | (1.33 | ) | (1.51 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.25 | 0.31 | (3.48 | ) | (3.17 | ) | (0.30 | ) | (3.46 | ) | (3.76 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.80 | 0.30 | (f) | 3.18 | 3.48 | (0.29 | ) | (1.74 | ) | (2.03 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.37 | 0.08 | 1.50 | 1.58 | (0.13 | ) | (1.33 | ) | (1.46 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 30.13 | 0.15 | (3.25 | ) | (3.10 | ) | (0.20 | ) | (3.46 | ) | (3.66 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 28.94 | 0.12 | (f) | 2.98 | 3.10 | (0.17 | ) | (1.74 | ) | (1.91 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.61 | 0.11 | 1.52 | 1.63 | (0.16 | ) | (1.33 | ) | (1.49 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 30.38 | 0.23 | (3.29 | ) | (3.06 | ) | (0.25 | ) | (3.46 | ) | (3.71 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 29.14 | 0.20 | (f) | 3.01 | 3.21 | (0.23 | ) | (1.74 | ) | (1.97 | ) | |||||||||||||||||
September 9, 2016 (g) 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, 2019 (Unaudited) | 25.28 | 0.09 | 1.69 | 1.78 | (0.14 | ) | (1.33 | ) | (1.47 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.21 | 0.30 | (3.47 | ) | (3.17 | ) | (0.30 | ) | (3.46 | ) | (3.76 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.77 | 0.32 | (f) | 3.14 | 3.46 | (0.28 | ) | (1.74 | ) | (2.02 | ) | |||||||||||||||||
September 9, 2016 (g) 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, 2019 (Unaudited) | 25.34 | 0.16 | 1.64 | 1.80 | (0.20 | ) | (1.33 | ) | (1.53 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.26 | 0.34 | (3.47 | ) | (3.13 | ) | (0.33 | ) | (3.46 | ) | (3.79 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.80 | 0.35 | (f) | 3.17 | 3.52 | (0.32 | ) | (1.74 | ) | (2.06 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 25.38 | 0.18 | 1.63 | 1.81 | (0.21 | ) | (1.33 | ) | (1.54 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.30 | 0.38 | (3.49 | ) | (3.11 | ) | (0.35 | ) | (3.46 | ) | (3.81 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.83 | 0.38 | (f) | 3.18 | 3.56 | (0.35 | ) | (1.74 | ) | (2.09 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
| (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. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 23.80 | 7.01 | % | $ | 174,095 | 1.25 | % | 0.92 | % | 1.27 | % | 12 | % | |||||||||||||
| 23.65 | (9.73 | ) | 193,505 | 1.24 | 0.80 | 1.26 | 60 | |||||||||||||||||||
| 30.42 | 11.41 | 336,054 | 1.24 | 0.67 | (f) | 1.30 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 18.71 | 6.77 | 14,874 | 1.74 | 0.41 | 1.79 | 12 | ||||||||||||||||||||
| 18.90 | (10.18 | ) | 18,088 | 1.74 | 0.33 | 1.77 | 60 | |||||||||||||||||||
| 25.21 | 10.80 | 25,885 | 1.75 | 0.14 | (f) | 1.78 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 25.58 | 7.10 | 236,475 | 0.99 | 1.16 | 1.01 | 12 | ||||||||||||||||||||
| 25.32 | (9.49 | ) | 287,014 | 0.99 | 1.10 | 1.01 | 60 | |||||||||||||||||||
| 32.25 | 11.70 | 336,366 | 0.99 | 0.96 | (f) | 1.01 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 23.49 | 6.84 | 35,334 | 1.49 | 0.69 | 1.59 | 12 | ||||||||||||||||||||
| 23.37 | (9.94 | ) | 36,276 | 1.49 | 0.60 | 1.58 | 60 | |||||||||||||||||||
| 30.13 | 11.12 | 45,300 | 1.52 | 0.41 | (f) | 1.63 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 23.75 | 6.99 | 15,347 | 1.24 | 0.95 | 1.29 | 12 | ||||||||||||||||||||
| 23.61 | (9.72 | ) | 14,854 | 1.24 | 0.89 | 1.28 | 60 | |||||||||||||||||||
| 30.38 | 11.42 | 12,948 | 1.25 | 0.67 | (f) | 1.29 | 39 | |||||||||||||||||||
| 29.14 | 13.24 | 13,390 | 1.27 | 0.53 | (f) | 1.28 | 41 | |||||||||||||||||||
| 25.59 | 7.14 | 83 | 0.99 | 0.75 | 1.04 | 12 | ||||||||||||||||||||
| 25.28 | (9.51 | ) | 436 | 0.99 | 1.10 | 1.04 | 60 | |||||||||||||||||||
| 32.21 | 11.65 | 102 | 1.01 | 1.03 | (f) | 1.27 | 39 | |||||||||||||||||||
| 30.77 | 13.44 | 39 | 1.06 | 0.75 | (f) | 1.10 | 41 | |||||||||||||||||||
| 25.61 | 7.21 | 43,401 | 0.85 | 1.28 | 0.87 | 12 | ||||||||||||||||||||
| 25.34 | (9.35 | ) | 69,857 | 0.84 | 1.21 | 0.86 | 60 | |||||||||||||||||||
| 32.26 | 11.85 | 131,506 | 0.84 | 1.11 | (f) | 0.87 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 25.65 | 7.25 | 811,277 | 0.75 | 1.42 | 0.76 | 12 | ||||||||||||||||||||
| 25.38 | (9.25 | ) | 933,252 | 0.74 | 1.36 | 0.76 | 60 | |||||||||||||||||||
| 32.30 | 11.97 | 1,040,121 | 0.74 | 1.21 | (f) | 0.76 | 39 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 71 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Small Company Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 15.96 | $ | 0.02 | $ | 1.42 | $ | 1.44 | $ | (0.04 | ) | $ | (0.01 | ) | $ | (0.05 | ) | |||||||||||
Year Ended June 30, 2019 | 19.60 | 0.03 | (1.81 | ) | (1.78 | ) | — | (1.86 | ) | (1.86 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 18.10 | — | (f)(g) | 2.69 | 2.69 | — | (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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.06 | (0.02 | ) | 1.33 | 1.31 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 18.70 | (0.06 | ) | (1.72 | ) | (1.78 | ) | — | (1.86 | ) | (1.86 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.40 | (0.09 | )(g) | 2.58 | 2.49 | — | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.40 | 0.04 | 1.46 | 1.50 | (0.09 | ) | (0.01 | ) | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 20.05 | 0.07 | (1.84 | ) | (1.77 | ) | (0.02 | ) | (1.86 | ) | (1.88 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.47 | 0.05 | (g) | 2.75 | 2.80 | (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 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.38 | 0.05 | 1.47 | 1.52 | (0.12 | ) | (0.01 | ) | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 20.05 | 0.10 | (1.86 | ) | (1.76 | ) | (0.05 | ) | (1.86 | ) | (1.91 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.46 | 0.08 | (g) | 2.76 | 2.84 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.58 | (0.01 | ) | 1.39 | 1.38 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 19.22 | (0.01 | ) | (1.77 | ) | (1.78 | ) | — | (1.86 | ) | (1.86 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.81 | (0.05 | )(g) | 2.65 | 2.60 | — | (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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.87 | 0.02 | 1.40 | 1.42 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 19.50 | 0.04 | (1.81 | ) | (1.77 | ) | — | (f) | (1.86 | ) | (1.86 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.03 | 0.01 | (g) | 2.68 | 2.69 | (0.03 | ) | (1.19 | ) | (1.22 | ) | |||||||||||||||||
September 9, 2016 (i) 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, 2019 (Unaudited) | 16.32 | 0.04 | 1.45 | 1.49 | (0.10 | ) | (0.01 | ) | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 19.98 | 0.08 | (1.85 | ) | (1.77 | ) | (0.03 | ) | (1.86 | ) | (1.89 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.44 | 0.05 | (g) | 2.75 | 2.80 | (0.07 | ) | (1.19 | ) | (1.26 | ) | |||||||||||||||||
September 9, 2016 (i) 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, 2019 (Unaudited) | 16.34 | 0.05 | 1.46 | 1.51 | (0.11 | ) | (0.01 | ) | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 20.01 | 0.11 | (1.86 | ) | (1.75 | ) | (0.06 | ) | (1.86 | ) | (1.92 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.45 | 0.08 | (g) | 2.74 | 2.82 | (0.07 | ) | (1.19 | ) | (1.26 | ) | |||||||||||||||||
September 9, 2016 (i) 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, 2019 (Unaudited) | 16.40 | 0.06 | 1.45 | 1.51 | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 20.07 | 0.12 | (1.86 | ) | (1.74 | ) | (0.07 | ) | (1.86 | ) | (1.93 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.48 | 0.10 | (g) | 2.76 | 2.86 | (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 | ) | ||||||||||||||||||
| (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) | Amount rounds to less than 0.005%. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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| 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) | without waivers, | Portfolio turnover rate (c) | ||||||||||||||||||||
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| $ | 17.35 | 9.01 | % | $ | 128,369 | 1.23 | % | 0.20 | % | 1.23 | % | 17 | % | |||||||||||||
| 15.96 | (8.77 | ) | 136,432 | 1.22 | 0.16 | 1.22 | 64 | |||||||||||||||||||
| 19.60 | 15.40 | 210,050 | 1.22 | 0.00 | (g)(h) | 1.23 | 52 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.36 | 8.69 | 25,996 | 1.74 | (0.32 | ) | 1.74 | 17 | |||||||||||||||||||
| 15.06 | (9.22 | ) | 28,451 | 1.72 | (0.35 | ) | 1.73 | 64 | ||||||||||||||||||
| 18.70 | 14.85 | 45,633 | 1.73 | (0.50 | )(g) | 1.73 | 52 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 17.80 | 9.12 | 266,398 | 0.96 | 0.46 | 0.97 | 17 | ||||||||||||||||||||
| 16.40 | (8.49 | ) | 273,370 | 0.96 | 0.41 | 0.96 | 64 | |||||||||||||||||||
| 20.05 | 15.73 | 433,317 | 0.96 | 0.27 | (g) | 0.97 | 52 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 17.77 | 9.25 | 432,903 | 0.81 | 0.62 | 0.81 | 17 | ||||||||||||||||||||
| 16.38 | (8.42 | ) | 433,521 | 0.81 | 0.58 | 0.81 | 64 | |||||||||||||||||||
| 20.05 | 15.95 | 554,361 | 0.81 | 0.42 | (g) | 0.82 | 52 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.95 | 8.85 | 38,212 | 1.50 | (0.08 | ) | 1.50 | 17 | |||||||||||||||||||
| 15.58 | (8.95 | ) | 44,064 | 1.47 | (0.07 | ) | 1.49 | 64 | ||||||||||||||||||
| 19.22 | 15.13 | 49,715 | 1.48 | (0.25 | )(g) | 1.48 | 52 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 17.23 | 8.97 | 25,693 | 1.21 | 0.22 | 1.21 | 17 | ||||||||||||||||||||
| 15.87 | (8.75 | ) | 23,887 | 1.21 | 0.23 | 1.21 | 64 | |||||||||||||||||||
| 19.50 | 15.49 | 17,655 | 1.21 | 0.04 | (g) | 1.21 | 52 | |||||||||||||||||||
| 18.03 | 13.01 | 9,560 | 1.23 | 0.25 | (g) | 1.24 | 53 | |||||||||||||||||||
| 17.70 | 9.10 | 8,765 | 0.98 | 0.46 | 0.99 | 17 | ||||||||||||||||||||
| 16.32 | (8.52 | ) | 6,313 | 0.97 | 0.45 | 0.98 | 64 | |||||||||||||||||||
| 19.98 | 15.73 | 5,773 | 1.01 | 0.28 | (g) | 1.04 | 52 | |||||||||||||||||||
| 18.44 | 13.24 | 794 | 1.00 | 0.89 | (g) | 1.07 | 53 | |||||||||||||||||||
| 17.73 | 9.23 | 7,917 | 0.81 | 0.58 | 0.81 | 17 | ||||||||||||||||||||
| 16.34 | (8.39 | ) | 11,770 | 0.81 | 0.64 | 0.81 | 64 | |||||||||||||||||||
| 20.01 | 15.83 | 6,491 | 0.85 | 0.43 | (g) | 0.86 | 52 | |||||||||||||||||||
| 18.45 | 13.44 | 145 | 0.83 | 0.51 | (g) | 0.90 | 53 | |||||||||||||||||||
| 17.77 | 9.22 | 399,902 | 0.71 | 0.71 | 0.72 | 17 | ||||||||||||||||||||
| 16.40 | (8.30 | ) | 435,139 | 0.71 | 0.70 | 0.72 | 64 | |||||||||||||||||||
| 20.07 | 16.05 | �� | 455,851 | 0.71 | 0.53 | (g) | 0.72 | 52 | ||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 73 | ||||||
Table of Contents
AS OF DECEMBER 31, 2019 (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”), asopen-end management investment companies.
The following are 6 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Small Cap Blend Fund | Class A, Class C, Class I and Class R6(1) | JPM I | Diversified | |||
| JPMorgan Small Cap Core Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Small Cap Equity Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan 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 | |||
| JPMorgan Small Cap Value Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM II | Diversified | |||
| JPMorgan 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 |
| (1) | Class R6 commenced operations on July 2, 2018 for JPMorgan Small Cap Blend Fund. |
The investment objectives of JPMorgan Small Cap Blend Fund (“Small Cap Blend Fund”), JPMorgan Small Cap Core Fund (“Small Cap Core Fund”) and JPMorgan Small Cap Equity Fund (“Small Cap Equity Fund”) are to seek capital growth over the long term.
The investment objective of JPMorgan Small Cap Growth Fund (“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 JPMorgan Small Cap Value Fund (“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 JPMorgan U.S. Small Company Fund (“U.S. Small Company Fund”) is to seek to provide high total return from a portfolio of small company stocks.
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 Class L shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses.
All share classes of the Small 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.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), 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 their market value 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 Boards. The
Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards 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 Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the
| 74 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
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 Boards.
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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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):
| Small Cap Blend Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 472,083 | $ | — | $ | — | (b) | $ | 472,083 | |||||||
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| Small Cap Core Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(c) | $ | 524,943 | $ | — | $ | — | $ | 524,943 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (c) | $ | 54 | $ | — | $ | — | $ | 54 | ||||||||
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| Small Cap Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(c) | $ | 7,572,401 | $ | — | $ | — | $ | 7,572,401 | ||||||||
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| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 75 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Small Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 3,530,110 | $ | — | $ | — | (b) | $ | 3,530,110 | |||||||
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Small Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(c) | $ | 1,418,001 | $ | — | $ | — | $ | 1,418,001 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (c) | $ | 96 | $ | — | $ | — | $ | 96 | ||||||||
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U.S. Small Company Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 1,423,834 | $ | — | $ | 164 | $ | 1,423,998 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (c) | $ | 110 | $ | — | $ | — | $ | 110 | ||||||||
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| (a) | All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Amount rounds to less than one thousand. |
| (c) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
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, while cash deposited, which is considered restricted, 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, 2019 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Futures Contracts — Equity: | ||||||||||||
Average Notional Balance Long | $ | 15,608 | $ | 32,159 | $ | 30,433 | ||||||
Ending Notional Balance Long | 12,608 | 24,715 | 31,895 | |||||||||
| 76 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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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. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).
| Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Small Cap Blend Fund | $ | 33,180 | $ | (33,180 | ) | $ | — | |||||
Small Cap Core Fund | 32,946 | (32,946 | ) | — | ||||||||
Small Cap Equity Fund | 270,653 | (270,653 | ) | — | ||||||||
Small Cap Growth Fund | 255,206 | (255,206 | ) | — | ||||||||
Small Cap Value Fund | 82,472 | (82,472 | ) | — | ||||||||
U.S. Small Company Fund | 108,465 | (108,465 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Small Cap Blend Fund | $ | 4 | ||
Small Cap Core Fund | 3 | |||
Small Cap Equity Fund | 19 | |||
Small Cap Growth Fund | 25 | |||
Small Cap Value Fund | 9 | |||
U.S. Small Company Fund | 10 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 77 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
D. 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 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 tables below. Amounts in the tables below are in thousands.
Small Cap Blend Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 12,791 | $ | 69,487 | $ | 75,079 | $ | — | (c) | $ | (1 | ) | $ | 7,198 | 7,196 | $ | 108 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 26,008 | 26,000 | 25,000 | (1 | )* | (2 | ) | 27,005 | 27,002 | 251 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 10,612 | 82,793 | 86,483 | — | — | 6,922 | 6,922 | 84 | * | — | ||||||||||||||||||||||||||
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Total | $ | 49,411 | $ | 178,280 | $ | 186,562 | $ | (1 | ) | $ | (3 | ) | $ | 41,125 | $ | 443 | $ | — | ||||||||||||||||||
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Small Cap Core Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 47,070 | $ | 52,026 | $ | 84,321 | $ | (1 | ) | $ | — | (c) | $ | 14,774 | 14,770 | $ | 167 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 25,006 | 38,000 | 35,000 | (2 | )* | (2 | ) | 28,002 | 28,000 | 255 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 7,388 | 85,046 | 86,811 | — | — | 5,623 | 5,623 | 67 | * | — | ||||||||||||||||||||||||||
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Total | $ | 79,464 | $ | 175,072 | $ | 206,132 | $ | (3 | ) | $ | (2 | ) | $ | 48,399 | $ | 489 | $ | — | ||||||||||||||||||
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Small Cap Equity Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 254,743 | $ | 1,077,844 | $ | 999,474 | $ | (12 | ) | $ | (25 | ) | $ | 333,076 | 332,976 | $ | 3,293 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 177,054 | 582,000 | 506,000 | (3 | )* | (8 | ) | 253,043 | 253,017 | 2,544 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 39,120 | 507,139 | 516,232 | — | — | 30,027 | 30,027 | 413 | * | — | ||||||||||||||||||||||||||
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Total | $ | 470,917 | $ | 2,166,983 | $ | 2,021,706 | $ | (15 | ) | $ | (33 | ) | $ | 616,146 | $ | 6,250 | $ | — | ||||||||||||||||||
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| 78 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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Small Cap Growth Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 24,541 | $ | 723,673 | $ | 711,085 | $ | (3 | ) | $ | (1 | ) | $ | 37,125 | 37,114 | $ | 548 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 341,079 | 445,000 | 552,000 | (18 | )* | (22 | ) | 234,039 | 234,016 | 3,161 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 75,263 | 455,149 | 503,567 | — | — | 26,845 | 26,845 | 511 | * | — | ||||||||||||||||||||||||||
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Total | $ | 440,883 | $ | 1,623,822 | $ | 1,766,652 | $ | (21 | ) | $ | (23 | ) | $ | 298,009 | $ | 4,220 | $ | — | ||||||||||||||||||
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Small Cap Value Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 35,272 | $ | 341,714 | $ | 350,692 | $ | (3 | ) | $ | (4 | ) | $ | 26,287 | 26,280 | $ | 350 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 70,028 | 82,000 | 79,000 | (3 | )* | (5 | ) | 73,020 | 73,012 | 890 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 23,241 | 167,526 | 178,480 | — | — | 12,287 | 12,287 | 188 | * | — | ||||||||||||||||||||||||||
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Total | $ | 128,541 | $ | 591,240 | $ | 608,172 | $ | (6 | ) | $ | (9 | ) | $ | 111,594 | $ | 1,428 | $ | — | ||||||||||||||||||
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U.S. Small Company Fund
For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 38,896 | $ | 187,276 | $ | 216,677 | $ | 2 | $ | (2 | ) | $ | 9,495 | 9,492 | $ | 288 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 106,032 | 89,000 | 108,000 | (3 | )* | (8 | ) | 87,021 | 87,012 | 968 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 25,260 | 204,365 | 205,231 | — | — | 24,394 | 24,394 | 215 | * | — | ||||||||||||||||||||||||||
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Total | $ | 170,188 | $ | 480,641 | $ | 529,908 | $ | (1 | ) | $ | (10 | ) | $ | 120,910 | $ | 1,471 | $ | — | ||||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of December 31, 2019. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 79 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on theex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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 | |||||||||||||||||||||||||||||||
Small Cap Blend Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 14 | $ | 1 | $ | 2 | n/a | n/a | n/a | n/a | n/a | $ | — | (a) | $ | 17 | ||||||||||||||||||||||||
Small Cap Core Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 2 | — | (a) | 2 | n/a | $ | — | (a) | $ | — | (a) | $ | — | (a) | $ | 4 | 1 | 9 | ||||||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 74 | 4 | 33 | n/a | 1 | — | (a) | — | (a) | 11 | 8 | 131 | ||||||||||||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 29 | 2 | 5 | $ | 3 | 2 | 1 | — | (a) | — | (a) | 16 | 58 | |||||||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 9 | 2 | 4 | n/a | 14 | 2 | — | (a) | 4 | 20 | 55 | |||||||||||||||||||||||||||||
U.S. Small Company Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 13 | 4 | 7 | 6 | 8 | — | (a) | 1 | — | (a) | 13 | 52 | ||||||||||||||||||||||||||||
| (a) | Amount rounds to less than one thousand. |
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (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, 2019, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Distributions from net investment income, if any, 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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:
Small Cap Blend 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 |
| 80 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, 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 asSub-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 Funds’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds pursuant to Rule12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 | |||||||||||||
Small Cap Blend 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, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Small Cap Blend Fund | $ | 20 | $ | — | (a) | |||
Small Cap Core Fund | 1 | — | ||||||
Small Cap Equity Fund | 5 | 1 | ||||||
Small Cap Growth Fund | 53 | — | (a) | |||||
Small Cap Value Fund | 2 | — | ||||||
U.S. Small Company Fund | 1 | — | ||||||
| (a) | Amount rounds to less than one thousand. |
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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 | |||||||||||||||||||||||||
Small Cap Blend 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 | ||||||||||||||||||||||||
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. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 81 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates 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, expenses related to trustee elections 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 | ||||||||||||||||||||||||||||
Small Cap Blend Fund | 1.24 | % | 1.74 | % | 0.99 | % | n/a | n/a | n/a | n/a | n/a | 0.74 | % | |||||||||||||||||||||||
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 | n/a | (1) | n/a | (1) | 0.99 | n/a | 1.49 | n/a | (1) | 0.99 | 0.80 | n/a | (1) | |||||||||||||||||||||||
Small Cap Growth Fund | 1.24 | 1.74 | 0.99 | n/a | (2) | 1.49 | 1.24 | 0.99 | 0.84 | 0.74 | ||||||||||||||||||||||||||
Small Cap Value Fund | n/a | (3) | 1.74 | 0.99 | n/a | 1.49 | 1.24 | 0.99 | n/a | (3) | n/a | (3) | ||||||||||||||||||||||||
U.S. Small Company Fund | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | n/a | (4) | ||||||||||||||||||
| (1) | Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class R3 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.24%, 1.74%, 1.24% and 0.74% for Class A, Class C, Class R3 and Class R6 Shares, respectively. |
| (2) | Effective November 1, 2019, the contractual expense limitation for Class L Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.85% for Class L Shares. |
| (3) | Effective November 1, 2019, the contractual expense limitation for Class A, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.24%, 0.84% and 0.74% for Class A, Class R5 and Class R6 Shares, respectively. |
| (4) | Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.26%, 1.76%, 1.01%, 0.83%, 1.51%, 1.26%, 1.01%, 0.86% and 0.76% for Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. |
The expense limitation agreements were in effect for the six months ended December 31, 2019. The contractual expense limitation percentages are in place until at least October 31, 2020.
For the six months ended December 31, 2019, 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 | ||||||||||||||||
Small Cap Blend Fund | $ | 74 | $ | 49 | $ | 17 | $ | 140 | $ | — | ||||||||||
Small Cap Core Fund | 88 | 59 | 49 | 196 | — | (a) | ||||||||||||||
Small Cap Equity Fund | 38 | 24 | 314 | 376 | — | |||||||||||||||
Small Cap Growth Fund | 116 | 77 | 39 | 232 | 16 | |||||||||||||||
Small Cap Value Fund | 58 | 38 | 40 | 136 | 8 | |||||||||||||||
U.S. Small Company Fund | — | — | 1 | 1 | — | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
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The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):
Small Cap Blend Fund | $ | 7 | ||
Small Cap Core Fund | 11 | |||
Small Cap Equity Fund | 213 | |||
Small Cap Growth Fund | 35 | |||
Small Cap Value Fund | 24 | |||
U.S. Small Company Fund | 19 |
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 Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-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, 2019, the Small Cap Blend Fund, Small Cap Core Fund, Small Cap Equity Fund, Small Cap Growth Fund, and U.S. Small Company Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended December 31, 2019, purchases and sales of investments (excluding short-term investments and transfersin-kind) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Small Cap Blend Fund | $ | 120,588 | $ | 57,704 | ||||
Small Cap Core Fund | 183,261 | 157,520 | ||||||
Small Cap Equity Fund | 963,353 | 473,316 | ||||||
Small Cap Growth Fund | 785,527 | 641,349 | ||||||
Small Cap Value Fund | 169,016 | 476,393 | ||||||
U.S. Small Company Fund | 218,355 | 351,032 | ||||||
During the six months ended December 31, 2019, 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, 2019 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Small Cap Blend Fund | $ | 392,839 | $ | 90,858 | $ | 11,614 | $ | 79,244 | ||||||||
Small Cap Core Fund | 453,889 | 88,156 | 17,048 | 71,108 | ||||||||||||
Small Cap Equity Fund | 5,391,181 | 2,326,685 | 145,465 | 2,181,220 | ||||||||||||
Small Cap Growth Fund | 2,709,989 | 921,226 | 101,105 | 820,121 | ||||||||||||
Small Cap Value Fund | 1,164,040 | 326,475 | 72,418 | 254,057 | ||||||||||||
U.S. Small Company Fund | 1,156,107 | 336,181 | 68,180 | 268,001 | ||||||||||||
At June 30, 2019, the Funds did not have any capital loss carryforwards.
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 83 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Late year ordinary losses incurred after December 31 as well as net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of Funds’ next taxable year. For the year ended June 30, 2019, the following Funds deferred to July 1, 2019 late year ordinary losses and post-October capital losses of (amounts in thousands):
| Net Capital Losses (Gains) | ||||||||||||
| Short-Term | Long-Term | Late Year Ordinary Loss Deferral | ||||||||||
Small Cap Blend Fund | $ | 1,287 | $ | — | $ | — | ||||||
Small Cap Core Fund | 3,995 | — | — | |||||||||
Small Cap Equity Fund | 31,929 | — | — | |||||||||
Small Cap Growth Fund | 23,715 | — | 2,937 | |||||||||
Small Cap Value Fund | 55,298 | — | — | |||||||||
U.S. Small Company Fund | 58,563 | (32,278 | ) | — | ||||||||
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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.
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 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have 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 London InterBank Offered Rate (“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 13, 2019, 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, 2019.
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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
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As of December 31, 2019, the Funds had individual shareholder and/ornon-affiliated omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| Number of individual shareholder and/orNon-Affiliated Omnibus Accounts | % of the Fund | |||||||
Small Cap Blend Fund | 3 | 68.3 | % | |||||
Small Cap Core Fund | 2 | 48.9 | ||||||
Small Cap Equity Fund | 3 | 44.2 | ||||||
Small Cap Growth Fund | 1 | 15.9 | ||||||
Small Cap Value Fund | 1 | 13.5 | ||||||
U.S. Small Company Fund | 2 | 30.9 | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
As of December 31, 2019, 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 as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Small Cap Value Fund | 15.3 | % | 17.2 | % | ||||
Because the Funds may invest a significant portion of their assets in real estate investment trusts (“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. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
8. Subscriptionin-kind
On April 3, 2019, certain shareholders purchased Class R6 Shares of U.S. Small Company Fund. The portfolio securities were received primarily by means of a subscriptionin-kind in exchange for shares of the Fund. Portfolio securities were transferred as detailed below (amounts in thousands):
| Value | Type | |||||
| $13,799 | Subscription in-kind | |||||
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 85 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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 each 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, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Blend Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.10 | $ | 6.49 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,078.00 | 9.09 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,082.50 | 5.18 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,084.00 | 3.88 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
JPMorgan Small Cap Core Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,067.30 | 6.44 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,064.60 | 9.03 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,068.70 | 5.15 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,066.20 | 7.74 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,067.30 | 6.44 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
| 86 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Core Fund (continued) | ||||||||||||||||
Class R4 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.80 | $ | 5.15 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,069.80 | 4.16 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.11 | 4.06 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,070.00 | 3.85 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
JPMorgan Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,070.60 | 6.45 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,067.80 | 9.04 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,072.00 | 5.16 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,069.20 | 7.75 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,070.60 | 6.45 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,072.00 | 5.16 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,073.10 | 4.17 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.11 | 4.06 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,073.40 | 3.80 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.71 | 0.73 | ||||||||||||
JPMorgan Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,082.30 | 6.49 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,079.60 | 9.10 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,083.20 | 5.18 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,084.60 | 4.40 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.91 | 4.27 | 0.84 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,080.80 | 7.79 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,082.20 | 6.49 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 87 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Growth Fund (continued) | ||||||||||||||||
Class R4 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.10 | $ | 5.19 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,084.40 | 4.40 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.91 | 4.27 | 0.84 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,084.90 | 3.88 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
JPMorgan Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,070.10 | 6.50 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.85 | 6.34 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,067.70 | 9.04 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,071.00 | 5.15 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,068.40 | 7.75 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,069.90 | 6.45 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,071.40 | 5.15 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,072.10 | 4.43 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.86 | 4.32 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,072.50 | 3.91 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||
JPMorgan U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,090.10 | 6.46 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.95 | 6.24 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,086.90 | 9.13 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,091.20 | 5.05 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.31 | 4.88 | 0.96 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,092.50 | 4.26 | 0.81 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.06 | 4.12 | 0.81 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,088.50 | 7.87 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.61 | 1.50 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,089.70 | 6.36 | 1.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.05 | 6.14 | 1.21 | ||||||||||||
| 88 | J.P. MORGAN SMALL CAP FUNDS | DECEMBER 31, 2019 | ||||
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| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan U.S. Small Company Fund (continued) | ||||||||||||||||
Class R4 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.00 | $ | 5.15 | 0.98 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.21 | 4.98 | 0.98 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,092.30 | 4.26 | 0.81 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.06 | 4.12 | 0.81 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,092.20 | 3.73 | 0.71 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.61 | 0.71 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 89 | ||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund 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 14, 2019.
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 as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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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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 information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.
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 the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodian and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Small Cap Blend 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 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.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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.
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 Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. 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 Small Cap Blend Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year
periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was also in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, 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 Core Fund’s performance for Class A shares was in the third quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2018. The Trustees noted that the performance for Class R5 shares was in the third, third and first 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, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2018. 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 first quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class I shares was also 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, 2018. The Trustees noted that the performance for Class R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, for the one-year period ended December 31, 2018. 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, Class I and Class R6 shares was in the third, first and first quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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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The Trustees noted that the Small Cap Value Fund’s performance for Class A shares was in the second, second and fifth quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, fourth and fourth quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the U.S. Small Company Fund’s performance for Class A shares was in the second, fourth and third quintiles based upon the Peer Group, and in the third, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, third and third quintiles based upon the Peer Group, and in the third, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second, third and first quintiles based upon the Peer Group, and in the third, fourth and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes
made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional 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 Small Cap Blend Fund’s net advisory fee for 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 Class A shares were in the second quintile based upon both the Peer Group and Universe; and Class I 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 R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and actual total expenses for Class R6 shares were in the first quintile for both the Peer Group and Universe. After considering the factors identified above, in light of this information, 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 Core 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 R5 shares was in the second quintile based upon both the Peer Group and Universe, and actual total expenses for Class R5 shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, 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 and actual total expenses for Class A shares were in the third quintile based upon the Peer Group and in the second quintile based upon the 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
| DECEMBER 31, 2019 | J.P. MORGAN SMALL CAP FUNDS | 93 | ||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
actual total expenses for Class I 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 R6 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, 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 Growth Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses 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 actual total expenses were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, in light of this information, 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 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 noted that the net advisory fee for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, 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. 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 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 first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December 2019. | SAN-SC-1219 |
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Semi-Annual Report
J.P. Morgan MidCap/Multi-Cap Funds
December 31, 2019 (Unaudited)
JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Value Advantage Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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| Letter to Shareholders | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| Schedules of Portfolio Investments | 13 | |||
| Financial Statements | 28 | |||
| Financial Highlights | 44 | |||
| Notes to Financial Statements | 54 | |||
| Schedule of Shareholder Expenses | 65 | |||
| Board Approval of Investment Advisory Agreements | 68 | |||
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 at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
Table of Contents
J.P. Morgan MidCap/Multi-Cap Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Russell Midcap Index returned 7.6%.
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 10.31% | |||
| Russell 3000 Growth Index | 11.89% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 9,410,089 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the Russell 3000 Growth Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the health care and energy sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the producer durables and technology sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. its overweight position in Exact Sciences Co. and its out-of-Benchmark position in Waste Connections Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor demand toward more cyclical industrial businesses.
Leading individual contributors to relative performance included the Fund’s overweight positions Advanced Micro Devices Inc. and DexCom Inc. and its underweight position in Cisco Systems Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies across market capitalizations in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 7.5 | % | |||||
| 2. | Apple, Inc. | 5.3 | ||||||
| 3. | Alphabet, Inc., Class C | 5.2 | ||||||
| 4. | Amazon.com, Inc. | 4.3 | ||||||
| 5. | Mastercard, Inc., Class A | 2.8 | ||||||
| 6. | UnitedHealth Group, Inc. | 2.6 | ||||||
| 7. | Advanced Micro Devices, Inc. | 1.9 | ||||||
| 8. | Global Payments, Inc. | 1.9 | ||||||
| 9. | Ross Stores, Inc. | 1.8 | ||||||
| 10. | PayPal Holdings, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 38.3 | % | ||
| Health Care | 14.3 | |||
| Consumer Discretionary | 13.7 | |||
| Industrials | 10.8 | |||
| Communication Services | 9.4 | |||
| Financials | 6.2 | |||
| Materials | 2.5 | |||
| Others (each less than 1.0%) | 1.4 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | October 29, 1999 | |||||||||||||||||
With Sales Charge** | 4.50 | % | 28.68 | % | 13.43 | % | 15.14 | % | ||||||||||
Without Sales Charge | 10.31 | 35.81 | 14.65 | 15.76 | ||||||||||||||
CLASS C SHARES | May 1, 2006 | |||||||||||||||||
With CDSC*** | 9.04 | 34.12 | 14.09 | 15.18 | ||||||||||||||
Without CDSC | 10.04 | 35.12 | 14.09 | 15.18 | ||||||||||||||
CLASS I SHARES | May 1, 2006 | 10.45 | 36.13 | 14.91 | 16.00 | |||||||||||||
CLASS R2 SHARES | July 31, 2017 | 10.13 | 35.44 | 14.36 | 15.47 | |||||||||||||
CLASS R3 SHARES | May 31, 2017 | 10.30 | 35.79 | 14.66 | 15.77 | |||||||||||||
CLASS R4 SHARES | May 31, 2017 | 10.46 | 36.14 | 14.94 | 16.05 | |||||||||||||
CLASS R5 SHARES | January 8, 2009 | 10.55 | 36.33 | 15.11 | 16.22 | |||||||||||||
CLASS R6 SHARES | December 23, 2013 | 10.61 | 36.49 | 15.24 | 16.29 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information pleasecall 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 for 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 R4 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 different to those shown because Class R4 Shares have different expenses to 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 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 LipperMulti-Cap Growth Funds Index from December 31, 2009 to December 31, 2019. 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 LipperMulti-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 higherprice-to-book ratios and higher forecasted growth values. The LipperMulti-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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 7.46% | |||
| Russell Midcap Index | 7.58% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 1,723,019 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the energy and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and information technologies sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight position in Sage Therapeutics Inc. and its out-of-Benchmark positions in Progressive Corp. and Waste Connections Inc. Shares of Sage Therapeutics, a drug development company, fell after the company’s anti-depression drug candidate failed in a late-stage clinical trial. Shares of Progressive, a provider of property and casualty insurance, fell after the company reported a higher-than-expected core loss ratio for the second quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor demand toward more cyclical industrial businesses.
Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc., DexCom Inc. and Lam Research Corp. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers.
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. | Advanced Micro Devices, Inc. | 1.6 | % | |||||
| 2. | Global Payments, Inc. | 1.5 | ||||||
| 3. | O’Reilly Automotive, Inc. | 1.4 | ||||||
| 4. | Fiserv, Inc. | 1.3 | ||||||
| 5. | Synopsys, Inc. | 1.3 | ||||||
| 6. | Amphenol Corp., Class A | 1.2 | ||||||
| 7. | AMETEK, Inc. | 1.2 | ||||||
| 8. | CBRE Group, Inc., Class A | 1.2 | ||||||
| 9. | Hilton Worldwide Holdings, Inc. | 1.1 | ||||||
| 10. | Xcel Energy, Inc. | 1.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 20.9 | % | ||
| Consumer Discretionary | 14.3 | |||
| Financials | 13.8 | |||
| Industrials | 12.7 | |||
| Health Care | 10.3 | |||
| Real Estate | 7.4 | |||
| Utilities | 5.3 | |||
| Materials | 4.3 | |||
| Communication Services | 3.0 | |||
| Energy | 3.0 | |||
| Consumer Staples | 1.9 | |||
| Short-Term Investments | 3.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OFDECEMBER 31, 2019 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||
CLASS A SHARES | November 2, 2009 | |||||||||||||||
With Sales Charge** | 1.68% | 25.59 | % | 8.21 | % | 12.46 | % | |||||||||
Without Sales Charge | 7.31 | 32.56 | 9.38 | 13.07 | ||||||||||||
CLASS C SHARES | November 2, 2009 | |||||||||||||||
With CDSC*** | 6.05 | 30.89 | 8.84 | 12.51 | ||||||||||||
Without CDSC | 7.05 | 31.89 | 8.84 | 12.51 | ||||||||||||
CLASS I SHARES | January 1, 1997 | 7.46 | 32.91 | 9.73 | 13.44 | |||||||||||
CLASS R2 SHARES | March 14, 2014 | 7.18 | 32.22 | 9.11 | 12.91 | |||||||||||
CLASS R5 SHARES | March 14, 2014 | 7.54 | 33.09 | 9.86 | 13.52 | |||||||||||
CLASS R6 SHARES | March 14, 2014 | 7.58 | 33.21 | 9.94 | 13.57 | |||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information pleasecall 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares from December 31, 2009 to March 13, 2014. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R5 and Class R6 Shares prior to their inception dates 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, 2009 to December 31, 2019. 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 bench mark, 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. 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, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 7.96% | |||
| Russell Midcap Growth Index | 7.45% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $4,842,246 | |||
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 outperformed the Russell Midcap Growth Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the consumer discretionary and financial services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector was the sole significant detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc. and Insulet Corp. and its out-of-Benchmark position in Generac Holdings Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Insulet, a maker of insulin infusion devices, rose after the company reported better-than-expected earnings and growth in product revenue for the third quarter of 2019. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sage Therapeutics and Exact Sciences Corp. and its out-of-Benchmark position in Waste Connections Inc. Shares of Sage Therapeutics, a drug development company, fell after the company’s anti-depression drug candidate failed in a late-stage clinical trial. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor preferences toward more cyclical industrial businesses.
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 funda-
mentals. 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. | Advanced Micro Devices, Inc. | 3.0 | % | |||||
| 2. | Global Payments, Inc. | 2.9 | ||||||
| 3. | O’Reilly Automotive, Inc. | 2.7 | ||||||
| 4. | Fiserv, Inc. | 2.6 | ||||||
| 5. | Synopsys, Inc. | 1.7 | ||||||
| 6. | Lam Research Corp. | 1.6 | ||||||
| 7. | Ingersoll-Rand plc | 1.6 | ||||||
| 8. | Waste Connections, Inc. | 1.5 | ||||||
| 9. | Lululemon Athletica, Inc. | 1.5 | ||||||
| 10. | Zebra Technologies Corp., Class A | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 34.4 | % | ||
| Consumer Discretionary | 16.4 | |||
| Industrials | 16.4 | |||
| Health Care | 14.0 | |||
| Financials | 5.9 | |||
| Materials | 3.8 | |||
| Communication Services | 3.2 | |||
| Real Estate | 1.1 | |||
| Energy | 0.7 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||||||
With Sales Charge** | 2.11 | % | 31.94 | % | 10.52 | % | 13.39 | % | ||||||||||
Without Sales Charge | 7.78 | 39.23 | 11.71 | 14.00 | ||||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||||
With CDSC*** | 6.55 | 37.55 | 11.16 | 13.44 | ||||||||||||||
Without CDSC | 7.55 | 38.55 | 11.16 | 13.44 | ||||||||||||||
CLASS I SHARES | March 2, 1989 | 7.96 | 39.66 | 12.06 | 14.36 | |||||||||||||
CLASS R2 SHARES | June 19, 2009 | 7.64 | 38.89 | 11.48 | 13.80 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 7.80 | 39.23 | 11.71 | 14.01 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 7.92 | 39.55 | 11.99 | 14.29 | |||||||||||||
CLASS R5 SHARES | November 1, 2011 | 8.03 | 39.85 | 12.21 | 14.49 | |||||||||||||
CLASS R6 SHARES | November 1, 2011 | 8.07 | 39.96 | 12.27 | �� | 14.55 | ||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for the 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 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 and the Lipper Mid-Cap Growth Funds Index from December 31, 2009 to December 31, 2019. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital
gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higherprice-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index is an index based on total returns of certain mutual funds 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. 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, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class L Shares)* | 7.11% | |||
| Russell Midcap Value Index | 7.66% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 17,143,311 | ||
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, 2019. The Fund’s security selection in the energy and financials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and materials sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Expedia Group Inc. and Middleby Corp. and its underweight position in State Street Corp. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019. Shares of Middleby, a food service equipment manufacturer, fell after the company reported lower-than-expected sales for the third quarter of 2019 and weak results for the second quarter of 2019. Shares of State Street, a banking and financial services company not held in the Fund, rose after the company reported better-than-expected earnings for the third quarter of 2019.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in CDW Corp. and Sherwin-Williams Co. and its overweight position in Tiffany & Co. Shares of CDW, a provider of information technology and services, rose following the company’s initial public offering in June and its inclusion in the S&P 500 Index. Shares of Sherwin-Williams, a paints and coatings manufacturer, rose amid quarterly earnings growth and after the settlement of decades-long lead paint litigation with the state of California. Shares of Tiffany, a luxury retailer, rose after the company agreed to a $16.2 billion acquisition by LVMH Moet Hennessey Louis Vuitton SE.
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. | Xcel Energy, Inc. | 2.2 | % | |||||
| 2. | WEC Energy Group, Inc. | 2.1 | ||||||
| 3. | CMS Energy Corp. | 2.1 | ||||||
| 4. | Loews Corp. | 1.9 | ||||||
| 5. | M&T Bank Corp. | 1.9 | ||||||
| 6. | Diamondback Energy, Inc. | 1.7 | ||||||
| 7. | Williams Cos., Inc. (The) | 1.6 | ||||||
| 8. | Sempra Energy | 1.6 | ||||||
| 9. | T. Rowe Price Group, Inc. | 1.6 | ||||||
| 10. | AutoZone, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 22.1 | % | ||
| Real Estate | 13.5 | |||
| Consumer Discretionary | 11.9 | |||
| Utilities | 10.9 | |||
| Industrials | 8.8 | |||
| Information Technology | 6.7 | |||
| Health Care | 6.6 | |||
| Energy | 5.4 | |||
| Materials | 4.8 | |||
| Consumer Staples | 3.9 | |||
| Communication Services | 2.8 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||||||
With Sales Charge** | 1.23 | % | 19.37 | % | 5.65 | % | 11.51 | % | ||||||||||
Without Sales Charge | 6.84 | 26.00 | 6.79 | 12.11 | ||||||||||||||
CLASS C SHARES | April 30, 2001 | |||||||||||||||||
With CDSC*** | 5.57 | 24.35 | 6.25 | 11.54 | ||||||||||||||
Without CDSC | 6.57 | 25.35 | 6.25 | 11.54 | ||||||||||||||
CLASS I SHARES | October 31, 2001 | 7.00 | 26.34 | 7.07 | 12.39 | |||||||||||||
CLASS L SHARES | November 13, 1997 | 7.11 | 26.63 | 7.32 | 12.65 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 6.71 | 25.70 | 6.52 | 11.82 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 6.85 | 26.00 | 6.79 | 12.11 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 6.99 | 26.32 | 7.06 | 12.39 | |||||||||||||
CLASS R5 SHARES | September 9, 2016 | 7.07 | 26.51 | 7.25 | 12.62 | |||||||||||||
CLASS R6 SHARES | September 9, 2016 | 7.14 | 26.67 | 7.32 | 12.66 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been lower than those shown because 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 LipperMid-Cap Value Funds Index and the LipperMid-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperMid-Cap Value Funds Index and the LipperMid-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 lowerprice-to-book ratios and lower forecasted growth values. The LipperMid-Cap Value Funds Index and the LipperMid-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. 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, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class L Shares)* | 8.88% | |||
| Russell 3000 Value Index | 8.80% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $11,947,202 | |||
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, 2019. The Fund’s security selection in the materials and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the information technology and communication services sector was a leading detractor from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Bank of America Corp., PNC Financial Services Group Inc. and Martin Marietta Materials Inc. Shares of Bank of America and PNC Financial Services Group, both diversified financial services companies, rose amid broader gains in shares of large banks during the reporting period. Shares of Martin Marietta, a provider of crushed stone, sand and gravel, rose after the company reported revenue growth for the second quarter of 2019 and raised its forecast for the full year 2019.
Leading individual detractors from relative performance included the Fund’s underweight positions in JPMorgan Chase & Co., Intel Corp. and AT&T Corp., none of which were held in the Fund. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of Intel, a manufacturer of computer products and technologies, rose amid strong demand for semiconductors during the reporting period. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs, increase in its dividend and repurchase of 100 million shares.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Bank of America Corp. | 3.7 | % | |||||
| 2. | Capital One Financial Corp. | 2.2 | ||||||
| 3. | PNC Financial Services Group, Inc. (The) | 2.1 | ||||||
| 4. | Wells Fargo & Co. | 1.9 | ||||||
| 5. | Loews Corp. | 1.8 | ||||||
| 6. | Chevron Corp. | 1.8 | ||||||
| 7. | Pfizer, Inc. | 1.6 | ||||||
| 8. | Delta Air Lines, Inc. | 1.5 | ||||||
| 9. | ConocoPhillips | 1.5 | ||||||
| 10. | Verizon Communications, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | | 31.4 | % | |
| Health Care | 10.3 | |||
| Energy | 8.7 | |||
| Consumer Discretionary | 7.1 | |||
| Industrials | 7.0 | |||
| Real Estate | 6.9 | |||
| Utilities | 5.6 | |||
| Communication Services | 5.0 | |||
| Information Technology | 4.8 | |||
| Consumer Staples | 4.7 | |||
| Materials | 4.3 | |||
| Short-Term Investments | 4.2 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 28, 2005 | |||||||||||||||||
With Sales Charge** | 2.98 | % | 20.08 | % | 6.53 | % | 11.39 | % | ||||||||||
Without Sales Charge | 8.67 | 26.72 | 7.68 | 12.00 | ||||||||||||||
CLASS C SHARES | February 28, 2005 | |||||||||||||||||
With CDSC*** | 7.40 | 25.09 | 7.15 | 11.44 | ||||||||||||||
Without CDSC | 8.40 | 26.09 | 7.15 | 11.44 | ||||||||||||||
CLASS I SHARES | February 28, 2005 | 8.80 | 27.03 | 7.95 | 12.27 | |||||||||||||
CLASS L SHARES | February 28, 2005 | 8.88 | 27.20 | 8.17 | 12.52 | |||||||||||||
CLASS R2 SHARES | July 31, 2017 | 8.53 | 26.39 | 7.41 | 11.72 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 8.65 | 26.70 | 7.67 | 11.99 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 8.81 | 27.05 | 7.95 | 12.27 | |||||||||||||
CLASS R5 SHARES | September 9, 2016 | 8.91 | 27.23 | 8.15 | 12.52 | |||||||||||||
CLASS R6 SHARES | September 9, 2016 | 8.94 | 27.36 | 8.22 | 12.55 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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. 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 Class R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns for Class R5 and Class R6 Shares would have been different to those shown because Class R5 and Class R6 Shares have different 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 LipperMulti-Cap Value Funds Index from December 31, 2009 to
December 31, 2019. 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 LipperMulti-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 lowerprice-to-book ratios and lower forecasted growth values. The LipperMulti-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. 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 MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.6% | ||||||||
Automobiles — 1.6% | ||||||||
Tesla, Inc. * (a) | 354 | 148,172 | ||||||
|
| |||||||
Banks — 1.5% | ||||||||
East West Bancorp, Inc. | 1,248 | 60,753 | ||||||
First Republic Bank | 705 | 82,838 | ||||||
|
| |||||||
| 143,591 | ||||||||
|
| |||||||
Biotechnology — 3.7% | ||||||||
Amgen, Inc. | 509 | 122,584 | ||||||
Exact Sciences Corp. * | 782 | 72,338 | ||||||
Exelixis, Inc. * (a) | 2,317 | 40,817 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 336 | 41,674 | ||||||
Regeneron Pharmaceuticals, Inc. * | 123 | 45,996 | ||||||
Sage Therapeutics, Inc. * (a) | 297 | 21,448 | ||||||
|
| |||||||
| 344,857 | ||||||||
|
| |||||||
Building Products — 0.9% | ||||||||
Fortune Brands Home & Security, Inc. | 1,240 | 81,028 | ||||||
|
| |||||||
Capital Markets — 3.9% | ||||||||
BlackRock, Inc. | 136 | 68,266 | ||||||
Charles Schwab Corp. (The) | 1,476 | 70,208 | ||||||
Nasdaq, Inc. | 666 | 71,313 | ||||||
S&P Global, Inc. | 475 | 129,699 | ||||||
TD Ameritrade Holding Corp. | 519 | 25,809 | ||||||
|
| |||||||
| 365,295 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.6% | ||||||||
Copart, Inc. * | 1,047 | 95,242 | ||||||
Waste Connections, Inc. | 1,597 | 145,005 | ||||||
|
| |||||||
| 240,247 | ||||||||
|
| |||||||
Communications Equipment — 0.4% | ||||||||
Arista Networks, Inc. * (a) | 204 | 41,443 | ||||||
|
| |||||||
Construction Materials — 0.8% | ||||||||
Vulcan Materials Co. (a) | 552 | 79,439 | ||||||
|
| |||||||
Containers & Packaging — 1.7% | ||||||||
Avery Dennison Corp. | 631 | 82,560 | ||||||
Ball Corp. | 1,164 | 75,244 | ||||||
|
| |||||||
| 157,804 | ||||||||
|
| |||||||
Electrical Equipment — 2.0% | ||||||||
AMETEK, Inc. | 811 | 80,929 | ||||||
Generac Holdings, Inc. * | 1,047 | 105,348 | ||||||
|
| |||||||
| 186,277 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
Amphenol Corp., Class A | 646 | 69,949 | ||||||
Keysight Technologies, Inc. * | 843 | 86,517 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
Zebra Technologies Corp., Class A * | 424 | 108,230 | ||||||
|
| |||||||
| 264,696 | ||||||||
|
| |||||||
Entertainment — 3.1% | ||||||||
Netflix, Inc. * | 300 | 96,909 | ||||||
Spotify Technology SA * | 520 | 77,736 | ||||||
Take-Two Interactive Software, Inc. * | 954 | 116,768 | ||||||
|
| |||||||
| 291,413 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
DexCom, Inc. * | 387 | 84,630 | ||||||
Intuitive Surgical, Inc. * | 149 | 88,318 | ||||||
|
| |||||||
| 172,948 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% | ||||||||
Acadia Healthcare Co., Inc. * (a) | 1,167 | 38,774 | ||||||
Anthem, Inc. | 253 | 76,384 | ||||||
UnitedHealth Group, Inc. | 852 | 250,324 | ||||||
|
| |||||||
| 365,482 | ||||||||
|
| |||||||
Health Care Technology — 1.5% | ||||||||
Teladoc Health, Inc. * | 1,161 | 97,191 | ||||||
Veeva Systems, Inc., Class A * | 303 | 42,634 | ||||||
|
| |||||||
| 139,825 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% | ||||||||
Hilton Worldwide Holdings, Inc. | 511 | 56,712 | ||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
Garmin Ltd. | 717 | 69,956 | ||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Progressive Corp. (The) | 1,163 | 84,219 | ||||||
|
| |||||||
Interactive Media & Services — 6.1% | ||||||||
Alphabet, Inc., Class C * | 374 | 500,187 | ||||||
Facebook, Inc., Class A * | 348 | 71,488 | ||||||
|
| |||||||
| 571,675 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.4% | ||||||||
Amazon.com, Inc. * | 225 | 416,318 | ||||||
|
| |||||||
IT Services — 10.5% | ||||||||
Booz Allen Hamilton Holding Corp. | 1,202 | 85,490 | ||||||
Fiserv, Inc. * | 937 | 108,299 | ||||||
Global Payments, Inc. | 991 | 180,862 | ||||||
Mastercard, Inc., Class A | 908 | 270,971 | ||||||
PayPal Holdings, Inc. * | 1,485 | 160,589 | ||||||
Shopify, Inc., Class A (Canada) * | 134 | 53,435 | ||||||
Visa, Inc., Class A | 689 | 129,407 | ||||||
|
| |||||||
| 989,053 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Life Sciences Tools & Services — 1.8% | ||||||||
Illumina, Inc. * | 223 | 74,078 | ||||||
Thermo Fisher Scientific, Inc. | 301 | 97,818 | ||||||
|
| |||||||
| 171,896 | ||||||||
|
| |||||||
Machinery — 3.2% | ||||||||
Gardner Denver Holdings, Inc. * (a) | 950 | 34,850 | ||||||
Ingersoll-Rand plc (a) | 507 | 67,430 | ||||||
Nordson Corp. (a) | 308 | 50,089 | ||||||
Parker-Hannifin Corp. | 258 | 52,999 | ||||||
Stanley Black & Decker, Inc. | 597 | 98,980 | ||||||
|
| |||||||
| 304,348 | ||||||||
|
| |||||||
Media — 0.4% | ||||||||
New York Times Co. (The), Class A (a) | 1,212 | 38,987 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.5% | ||||||||
EOG Resources, Inc. | 607 | 50,800 | ||||||
|
| |||||||
Pharmaceuticals — 2.0% | ||||||||
Catalent, Inc. * | 904 | 50,867 | ||||||
Elanco Animal Health, Inc. * | 1,511 | 44,508 | ||||||
Jazz Pharmaceuticals plc * (a) | 507 | 75,670 | ||||||
TherapeuticsMD, Inc. * | 4,983 | 12,058 | ||||||
|
| |||||||
| 183,103 | ||||||||
|
| |||||||
Professional Services — 1.2% | ||||||||
FTI Consulting, Inc. * | 303 | 33,552 | ||||||
IHS Markit Ltd. * | 1,011 | 76,156 | ||||||
|
| |||||||
| 109,708 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.9% |
| |||||||
CBRE Group, Inc., Class A * | 1,434 | 87,865 | ||||||
|
| |||||||
Road & Rail — 1.2% | ||||||||
Lyft, Inc., Class A * | 852 | 36,645 | ||||||
Old Dominion Freight Line, Inc. | 401 | 76,168 | ||||||
|
| |||||||
| 112,813 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.3% |
| |||||||
Advanced Micro Devices, Inc. * | 3,979 | 182,468 | ||||||
KLA Corp. | 450 | 80,212 | ||||||
Microchip Technology, Inc. (a) | 370 | 38,757 | ||||||
NVIDIA Corp. | 508 | 119,438 | ||||||
QUALCOMM, Inc. | 1,401 | 123,593 | ||||||
Xilinx, Inc. | 488 | 47,741 | ||||||
|
| |||||||
| 592,209 | ||||||||
|
| |||||||
Software — 13.6% | ||||||||
Fair Isaac Corp. * | 102 | 38,105 | ||||||
Intuit, Inc. | 456 | 119,335 | ||||||
Microsoft Corp. | 4,534 | 714,980 | ||||||
salesforce.com, Inc. * | 738 | 119,963 | ||||||
ServiceNow, Inc. * | 321 | 90,512 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — continued | ||||||||
Slack Technologies, Inc., Class A * (a) | 701 | 15,763 | ||||||
Synopsys, Inc. * | 494 | 68,780 | ||||||
Trade Desk, Inc. (The), Class A * (a) | 318 | 82,532 | ||||||
Zscaler, Inc. * (a) | 631 | 29,351 | ||||||
|
| |||||||
| 1,279,321 | ||||||||
|
| |||||||
Specialty Retail — 5.8% | ||||||||
Home Depot, Inc. (The) | 726 | 158,435 | ||||||
National Vision Holdings, Inc. * | 1,201 | 38,954 | ||||||
O’Reilly Automotive, Inc. * | 239 | 104,788 | ||||||
Ross Stores, Inc. | 1,512 | 176,004 | ||||||
Tractor Supply Co. (a) | 715 | 66,847 | ||||||
|
| |||||||
| 545,028 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.4% |
| |||||||
Apple, Inc. | 1,734 | 509,086 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% | ||||||||
Lululemon Athletica, Inc. * | 356 | 82,382 | ||||||
|
| |||||||
Total Common Stocks |
| 9,277,996 | ||||||
|
| |||||||
Short-Term Investments — 3.4% | ||||||||
Investment Companies — 1.5% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 139,949 | 139,991 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 164,015 | 164,031 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 18,429 | 18,429 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 182,460 | |||||||
|
| |||||||
Total Short-Term Investments |
| 322,451 | ||||||
|
| |||||||
Total Investments — 102.0% |
| 9,600,447 | ||||||
Liabilities in Excess of |
| (190,358 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | 9,410,089 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $179,510,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.3% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
HEICO Corp., Class A | 85 | 7,568 | ||||||
|
| |||||||
Auto Components — 0.7% |
| |||||||
Aptiv plc | 54 | 5,092 | ||||||
BorgWarner, Inc. | 153 | 6,639 | ||||||
|
| |||||||
| 11,731 | ||||||||
|
| |||||||
Automobiles — 0.8% |
| |||||||
Tesla, Inc. * | 20 | 8,367 | ||||||
Thor Industries, Inc. (a) | 63 | 4,695 | ||||||
|
| |||||||
| 13,062 | ||||||||
|
| |||||||
Banks — 5.3% |
| |||||||
Citizens Financial Group, Inc. | 234 | 9,490 | ||||||
Comerica, Inc. | 61 | 4,379 | ||||||
East West Bancorp, Inc. | 109 | 5,331 | ||||||
Fifth Third Bancorp | 410 | 12,590 | ||||||
First Republic Bank | 150 | 17,644 | ||||||
Huntington Bancshares, Inc. | 458 | 6,911 | ||||||
M&T Bank Corp. | 91 | 15,375 | ||||||
TCF Financial Corp. | 64 | 2,984 | ||||||
Truist Financial Corp. | 226 | 12,744 | ||||||
Zions Bancorp NA | 68 | 3,536 | ||||||
|
| |||||||
| 90,984 | ||||||||
|
| |||||||
Beverages — 0.6% |
| |||||||
Constellation Brands, Inc., Class A | 37 | 7,044 | ||||||
Keurig Dr Pepper, Inc. | 128 | 3,695 | ||||||
|
| |||||||
| 10,739 | ||||||||
|
| |||||||
Biotechnology — 1.7% |
| |||||||
Agios Pharmaceuticals, Inc. * | 48 | 2,275 | ||||||
Alnylam Pharmaceuticals, Inc. * | 37 | 4,299 | ||||||
BioMarin Pharmaceutical, Inc. * | 29 | 2,482 | ||||||
Exact Sciences Corp. * | 96 | 8,895 | ||||||
Exelixis, Inc. * | 236 | 4,162 | ||||||
Intercept Pharmaceuticals, Inc. * | 32 | 3,947 | ||||||
Sage Therapeutics, Inc. * | 42 | 3,051 | ||||||
|
| |||||||
| 29,111 | ||||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 249 | 16,287 | ||||||
|
| |||||||
Capital Markets — 4.4% |
| |||||||
Ameriprise Financial, Inc. | 64 | 10,625 | ||||||
MarketAxess Holdings, Inc. | 14 | 5,383 | ||||||
MSCI, Inc. | 30 | 7,787 | ||||||
Nasdaq, Inc. | 68 | 7,299 | ||||||
Northern Trust Corp. | 92 | 9,793 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued | ||||||||
Raymond James Financial, Inc. | 103 | 9,228 | ||||||
S&P Global, Inc. | 32 | 8,856 | ||||||
T. Rowe Price Group, Inc. | 111 | 13,575 | ||||||
TD Ameritrade Holding Corp. | 58 | 2,872 | ||||||
|
| |||||||
| 75,418 | ||||||||
|
| |||||||
Chemicals — 0.6% |
| |||||||
Sherwin-Williams Co. (The) | 17 | 9,968 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
Copart, Inc. * | 141 | 12,849 | ||||||
Waste Connections, Inc. | 148 | 13,447 | ||||||
|
| |||||||
| 26,296 | ||||||||
|
| |||||||
Communications Equipment — 0.5% | ||||||||
Arista Networks, Inc. * | 33 | 6,743 | ||||||
CommScope Holding Co., Inc. * | 151 | 2,145 | ||||||
|
| |||||||
| 8,888 | ||||||||
|
| |||||||
Construction Materials — 1.2% | ||||||||
Martin Marietta Materials, Inc. | 31 | 8,576 | ||||||
Vulcan Materials Co. | 87 | 12,559 | ||||||
|
| |||||||
| 21,135 | ||||||||
|
| |||||||
Consumer Finance — 0.1% | ||||||||
Ally Financial, Inc. | 39 | 1,198 | ||||||
|
| |||||||
Containers & Packaging — 2.5% | ||||||||
Avery Dennison Corp. | 77 | 10,092 | ||||||
Ball Corp. | 273 | 17,639 | ||||||
Silgan Holdings, Inc. | 278 | 8,649 | ||||||
Westrock Co. | 158 | 6,790 | ||||||
|
| |||||||
| 43,170 | ||||||||
|
| |||||||
Distributors — 0.3% | ||||||||
Genuine Parts Co. | 52 | 5,532 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 50 | 7,554 | ||||||
|
| |||||||
Electric Utilities — 2.1% | ||||||||
Edison International | 132 | 9,931 | ||||||
Entergy Corp. | 72 | 8,647 | ||||||
Xcel Energy, Inc. | 289 | 18,342 | ||||||
|
| |||||||
| 36,920 | ||||||||
|
| |||||||
Electrical Equipment — 2.6% | ||||||||
Acuity Brands, Inc. | 58 | 7,957 | ||||||
AMETEK, Inc. | 214 | 21,356 | ||||||
Generac Holdings, Inc. * | 91 | 9,162 | ||||||
Hubbell, Inc. | 37 | 5,459 | ||||||
|
| |||||||
| 43,934 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Electronic Equipment, Instruments & Components — 4.7% |
| |||||||
Amphenol Corp., Class A | 198 | 21,408 | ||||||
Arrow Electronics, Inc. * | 82 | 6,922 | ||||||
CDW Corp. | 69 | 9,904 | ||||||
FLIR Systems, Inc. | 95 | 4,949 | ||||||
Keysight Technologies, Inc. * | 178 | 18,263 | ||||||
SYNNEX Corp. | 46 | 5,944 | ||||||
Zebra Technologies Corp., Class A * | 51 | 13,062 | ||||||
|
| |||||||
| 80,452 | ||||||||
|
| |||||||
Entertainment — 1.3% | ||||||||
Spotify Technology SA * | 71 | 10,683 | ||||||
Take-Two Interactive Software, Inc. * | 100 | 12,241 | ||||||
|
| |||||||
| 22,924 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.0% |
| |||||||
American Campus Communities, Inc. | 99 | 4,672 | ||||||
American Homes 4 Rent, Class A | 206 | 5,394 | ||||||
AvalonBay Communities, Inc. | 54 | 11,411 | ||||||
Boston Properties, Inc. | 81 | 11,120 | ||||||
Brixmor Property Group, Inc. | 333 | 7,188 | ||||||
Essex Property Trust, Inc. | 23 | 6,790 | ||||||
Federal Realty Investment Trust | 67 | 8,568 | ||||||
JBG SMITH Properties | 88 | 3,508 | ||||||
Kimco Realty Corp. | 295 | 6,103 | ||||||
Outfront Media, Inc. | 213 | 5,716 | ||||||
Rayonier, Inc. | 206 | 6,733 | ||||||
Regency Centers Corp. | 75 | 4,754 | ||||||
Ventas, Inc. | 64 | 3,690 | ||||||
Vornado Realty Trust | 125 | 8,328 | ||||||
Weyerhaeuser Co. | 184 | 5,556 | ||||||
WP Carey, Inc. | 43 | 3,479 | ||||||
|
| |||||||
| 103,010 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.3% |
| |||||||
Kroger Co. (The) | 195 | 5,640 | ||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
Post Holdings, Inc. * | 69 | 7,529 | ||||||
|
| |||||||
Gas Utilities — 0.4% |
| |||||||
National Fuel Gas Co. | 151 | 7,047 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
DexCom, Inc. * | 53 | 11,650 | ||||||
Insulet Corp. * (a) | 53 | 9,096 | ||||||
ResMed, Inc. | 67 | 10,420 | ||||||
Zimmer Biomet Holdings, Inc. | 77 | 11,600 | ||||||
|
| |||||||
| 42,766 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 3.9% |
| |||||||
Acadia Healthcare Co., Inc. * | 115 | 3,824 | ||||||
AmerisourceBergen Corp. | 97 | 8,289 | ||||||
Centene Corp. * | 105 | 6,632 | ||||||
Cigna Corp. | 35 | 7,235 | ||||||
Henry Schein, Inc. * | 92 | 6,142 | ||||||
Humana, Inc. | 12 | 4,426 | ||||||
Laboratory Corp. of America Holdings * | 55 | 9,303 | ||||||
Universal Health Services, Inc., Class B | 57 | 8,213 | ||||||
WellCare Health Plans, Inc. * | 37 | 12,269 | ||||||
|
| |||||||
| 66,333 | ||||||||
|
| |||||||
Health Care Technology — 1.0% |
| |||||||
Teladoc Health, Inc. * | 104 | 8,744 | ||||||
Veeva Systems, Inc., Class A * | 55 | 7,733 | ||||||
|
| |||||||
| 16,477 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
Chipotle Mexican Grill, Inc. * | 7 | 5,687 | ||||||
Hilton Worldwide Holdings, Inc. | 175 | 19,444 | ||||||
Red Rock Resorts, Inc., Class A | 203 | 4,852 | ||||||
|
| |||||||
| 29,983 | ||||||||
|
| |||||||
Household Durables — 1.6% |
| |||||||
Garmin Ltd. | 69 | 6,732 | ||||||
Mohawk Industries, Inc. * | 61 | 8,263 | ||||||
Newell Brands, Inc. | 284 | 5,449 | ||||||
NVR, Inc. * | 2 | 7,461 | ||||||
|
| |||||||
| 27,905 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
Energizer Holdings, Inc. (a) | 125 | 6,294 | ||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
Carlisle Cos., Inc. | 79 | 12,806 | ||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
Alleghany Corp. * | 8 | 6,480 | ||||||
Hartford Financial Services Group, Inc. (The) | 184 | 11,204 | ||||||
Lincoln National Corp. | 107 | 6,342 | ||||||
Loews Corp. | 307 | 16,125 | ||||||
Marsh & McLennan Cos., Inc. | 74 | 8,296 | ||||||
Principal Financial Group, Inc. | 35 | 1,949 | ||||||
Progressive Corp. (The) | 182 | 13,170 | ||||||
Unum Group | 40 | 1,176 | ||||||
WR Berkley Corp. | 81 | 5,613 | ||||||
|
| |||||||
| 70,355 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% |
| |||||||
Expedia Group, Inc. | 83 | 8,936 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
IT Services — 6.0% |
| |||||||
Black Knight, Inc. * | 79 | 5,076 | ||||||
Booz Allen Hamilton Holding Corp. | 178 | 12,650 | ||||||
Fidelity National Information Services, Inc. | 27 | 3,720 | ||||||
Fiserv, Inc. * | 196 | 22,635 | ||||||
FleetCor Technologies, Inc. * | 28 | 7,970 | ||||||
Global Payments, Inc. | 142 | 25,887 | ||||||
Jack Henry & Associates, Inc. | 52 | 7,588 | ||||||
MongoDB, Inc. * | 32 | 4,264 | ||||||
Okta, Inc. * | 57 | 6,555 | ||||||
Shopify, Inc., Class A (Canada) * | 18 | 7,270 | ||||||
|
| |||||||
| 103,615 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Illumina, Inc. * | 13 | 4,477 | ||||||
|
| |||||||
Machinery — 4.2% |
| |||||||
Gardner Denver Holdings, Inc. * | 86 | 3,165 | ||||||
IDEX Corp. | 46 | 7,927 | ||||||
Ingersoll-Rand plc | 103 | 13,732 | ||||||
ITT, Inc. | 66 | 4,901 | ||||||
Lincoln Electric Holdings, Inc. | 53 | 5,089 | ||||||
Middleby Corp. (The) * | 65 | 7,128 | ||||||
Nordson Corp. | 42 | 6,766 | ||||||
Parker-Hannifin Corp. | 23 | 4,785 | ||||||
Snap-on, Inc. | 53 | 9,059 | ||||||
Stanley Black & Decker, Inc. | 56 | 9,304 | ||||||
|
| |||||||
| 71,856 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
DISH Network Corp., Class A * | 152 | 5,386 | ||||||
Liberty Broadband Corp., Class C * | 45 | 5,649 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 187 | 9,007 | ||||||
New York Times Co. (The), Class A | 154 | 4,968 | ||||||
ViacomCBS, Inc. | 97 | 4,079 | ||||||
|
| |||||||
| 29,089 | ||||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
Dollar General Corp. | 60 | 9,418 | ||||||
Kohl’s Corp. | 110 | 5,586 | ||||||
Nordstrom, Inc. (a) | 89 | 3,640 | ||||||
|
| |||||||
| 18,644 | ||||||||
|
| |||||||
Multi-Utilities — 2.8% |
| |||||||
CMS Energy Corp. | 277 | 17,407 | ||||||
Sempra Energy | 88 | 13,357 | ||||||
WEC Energy Group, Inc. | 193 | 17,836 | ||||||
|
| |||||||
| 48,600 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — 3.0 % |
| |||||||
Cabot Oil & Gas Corp. | 384 | 6,690 | ||||||
Concho Resources, Inc. | 66 | 5,807 | ||||||
Diamondback Energy, Inc. | 158 | 14,651 | ||||||
EQT Corp. | 220 | 2,397 | ||||||
Equitrans Midstream Corp. | 209 | 2,790 | ||||||
PBF Energy, Inc., Class A | 177 | 5,561 | ||||||
Williams Cos., Inc. (The) | 576 | 13,667 | ||||||
|
| |||||||
| 51,563 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
Coty, Inc., Class A | 224 | 2,518 | ||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
Catalent, Inc. * | 83 | 4,659 | ||||||
Elanco Animal Health, Inc. * | 196 | 5,765 | ||||||
Jazz Pharmaceuticals plc * | 62 | 9,239 | ||||||
|
| |||||||
| 19,663 | ||||||||
|
| |||||||
Professional Services — 1.4% |
| |||||||
CoStar Group, Inc. * | 13 | 8,015 | ||||||
FTI Consulting, Inc. * | 44 | 4,830 | ||||||
IHS Markit Ltd. * | 153 | 11,495 | ||||||
|
| |||||||
| 24,340 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.4% |
| |||||||
CBRE Group, Inc., Class A * | 348 | 21,351 | ||||||
Cushman & Wakefield plc * | 158 | 3,237 | ||||||
|
| |||||||
| 24,588 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
Lyft, Inc., Class A * | 84 | 3,602 | ||||||
Old Dominion Freight Line, Inc. | 45 | 8,446 | ||||||
|
| |||||||
| 12,048 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
Advanced Micro Devices, Inc. * | 588 | 26,950 | ||||||
Analog Devices, Inc. | 33 | 3,926 | ||||||
KLA Corp. | 57 | 10,234 | ||||||
Lam Research Corp. | 50 | 14,547 | ||||||
Marvell Technology Group Ltd. | 280 | 7,443 | ||||||
Microchip Technology, Inc. (a) | 57 | 5,992 | ||||||
Xilinx, Inc. | 102 | 9,972 | ||||||
|
| |||||||
| 79,064 | ||||||||
|
| |||||||
Software — 5.2% |
| |||||||
Anaplan, Inc. * | 107 | 5,596 | ||||||
Crowdstrike Holdings, Inc., Class A * | 73 | 3,636 | ||||||
Fair Isaac Corp. * | 16 | 6,148 | ||||||
Intuit, Inc. | 28 | 7,314 | ||||||
Paycom Software, Inc. * | 23 | 6,152 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
Proofpoint, Inc. * | 41 | 4,728 | ||||||
RingCentral, Inc., Class A * | 37 | 6,273 | ||||||
ServiceNow, Inc. * | 22 | 6,177 | ||||||
Slack Technologies, Inc., Class A * | 72 | 1,608 | ||||||
Splunk, Inc. * | 52 | 7,851 | ||||||
Synopsys, Inc. * | 159 | 22,120 | ||||||
Trade Desk, Inc. (The), Class A * (a) | 38 | 9,792 | ||||||
Zscaler, Inc. * (a) | 59 | 2,760 | ||||||
|
| |||||||
| 90,155 | ||||||||
|
| |||||||
Specialty Retail — 5.5% |
| |||||||
AutoZone, Inc. * | 11 | 13,044 | ||||||
Best Buy Co., Inc. | 109 | 9,578 | ||||||
Burlington Stores, Inc. * | 38 | 8,633 | ||||||
Gap, Inc. (The) | 257 | 4,538 | ||||||
National Vision Holdings, Inc. * | 178 | 5,757 | ||||||
O’Reilly Automotive, Inc. * | 54 | 23,665 | ||||||
Ross Stores, Inc. | 109 | 12,726 | ||||||
Tiffany & Co. | 64 | 8,542 | ||||||
Tractor Supply Co. | 95 | 8,895 | ||||||
|
| |||||||
| 95,378 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
Lululemon Athletica, Inc. * | 57 | 13,281 | ||||||
PVH Corp. | 64 | 6,685 | ||||||
Ralph Lauren Corp. | 68 | 7,957 | ||||||
|
| |||||||
| 27,923 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 51 | 4,016 | ||||||
|
| |||||||
Total Common Stocks |
| 1,675,489 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 3.1% |
| |||||||
Investment Companies — 2.5% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 44,031 | 44,045 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 3,010 | 3,010 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 6,945 | 6,945 | ||||||
|
| |||||||
Total Investment of Cash Collateral from | 9,955 | |||||||
|
| |||||||
Total Short-Term Investments | 54,000 | |||||||
|
| |||||||
Total Investments — 100.4% |
| 1,729,489 | ||||||
Liabilities in Excess of |
| (6,470 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,723,019 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $9,779,000. | |||
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |||
| (c) | The rate shown is the current yield as of December 31, 2019. | |||
| * | Non-income producing security. | |||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 100.1% |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
HEICO Corp., Class A | 484 | 43,322 | ||||||
|
| |||||||
Auto Components — 0.6% |
| |||||||
Aptiv plc | 307 | 29,118 | ||||||
|
| |||||||
Automobiles — 1.5% |
| |||||||
Tesla, Inc. * (a) | 114 | 47,731 | ||||||
Thor Industries, Inc. (a) | 362 | 26,893 | ||||||
|
| |||||||
| 74,624 | ||||||||
|
| |||||||
Banks — 1.6% |
| |||||||
East West Bancorp, Inc. | 627 | 30,518 | ||||||
First Republic Bank (a) | 410 | 48,154 | ||||||
|
| |||||||
| 78,672 | ||||||||
|
| |||||||
Biotechnology — 3.4% |
| |||||||
Agios Pharmaceuticals, Inc. * (a) | 273 | 13,026 | ||||||
Alnylam Pharmaceuticals, Inc. * | 214 | 24,600 | ||||||
BioMarin Pharmaceutical, Inc. * | 168 | 14,196 | ||||||
Exact Sciences Corp. * | 552 | 51,003 | ||||||
Exelixis, Inc. * | 1,352 | 23,826 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 182 | 22,587 | ||||||
Sage Therapeutics, Inc. * | 240 | 17,333 | ||||||
|
| |||||||
| 166,571 | ||||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 772 | 50,410 | ||||||
|
| |||||||
Capital Markets — 3.8% |
| |||||||
MarketAxess Holdings, Inc. | 81 | 30,708 | ||||||
MSCI, Inc. | 173 | 44,665 | ||||||
Nasdaq, Inc. | 390 | 41,769 | ||||||
S&P Global, Inc. | 185 | 50,468 | ||||||
TD Ameritrade Holding Corp. | 331 | 16,447 | ||||||
|
| |||||||
| 184,057 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.1% |
| |||||||
Copart, Inc. * | 809 | 73,552 | ||||||
Waste Connections, Inc. (a) | 842 | 76,444 | ||||||
|
| |||||||
| 149,996 | ||||||||
|
| |||||||
Communications Equipment — 0.8% |
| |||||||
Arista Networks, Inc. * (a) | 190 | 38,548 | ||||||
|
| |||||||
Construction Materials — 1.5% |
| |||||||
Vulcan Materials Co. | 494 | 71,140 | ||||||
|
| |||||||
Containers & Packaging — 2.5% |
| |||||||
Avery Dennison Corp. | 441 | 57,744 | ||||||
Ball Corp. (a) | 996 | 64,440 | ||||||
|
| |||||||
| 122,184 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Diversified Consumer Services — 0.9% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 288 | 43,269 | ||||||
|
| |||||||
Electrical Equipment — 2.5% |
| |||||||
AMETEK, Inc. | 676 | 67,404 | ||||||
Generac Holdings, Inc. * | 521 | 52,428 | ||||||
|
| |||||||
| 119,832 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 5.2% |
| |||||||
Amphenol Corp., Class A | 683 | 73,957 | ||||||
FLIR Systems, Inc. | 544 | 28,321 | ||||||
Keysight Technologies, Inc. * | 722 | 74,140 | ||||||
Zebra Technologies Corp., Class A * | 292 | 74,691 | ||||||
|
| |||||||
| 251,109 | ||||||||
|
| |||||||
Entertainment — 2.7% |
| |||||||
Spotify Technology SA * | 409 | 61,136 | ||||||
Take-Two Interactive Software, Inc. * | 572 | 70,067 | ||||||
|
| |||||||
| 131,203 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.7% |
| |||||||
DexCom, Inc. * | 303 | 66,256 | ||||||
Insulet Corp. * (a) | 302 | 51,737 | ||||||
ResMed, Inc. (a) | 385 | 59,633 | ||||||
|
| |||||||
| 177,626 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.7% |
| |||||||
Acadia Healthcare Co., Inc. * (a) | 659 | 21,883 | ||||||
Centene Corp. * | 604 | 37,954 | ||||||
WellCare Health Plans, Inc. * | 213 | 70,203 | ||||||
|
| |||||||
| 130,040 | ||||||||
|
| |||||||
Health Care Technology — 1.9% |
| |||||||
Teladoc Health, Inc. * | 594 | 49,722 | ||||||
Veeva Systems, Inc., Class A * | 315 | 44,273 | ||||||
|
| |||||||
| 93,995 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% |
| |||||||
Chipotle Mexican Grill, Inc. * | 39 | 32,396 | ||||||
Hilton Worldwide Holdings, Inc. | 635 | 70,388 | ||||||
Red Rock Resorts, Inc., Class A | 1,159 | 27,768 | ||||||
|
| |||||||
| 130,552 | ||||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
Garmin Ltd. | 395 | 38,520 | ||||||
NVR, Inc. * | 12 | 43,797 | ||||||
|
| |||||||
| 82,317 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
Carlisle Cos., Inc. | 246 | 39,780 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Insurance — 0.8% |
| |||||||
Progressive Corp. (The) | 521 | 37,708 | ||||||
|
| |||||||
IT Services — 11.3% |
| |||||||
Black Knight, Inc. * | 451 | 29,048 | ||||||
Booz Allen Hamilton Holding Corp. | 1,018 | 72,410 | ||||||
Fidelity National Information Services, Inc. | 153 | 21,301 | ||||||
Fiserv, Inc. * | 1,121 | 129,610 | ||||||
FleetCor Technologies, Inc. * | 158 | 45,316 | ||||||
Global Payments, Inc. | 811 | 148,093 | ||||||
MongoDB, Inc. * (a) | 185 | 24,348 | ||||||
Okta, Inc. * | 325 | 37,518 | ||||||
Shopify, Inc., Class A (Canada) * | 104 | 41,508 | ||||||
|
| |||||||
| 549,152 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Illumina, Inc. * | 77 | 25,669 | ||||||
|
| |||||||
Machinery — 4.5% |
| |||||||
Gardner Denver Holdings, Inc. * (a) | 498 | 18,256 | ||||||
Ingersoll-Rand plc | 591 | 78,595 | ||||||
Nordson Corp. | 238 | 38,740 | ||||||
Parker-Hannifin Corp. | 133 | 27,333 | ||||||
Stanley Black & Decker, Inc. | 322 | 53,285 | ||||||
|
| |||||||
| 216,209 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
New York Times Co. (The), Class A (a) | 884 | 28,445 | ||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
Dollar General Corp. (a) | 345 | 53,876 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
Concho Resources, Inc. | 379 | 33,174 | ||||||
|
| |||||||
Pharmaceuticals — 2.3% |
| |||||||
Catalent, Inc. * | 474 | 26,675 | ||||||
Elanco Animal Health, Inc. * | 1,120 | 32,993 | ||||||
Jazz Pharmaceuticals plc * (a) | 355 | 52,930 | ||||||
|
| |||||||
| 112,598 | ||||||||
|
| |||||||
Professional Services — 2.9% |
| |||||||
CoStar Group, Inc. * | 77 | 45,889 | ||||||
FTI Consulting, Inc. * | 250 | 27,632 | ||||||
IHS Markit Ltd. * | 873 | 65,796 | ||||||
|
| |||||||
| 139,317 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
CBRE Group, Inc., Class A * | 915 | 56,088 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Road & Rail — 1.4% |
| |||||||
Lyft, Inc., Class A * | 479 | 20,619 | ||||||
Old Dominion Freight Line, Inc. | 255 | 48,356 | ||||||
|
| |||||||
| 68,975 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.8% |
| |||||||
Advanced Micro Devices, Inc. * | 3,343 | 153,301 | ||||||
KLA Corp. | 329 | 58,582 | ||||||
Lam Research Corp. | 285 | 83,331 | ||||||
Marvell Technology Group Ltd. | 1,604 | 42,606 | ||||||
Microchip Technology, Inc. (a) | 328 | 34,296 | ||||||
Xilinx, Inc. | 578 | 56,491 | ||||||
|
| |||||||
| 428,607 | ||||||||
|
| |||||||
Software — 9.8% |
| |||||||
Anaplan, Inc. * | 610 | 31,964 | ||||||
Crowdstrike Holdings, Inc., Class A * (a) | 413 | 20,596 | ||||||
Fair Isaac Corp. * | 94 | 35,182 | ||||||
Intuit, Inc. | 160 | 41,935 | ||||||
Paycom Software, Inc. * (a) | 133 | 35,266 | ||||||
Proofpoint, Inc. * | 234 | 26,904 | ||||||
RingCentral, Inc., Class A * (a) | 211 | 35,505 | ||||||
ServiceNow, Inc. * | 124 | 34,944 | ||||||
Slack Technologies, Inc., Class A * (a) | 409 | 9,190 | ||||||
Splunk, Inc. * | 300 | 44,967 | ||||||
Synopsys, Inc. * | 604 | 84,105 | ||||||
Trade Desk, Inc. (The), Class A * | 216 | 56,035 | ||||||
Zscaler, Inc. * (a) | 339 | 15,782 | ||||||
|
| |||||||
| 472,375 | ||||||||
|
| |||||||
Specialty Retail — 7.1% |
| |||||||
Burlington Stores, Inc. * | 217 | 49,414 | ||||||
National Vision Holdings, Inc. * | 1,016 | 32,958 | ||||||
O’Reilly Automotive, Inc. * | 309 | 135,495 | ||||||
Ross Stores, Inc. | 625 | 72,784 | ||||||
Tractor Supply Co. | 545 | 50,953 | ||||||
|
| |||||||
| 341,604 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
Lululemon Athletica, Inc. * | 328 | 76,034 | ||||||
|
| |||||||
Total Common Stocks |
| 4,848,196 | ||||||
|
| |||||||
Short-Term Investments — 4.3% |
| |||||||
Investment Companies — 1.2% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 56,400 | 56,417 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 3.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 133,026 | 133,039 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 17,244 | 17,244 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 150,283 | |||||||
|
| |||||||
Total Short-Term Investments |
| 206,700 | ||||||
|
| |||||||
Total Investments — 104.4% |
| 5,054,896 | ||||||
Liabilities in Excess of |
| (212,650 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 4,842,246 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $147,700,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.4% |
| |||||||
Auto Components — 0.8% |
| |||||||
BorgWarner, Inc. (a) | 3,136 | 136,042 | ||||||
|
| |||||||
Banks — 9.1% |
| |||||||
Citizens Financial Group, Inc. | 4,781 | 194,157 | ||||||
Comerica, Inc. | 883 | 63,330 | ||||||
Fifth Third Bancorp | 8,371 | 257,319 | ||||||
First Republic Bank | 1,610 | 189,044 | ||||||
Huntington Bancshares, Inc. | 9,389 | 141,585 | ||||||
M&T Bank Corp. | 1,928 | 327,330 | ||||||
TCF Financial Corp. | 1,317 | 61,625 | ||||||
Truist Financial Corp. | 4,538 | 255,557 | ||||||
Zions Bancorp NA (a) | 1,403 | 72,836 | ||||||
|
| |||||||
| 1,562,783 | ||||||||
|
| |||||||
Beverages — 1.3% |
| |||||||
Constellation Brands, Inc., Class A | 760 | 144,274 | ||||||
Keurig Dr Pepper, Inc. (a) | 2,625 | 75,986 | ||||||
|
| |||||||
| 220,260 | ||||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
Fortune Brands Home & Security, Inc. | 2,345 | 153,193 | ||||||
|
| |||||||
Capital Markets — 5.1% |
| |||||||
Ameriprise Financial, Inc. | 1,279 | 213,070 | ||||||
Northern Trust Corp. | 1,885 | 200,276 | ||||||
Raymond James Financial, Inc. | 2,110 | 188,777 | ||||||
T. Rowe Price Group, Inc. | 2,234 | 272,228 | ||||||
|
| |||||||
| 874,351 | ||||||||
|
| |||||||
Chemicals — 1.2% |
| |||||||
Sherwin-Williams Co. (The) | 349 | 203,832 | ||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
CommScope Holding Co., Inc. * (a) | 3,132 | 44,443 | ||||||
|
| |||||||
Construction Materials — 1.0% |
| |||||||
Martin Marietta Materials, Inc. | 628 | 175,538 | ||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
Ally Financial, Inc. | 812 | 24,825 | ||||||
|
| |||||||
Containers & Packaging — 2.6% |
| |||||||
Ball Corp. (a) | 2,022 | 130,748 | ||||||
Silgan Holdings, Inc. | 5,695 | 176,994 | ||||||
Westrock Co. | 3,243 | 139,174 | ||||||
|
| |||||||
| 446,916 | ||||||||
|
| |||||||
Distributors — 0.7% |
| |||||||
Genuine Parts Co. (a) | 1,068 | 113,478 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — 4.4% |
| |||||||
Edison International | 2,694 | 203,136 | ||||||
Entergy Corp. | 1,464 | 175,382 | ||||||
Xcel Energy, Inc. | 5,899 | 374,526 | ||||||
|
| |||||||
| 753,044 | ||||||||
|
| |||||||
Electrical Equipment — 2.7% |
| |||||||
Acuity Brands, Inc. | 1,181 | 162,921 | ||||||
AMETEK, Inc. | 1,964 | 195,935 | ||||||
Hubbell, Inc. | 758 | 111,986 | ||||||
|
| |||||||
| 470,842 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.2% |
| |||||||
Amphenol Corp., Class A | 1,580 | 171,050 | ||||||
Arrow Electronics, Inc. * | 1,674 | 141,840 | ||||||
CDW Corp. | 1,309 | 187,043 | ||||||
Keysight Technologies, Inc. * | 1,046 | 107,374 | ||||||
SYNNEX Corp. | 929 | 119,686 | ||||||
|
| |||||||
| 726,993 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 11.9% |
| |||||||
American Campus Communities, Inc. | 2,040 | 95,928 | ||||||
American Homes 4 Rent, Class A | 4,222 | 110,651 | ||||||
AvalonBay Communities, Inc. | 1,112 | 233,245 | ||||||
Boston Properties, Inc. | 1,649 | 227,323 | ||||||
Brixmor Property Group, Inc. | 6,811 | 147,192 | ||||||
Essex Property Trust, Inc. (a) | 462 | 139,063 | ||||||
Federal Realty Investment Trust | 1,362 | 175,330 | ||||||
JBG SMITH Properties | 1,810 | 72,209 | ||||||
Kimco Realty Corp. | 6,039 | 125,073 | ||||||
Outfront Media, Inc. | 4,373 | 117,276 | ||||||
Rayonier, Inc. | 4,212 | 137,981 | ||||||
Regency Centers Corp. | 1,547 | 97,610 | ||||||
Ventas, Inc. | 1,315 | 75,912 | ||||||
Vornado Realty Trust | 2,563 | 170,462 | ||||||
Weyerhaeuser Co. | 3,774 | 113,975 | ||||||
|
| |||||||
| 2,039,230 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
Kroger Co. (The) | 3,992 | 115,734 | ||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
Post Holdings, Inc. * | 1,413 | 154,178 | ||||||
|
| |||||||
Gas Utilities — 0.8% |
| |||||||
National Fuel Gas Co. (a) | 3,102 | 144,362 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Zimmer Biomet Holdings, Inc. | 1,621 | 242,688 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Health Care Providers & Services — 5.2% |
| |||||||
AmerisourceBergen Corp. (a) | 1,995 | 169,620 | ||||||
Cigna Corp. | 725 | 148,183 | ||||||
Henry Schein, Inc. * | 1,887 | 125,875 | ||||||
Humana, Inc. | 253 | 92,588 | ||||||
Laboratory Corp. of America Holdings * | 1,125 | 190,304 | ||||||
Universal Health Services, Inc., Class B | 1,198 | 171,822 | ||||||
|
| |||||||
| 898,392 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Hilton Worldwide Holdings, Inc. | 1,321 | 146,469 | ||||||
|
| |||||||
Household Durables — 1.6% |
| |||||||
Mohawk Industries, Inc. * | 1,240 | 169,085 | ||||||
Newell Brands, Inc. | 5,709 | 109,722 | ||||||
|
| |||||||
| 278,807 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
Energizer Holdings, Inc. (a) | 2,569 | 129,031 | ||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
Carlisle Cos., Inc. | 743 | 120,213 | ||||||
|
| |||||||
Insurance — 7.6% |
| |||||||
Alleghany Corp. * | 166 | 132,828 | ||||||
Hartford Financial Services Group, Inc. (The) | 3,769 | 229,025 | ||||||
Lincoln National Corp. | 2,203 | 130,004 | ||||||
Loews Corp. | 6,274 | 329,347 | ||||||
Marsh & McLennan Cos., Inc. | 1,524 | 169,819 | ||||||
Principal Financial Group, Inc. | 735 | 40,451 | ||||||
Progressive Corp. (The) | 1,864 | 134,957 | ||||||
Unum Group | 847 | 24,696 | ||||||
WR Berkley Corp. | 1,629 | 112,554 | ||||||
|
| |||||||
| 1,303,681 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.1% |
| |||||||
Expedia Group, Inc. | 1,677 | 181,380 | ||||||
|
| |||||||
IT Services — 0.9% |
| |||||||
Jack Henry & Associates, Inc. | 1,066 | 155,331 | ||||||
|
| |||||||
Machinery — 4.1% |
| |||||||
IDEX Corp. | 944 | 162,294 | ||||||
ITT, Inc. | 1,362 | 100,657 | ||||||
Lincoln Electric Holdings, Inc. (a) | 1,080 | 104,475 | ||||||
Middleby Corp. (The) * | 1,333 | 145,960 | ||||||
Snap-on, Inc. | 1,094 | 185,371 | ||||||
|
| |||||||
| 698,757 | ||||||||
|
| |||||||
Media — 2.9% |
| |||||||
DISH Network Corp., Class A * (a) | 3,115 | 110,490 | ||||||
Liberty Broadband Corp., Class C * | 921 | 115,878 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Media — continued |
| |||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 3,828 | 184,287 | ||||||
ViacomCBS, Inc. | 1,999 | 83,901 | ||||||
|
| |||||||
| 494,556 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||
Starwood Property Trust, Inc. | 2,257 | 56,102 | ||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
Kohl’s Corp. (a) | 2,250 | 114,629 | ||||||
Nordstrom, Inc. (a) | 1,834 | 75,051 | ||||||
|
| |||||||
| 189,680 | ||||||||
|
| |||||||
Multi-Utilities — 5.8% |
| |||||||
CMS Energy Corp. | 5,656 | 355,452 | ||||||
Sempra Energy | 1,802 | 272,938 | ||||||
WEC Energy Group, Inc. (a) | 3,949 | 364,219 | ||||||
|
| |||||||
| 992,609 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.5% |
| |||||||
Cabot Oil & Gas Corp. | 7,795 | 135,716 | ||||||
Diamondback Energy, Inc. | 3,201 | 297,250 | ||||||
EQT Corp. | 4,700 | 51,230 | ||||||
Equitrans Midstream Corp. (a) | 4,331 | 57,865 | ||||||
PBF Energy, Inc., Class A | 3,636 | 114,075 | ||||||
Williams Cos., Inc. (The) | 11,774 | 279,284 | ||||||
|
| |||||||
| 935,420 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Coty, Inc., Class A (a) | 4,622 | 51,995 | ||||||
|
| |||||||
Real Estate Management & Development — 1.7% |
| |||||||
CBRE Group, Inc., Class A * | 3,780 | 231,673 | ||||||
Cushman & Wakefield plc * | 3,266 | 66,750 | ||||||
|
| |||||||
| 298,423 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.5% |
| |||||||
Analog Devices, Inc. | 680 | 80,785 | ||||||
|
| |||||||
Software — 0.9% |
| |||||||
Synopsys, Inc. * | 1,082 | 150,565 | ||||||
|
| |||||||
Specialty Retail — 4.2% |
| |||||||
AutoZone, Inc. * | 220 | 261,687 | ||||||
Best Buy Co., Inc. | 2,187 | 192,062 | ||||||
Gap, Inc. (The) | 5,276 | 93,273 | ||||||
Tiffany & Co. | 1,308 | 174,860 | ||||||
|
| |||||||
| 721,882 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
PVH Corp. | 1,303 | 137,010 | ||||||
Ralph Lauren Corp. | 1,390 | 162,938 | ||||||
|
| |||||||
| 299,948 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Investments | Shares (000) | Value ($000) | ||||||
Common Stocks — continued |
| |||||||
Trading Companies & Distributors — 0.5% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 1,053 | 82,610 | ||||||
|
| |||||||
Total Common Stocks | 16,869,368 | |||||||
|
| |||||||
Short-Term Investments — 2.6% |
| |||||||
Investment Companies — 1.5% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 252,859 | 252,935 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 174,019 | 174,037 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 21,933 | 21,933 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 195,970 | |||||||
|
| |||||||
Total Short-term Investments | 448,905 | |||||||
|
| |||||||
Total Investments — 101.0% | 17,318,273 | |||||||
Liabilities in Excess of | (174,962 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 17,143,311 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $193,021,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.3% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
General Dynamics Corp. | 201 | 35,358 | ||||||
United Technologies Corp. | 813 | 121,765 | ||||||
|
| |||||||
| 157,123 | ||||||||
|
| |||||||
Airlines — 2.0% |
| |||||||
Delta Air Lines, Inc. | 3,258 | 190,504 | ||||||
Southwest Airlines Co. | 910 | 49,138 | ||||||
|
| |||||||
| 239,642 | ||||||||
|
| |||||||
Banks — 15.2% |
| |||||||
Bank of America Corp. | 13,053 | 459,730 | ||||||
Citigroup, Inc. | 2,043 | 163,178 | ||||||
Citizens Financial Group, Inc. | 3,338 | 135,553 | ||||||
Fifth Third Bancorp | 2,095 | 64,411 | ||||||
First Republic Bank (a) | 554 | 65,086 | ||||||
M&T Bank Corp. | 1,000 | 169,804 | ||||||
PNC Financial Services Group, Inc. (The) | 1,606 | 256,442 | ||||||
Truist Financial Corp. | 2,792 | 157,258 | ||||||
US Bancorp (a) | 1,946 | 115,402 | ||||||
Wells Fargo & Co. | 4,319 | 232,364 | ||||||
|
| |||||||
| 1,819,228 | ||||||||
|
| |||||||
Beverages — 0.4% |
| |||||||
Keurig Dr Pepper, Inc. (a) | 1,765 | 51,093 | ||||||
|
| |||||||
Biotechnology — 0.8% |
| |||||||
AbbVie, Inc. | 1,027 | 90,940 | ||||||
|
| |||||||
Capital Markets — 4.5% |
| |||||||
Charles Schwab Corp. (The) | 2,477 | 117,806 | ||||||
Invesco Ltd. (a) | 1,727 | 31,049 | ||||||
Morgan Stanley | 3,211 | 164,168 | ||||||
Northern Trust Corp. (a) | 756 | 80,302 | ||||||
T. Rowe Price Group, Inc. | 1,148 | 139,841 | ||||||
|
| |||||||
| 533,166 | ||||||||
|
| |||||||
Chemicals — 0.2% |
| |||||||
AdvanSix, Inc. * | 952 | 18,996 | ||||||
|
| |||||||
Communications Equipment — 1.2% |
| |||||||
Cisco Systems, Inc. | 1,956 | 93,819 | ||||||
CommScope Holding Co., Inc. * | 3,770 | 53,491 | ||||||
|
| |||||||
| 147,310 | ||||||||
|
| |||||||
Construction Materials — 1.2% |
| |||||||
Martin Marietta Materials, Inc. | 523 | 146,385 | ||||||
|
| |||||||
Consumer Finance — 3.2% |
| |||||||
American Express Co. | 950 | 118,253 | ||||||
Capital One Financial Corp. | 2,578 | 265,342 | ||||||
|
| |||||||
| 383,595 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Containers & Packaging — 3.0% |
| |||||||
Ball Corp. | 1,809 | 116,960 | ||||||
Graphic Packaging Holding Co. | 4,600 | 76,596 | ||||||
Packaging Corp. of America (a) | 798 | 89,323 | ||||||
Westrock Co. | 1,752 | 75,173 | ||||||
|
| |||||||
| 358,052 | ||||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 711 | 161,042 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
Verizon Communications, Inc. | 2,951 | 181,190 | ||||||
|
| |||||||
Electric Utilities — 5.4% |
| |||||||
American Electric Power Co., Inc. | 1,734 | 163,872 | ||||||
Duke Energy Corp. (a) | 707 | 64,466 | ||||||
Edison International | 849 | 64,016 | ||||||
Entergy Corp. | 496 | 59,409 | ||||||
NextEra Energy, Inc. | 589 | 142,703 | ||||||
Xcel Energy, Inc. (a) | 2,458 | 156,030 | ||||||
|
| |||||||
| 650,496 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
Arrow Electronics, Inc. * | 855 | 72,454 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.0% |
| |||||||
American Homes 4 Rent, Class A | 2,340 | 61,344 | ||||||
Brixmor Property Group, Inc. | 3,456 | 74,689 | ||||||
EastGroup Properties, Inc. | 255 | 33,830 | ||||||
Federal Realty Investment Trust | 475 | 61,121 | ||||||
Kimco Realty Corp. | 3,797 | 78,629 | ||||||
Mid-America Apartment Communities, Inc. (a) | 733 | 96,673 | ||||||
Outfront Media, Inc. | 2,700 | 72,412 | ||||||
Public Storage | 564 | 120,024 | ||||||
Rayonier, Inc. | 2,171 | 71,118 | ||||||
Weyerhaeuser Co. | 1,448 | 43,742 | ||||||
|
| |||||||
| 713,582 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
Walgreens Boots Alliance, Inc. | 1,837 | 108,321 | ||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
Post Holdings, Inc. * | 876 | 95,549 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% |
| |||||||
Medtronic plc | 796 | 90,340 | ||||||
|
| |||||||
Health Care Providers & Services — 2.3% |
| |||||||
AmerisourceBergen Corp. | 702 | 59,667 | ||||||
HCA Healthcare, Inc. | 427 | 63,136 | ||||||
UnitedHealth Group, Inc. | 515 | 151,351 | ||||||
|
| |||||||
| 274,154 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Brinker International, Inc. (a) | 1,419 | 59,609 | ||||||
Hilton Worldwide Holdings, Inc. | 481 | 53,393 | ||||||
|
| |||||||
| 113,002 | ||||||||
|
| |||||||
Household Products — 2.3% |
| |||||||
Clorox Co. (The) | 212 | 32,612 | ||||||
Energizer Holdings, Inc. (a) | 1,723 | 86,507 | ||||||
Procter & Gamble Co. (The) | 1,280 | 159,902 | ||||||
|
| |||||||
| 279,021 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
Carlisle Cos., Inc. | 381 | 61,728 | ||||||
Honeywell International, Inc. | 739 | 130,824 | ||||||
|
| |||||||
| 192,552 | ||||||||
|
| |||||||
Insurance — 7.6% |
| |||||||
Alleghany Corp. * | 69 | 55,007 | ||||||
American International Group, Inc. | 1,804 | 92,589 | ||||||
Chubb Ltd. | 607 | 94,555 | ||||||
Fairfax Financial Holdings Ltd. (Canada) (a) | 133 | 62,292 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,491 | 90,595 | ||||||
Loews Corp. | 4,182 | 219,487 | ||||||
Marsh & McLennan Cos., Inc. | 796 | 88,665 | ||||||
Prudential Financial, Inc. | 389 | 36,422 | ||||||
Travelers Cos., Inc. (The) (a) | 1,267 | 173,484 | ||||||
|
| |||||||
| 913,096 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.8% |
| |||||||
Booking Holdings, Inc. * | 47 | 96,731 | ||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Dover Corp. | 937 | 108,035 | ||||||
Illinois Tool Works, Inc. (a) | 594 | 106,732 | ||||||
Middleby Corp. (The) * | 447 | 48,977 | ||||||
|
| |||||||
| 263,744 | ||||||||
|
| |||||||
Media — 3.6% |
| |||||||
Charter Communications, Inc., Class A * | 280 | 135,962 | ||||||
DISH Network Corp., Class A * | 2,644 | 93,794 | ||||||
Entercom Communications Corp., Class A (a) | 8,332 | 38,662 | ||||||
Nexstar Media Group, Inc., Class A | 796 | 93,313 | ||||||
ViacomCBS, Inc. | 1,508 | 63,277 | ||||||
|
| |||||||
| 425,008 | ||||||||
|
| |||||||
Multiline Retail — 1.3% |
| |||||||
Kohl’s Corp. | 1,585 | 80,741 | ||||||
Nordstrom, Inc. (a) | 1,713 | 70,109 | ||||||
|
| |||||||
| 150,850 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multi-Utilities — 0.3% |
| |||||||
NiSource, Inc. (a) | 1,060 | 29,510 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.8% |
| |||||||
Cabot Oil & Gas Corp. | 2,396 | 41,718 | ||||||
Chevron Corp. | 1,793 | 216,038 | ||||||
ConocoPhillips | 2,923 | 190,106 | ||||||
Diamondback Energy, Inc. | 1,111 | 103,158 | ||||||
EQT Corp. | 3,684 | 40,157 | ||||||
Equitrans Midstream Corp. (a) | 3,051 | 40,766 | ||||||
Kinder Morgan, Inc. | 5,649 | 119,593 | ||||||
Marathon Petroleum Corp. | 1,598 | 96,292 | ||||||
PBF Energy, Inc., Class A | 1,415 | 44,394 | ||||||
Phillips 66 | 526 | 58,577 | ||||||
Williams Cos., Inc. (The) | 4,257 | 100,974 | ||||||
|
| |||||||
| 1,051,773 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Coty, Inc., Class A (a) | 3,438 | 38,683 | ||||||
|
| |||||||
Pharmaceuticals — 6.6% |
| |||||||
Allergan plc | 626 | 119,612 | ||||||
Bristol-Myers Squibb Co. | 2,252 | 144,562 | ||||||
Johnson & Johnson | 1,079 | 157,440 | ||||||
Merck & Co., Inc. | 1,898 | 172,609 | ||||||
Pfizer, Inc. | 5,013 | 196,418 | ||||||
|
| |||||||
| 790,641 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
CBRE Group, Inc., Class A * | 1,966 | 120,471 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
Analog Devices, Inc. | 818 | 97,235 | ||||||
QUALCOMM, Inc. | 318 | 28,051 | ||||||
Texas Instruments, Inc. | 873 | 111,967 | ||||||
|
| |||||||
| 237,253 | ||||||||
|
| |||||||
Software — 0.9% |
| |||||||
Microsoft Corp. | 654 | 103,186 | ||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
AutoZone, Inc. * | 121 | 144,690 | ||||||
Best Buy Co., Inc. | 846 | 74,259 | ||||||
Home Depot, Inc. (The) | 317 | 69,187 | ||||||
Murphy USA, Inc. * | 567 | 66,306 | ||||||
Tiffany & Co. | 686 | 91,669 | ||||||
|
| |||||||
| 446,111 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
Hewlett Packard Enterprise Co. | 1,687 | 26,753 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
Columbia Sportswear Co. (a) | 502 | 50,339 | ||||||
|
| |||||||
Total Common Stocks |
| 11,621,382 | ||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) |
| |||||||
Media — 0.0%(b) |
| |||||||
Media General, Inc., CVR * ‡ | 2,982 | — | (c) | |||||
|
| |||||||
| SHARES (000) | ||||||||
Short-Term Investments — 4.3% |
| |||||||
Investment Companies — 2.7% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e) | 322,295 | 322,392 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e) | 157,003 | 157,018 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e) | 31,883 | 31,883 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 188,901 | |||||||
|
| |||||||
Total Short-term Investments | 511,293 | |||||||
|
| |||||||
Total Investments — 101.6% |
| 12,132,675 | ||||||
|
| |||||||
Liabilities in Excess of |
| (185,473 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 11,947,202 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| ||
| CVR | Contingent Value Rights | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $185,815,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Amount rounds to less than one thousand. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | JPMorgan Mid Cap | ||||||||||
ASSETS: | ||||||||||||
Investments innon-affiliates, at value | $ | 9,277,996 | $ | 1,675,489 | $ | 4,848,196 | ||||||
Investments in affiliates, at value | 139,991 | 44,045 | 56,417 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 182,460 | 9,955 | 150,283 | |||||||||
Cash | 218 | 623 | 106 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 1,424 | 1,416 | |||||||||
Fund shares sold | 7,095 | 1,937 | 7,557 | |||||||||
Dividends fromnon-affiliates | 336 | 1,867 | 834 | |||||||||
Dividends from affiliates | 7 | 2 | 3 | |||||||||
Securities lending income (See Note 2.B.) | 45 | 8 | 100 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 9,608,148 | 1,735,350 | 5,064,912 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 113 | 552 | |||||||||
Collateral received on securities loaned (See Note 2.B.) | 182,460 | 9,955 | 150,283 | |||||||||
Fund shares redeemed | 8,326 | 957 | 67,941 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 4,320 | 827 | 2,655 | |||||||||
Administration fees | 591 | 40 | 307 | |||||||||
Distribution fees | 933 | 117 | 297 | |||||||||
Service fees | 1,048 | 167 | 417 | |||||||||
Custodian and accounting fees | 34 | 15 | 18 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | — | (a) | ||||||||
Other | 346 | 139 | 196 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 198,059 | 12,331 | 222,666 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 9,410,089 | $ | 1,723,019 | $ | 4,842,246 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap | JPMorgan Mid Cap Growth Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 5,178,040 | $ | 791,137 | $ | 3,296,637 | ||||||
Total distributable earnings (loss) | 4,232,049 | 931,882 | 1,545,609 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 9,410,089 | $ | 1,723,019 | $ | 4,842,246 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,943,737 | $ | 485,874 | $ | 1,038,915 | ||||||
Class C | 834,197 | 23,421 | 84,281 | |||||||||
Class I | 2,277,130 | 295,590 | 1,093,077 | |||||||||
Class R2 | 135 | 547 | 39,758 | |||||||||
Class R3 | 687 | — | 39,109 | |||||||||
Class R4 | 17,336 | — | 9,959 | |||||||||
Class R5 | 119,957 | 5,040 | 493,498 | |||||||||
Class R6 | 4,216,910 | 912,547 | 2,043,649 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 9,410,089 | $ | 1,723,019 | $ | 4,842,246 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 89,150 | 9,803 | 31,828 | |||||||||
Class C | 45,018 | 495 | 3,456 | |||||||||
Class I | 100,488 | 5,863 | 28,345 | |||||||||
Class R2 | 6 | 11 | 1,111 | |||||||||
Class R3 | 32 | — | 1,026 | |||||||||
Class R4 | 765 | — | 259 | |||||||||
Class R5 | 5,171 | 100 | 12,600 | |||||||||
Class R6 | 180,384 | 18,099 | 51,886 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 21.80 | $ | 49.56 | $ | 32.64 | ||||||
Class C — Offering price per share (b) | 18.53 | 47.32 | 24.39 | |||||||||
Class I — Offering and redemption price per share | 22.66 | 50.42 | 38.56 | |||||||||
Class R2 — Offering and redemption price per share | 21.64 | 49.03 | 35.79 | |||||||||
Class R3 — Offering and redemption price per share | 21.81 | — | 38.11 | |||||||||
Class R4 — Offering and redemption price per share | 22.66 | — | 38.47 | |||||||||
Class R5 — Offering and redemption price per share | 23.20 | 50.42 | 39.17 | |||||||||
Class R6 — Offering and redemption price per share | 23.38 | 50.42 | 39.39 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 23.01 | $ | 52.31 | $ | 34.45 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 5,268,713 | $ | 983,717 | $ | 3,362,507 | ||||||
Cost of investments in affiliates | 139,991 | 44,045 | 56,417 | |||||||||
Investment securities on loan, at value (See Note 2.B.) | 179,510 | 9,779 | 147,700 | |||||||||
Cost of investment of cash collateral (See Note 2.B.) | 182,459 | 9,955 | 150,285 | |||||||||
| (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, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Mid Cap Value Fund | JPMorgan Value Advantage Fund | |||||||
ASSETS: |
| |||||||
Investments innon-affiliates, at value | $ | 16,869,368 | $ | 11,621,382 | ||||
Investments in affiliates, at value | 252,935 | 322,392 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 195,970 | 188,901 | ||||||
Cash | 551 | 673 | ||||||
Receivables: | �� | |||||||
Investment securities sold | 33,384 | — | ||||||
Fund shares sold | 20,382 | 8,570 | ||||||
Dividends fromnon-affiliates | 35,172 | 10,906 | ||||||
Dividends from affiliates | 12 | 16 | ||||||
Securities lending income (See Note 2.B.) | 54 | 53 | ||||||
|
|
|
| |||||
Total Assets | 17,407,828 | 12,152,893 | ||||||
|
|
|
| |||||
LIABILITIES: |
| |||||||
Payables: | ||||||||
Collateral received on securities loaned (See Note 2.B.) | 195,970 | 188,901 | ||||||
Fund shares redeemed | 55,523 | 8,211 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 9,327 | 5,462 | ||||||
Administration fees | 936 | 717 | ||||||
Distribution fees | 484 | 593 | ||||||
Service fees | 1,101 | 1,130 | ||||||
Custodian and accounting fees | 67 | 48 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | ||||||
Other | 1,108 | 628 | ||||||
|
|
|
| |||||
Total Liabilities | 264,517 | 205,691 | ||||||
|
|
|
| |||||
Net Assets | $ | 17,143,311 | $ | 11,947,202 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Mid Cap Value Fund | JPMorgan Value Advantage Fund | |||||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 10,135,027 | $ | 8,134,737 | ||||
Total distributable earnings (loss) | 7,008,284 | 3,812,465 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 17,143,311 | $ | 11,947,202 | ||||
|
|
|
| |||||
Net Assets: |
| |||||||
Class A | $ | 1,632,529 | $ | 1,239,813 | ||||
Class C | 145,229 | 522,311 | ||||||
Class I | 2,704,051 | 2,569,941 | ||||||
Class L | 8,756,795 | 2,537,783 | ||||||
Class R2 | 74,409 | 74 | ||||||
Class R3 | 79,886 | 1,932 | ||||||
Class R4 | 25,663 | 29,803 | ||||||
Class R5 | 90,977 | 7,931 | ||||||
Class R6 | 3,633,772 | 5,037,614 | ||||||
|
|
|
| |||||
Total | $ | 17,143,311 | $ | 11,947,202 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) |
| |||||||
($0.0001 par value; unlimited number of shares authorized): |
| |||||||
Class A | 42,157 | 33,384 | ||||||
Class C | 3,910 | 14,098 | ||||||
Class I | 69,036 | 68,866 | ||||||
Class L | 220,732 | 67,994 | ||||||
Class R2 | 2,013 | 2 | ||||||
Class R3 | 2,082 | 53 | ||||||
Class R4 | 659 | 802 | ||||||
Class R5 | 2,296 | 213 | ||||||
Class R6 | 91,652 | 135,143 | ||||||
Net Asset Value (a): | ||||||||
Class A – Redemption price per share | $ | 38.72 | $ | 37.14 | ||||
Class C – Offering price per share (b) | 37.14 | 37.05 | ||||||
Class I – Offering and redemption price per share | 39.17 | 37.32 | ||||||
Class L – Offering and redemption price per share | 39.67 | 37.32 | ||||||
Class R2 – Offering and redemption price per share | 36.97 | 36.91 | ||||||
Class R3 – Offering and redemption price per share | 38.36 | 36.73 | ||||||
Class R4 – Offering and redemption price per share | 38.96 | 37.14 | ||||||
Class R5 – Offering and redemption price per share | 39.62 | 37.25 | ||||||
Class R6 – Offering and redemption price per share | 39.65 | 37.28 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 40.87 | $ | 39.20 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 9,993,800 | $ | 7,898,925 | ||||
Cost of investments in affiliates | 252,935 | 322,392 | ||||||
Investment securities on loan, at value (See Note 2.B.) | 193,021 | 185,815 | ||||||
Cost of investment of cash collateral (See Note 2.B.) | 195,970 | 188,897 | ||||||
| (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, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | JPMorgan Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income fromnon-affiliates | $ | — | (a) | $ | — | (a) | $ | — | (a) | |||
Interest income from affiliates | 1 | — | (a) | — | (a) | |||||||
Dividend income fromnon-affiliates | 31,224 | 14,330 | 11,871 | |||||||||
Dividend income from affiliates | 2,349 | 843 | 1,375 | |||||||||
Income from securities lending (net) (See Note 2.B.) | 302 | 111 | 597 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 33,876 | 15,284 | 13,843 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 26,152 | 7,486 | 15,155 | |||||||||
Administration fees | 3,456 | 864 | 1,749 | |||||||||
Distribution fees: | ||||||||||||
Class A | 2,327 | 583 | 1,256 | |||||||||
Class C | 2,997 | 87 | 307 | |||||||||
Class R2 | — | (a) | 2 | 99 | ||||||||
Class R3 | 1 | — | 44 | |||||||||
Service fees: | ||||||||||||
Class A | 2,327 | 583 | 1,256 | |||||||||
Class C | 999 | 29 | 102 | |||||||||
Class I | 2,657 | 358 | 1,351 | |||||||||
Class R2 | — | (a) | 1 | 49 | ||||||||
Class R3 | 1 | — | 44 | |||||||||
Class R4 | 21 | — | 12 | |||||||||
Class R5 | 58 | 3 | 237 | |||||||||
Custodian and accounting fees | 124 | 41 | 65 | |||||||||
Professional fees | 76 | 42 | 50 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 31 | 18 | 22 | |||||||||
Printing and mailing costs | 242 | 103 | 145 | |||||||||
Registration and filing fees | 181 | 73 | 89 | |||||||||
Transfer agency fees (See Note 2.E.) | 155 | 31 | 238 | |||||||||
Other | 77 | 23 | 33 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 41,882 | 10,327 | 22,303 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,150 | ) | (1,371 | ) | (823 | ) | ||||||
Less expense reimbursements | (7 | ) | — | (a) | (13 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 40,725 | 8,956 | 21,467 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (6,849 | ) | 6,328 | (7,624 | ) | |||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | 736,656 | 329,267 | 223,040 | |||||||||
Investments in affiliates | 4 | 8 | 7 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 736,660 | 329,275 | 223,047 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||
Investments innon-affiliates | 172,953 | (228,757 | ) | 147,470 | ||||||||
Investments in affiliates | (34 | ) | (14 | ) | (27 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 172,919 | (228,771 | ) | 147,443 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 909,579 | 100,504 | 370,490 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 902,730 | $ | 106,832 | $ | 362,866 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Mid Cap Value Fund | JPMorgan Value | |||||||
INVESTMENT INCOME: |
| |||||||
Interest income fromnon-affiliates | $ | — | (a) | $ | — | (a) | ||
Interest income from affiliates | — | — | (a) | |||||
Dividend income fromnon-affiliates | 171,638 | 133,349 | ||||||
Dividend income from affiliates | 5,470 | 3,151 | ||||||
Income from securities lending (net) (See Note 2.B.) | 540 | 360 | ||||||
|
|
|
| |||||
Total investment income | 177,648 | 136,860 | ||||||
|
|
|
| |||||
EXPENSES: |
| |||||||
Investment advisory fees | 54,941 | 31,424 | ||||||
Administration fees | 5,490 | 4,060 | ||||||
Distribution fees: | ||||||||
Class A | 2,027 | 1,533 | ||||||
Class C | 543 | 1,929 | ||||||
Class R2 | 183 | — | (a) | |||||
Class R3 | 94 | 3 | ||||||
Service fees: | ||||||||
Class A | 2,027 | 1,533 | ||||||
Class C | 181 | 643 | ||||||
Class I | 3,322 | 3,088 | ||||||
Class L | 4,401 | 1,259 | ||||||
Class R2 | 92 | — | (a) | |||||
Class R3 | 94 | 2 | ||||||
Class R4 | 35 | 31 | ||||||
Class R5 | 48 | 4 | ||||||
Custodian and accounting fees | 223 | 149 | ||||||
Professional fees | 118 | 88 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 45 | 34 | ||||||
Printing and mailing costs | 674 | 326 | ||||||
Registration and filing fees | 178 | 195 | ||||||
Transfer agency fees (See Note 2.E.) | 438 | 133 | ||||||
Other | 143 | 83 | ||||||
|
|
|
| |||||
Total expenses | 75,297 | 46,517 | ||||||
|
|
|
| |||||
Less fees waived | (4,369 | ) | (1,215 | ) | ||||
Less expense reimbursements | (13 | ) | (14 | ) | ||||
|
|
|
| |||||
Net expenses | 70,915 | 45,288 | ||||||
|
|
|
| |||||
Net investment income (loss) | 106,733 | 91,572 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: |
| |||||||
Investments innon-affiliates | 267,306 | 259,130 | ||||||
Investments in affiliates | 44 | (18 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 267,350 | 259,112 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: |
| |||||||
Investments innon-affiliates | 775,684 | 606,642 | ||||||
Investments in affiliates | (94 | ) | (29 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 775,590 | 606,613 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 1,042,940 | 865,725 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 1,149,673 | $ | 957,297 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (6,849 | ) | $ | (10,145 | ) | $ | 6,328 | $ | 20,621 | ||||||
Net realized gain (loss) | 736,660 | 629,057 | 329,275 | 205,661 | ||||||||||||
Change in net unrealized appreciation/depreciation | 172,919 | 213,962 | (228,771 | ) | 42,746 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 902,730 | 832,874 | 106,832 | 269,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (176,120 | ) | (137,182 | ) | (38,917 | ) | (41,313 | ) | ||||||||
Class C | (88,186 | ) | (69,324 | ) | (1,879 | ) | (2,590 | ) | ||||||||
Class I | (199,341 | ) | (147,315 | ) | (23,411 | ) | (31,866 | ) | ||||||||
Class R2 | (12 | ) | (5 | ) | (49 | ) | (47 | ) | ||||||||
Class R3 | (61 | ) | (27 | ) | — | — | ||||||||||
Class R4 | (1,510 | ) | (957 | ) | — | — | ||||||||||
Class R5 | (10,297 | ) | (8,804 | ) | (518 | ) | (621 | ) | ||||||||
Class R6 | (359,755 | ) | (334,548 | ) | (159,341 | ) | (209,503 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (835,282 | ) | (698,162 | ) | (224,115 | ) | (285,940 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | (46,448 | ) | 562,790 | (951,095 | ) | 74,601 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 21,000 | 697,502 | (1,068,378 | ) | 57,689 | |||||||||||
Beginning of period | 9,389,089 | 8,691,587 | 2,791,397 | 2,733,708 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,410,089 | $ | 9,389,089 | $ | 1,723,019 | $ | 2,791,397 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (7,624 | ) | $ | (10,571 | ) | $ | 106,733 | $ | 262,116 | ||||||
Net realized gain (loss) | 223,047 | 269,037 | 267,350 | 854,560 | ||||||||||||
Change in net unrealized appreciation/depreciation | 147,443 | 351,539 | 775,590 | (449,626 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 362,866 | 610,005 | 1,149,673 | 667,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (82,704 | ) | (64,068 | ) | (76,720 | ) | (113,824 | ) | ||||||||
Class C | (8,737 | ) | (6,859 | ) | (6,335 | ) | (11,787 | ) | ||||||||
Class I | (75,633 | ) | (66,577 | ) | (133,060 | ) | (180,706 | ) | ||||||||
Class L | — | — | (443,822 | ) | (790,206 | ) | ||||||||||
Class R2 | (2,939 | ) | (2,466 | ) | (3,525 | ) | (5,220 | ) | ||||||||
Class R3 | (2,669 | ) | (1,655 | ) | (3,809 | ) | (4,506 | ) | ||||||||
Class R4 | (679 | ) | (921 | ) | (1,419 | ) | (1,721 | ) | ||||||||
Class R5 | (33,403 | ) | (18,376 | ) | (4,996 | ) | (5,681 | ) | ||||||||
Class R6 | (138,679 | ) | (90,888 | ) | (181,586 | ) | (86,808 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (345,443 | ) | (251,810 | ) | (855,272 | ) | (1,200,459 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 266,331 | 283,053 | (166,575 | ) | (734,957 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 283,754 | 641,248 | 127,826 | (1,268,366 | ) | |||||||||||
Beginning of period | 4,558,492 | 3,917,244 | 17,015,485 | 18,283,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,842,246 | $ | 4,558,492 | $ | 17,143,311 | $ | 17,015,485 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Value Advantage Fund | ||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 91,572 | $ | 207,703 | ||||
Net realized gain (loss) | 259,112 | 344,698 | ||||||
Change in net unrealized appreciation/depreciation | 606,613 | 219,801 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 957,297 | 772,202 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (44,981 | ) | (75,407 | ) | ||||
Class C | (16,494 | ) | (31,120 | ) | ||||
Class I | (99,554 | ) | (161,614 | ) | ||||
Class L | (100,871 | ) | (175,343 | ) | ||||
Class R2 | (3 | ) | (3 | ) | ||||
Class R3 | (70 | ) | (123 | ) | ||||
Class R4 | (1,174 | ) | (1,103 | ) | ||||
Class R5 | (334 | ) | (451 | ) | ||||
Class R6 | (204,414 | ) | (263,786 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (467,895 | ) | (708,950 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 632,040 | (621,729 | ) | |||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 1,121,442 | (558,477 | ) | |||||
Beginning of period | 10,825,760 | 11,384,237 | ||||||
|
|
|
| |||||
End of period | $ | 11,947,202 | $ | 10,825,760 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 160,395 | $ | 403,155 | $ | 60,338 | $ | 104,599 | ||||||||
Distributions reinvested | 171,962 | 134,593 | 38,873 | 41,253 | ||||||||||||
Cost of shares redeemed | (222,689 | ) | (459,409 | ) | (59,307 | ) | (96,097 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 109,668 | $ | 78,339 | $ | 39,904 | $ | 49,755 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 52,361 | $ | 156,438 | $ | 807 | $ | 2,104 | ||||||||
Distributions reinvested | 83,432 | 66,057 | 1,879 | 2,589 | ||||||||||||
Cost of shares redeemed | (83,806 | ) | (164,414 | ) | (3,001 | ) | (7,756 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 51,987 | $ | 58,081 | $ | (315 | ) | $ | (3,063 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 277,438 | $ | 749,623 | $ | 45,584 | $ | 49,175 | ||||||||
Distributions reinvested | 183,813 | 135,181 | 23,288 | 31,662 | ||||||||||||
Cost of shares redeemed | (305,828 | ) | (558,012 | ) | (70,647 | ) | (100,951 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 155,423 | $ | 326,792 | $ | (1,775 | ) | $ | (20,114 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 64 | $ | 44 | $ | 268 | $ | 65 | ||||||||
Distributions reinvested | 12 | 5 | 42 | 40 | ||||||||||||
Cost of shares redeemed | (29 | ) | (5 | ) | (283 | ) | (21 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 47 | $ | 44 | $ | 27 | $ | 84 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 209 | $ | 184 | $ | — | $ | — | ||||||||
Distributions reinvested | 61 | 27 | — | — | ||||||||||||
Cost of shares redeemed | (33 | ) | (41 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | 237 | $ | 170 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 1,007 | $ | 4,852 | $ | — | $ | — | ||||||||
Distributions reinvested | 1,510 | 957 | — | — | ||||||||||||
Cost of shares redeemed | (1,765 | ) | (2,115 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | 752 | $ | 3,694 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 7,803 | $ | 21,008 | $ | 533 | $ | 62 | ||||||||
Distributions reinvested | 10,290 | 8,803 | 517 | 621 | ||||||||||||
Cost of shares redeemed | (17,747 | ) | (26,114 | ) | (1,988 | ) | (1,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 346 | $ | 3,697 | $ | (938 | ) | $ | (405 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 670,782 | $ | 705,912 | $ | 189,876 | $ | 259,016 | ||||||||
Distributions reinvested | 358,754 | 333,918 | 159,315 | 209,472 | ||||||||||||
Cost of shares redeemed | (1,394,444 | ) | (947,857 | ) | (136,474 | ) | (420,144 | ) | ||||||||
Redemptionsin-kind (See Note 7) | — | — | (1,200,715 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | (364,908 | ) | $ | 91,973 | $ | (987,998 | ) | $ | 48,344 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (46,448 | ) | $ | 562,790 | $ | (951,095 | ) | $ | 74,601 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 7,325 | 19,276 | 1,237 | 2,159 | ||||||||||||
Reinvested | 8,088 | 7,186 | 853 | 952 | ||||||||||||
Redeemed | (10,068 | ) | (22,010 | ) | (1,216 | ) | (1,995 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 5,345 | 4,452 | 874 | 1,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,775 | 8,466 | 18 | 45 | ||||||||||||
Reinvested | 4,615 | 4,060 | 43 | 63 | ||||||||||||
Redeemed | (4,438 | ) | (9,125 | ) | (64 | ) | (167 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 2,952 | 3,401 | (3 | ) | (59 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 12,153 | 34,535 | 901 | 996 | ||||||||||||
Reinvested | 8,317 | 6,986 | 501 | 719 | ||||||||||||
Redeemed | (13,493 | ) | (26,418 | ) | (1,402 | ) | (2,083 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 6,977 | 15,103 | — | (a) | (368 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2 | 2 | 5 | 1 | ||||||||||||
Reinvested | 1 | — | (a) | 1 | 1 | |||||||||||
Redeemed | (1 | ) | — | (a) | (6 | ) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 2 | 2 | — | (a) | 2 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | 11 | 9 | — | — | ||||||||||||
Reinvested | 3 | 1 | — | — | ||||||||||||
Redeemed | (2 | ) | (2 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 12 | 8 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | 44 | 238 | — | — | ||||||||||||
Reinvested | 68 | 50 | — | — | ||||||||||||
Redeemed | (76 | ) | (96 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 36 | 192 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 331 | 934 | 11 | 2 | ||||||||||||
Reinvested | 455 | 446 | 11 | 14 | ||||||||||||
Redeemed | (765 | ) | (1,188 | ) | (40 | ) | (22 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 21 | 192 | (18 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 28,916 | 31,785 | 3,749 | 5,236 | ||||||||||||
Reinvested | 15,742 | 16,814 | 3,444 | 4,754 | ||||||||||||
Redeemed | (59,824 | ) | (43,117 | ) | (2,709 | ) | (8,527 | ) | ||||||||
Redemptionsin-kind (See Note 7) | — | — | (25,455 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (15,166 | ) | 5,482 | (20,971 | ) | 1,463 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 56,521 | $ | 114,825 | $ | 100,052 | $ | 232,702 | ||||||||
Distributions reinvested | 80,011 | 61,839 | 69,743 | 101,729 | ||||||||||||
Cost of shares redeemed | (103,872 | ) | (170,138 | ) | (229,269 | ) | (588,500 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 32,660 | $ | 6,526 | $ | (59,474 | ) | $ | (254,069 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 5,022 | $ | 14,313 | $ | 6,954 | $ | 18,374 | ||||||||
Distributions reinvested | 8,149 | 6,348 | 5,516 | 10,374 | ||||||||||||
Cost of shares redeemed | (9,659 | ) | (24,318 | ) | (19,763 | ) | (86,785 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 3,512 | $ | (3,657 | ) | $ | (7,293 | ) | $ | (58,037 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 112,137 | $ | 238,900 | $ | 237,099 | $ | 746,983 | ||||||||
Distributions reinvested | 71,080 | 63,129 | 123,074 | 166,354 | ||||||||||||
Cost of shares redeemed | (182,392 | ) | (444,249 | ) | (366,664 | ) | (1,161,145 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 825 | $ | (142,220 | ) | $ | (6,491 | ) | $ | (247,808 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 480,014 | $ | 1,602,921 | ||||||||
Distributions reinvested | — | — | 394,599 | 713,339 | ||||||||||||
Cost of shares redeemed | — | — | (1,264,957 | ) | (4,636,220 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | (390,344 | ) | $ | (2,319,960 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 4,580 | $ | 15,230 | $ | 7,523 | $ | 14,477 | ||||||||
Distributions reinvested | 2,875 | 2,347 | 3,405 | 4,936 | ||||||||||||
Cost of shares redeemed | (12,194 | ) | (14,882 | ) | (11,959 | ) | (24,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (4,739 | ) | $ | 2,695 | $ | (1,031 | ) | $ | (5,300 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 10,005 | $ | 8,791 | $ | 8,124 | $ | 25,594 | ||||||||
Distributions reinvested | 2,669 | 1,655 | 3,652 | 4,297 | ||||||||||||
Cost of shares redeemed | (3,856 | ) | (9,229 | ) | (6,517 | ) | (17,703 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | 8,818 | $ | 1,217 | $ | 5,259 | $ | 12,188 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 2,129 | $ | 4,725 | $ | 3,199 | $ | 11,792 | ||||||||
Distributions reinvested | 679 | 921 | 1,419 | 1,720 | ||||||||||||
Cost of shares redeemed | (2,246 | ) | (11,309 | ) | (7,108 | ) | (3,466 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | 562 | $ | (5,663 | ) | $ | (2,490 | ) | $ | 10,046 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 67,054 | $ | 199,729 | $ | 8,966 | $ | 26,423 | ||||||||
Distributions reinvested | 31,743 | 17,215 | 4,992 | 5,681 | ||||||||||||
Cost of shares redeemed | (66,233 | ) | (109,050 | ) | (19,844 | ) | (19,629 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 32,564 | $ | 107,894 | $ | (5,886 | ) | $ | 12,475 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 300,442 | $ | 565,276 | $ | 468,081 | $ | 2,480,879 | ||||||||
Distributions reinvested | 137,892 | 90,442 | 174,996 | 82,670 | ||||||||||||
Cost of shares redeemed | (246,205 | ) | (339,457 | ) | (341,902 | ) | (448,041 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 192,129 | $ | 316,261 | $ | 301,175 | $ | 2,115,508 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 266,331 | $ | 283,053 | $ | (166,575 | ) | $ | (734,957 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 1,713 | 3,765 | 2,615 | 6,269 | ||||||||||||
Reinvested | 2,499 | 2,301 | 1,812 | 2,966 | ||||||||||||
Redeemed | (3,132 | ) | (5,639 | ) | (6,005 | ) | (15,628 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,080 | 427 | (1,578 | ) | (6,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 199 | 610 | 190 | 538 | ||||||||||||
Reinvested | 341 | 306 | 150 | 315 | ||||||||||||
Redeemed | (381 | ) | (1,023 | ) | (542 | ) | (2,429 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 159 | (107 | ) | (202 | ) | (1,576 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 2,901 | 6,807 | 6,148 | 20,189 | ||||||||||||
Reinvested | 1,879 | 2,019 | 3,157 | 4,798 | ||||||||||||
Redeemed | (4,732 | ) | (12,716 | ) | (9,472 | ) | (30,988 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 48 | (3,890 | ) | (167 | ) | (6,001 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class L |
| |||||||||||||||
Issued | — | — | 12,221 | 41,784 | ||||||||||||
Reinvested | — | — | 9,979 | 20,337 | ||||||||||||
Redeemed | — | — | (32,214 | ) | (124,718 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | (10,014 | ) | (62,597 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | 128 | 460 | 205 | 404 | ||||||||||||
Reinvested | 82 | 80 | 93 | 150 | ||||||||||||
Redeemed | (337 | ) | (451 | ) | (328 | ) | (692 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (127 | ) | 89 | (30 | ) | (138 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | 267 | 248 | 213 | 680 | ||||||||||||
Reinvested | 71 | 53 | 96 | 127 | ||||||||||||
Redeemed | (102 | ) | (267 | ) | (171 | ) | (469 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 236 | 34 | 138 | 338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | 55 | 134 | 83 | 313 | ||||||||||||
Reinvested | 18 | 30 | 37 | 50 | ||||||||||||
Redeemed | (58 | ) | (325 | ) | (184 | ) | (92 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 15 | (161 | ) | (64 | ) | 271 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 1,710 | 5,532 | 229 | 697 | ||||||||||||
Reinvested | 826 | 544 | 126 | 162 | ||||||||||||
Redeemed | (1,697 | ) | (3,055 | ) | (505 | ) | (517 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 839 | 3,021 | (150 | ) | 342 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 7,628 | 15,732 | 11,959 | 66,731 | ||||||||||||
Reinvested | 3,570 | 2,842 | 4,428 | 2,355 | ||||||||||||
Redeemed | (6,254 | ) | (9,571 | ) | (8,722 | ) | (11,820 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 4,944 | 9,003 | 7,665 | 57,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Value Advantage Fund | ||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 96,288 | $ | 232,481 | ||||
Distributions reinvested | 42,378 | 70,886 | ||||||
Cost of shares redeemed | (187,113 | ) | (426,883 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | (48,447 | ) | $ | (123,516 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 17,419 | $ | 49,965 | ||||
Distributions reinvested | 14,740 | 28,077 | ||||||
Cost of shares redeemed | (57,252 | ) | (149,047 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | (25,093 | ) | $ | (71,005 | ) | ||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | $ | 249,402 | $ | 990,121 | ||||
Distributions reinvested | 87,746 | 145,394 | ||||||
Cost of shares redeemed | (323,495 | ) | (990,428 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | $ | 13,653 | $ | 145,087 | ||||
|
|
|
| |||||
Class L | ||||||||
Proceeds from shares issued | $ | 234,410 | $ | 682,284 | ||||
Distributions reinvested | 96,694 | 161,936 | ||||||
Cost of shares redeemed | (474,489 | ) | (1,552,416 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class L capital transactions | $ | (143,385 | ) | $ | (708,196 | ) | ||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 22 | $ | 33 | ||||
Distributions reinvested | 2 | 2 | ||||||
Cost of shares redeemed | (22 | ) | (6 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 2 | $ | 29 | ||||
|
|
|
| |||||
Class R3 | ||||||||
Proceeds from shares issued | $ | 138 | $ | 1,084 | ||||
Distributions reinvested | 70 | 109 | ||||||
Cost of shares redeemed | (614 | ) | (69 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R3 capital transactions | $ | (406 | ) | $ | 1,124 | |||
|
|
|
| |||||
Class R4 | ||||||||
Proceeds from shares issued | $ | 13,461 | $ | 4,132 | ||||
Distributions reinvested | 1,174 | 1,103 | ||||||
Cost of shares redeemed | (6,645 | ) | (2,174 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R4 capital transactions | $ | 7,990 | $ | 3,061 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 441 | $ | 2,695 | ||||
Distributions reinvested | 334 | 451 | ||||||
Cost of shares redeemed | (1,217 | ) | (1,340 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | (442 | ) | $ | 1,806 | |||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 1,658,468 | $ | 581,176 | ||||
Distributions reinvested | 203,530 | 263,676 | ||||||
Cost of shares redeemed | (1,033,830 | ) | (714,971 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 828,168 | $ | 129,881 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 632,040 | $ | (621,729 | ) | |||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Value Advantage Fund | ||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 2,694 | 6,752 | ||||||
Reinvested | 1,145 | 2,205 | ||||||
Redeemed | (5,180 | ) | (12,282 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (1,341 | ) | (3,325 | ) | ||||
|
|
|
| |||||
Class C |
| |||||||
Issued | 485 | 1,459 | ||||||
Reinvested | 401 | 875 | ||||||
Redeemed | (1,604 | ) | (4,326 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (718 | ) | (1,992 | ) | ||||
|
|
|
| |||||
Class I |
| |||||||
Issued | 6,868 | 28,239 | ||||||
Reinvested | 2,357 | 4,502 | ||||||
Redeemed | (8,933 | ) | (28,665 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | 292 | 4,076 | ||||||
|
|
|
| |||||
Class L |
| |||||||
Issued | 6,506 | 19,446 | ||||||
Reinvested | 2,596 | 5,015 | ||||||
Redeemed | (13,102 | ) | (43,889 | ) | ||||
|
|
|
| |||||
Change in Class L Shares | (4,000 | ) | (19,428 | ) | ||||
|
|
|
| |||||
Class R2 |
| |||||||
Issued | 1 | 1 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (1 | ) | — | (a) | ||||
|
|
|
| |||||
Change in Class R2 Shares | — | (a) | 1 | |||||
|
|
|
| |||||
Class R3 |
| |||||||
Issued | 4 | 31 | ||||||
Reinvested | 2 | 3 | ||||||
Redeemed | (17 | ) | (2 | ) | ||||
|
|
|
| |||||
Change in Class R3 Shares | (11 | ) | 32 | |||||
|
|
|
| |||||
Class R4 |
| |||||||
Issued | 376 | 120 | ||||||
Reinvested | 32 | 34 | ||||||
Redeemed | (184 | ) | (62 | ) | ||||
|
|
|
| |||||
Change in Class R4 Shares | 224 | 92 | ||||||
|
|
|
| |||||
Class R5 |
| |||||||
Issued | 12 | 77 | ||||||
Reinvested | 9 | 14 | ||||||
Redeemed | (33 | ) | (38 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | (12 | ) | 53 | |||||
|
|
|
| |||||
Class R6 |
| |||||||
Issued | 45,558 | 16,654 | ||||||
Reinvested | 5,469 | 8,179 | ||||||
Redeemed | (28,746 | ) | (20,665 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 22,281 | 4,168 | ||||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
JPMorgan Growth Advantage Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 21.78 | $ | (0.04 | ) | $ | 2.23 | $ | 2.19 | $ | (2.17 | ) | ||||||||
Year Ended June 30, 2019 | 21.73 | (0.08 | ) | 1.89 | 1.81 | (1.76 | ) | |||||||||||||
Year Ended June 30, 2018 | 17.95 | (0.12 | ) | 4.74 | 4.62 | (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 | ) | |||||||||||
Year Ended June 30, 2015 | 14.24 | (0.10 | ) | 2.17 | 2.07 | (0.57 | ) | |||||||||||||
Class C |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.86 | (0.09 | ) | 1.93 | 1.84 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 19.16 | (0.16 | ) | 1.62 | 1.46 | (1.76 | ) | |||||||||||||
Year Ended June 30, 2018 | 15.99 | (0.19 | ) | 4.20 | 4.01 | (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 | ) | |||||||||||
Year Ended June 30, 2015 | 12.98 | (0.15 | ) | 1.96 | 1.81 | (0.57 | ) | |||||||||||||
Class I |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 22.53 | (0.02 | ) | 2.32 | 2.30 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 22.36 | (0.03 | ) | 1.96 | 1.93 | (1.76 | ) | |||||||||||||
Year Ended June 30, 2018 | 18.40 | (0.07 | ) | 4.87 | 4.80 | (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 | ) | |||||||||||
Year Ended June 30, 2015 | 14.50 | (0.07 | ) | 2.20 | 2.13 | (0.57 | ) | |||||||||||||
Class R2 |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 21.67 | (0.07 | ) | 2.21 | 2.14 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 21.68 | (0.13 | ) | 1.88 | 1.75 | (1.76 | ) | |||||||||||||
July 31, 2017 (f) through June 30, 2018 | 18.47 | (0.14 | ) | 4.19 | 4.05 | (0.84 | ) | |||||||||||||
Class R3 |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 21.79 | (0.04 | ) | 2.23 | 2.19 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 21.74 | (0.07 | ) | 1.88 | 1.81 | (1.76 | ) | |||||||||||||
Year Ended June 30, 2018 | 17.96 | (0.11 | ) | 4.73 | 4.62 | (0.84 | ) | |||||||||||||
May 31, 2017 (f) through June 30, 2017 | 17.85 | (0.01 | ) | 0.12 | 0.11 | — | ||||||||||||||
Class R4 |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 22.53 | (0.02 | ) | 2.32 | 2.30 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 22.36 | (0.03 | ) | 1.96 | 1.93 | (1.76 | ) | |||||||||||||
Year Ended June 30, 2018 | 18.40 | (0.03 | ) | 4.83 | 4.80 | (0.84 | ) | |||||||||||||
May 31, 2017 (f) through June 30, 2017 | 18.29 | — | (g) | 0.11 | 0.11 | — | ||||||||||||||
Class R5 |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.00 | — | (g) | 2.37 | 2.37 | (2.17 | ) | |||||||||||||
Year Ended June 30, 2019 | 22.76 | 0.01 | 1.99 | 2.00 | (1.76 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.69 | (0.04 | ) | 4.95 | 4.91 | (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 | ) | |||||||||||
Year Ended June 30, 2015 | 14.63 | (0.04 | ) | 2.23 | 2.19 | (0.57 | ) | |||||||||||||
Class R6 |
| |||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 23.15 | 0.01 | 2.39 | 2.40 | (2.17 | ) | ||||||||||||||
Year Ended June 30, 2019 | 22.87 | 0.03 | 2.01 | 2.04 | (1.76 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.76 | (0.02 | ) | 4.97 | 4.95 | (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 | ) | |||||||||||
Year Ended June 30, 2015 | 14.64 | (0.03 | ) | 2.23 | 2.20 | (0.57 | ) | |||||||||||||
| (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. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, period | Net expenses (e) | Net income | Expenses without | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 21.80 | 10.31 | % | $ | 1,943,737 | 1.14 | % | (0.40 | )% | 1.17 | % | 15 | % | |||||||||||||
| 21.78 | 9.63 | 1,825,607 | 1.14 | (0.38 | ) | 1.25 | 40 | |||||||||||||||||||
| 21.73 | 26.22 | 1,724,681 | 1.16 | (0.57 | ) | 1.25 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 18.53 | 10.04 | 834,197 | 1.64 | (0.90 | ) | 1.67 | 15 | |||||||||||||||||||
| 18.86 | 9.06 | 793,489 | 1.64 | (0.88 | ) | 1.75 | 40 | |||||||||||||||||||
| 19.16 | 25.60 | 740,817 | 1.66 | (1.07 | ) | 1.76 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 22.66 | 10.45 | 2,277,130 | 0.89 | (0.15 | ) | 0.91 | 15 | |||||||||||||||||||
| 22.53 | 9.91 | 2,107,041 | 0.89 | (0.12 | ) | 1.00 | 40 | |||||||||||||||||||
| 22.36 | 26.56 | 1,753,505 | 0.92 | (0.32 | ) | 1.00 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 21.64 | 10.13 | 135 | 1.39 | (0.64 | ) | 1.94 | 15 | |||||||||||||||||||
| 21.67 | 9.36 | 88 | 1.39 | (0.61 | ) | 2.24 | 40 | |||||||||||||||||||
| 21.68 | 22.39 | 43 | 1.41 | (0.77 | ) | 1.59 | 31 | |||||||||||||||||||
| 21.81 | 10.30 | 687 | 1.14 | (0.40 | ) | 1.27 | 15 | |||||||||||||||||||
| 21.79 | 9.63 | 448 | 1.14 | (0.36 | ) | 1.40 | 40 | |||||||||||||||||||
| 21.74 | 26.20 | 266 | 1.15 | (0.53 | ) | 1.28 | 31 | |||||||||||||||||||
| 17.96 | 0.62 | 20 | 1.25 | (0.55 | ) | 1.25 | 34 | |||||||||||||||||||
| 22.66 | 10.46 | 17,336 | 0.89 | (0.15 | ) | 0.91 | 15 | |||||||||||||||||||
| 22.53 | 9.91 | 16,423 | 0.89 | (0.12 | ) | 1.00 | 40 | |||||||||||||||||||
| 22.36 | 26.56 | 12,005 | 0.88 | (0.16 | ) | 1.00 | 31 | |||||||||||||||||||
| 18.40 | 0.60 | 20 | 0.99 | (0.29 | ) | 1.00 | 34 | |||||||||||||||||||
| 23.20 | 10.55 | 119,957 | 0.74 | — | (h) | 0.76 | 15 | |||||||||||||||||||
| 23.00 | 10.05 | 118,449 | 0.74 | 0.02 | 0.85 | 40 | ||||||||||||||||||||
| 22.76 | 26.74 | 112,830 | 0.77 | (0.18 | ) | 0.85 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 23.38 | 10.61 | 4,216,910 | 0.64 | 0.09 | 0.66 | 15 | ||||||||||||||||||||
| 23.15 | 10.18 | 4,527,544 | 0.64 | 0.12 | 0.75 | 40 | ||||||||||||||||||||
| 22.87 | 26.86 | 4,347,440 | 0.67 | (0.07 | ) | 0.75 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 50.52 | $ | 0.05 | $ | 3.22 | $ | 3.27 | $ | (0.30 | ) | $ | (3.93 | ) | $ | (4.23 | ) | |||||||||||
Year Ended June 30, 2019 | 51.57 | 0.18 | 4.04 | 4.22 | (0.13 | ) | (5.14 | ) | (5.27 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.53 | — | (f) | 5.89 | 5.89 | — | (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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 48.32 | (0.07 | ) | 3.05 | 2.98 | (0.05 | ) | (3.93 | ) | (3.98 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 49.66 | (0.04 | ) | 3.84 | 3.80 | — | (5.14 | ) | (5.14 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.05 | (0.24 | ) | 5.70 | 5.46 | — | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 51.35 | 0.12 | 3.28 | 3.40 | (0.40 | ) | (3.93 | ) | (4.33 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.32 | 0.33 | 4.07 | 4.40 | (0.23 | ) | (5.14 | ) | (5.37 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.13 | 0.14 | 5.97 | 6.11 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 49.96 | (0.01 | ) | 3.17 | 3.16 | (0.16 | ) | (3.93 | ) | (4.09 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 51.08 | 0.05 | 4.00 | 4.05 | (0.03 | ) | (5.14 | ) | (5.17 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.21 | (0.14 | ) | 5.86 | 5.72 | — | (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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 51.37 | 0.15 | 3.29 | 3.44 | (0.46 | ) | (3.93 | ) | (4.39 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.35 | 0.41 | 4.06 | 4.47 | (0.31 | ) | (5.14 | ) | (5.45 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.17 | 0.24 | 5.94 | 6.18 | (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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 51.41 | 0.17 | 3.29 | 3.46 | (0.52 | ) | (3.93 | ) | (4.45 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.39 | 0.43 | 4.09 | 4.52 | (0.36 | ) | (5.14 | ) | (5.50 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.18 | 0.27 | 5.96 | 6.23 | (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 | ) | ||||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 49.56 | 7.31 | % | $ | 485,874 | 1.14 | % | 0.21 | % | 1.26 | % | 16 | % | |||||||||||||
| 50.52 | 9.92 | 451,118 | 1.13 | 0.37 | 1.26 | 34 | ||||||||||||||||||||
| 51.57 | 12.37 | 402,897 | 1.17 | 0.01 | 1.25 | 31 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 47.32 | 7.05 | 23,421 | 1.64 | (0.29 | ) | 1.76 | 16 | |||||||||||||||||||
| 48.32 | 9.37 | 24,071 | 1.63 | (0.09 | ) | 1.76 | 34 | |||||||||||||||||||
| 49.66 | 11.83 | 27,666 | 1.67 | (0.50 | ) | 1.76 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 50.42 | 7.46 | 295,590 | 0.89 | 0.46 | 1.01 | 16 | ||||||||||||||||||||
| 51.35 | 10.20 | 301,071 | 0.88 | 0.65 | 1.00 | 34 | ||||||||||||||||||||
| 52.32 | 12.68 | 326,026 | 0.89 | 0.26 | 1.00 | 31 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 49.03 | 7.18 | 547 | 1.39 | (0.04 | ) | 1.55 | 16 | |||||||||||||||||||
| 49.96 | 9.63 | 524 | 1.38 | 0.10 | 1.57 | 34 | ||||||||||||||||||||
| 51.08 | 12.09 | 443 | 1.43 | (0.28 | ) | 1.57 | 31 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 50.42 | 7.54 | 5,040 | 0.74 | 0.59 | 0.86 | 16 | ||||||||||||||||||||
| 51.37 | 10.37 | 6,073 | 0.73 | 0.81 | 0.86 | 34 | ||||||||||||||||||||
| 52.35 | 12.83 | 6,499 | 0.75 | 0.47 | 0.85 | 31 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 50.42 | 7.58 | 912,547 | 0.64 | 0.69 | 0.75 | 16 | ||||||||||||||||||||
| 51.41 | 10.48 | 2,008,540 | 0.63 | 0.87 | 0.75 | 34 | ||||||||||||||||||||
| 52.39 | 12.93 | 1,970,177 | 0.67 | 0.51 | 0.75 | 31 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
JPMorgan Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 32.94 | $ | (0.11 | ) | $ | 2.62 | $ | 2.51 | $ | (2.81 | ) | ||||||||
Year Ended June 30, 2019 | 30.84 | (0.17 | ) | 4.42 | 4.25 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 27.99 | (0.19 | ) | 5.18 | 4.99 | (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 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 25.34 | (0.15 | ) | 2.01 | 1.86 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 24.37 | (0.25 | ) | 3.37 | 3.12 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 22.64 | (0.27 | ) | 4.14 | 3.87 | (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 | ) | |||||||||||||
Class I | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.37 | (0.06 | ) | 3.06 | 3.00 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 35.44 | (0.09 | ) | 5.17 | 5.08 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 31.79 | (0.10 | ) | 5.89 | 5.79 | (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 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.91 | (0.16 | ) | 2.85 | 2.69 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 33.49 | (0.27 | ) | 4.84 | 4.57 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 30.31 | (0.28 | ) | 5.60 | 5.32 | (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 | ) | |||||||||||||
Class R3 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.01 | (0.12 | ) | 3.03 | 2.91 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 35.23 | (0.20 | ) | 5.13 | 4.93 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 31.71 | (0.19 | ) | 5.85 | 5.66 | (2.14 | ) | |||||||||||||
September 9, 2016 (f) through June 30, 2017 | 27.06 | (0.13 | ) | 4.79 | 4.66 | (0.01 | ) | |||||||||||||
Class R4 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.30 | (0.08 | ) | 3.06 | 2.98 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 35.40 | (0.11 | ) | 5.16 | 5.05 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 31.77 | (0.12 | ) | 5.89 | 5.77 | (2.14 | ) | |||||||||||||
September 9, 2016 (f) through June 30, 2017 | 27.06 | (0.06 | ) | 4.78 | 4.72 | (0.01 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.90 | (0.04 | ) | 3.12 | 3.08 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 35.85 | (0.04 | ) | 5.24 | 5.20 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 32.09 | (0.06 | ) | 5.96 | 5.90 | (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 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 39.09 | (0.03 | ) | 3.14 | 3.11 | (2.81 | ) | |||||||||||||
Year Ended June 30, 2019 | 36.00 | (0.02 | ) | 5.26 | 5.24 | (2.15 | ) | |||||||||||||
Year Ended June 30, 2018 | 32.20 | (0.04 | ) | 5.98 | 5.94 | (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 | ) | |||||||||||||
| (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.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 32.64 | 7.78 | % | $ | 1,038,915 | 1.24 | % | (0.65 | )% | 1.28 | % | 21 | % | |||||||||||||
| 32.94 | 15.37 | 1,012,686 | 1.23 | (0.56 | ) | 1.28 | 54 | |||||||||||||||||||
| 30.84 | 18.39 | 934,982 | 1.23 | (0.62 | ) | 1.30 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.39 | 7.55 | 84,281 | 1.74 | (1.15 | ) | 1.76 | 21 | |||||||||||||||||||
| 25.34 | 14.78 | 83,558 | 1.73 | (1.06 | ) | 1.75 | 54 | |||||||||||||||||||
| 24.37 | 17.76 | 82,939 | 1.73 | (1.12 | ) | 1.76 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 38.56 | 7.96 | 1,093,077 | 0.93 | (0.33 | ) | 1.00 | 21 | |||||||||||||||||||
| 38.37 | 15.73 | 1,085,728 | 0.92 | (0.25 | ) | 1.00 | 54 | |||||||||||||||||||
| 35.44 | 18.72 | 1,140,704 | 0.92 | (0.30 | ) | 1.00 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 35.79 | 7.64 | 39,758 | 1.49 | (0.90 | ) | 1.57 | 21 | |||||||||||||||||||
| 35.91 | 15.10 | 44,453 | 1.48 | (0.81 | ) | 1.55 | 54 | |||||||||||||||||||
| 33.49 | 18.06 | 38,486 | 1.48 | (0.87 | ) | 1.57 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 38.11 | 7.80 | 39,109 | 1.24 | (0.64 | ) | 1.25 | 21 | |||||||||||||||||||
| 38.01 | 15.38 | 30,023 | 1.23 | (0.56 | ) | 1.25 | 54 | |||||||||||||||||||
| 35.23 | 18.34 | 26,638 | 1.23 | (0.54 | ) | 1.26 | 56 | |||||||||||||||||||
| 31.71 | 17.24 | 152 | 1.23 | (0.54 | ) | 1.42 | 41 | |||||||||||||||||||
| 38.47 | 7.92 | 9,959 | 0.99 | (0.39 | ) | 1.00 | 21 | |||||||||||||||||||
| 38.30 | 15.66 | 9,343 | 0.98 | (0.31 | ) | 1.00 | 54 | |||||||||||||||||||
| 35.40 | 18.66 | 14,320 | 0.98 | (0.33 | ) | 1.01 | 56 | |||||||||||||||||||
| 31.77 | 17.46 | 129 | 0.98 | (0.23 | ) | 1.10 | 41 | |||||||||||||||||||
| 39.17 | 8.06 | 493,498 | 0.79 | (0.19 | ) | 0.85 | 21 | |||||||||||||||||||
| 38.90 | 15.89 | 457,513 | 0.78 | (0.11 | ) | 0.85 | 54 | |||||||||||||||||||
| 35.85 | 18.89 | 313,336 | 0.78 | (0.16 | ) | 0.85 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 39.39 | 8.10 | 2,043,649 | 0.74 | (0.14 | ) | 0.75 | 21 | |||||||||||||||||||
| 39.09 | 15.94 | 1,835,188 | 0.73 | (0.05 | ) | 0.75 | 54 | |||||||||||||||||||
| 36.00 | 18.95 | 1,365,839 | 0.73 | (0.11 | ) | 0.76 | 56 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 38.02 | $ | 0.17 | $ | 2.41 | $ | 2.58 | $ | (0.33 | ) | $ | (1.55 | ) | $ | (1.88 | ) | |||||||||||
Year Ended June 30, 2019 | 39.24 | 0.45 | 0.87 | 1.32 | (0.38 | ) | (2.16 | ) | (2.54 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.80 | 0.20 | 2.14 | 2.34 | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 36.44 | 0.07 | 2.30 | 2.37 | (0.12 | ) | (1.55 | ) | (1.67 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 37.68 | 0.26 | 0.83 | 1.09 | (0.17 | ) | (2.16 | ) | (2.33 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 36.35 | (0.02 | ) | 2.07 | 2.05 | — | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.48 | 0.22 | 2.45 | 2.67 | (0.43 | ) | (1.55 | ) | (1.98 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 39.70 | 0.54 | 0.88 | 1.42 | (0.48 | ) | (2.16 | ) | (2.64 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.24 | 0.30 | 2.16 | 2.46 | (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 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 38.99 | 0.27 | 2.48 | 2.75 | (0.52 | ) | (1.55 | ) | (2.07 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 40.21 | 0.62 | 0.90 | 1.52 | (0.58 | ) | (2.16 | ) | (2.74 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.70 | 0.40 | 2.20 | 2.60 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 36.35 | 0.11 | 2.31 | 2.42 | (0.25 | ) | (1.55 | ) | (1.80 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 37.64 | 0.31 | 0.86 | 1.17 | (0.30 | ) | (2.16 | ) | (2.46 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 36.33 | 0.10 | 2.05 | 2.15 | (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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 37.70 | 0.17 | 2.39 | 2.56 | (0.35 | ) | (1.55 | ) | (1.90 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 38.97 | 0.39 | 0.91 | 1.30 | (0.41 | ) | (2.16 | ) | (2.57 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.67 | 0.21 | 2.11 | 2.32 | (0.30 | ) | (0.72 | ) | (1.02 | ) | ||||||||||||||||||
September 9, 2016 (f) 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, 2019 (Unaudited) | 38.29 | 0.22 | 2.43 | 2.65 | (0.43 | ) | (1.55 | ) | (1.98 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 39.56 | 0.50 | 0.90 | 1.40 | (0.51 | ) | (2.16 | ) | (2.67 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.16 | 0.33 | 2.13 | 2.46 | (0.34 | ) | (0.72 | ) | (1.06 | ) | ||||||||||||||||||
September 9, 2016 (f) 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, 2019 (Unaudited) | 38.93 | 0.25 | 2.48 | 2.73 | (0.49 | ) | (1.55 | ) | (2.04 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 40.15 | 0.58 | 0.90 | 1.48 | (0.54 | ) | (2.16 | ) | (2.70 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.67 | �� | 0.38 | 2.17 | 2.55 | (0.35 | ) | (0.72 | ) | (1.07 | ) | |||||||||||||||||
September 9, 2016 (f) 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, 2019 (Unaudited) | 38.97 | 0.27 | 2.49 | 2.76 | (0.53 | ) | (1.55 | ) | (2.08 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 40.19 | 0.58 | 0.94 | 1.52 | (0.58 | ) | (2.16 | ) | (2.74 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.69 | 0.43 | 2.16 | 2.59 | (0.37 | ) | (0.72 | ) | (1.09 | ) | ||||||||||||||||||
September 9, 2016 (f) 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. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 38.72 | 6.84 | % | $ | 1,632,529 | 1.24 | % | 0.87 | % | 1.24 | % | 6 | % | |||||||||||||
| 38.02 | 4.12 | 1,662,841 | 1.23 | 1.20 | 1.25 | 11 | ||||||||||||||||||||
| 39.24 | 6.20 | 1,967,162 | 1.23 | 0.51 | 1.26 | 13 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.14 | 6.57 | 145,229 | 1.74 | 0.37 | 1.74 | 6 | ||||||||||||||||||||
| 36.44 | 3.59 | 149,839 | 1.73 | 0.72 | 1.74 | 11 | ||||||||||||||||||||
| 37.68 | 5.65 | 214,331 | 1.74 | (0.06 | ) | 1.75 | 13 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 39.17 | 7.00 | 2,704,051 | 0.98 | 1.13 | 0.99 | 6 | ||||||||||||||||||||
| 38.48 | 4.38 | 2,662,983 | 0.98 | 1.41 | 0.99 | 11 | ||||||||||||||||||||
| 39.70 | 6.44 | 2,985,882 | 0.98 | 0.77 | 1.00 | 13 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 39.67 | 7.11 | 8,756,795 | 0.75 | 1.36 | 0.84 | 6 | ||||||||||||||||||||
| 38.99 | 4.63 | 8,996,364 | 0.74 | 1.61 | 0.85 | 11 | ||||||||||||||||||||
| 40.21 | 6.73 | 11,795,588 | 0.74 | 1.00 | 0.86 | 13 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.97 | 6.71 | 74,409 | 1.49 | 0.62 | 1.50 | 6 | ||||||||||||||||||||
| 36.35 | 3.86 | 74,236 | 1.49 | 0.87 | 1.50 | 11 | ||||||||||||||||||||
| 37.64 | 5.93 | 82,108 | 1.49 | 0.26 | 1.51 | 13 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 38.36 | 6.85 | 79,886 | 1.23 | 0.89 | 1.24 | 6 | ||||||||||||||||||||
| 37.70 | 4.12 | 73,299 | 1.24 | 1.04 | 1.25 | 11 | ||||||||||||||||||||
| 38.97 | 6.17 | 62,576 | 1.24 | 0.55 | 1.25 | 13 | ||||||||||||||||||||
| 37.67 | 12.70 | 19,262 | 1.24 | 0.87 | 1.35 | 23 | ||||||||||||||||||||
| 38.96 | 6.99 | 25,663 | 0.98 | 1.14 | 0.99 | 6 | ||||||||||||||||||||
| 38.29 | 4.38 | 27,681 | 0.98 | 1.32 | 0.99 | 11 | ||||||||||||||||||||
| 39.56 | 6.45 | 17,859 | 0.99 | 0.83 | 1.00 | 13 | ||||||||||||||||||||
| 38.16 | 12.89 | 3,537 | 0.99 | 1.26 | 1.10 | 23 | ||||||||||||||||||||
| 39.62 | 7.07 | 90,977 | 0.83 | 1.27 | 0.83 | 6 | ||||||||||||||||||||
| 38.93 | 4.52 | 95,243 | 0.83 | 1.50 | 0.84 | 11 | ||||||||||||||||||||
| 40.15 | 6.61 | 84,457 | 0.84 | 0.96 | 0.85 | 13 | ||||||||||||||||||||
| 38.67 | 13.06 | 30,334 | 0.84 | 1.18 | 1.02 | 23 | ||||||||||||||||||||
| 39.65 | 7.14 | 3,633,772 | 0.73 | 1.39 | 0.73 | 6 | ||||||||||||||||||||
| 38.97 | 4.63 | 3,272,999 | 0.73 | 1.52 | 0.74 | 11 | ||||||||||||||||||||
| 40.19 | 6.71 | 1,073,888 | 0.74 | 1.08 | 0.75 | 13 | ||||||||||||||||||||
| 38.69 | 13.13 | 281,269 | 0.74 | 1.05 | 0.75 | 23 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 35.46 | $ | 0.24 | $ | 2.82 | $ | 3.06 | $ | (0.45 | ) | $ | (0.93 | ) | $ | (1.38 | ) | |||||||||||
Year Ended June 30, 2019 | 35.38 | 0.55 | 1.68 | 2.23 | (0.46 | ) | (1.69 | ) | (2.15 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.40 | 0.35 | (f) | 2.26 | 2.61 | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.29 | 0.15 | 2.80 | 2.95 | (0.26 | ) | (0.93 | ) | (1.19 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.20 | 0.38 | 1.68 | 2.06 | (0.28 | ) | (1.69 | ) | (1.97 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.20 | 0.18 | (f) | 2.24 | 2.42 | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.67 | 0.29 | 2.83 | 3.12 | (0.54 | ) | (0.93 | ) | (1.47 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.60 | 0.62 | 1.70 | 2.32 | (0.56 | ) | (1.69 | ) | (2.25 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.62 | 0.44 | (f) | 2.28 | 2.72 | (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 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.69 | 0.32 | 2.83 | 3.15 | (0.59 | ) | (0.93 | ) | (1.52 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.62 | 0.72 | 1.64 | 2.36 | (0.60 | ) | (1.69 | ) | (2.29 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.63 | 0.50 | (f) | 2.29 | 2.79 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.24 | 0.20 | 2.79 | 2.99 | (0.39 | ) | (0.93 | ) | (1.32 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.22 | 0.48 | 1.65 | 2.13 | (0.42 | ) | (1.69 | ) | (2.11 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 34.04 | 0.25 | (f) | 1.64 | 1.89 | (0.36 | ) | (0.35 | ) | (0.71 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.08 | 0.24 | 2.78 | 3.02 | (0.44 | ) | (0.93 | ) | (1.37 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.11 | 0.49 | 1.71 | 2.20 | (0.54 | ) | (1.69 | ) | (2.23 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.24 | 0.35 | (f) | 2.26 | 2.61 | (0.39 | ) | (0.35 | ) | (0.74 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.33 | 0.29 | 4.06 | 4.35 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.52 | 0.29 | 2.82 | 3.11 | (0.56 | ) | (0.93 | ) | (1.49 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.47 | 0.62 | 1.69 | 2.31 | (0.57 | ) | (1.69 | ) | (2.26 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.55 | 0.51 | (f) | 2.20 | 2.71 | (0.44 | ) | (0.35 | ) | (0.79 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.56 | 0.27 | 4.18 | 4.45 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.62 | 0.32 | 2.84 | 3.16 | (0.60 | ) | (0.93 | ) | (1.53 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.57 | 0.65 | 1.71 | 2.36 | (0.62 | ) | (1.69 | ) | (2.31 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.59 | 0.50 | (f) | 2.28 | 2.78 | (0.45 | ) | (0.35 | ) | (0.80 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.57 | 0.30 | 4.20 | 4.50 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 35.67 | 0.34 | 2.83 | 3.17 | (0.63 | ) | (0.93 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 35.60 | 0.71 | 1.70 | 2.41 | (0.65 | ) | (1.69 | ) | (2.34 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.61 | 0.54 | (f) | 2.26 | 2.80 | (0.46 | ) | (0.35 | ) | (0.81 | ) | |||||||||||||||||
September 9, 2016 (g) 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) | 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. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 37.14 | 8.67 | % | $ | 1,239,813 | 1.14 | % | 1.33 | % | 1.17 | % | 13 | % | |||||||||||||
| 35.46 | 7.00 | 1,231,325 | 1.14 | 1.59 | 1.25 | 15 | ||||||||||||||||||||
| 35.38 | 7.81 | 1,346,080 | 1.17 | 1.01 | (f) | 1.25 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.05 | 8.40 | 522,311 | 1.64 | 0.83 | 1.67 | 13 | ||||||||||||||||||||
| 35.29 | 6.45 | 522,878 | 1.64 | 1.08 | 1.75 | 15 | ||||||||||||||||||||
| 35.20 | 7.27 | 591,602 | 1.67 | 0.51 | (f) | 1.75 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.32 | 8.80 | 2,569,941 | 0.89 | 1.58 | 0.91 | 13 | ||||||||||||||||||||
| 35.67 | 7.28 | 2,445,747 | 0.89 | 1.76 | 0.99 | 15 | ||||||||||||||||||||
| 35.60 | 8.07 | 2,296,056 | 0.92 | 1.26 | (f) | 1.00 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.32 | 8.88 | 2,537,783 | 0.74 | 1.74 | 0.76 | 13 | ||||||||||||||||||||
| 35.69 | 7.41 | 2,569,596 | 0.74 | 2.04 | 0.84 | 15 | ||||||||||||||||||||
| 35.62 | 8.29 | 3,255,993 | 0.74 | 1.42 | (f) | 0.85 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.91 | 8.53 | 74 | 1.39 | 1.09 | 1.58 | 13 | ||||||||||||||||||||
| 35.24 | 6.72 | 69 | 1.39 | 1.40 | 2.14 | 15 | ||||||||||||||||||||
| 35.22 | 5.54 | 38 | 1.41 | 0.78 | (f) | 1.61 | 23 | |||||||||||||||||||
| 36.73 | 8.65 | 1,932 | 1.14 | 1.33 | 1.18 | 13 | ||||||||||||||||||||
| 35.08 | 7.00 | 2,241 | 1.14 | 1.44 | 1.26 | 15 | ||||||||||||||||||||
| 35.11 | 7.82 | 1,132 | 1.15 | 1.01 | (f) | 1.28 | 23 | |||||||||||||||||||
| 33.24 | 14.87 | 385 | 1.24 | 1.09 | 1.36 | 24 | ||||||||||||||||||||
| 37.14 | 8.81 | 29,803 | 0.89 | 1.62 | 0.91 | 13 | ||||||||||||||||||||
| 35.52 | 7.27 | 20,538 | 0.89 | 1.79 | 0.99 | 15 | ||||||||||||||||||||
| 35.47 | 8.07 | 17,231 | 0.89 | 1.43 | (f) | 1.00 | 23 | |||||||||||||||||||
| 33.55 | 15.10 | 34 | 1.00 | 1.05 | 1.08 | 24 | ||||||||||||||||||||
| 37.25 | 8.91 | 7,931 | 0.74 | 1.73 | 0.76 | 13 | ||||||||||||||||||||
| 35.62 | 7.41 | 8,018 | 0.74 | 1.85 | 0.84 | 15 | ||||||||||||||||||||
| 35.57 | 8.25 | 6,114 | 0.76 | 1.41 | (f) | 0.88 | 23 | |||||||||||||||||||
| 33.59 | 15.27 | 422 | 0.83 | 1.14 | 0.89 | 24 | ||||||||||||||||||||
| 37.28 | 8.94 | 5,037,614 | 0.64 | 1.84 | 0.66 | 13 | ||||||||||||||||||||
| 35.67 | 7.57 | 4,025,348 | 0.64 | 2.02 | 0.74 | 15 | ||||||||||||||||||||
| 35.60 | 8.31 | 3,869,991 | 0.67 | 1.52 | (f) | 0.75 | 23 | |||||||||||||||||||
| 33.61 | 15.35 | 3,069,390 | 0.74 | 1.39 | 0.75 | 24 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 | ||||||
Table of Contents
AS OF DECEMBER 31, 2019 (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”), asopen-end management investment companies.
J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), anopen-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.
J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”, and with JPM I, JPM II and JPMMFIT, collectively, the “Trusts”), anopen-end management investment company, was organized as a Maryland corporation on August 19, 1997.
The following are 5 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Growth Advantage Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPMMFIT | Diversified | |||
| JPMorgan Mid Cap Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Mid Cap Growth Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM II | Diversified | |||
| JPMorgan 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 | |||
| JPMorgan 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 |
The investment objective of JPMorgan Growth Advantage Fund (“Growth Advantage Fund”) and JPMorgan Mid Cap Equity Fund (“Mid Cap Equity Fund”) is to seek to provide long-term capital growth.
The investment objective of JPMorgan Mid Cap Growth Fund (“Mid Cap Growth Fund”) is to seek growth of capital.
The investment objective of JPMorgan Mid Cap Value Fund (“Mid Cap Value Fund”) is to seek growth from capital appreciation.
The investment objective of JPMorgan Value Advantage Fund (“Value Advantage Fund”) is to seek to provide long-term total return from a combination of income and capital gains.
Class L Shares of the Mid Cap Value Fund and the Value Advantage Fund are publicly offered only on a limited basis. Investors are not eligible to purchase Class L Shares of these Funds unless they meet certain requirements as described in the Funds’ prospectuses.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), 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 their market value 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 Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards 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 Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring
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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 Boards.
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/or 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 Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but 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 | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 9,600,447 | $ | — | $ | — | $ | 9,600,447 | ||||||||
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| Mid Cap Equity Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 1,729,489 | $ | — | $ | — | $ | 1,729,489 | ||||||||
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| Mid Cap Growth Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 5,054,896 | $ | — | $ | — | $ | 5,054,896 | ||||||||
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| Mid Cap Value Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 17,318,273 | $ | — | $ | — | $ | 17,318,273 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Value Advantage Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(b) | $ | 12,132,675 | $ | — | $ | — | (c) | $ | 12,132,675 | |||||||
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| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOI. Level 3 consists of rights. Please refer to the SOI for industry specifics of portfolio holdings. |
| (c) | Amount rounds to less than one thousand. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
B. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).
| Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Growth Advantage Fund | $ | 179,510 | $ | (179,510 | ) | $ | — | |||||
Mid Cap Equity Fund | 9,779 | (9,779 | ) | — | ||||||||
Mid Cap Growth Fund | 147,700 | (147,700 | ) | — | ||||||||
Mid Cap Value Fund | 193,021 | (193,021 | ) | — | ||||||||
Value Advantage Fund | 185,815 | (185,815 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
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JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Growth Advantage Fund | $ | 15 | ||
Mid Cap Equity Fund | 6 | |||
Mid Cap Growth Fund | 15 | |||
Mid Cap Value Fund | 25 | |||
Value Advantage Fund | 17 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
C. 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 tables below. Amounts in the tables below are in thousands.
Growth Advantage Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 214,350 | $ | 1,343,220 | $ | 1,417,563 | $ | 4 | $ | (20 | ) | $ | 139,991 | 139,949 | $ | 2,349 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 157,046 | 479,000 | 472,000 | (1 | )* | (14 | ) | 164,031 | 164,015 | 1,744 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 36,180 | 389,503 | 407,254 | — | — | 18,429 | 18,429 | 311 | * | — | ||||||||||||||||||||||||||
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Total | $ | 407,576 | $ | 2,211,723 | $ | 2,296,817 | $ | 3 | $ | (34 | ) | $ | 322,451 | $ | 4,404 | $ | — | |||||||||||||||||||
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Mid Cap Equity Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 97,782 | $ | 390,364 | $ | 444,100 | $ | 8 | $ | (9 | ) | $ | 44,045 | 44,031 | $ | 843 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 69,023 | 100,000 | 166,001 | (7 | )* | (5 | ) | 3,010 | 3,010 | 391 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 15,260 | 121,385 | 129,700 | — | — | 6,945 | 6,945 | 117 | * | — | ||||||||||||||||||||||||||
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Total | $ | 182,065 | $ | 611,749 | $ | 739,801 | $ | 1 | $ | (14 | ) | $ | 54,000 | $ | 1,351 | $ | — | |||||||||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Mid Cap Growth Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 113,766 | $ | 613,156 | $ | 670,500 | $ | 7 | $ | (12 | ) | $ | 56,417 | 56,400 | $ | 1,375 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 168,065 | 490,000 | 525,000 | (11 | )* | (15 | ) | 133,039 | 133,026 | 1,715 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 30,123 | 441,888 | 454,767 | — | — | 17,244 | 17,244 | 313 | * | — | ||||||||||||||||||||||||||
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Total | $ | 311,954 | $ | 1,545,044 | $ | 1,650,267 | $ | (4 | ) | $ | (27 | ) | $ | 206,700 | $ | 3,403 | $ | — | ||||||||||||||||||
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Mid Cap Value Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 715,289 | $ | 822,627 | $ | 1,284,956 | $ | 44 | $ | (69 | ) | $ | 252,935 | 252,859 | $ | 5,470 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 296,060 | 817,000 | 939,000 | 2 | * | (25 | ) | 174,037 | 174,019 | 3,202 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 58,776 | 594,514 | 631,357 | — | — | 21,933 | 21,933 | 516 | * | — | ||||||||||||||||||||||||||
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Total | $ | 1,070,125 | $ | 2,234,141 | $ | 2,855,313 | $ | 46 | $ | (94 | ) | $ | 448,905 | $ | 9,188 | $ | — | |||||||||||||||||||
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Value Advantage Fund
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| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 181,870 | $ | 1,514,215 | $ | 1,373,659 | $ | (18 | ) | $ | (16 | ) | $ | 322,392 | 322,295 | $ | 3,151 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 215,041 | 495,999 | 554,000 | (9 | )* | (13 | ) | 157,018 | 157,003 | 2,051 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 42,795 | 466,658 | 477,570 | — | — | 31,883 | 31,883 | 367 | * | — | ||||||||||||||||||||||||||
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Total | $ | 439,706 | $ | 2,476,872 | $ | 2,405,229 | $ | (27 | ) | $ | (29 | ) | $ | 511,293 | $ | 5,569 | $ | — | ||||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of December 31, 2019. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
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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 theex-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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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 | $ | 73 | $ | 31 | $ | 23 | n/a | $ | — | (a) | $ | — | (a) | $ | — | (a) | $ | 2 | $ | 26 | $ | 155 | ||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 16 | 1 | 4 | n/a | — | (a) | n/a | n/a | — | (a) | 10 | 31 | ||||||||||||||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 165 | 4 | 16 | n/a | 14 | 1 | — | (a) | 3 | 35 | 238 | |||||||||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 62 | 5 | 21 | $ | 329 | 4 | — | (a) | — | (a) | — | (a) | 17 | 438 | ||||||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 48 | 25 | 19 | 22 | — | (a) | — | (a) | — | (a) | — | (a) | 19 | 133 | ||||||||||||||||||||||||||
| (a) | Amount rounds to less than one thousand. |
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 (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, 2019, no liability for Federal 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, if any, 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, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 | 0.55 | %(1) | ||
Mid Cap Equity Fund | 0.65 | |||
Mid Cap Growth Fund | 0.65 | |||
Mid Cap Value Fund | 0.65 | |||
Value Advantage Fund | 0.55 | (1) |
| (1) | Prior to August 1, 2019, the investment advisory fee was accrued daily and paid monthly at an annual rate of 0.65% on each Fund’s respective average daily net assets. |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate for Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund was 0.08%, 0.08%, 0.08%, 0.07% and 0.07%, respectively, 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 asSub-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 Funds’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 | ||||||||||||
Value Advantage Fund | 0.25 | 0.75 | 0.50 | 0.25 | ||||||||||||
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 199 | $ | 4 | ||||
Mid Cap Equity Fund | 62 | — | ||||||
Mid Cap Growth Fund | 49 | — | (a) | |||||
Mid Cap Value Fund | 34 | — | (a) | |||||
Value Advantage Fund | 71 | — | (a) | |||||
| (a) | Amount rounds to less than one thousand. |
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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 | |||||||||||||||||||||||
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. Pursuant to such contracts, 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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
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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, expenses related to trustee elections 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 | % | n/a | (1) | n/a | (1) | n/a | (1) | |||||||||||||||||||
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 | n/a | (2) | 0.93 | n/a | 1.49 | n/a | (2) | 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 | 0.73 | ||||||||||||||||||||||||||
Value Advantage Fund | 1.14 | 1.64 | 0.89 | 0.75 | 1.39 | 1.14 | 0.89 | 0.74 | 0.64 | |||||||||||||||||||||||||||
| (1) | Effective November 1, 2019, the contractual expense limitation for Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.89%, 0.74% and 0.64% for Class R4, Class R5 and Class R6 Shares, respectively. |
| (2) | Effective November 1, 2019, the contractual expense limitation for Class C and Class R3 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.74% and 1.24% for Class C and Class R3 Shares, respectively. |
The expense limitation agreements were in effect for the six months ended December 31, 2019 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2020.
For the six months ended December 31, 2019, 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/or reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | ||||||||||||||||
Growth Advantage Fund | $ | 521 | $ | 348 | $ | 116 | $ | 985 | $ | 7 | ||||||||||
Mid Cap Equity Fund | 776 | 518 | 15 | 1,309 | — | (a) | ||||||||||||||
Mid Cap Growth Fund | 67 | 42 | 612 | 721 | 13 | |||||||||||||||
Mid Cap Value Fund | 86 | 51 | 3,835 | 3,972 | 13 | |||||||||||||||
Value Advantage Fund | 565 | 376 | 77 | 1,018 | 14 | |||||||||||||||
| (a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):
Growth Advantage Fund | $ | 165 | ||
Mid Cap Equity Fund | 62 | |||
Mid Cap Growth Fund | 102 | |||
Mid Cap Value Fund | 397 | |||
Value Advantage Fund | 197 |
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 Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
During the six months ended December 31, 2019, 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 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, 2019, purchases and sales of investments (excluding short-term investments and transfersin-kind) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Growth Advantage Fund | $ | 1,369,139 | $ | 2,232,388 | ||||
Mid Cap Equity Fund | 382,865 | 350,687 | ||||||
Mid Cap Growth Fund | 954,816 | 935,310 | ||||||
Mid Cap Value Fund | 1,010,873 | 1,425,477 | ||||||
Value Advantage Fund | 1,546,128 | 1,438,927 | ||||||
During the six months ended December 31, 2019, 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, 2019 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 5,591,163 | $ | 4,071,736 | $ | 62,452 | $ | 4,009,284 | ||||||||
Mid Cap Equity Fund | 1,037,717 | 707,050 | 15,278 | 691,772 | ||||||||||||
Mid Cap Growth Fund | 3,569,209 | 1,536,564 | 50,877 | 1,485,687 | ||||||||||||
Mid Cap Value Fund | 10,442,705 | 7,141,032 | 265,464 | 6,875,568 | ||||||||||||
Value Advantage Fund | 8,410,214 | 3,921,581 | 199,120 | 3,722,461 | ||||||||||||
Late year ordinary losses incurred after December 31 as well as net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2019, the following Funds deferred to July 1, 2019 late year ordinary losses and post-October capital losses of (amounts in thousands):
| Net Capital Losses | Late Year Ordinary Loss Deferral | |||||||||||
| Short-Term | Long-Term | |||||||||||
Growth Advantage Fund | $ | 32,062 | $ | — | $ | 150 | ||||||
Mid Cap Equity Fund | 1,839 | — | — | |||||||||
Mid Cap Growth Fund | 23,877 | — | 3,796 | |||||||||
Mid Cap Value Fund | 15,200 | — | — | |||||||||
Value Advantage Fund | 5,503 | — | — | |||||||||
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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.
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 2, 2020.
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The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have 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 London InterBank Offered Rate (“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 13, 2019, 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, 2019.
7. Redemptionsin-Kind
On October 14, 2019, certain shareholders sold Class R6 Shares of Mid Cap Equity Fund. The portfolio securities were delivered primarily by means of a redemptionin-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below (amounts in thousands):
| Value | Realized Gains (Losses) | Type | ||||||||||
Mid Cap Equity Fund | $ | 1,200,715 | * | $ | 234,072 | Redemption in-kind | ||||||
| * | This amount includes cash of approximately $42,541,000 associated with the redemptionin-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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| Number of individual shareholder and/or Affiliated Omnibus Accounts | % of the Fund | Number of individual shareholder and/orNon-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Growth Advantage Fund | 1 | 12.8 | % | 1 | 19.0 | % | ||||||||||
Mid Cap Equity Fund | 1 | 10.2 | 1 | 50.2 | ||||||||||||
Mid Cap Growth Fund | — | — | 1 | 17.1 | ||||||||||||
Mid Cap Value Fund | — | — | 2 | 33.5 | ||||||||||||
Value Advantage Fund | — | — | 3 | 32.8 | ||||||||||||
As of December 31, 2019, 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 | ||||
Growth Advantage Fund | 19.9 | % | ||
Value Advantage Fund | 23.6 | |||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be
| DECEMBER 31, 2019 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 63 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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 July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
JPMorgan Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,103.10 | $ | 6.03 | 1.14 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,100.40 | 8.66 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.89 | 8.31 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,104.50 | 4.71 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,101.30 | 7.34 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.05 | 1.39 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,103.00 | 6.03 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,104.60 | 4.71 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,105.50 | 3.92 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,106.10 | 3.39 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 3.25 | 0.64 | ||||||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
JPMorgan Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.10 | $ | 5.94 | 1.14 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,070.50 | 8.54 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.89 | 8.31 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,074.60 | 4.64 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,071.80 | 7.24 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.05 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,075.40 | 3.86 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,075.80 | 3.34 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 3.25 | 0.64 | ||||||||||||
JPMorgan Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,077.80 | 6.48 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,075.50 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,079.60 | 4.86 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.46 | 4.72 | 0.93 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,076.40 | 7.78 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,078.00 | 6.48 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,079.20 | 5.17 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.03 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,080.60 | 4.13 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 4.01 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,081.00 | 3.87 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
JPMorgan Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,068.40 | 6.45 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.29 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,065.70 | 9.03 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.39 | 8.82 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,070.00 | 5.10 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.21 | 4.98 | 0.98 | ||||||||||||
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Beginning July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
JPMorgan Mid Cap Value Fund (continued) | ||||||||||||||||
Class L | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.10 | $ | 3.90 | 0.75 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,067.10 | 7.74 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,068.50 | 6.40 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.95 | 6.24 | 1.23 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,069.90 | 5.10 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.21 | 4.98 | 0.98 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,070.70 | 4.32 | 0.83 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.96 | 4.22 | 0.83 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,071.40 | 3.80 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.71 | 0.73 | ||||||||||||
JPMorgan Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,086.70 | 5.98 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,084.00 | 8.59 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.89 | 8.31 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,088.00 | 4.67 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,088.80 | 3.89 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,085.30 | 7.29 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.05 | 1.39 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,086.50 | 5.98 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,088.10 | 4.67 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,089.10 | 3.89 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,089.40 | 3.36 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 3.25 | 0.64 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund 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 14, 2019.
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 as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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 theday-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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
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designed to improve investment results and the services provided to each 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 each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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 Rule12b-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.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of
products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.
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 the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
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 and Mid 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.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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 fundssub-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 asub-adviser and observed thatsub-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 thesub-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 applicableone-,three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to
consider what steps might be taken to improve performance, as applicable. 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 and Class I shares was in the fourth, second and second quintiles based upon the Peer Group, and in the second, second and first quintiles based upon the Universe, for theone-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth and second quintiles based upon the Peer Group for theone- and three-year periods ended December 31, 2018, and in the second, first and first quintiles based upon the Universe for theone-, three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the Mid Cap Equity Fund’s performance for Class A shares was in the fourth, third and second quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for theone-,three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fourth and third quintiles based upon both the Peer Group and Universe, for theone-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth quintile based upon the Peer Group for both theone- and three-year periods ended December 31, 2018, and in the third and fourth quintiles based upon the Universe for theone- and three-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the Mid Cap Growth Fund’s performance for Class A shares was in the fifth quintile based upon the Peer Group, and in the fourth quintile based upon the Universe, for each of theone-,three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class I shares was in the fifth, fourth and fourth quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for theone-,three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in
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the fourth quintile based upon the Peer Group for each ofone-,three- and five-year periods ended December 31, 2018, and in the fourth, fourth and third quintiles based upon the Universe for theone-,three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the Mid Cap Value Fund’s performance for Class A shares was in the second, second and first quintiles based upon the Peer Group, and in the fourth, fourth and second quintiles based upon the Universe, for theone-,three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, second and first quintiles based upon the Peer Group, and in the third, fourth and second quintiles based upon the Universe, for theone-,three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon both the Peer Group and Universe for theone-year period ended December 31, 2018. 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 under the circumstances. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled 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 third, second and second quintiles based upon the Peer Group, and in the second, third and second quintiles based upon the Universe, for theone-,three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group, and in the second quintile based upon the Universe, for each of theone-,three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, for theone-year period ended December 31, 2018. 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 and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group ranking were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, the Trustees noted the reduction to the Growth Advantage Fund’s and Value Advantage Fund’s contractual advisory fee effective August 1, 2019. 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 for Class A shares was in the fourth and second 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 third 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 noted that the net advisory fee for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the third and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, including a reduction to the contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Mid Cap Equity 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
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
the actual total expenses for Class A shares were in the third quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the third quintile based upon both the Peer Group and Universe, and actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile based upon both the Peer Group and Universe, and actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was 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 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 quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was 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 second and third quintiles
based upon the Peer Group and Universe, respectively, and 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 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 third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was 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 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 third and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third 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 noted that the net advisory fee for Class R6 shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December 2019. | SAN-MC-1219 |
Table of Contents
Semi-Annual Report
J.P. Morgan Large Cap Funds
December 31, 2019 (Unaudited)
JPMorgan Equity Focus Fund
JPMorgan Equity Income Fund
JPMorgan Equity Premium 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. Large Cap Core Plus Fund
JPMorgan U.S. Research Enhanced Equity Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
Table of Contents
| Letter to Shareholders | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 10 | ||||
| 12 | ||||
| 14 | ||||
| 16 | ||||
| 18 | ||||
| 20 | ||||
| 23 | ||||
| Schedules of Portfolio Investments | 25 | |||
| Financial Statements | 58 | |||
| Financial Highlights | 84 | |||
| Notes to Financial Statements | 104 | |||
| Schedule of Shareholder Expenses | 121 | |||
| Board Approval of Investment Advisory Agreements | 126 | |||
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.
Table of Contents
February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Large Cap Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Bloomberg Barclays U.S. Aggregate Index returned 2.5%.
| 2 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 9.45% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 103,232 | ||
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 underperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the real estate and financials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials and health care sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Loews Corp., Public Storage and Pfizer Inc. Shares of Loews, a holding company operating in the energy, hotels and investment businesses, fell after the company reported a decline in third quarter 2019 earnings that was wider than expected. Shares of Public Storage, a real estate investment trust, fell after the company reported a decline in earnings for the second quarter of 2019 and lower-than-expected revenue for the third quarter of 2019. Shares of Pfizer, a pharmaceuticals and consumer health care products manufacturer, fell after the company announced an agreement to merge its Upjohn business with Mylan Inc. and reported lower-than-expected revenue for the second quarter of 2019.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in DexCom Inc. and its overweight positions in Martin Marietta Materials Inc. and UnitedHealth Group Inc. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Martin Marietta Materials, a provider of crushed stone, sand and gravel, rose after the company reported revenue growth for the second quarter of 2019 and raised its forecast for the full year 2019. Shares of UnitedHealth Group, a health insurance provider, rose on continued earnings growth and better-than-expected earnings for the third quarter of 2019.
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 positions were in the information technology and financials sectors and the Fund’s smallest positions were in the consumer staples and utilities sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 6.9 | % | |||||
| 2. | Apple, Inc. | 4.1 | ||||||
| 3. | Loews Corp. | 4.1 | ||||||
| 4. | UnitedHealth Group, Inc. | 4.0 | ||||||
| 5. | Alphabet, Inc., Class C | 3.9 | ||||||
| 6. | Capital One Financial Corp. | 3.9 | ||||||
| 7. | Bank of America Corp. | 3.5 | ||||||
| 8. | Mastercard, Inc., Class A | 3.4 | ||||||
| 9. | Delta Air Lines, Inc. | 3.3 | ||||||
| 10. | Amazon.com, Inc. | 3.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 20.7 | % | ||
| Financials | 20.5 | |||
| Consumer Discretionary | 11.2 | |||
| Health Care | 10.9 | |||
| Communication Services | 9.2 | |||
| Materials | 6.4 | |||
| Industrials | 5.7 | |||
| Energy | 5.4 | |||
| Real Estate | 5.3 | |||
| Utilities | 2.7 | |||
| Consumer Staples | 1.1 | |||
| Short-Term Investments | 0.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | July 29, 2011 | |||||||||||||||||
With Sales Charge** | 3.56 | % | 22.50 | % | 10.18 | % | 12.53 | % | ||||||||||
Without Sales Charge | 9.30 | 29.28 | 11.38 | 13.25 | ||||||||||||||
CLASS C SHARES | July 29, 2011 | |||||||||||||||||
With CDSC*** | 8.00 | 27.59 | 10.83 | 12.68 | ||||||||||||||
Without CDSC | 9.00 | 28.59 | 10.83 | 12.68 | ||||||||||||||
CLASS I SHARES | July 29, 2011 | 9.45 | 29.61 | 11.67 | 13.54 | |||||||||||||
CLASS R6 SHARES | October 1, 2018 | 9.55 | 29.93 | 11.73 | 13.58 | |||||||||||||
| * | Not annualized. |
| ** | 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 12/31/19)
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.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of 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 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, 2019. 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.
| 4 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 9.29% | |||
| Russell 1000 Value Index | 8.86% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 31,512,722 | ||
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, 2019. The Fund’s security selection in the health care sector and its overweight position in the information technology sector were leading contributors 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 Bristol-Myers Squibb Co., Apple Inc. and Microsoft Corp. Shares of Bristol-Myers Squibb, a drug manufacturer, rose following the company’s acquisition of Celgene Corp. and after the company raised its dividend in December 2019. Shares of Apple and Microsoft, both of which are information technology companies that were not held in the Benchmark, rose amid general investor demand for large cap technology stocks during the reporting period.
Leading individual detractors from relative performance included the Fund’s underweight positions in JPMorgan Chase & Co., Intel Corp. and AT&T Inc., none of which were held by the Fund. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in shares of other large banks. Shares of Intel, a semiconductor manufacturer, rose amid a rally in stocks of semiconductor manufacturers. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs and to repurchase 100 million of its shares.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at attractive valuations have the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Bank of America Corp. | 3.3 | % | |||||
| 2. | Chevron Corp. | 2.9 | ||||||
| 3. | PNC Financial Services Group, Inc. (The) | 2.4 | ||||||
| 4. | Bristol-Myers Squibb Co. | 2.3 | ||||||
| 5. | CME Group, Inc. | 2.3 | ||||||
| 6. | ConocoPhillips | 2.2 | ||||||
| 7. | BlackRock, Inc. | 2.1 | ||||||
| 8. | Johnson & Johnson | 2.1 | ||||||
| 9. | Comcast Corp., Class A | 1.9 | ||||||
| 10. | Microsoft Corp. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 25.3 | % | ||
| Health Care | 13.4 | |||
| Industrials | 10.7 | |||
| Information Technology | 9.5 | |||
| Consumer Staples | 8.5 | |||
| Energy | 7.0 | |||
| Consumer Discretionary | 6.9 | |||
| Utilities | 5.3 | |||
| Materials | 3.8 | |||
| Communication Services | 3.6 | |||
| Real Estate | 3.4 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||||||
With Sales Charge** | 3.41 | % | 19.46 | % | 8.30 | % | 12.30 | % | ||||||||||
Without Sales Charge | 9.15 | 26.05 | 9.47 | 12.91 | ||||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||||
With CDSC*** | 7.84 | 24.34 | 8.92 | 12.35 | ||||||||||||||
Without CDSC | 8.84 | 25.34 | 8.92 | 12.35 | ||||||||||||||
CLASS I SHARES | July 2, 1987 | 9.29 | 26.29 | 9.73 | 13.21 | |||||||||||||
CLASS R2 SHARES | February 28, 2011 | 9.00 | 25.67 | 9.18 | 12.65 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 9.17 | 26.02 | 9.47 | 12.91 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 9.30 | 26.31 | 9.73 | 13.21 | |||||||||||||
CLASS R5 SHARES | February 28, 2011 | 9.36 | 26.52 | 9.94 | 13.40 | |||||||||||||
CLASS R6 SHARES | January 31, 2012 | 9.43 | 26.60 | 10.04 | 13.45 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 Shares 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 Shares 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, 2009 to December 31, 2019.
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 lowerprice-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. 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 LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Equity Premium Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 6.11% | |||
| S&P 500 Index | 10.92% | |||
| ICE BofAML 3-Month U.S. Treasury Bill Index | 1.03% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 114,917 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Premium Income Fund (the “Fund”) seeks current income while maintaining prospects for capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) and outperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the six months ended December 31, 2019. The Fund’s underweight position and security selection in the information technology sector and its security selection in the financials sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the energy and materials sectors was a leading contributor to relative performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight positions in Apple Inc. and JPMorgan Chase & Co. and its overweight position in Yum Brands Inc. Shares of Apple, a maker of mobile and desktop devices and computers not held in the Fund, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid
broader gains in stocks of large banks during the reporting period. Shares of Yum Brands, an operator of fast food restaurant chains, fell after the company reported lower-than-expected earnings and sales growth for the third quarter of 2019.
Leading individual contributors to the Fund’s performance included its underweight positions in Cisco Systems Inc., Netflix Inc. and Amazon.com Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Netflix, a subscription entertainment provider not held in the Fund, fell amid increased competition and weakening subscriber numbers. Shares of Amazon, an online shopping service, fell after the U.S. Department of Defense awarded a $10 billion contract for cloud computing services to Microsoft Corp.
HOW WAS THE FUND POSITIONED?
The Fund seeks to generate income through a combination of selling options and investing in large cap stocks and delivering monthly income from associated option premiums and stock dividends. The Fund’s portfolio managers employed a proprietary research process designed to identify what they believed were overvalued and undervalued stocks with attractive risk/return characteristics.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Premium Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Credit Suisse AG, ELN, 36.10%, 1/31/2020, (linked to S&P 500 Index) | 3.4 | % | |||||
| 2. | Wells Fargo Bank, ELN, 42.50%, 2/7/2020, (linked to S&P 500 Index) | 3.1 | ||||||
| 3. | UBS AG, ELN, 32.60%, 1/24/2020, (linked to S&P 500 Index) | 3.1 | ||||||
| 4. | HSBC Bank USA, NA, ELN, 38.99%, 1/17/2020, (linked to S&P 500 Index) | 3.0 | ||||||
| 5. | GS Finance Corp., ELN, 45.79, 1/10/2020, (linked to S&P 500 Index) | 2.8 | ||||||
| 6. | iShares Edge MSCI Min Vol USA ETF | 1.5 | ||||||
| 7. | Microsoft Corp. | 1.4 | ||||||
| 8. | UnitedHealth Group, Inc. | 1.4 | ||||||
| 9. | Eli Lilly & Co. | 1.4 | ||||||
| 10. | Accenture plc, Class A | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Industrials | 12.9 | % | ||
| Convertible Bonds | 12.7 | |||
| Financials | 11.7 | |||
| Information Technology | 9.7 | |||
| Consumer Staples | 9.6 | |||
| Health Care | 9.6 | |||
| Utilities | 9.6 | |||
| Consumer Discretionary | 7.3 | |||
| Communication Services | 4.4 | |||
| Real Estate | 3.9 | |||
| Energy | 2.3 | |||
| Materials | 2.2 | |||
| Exchange-Traded Funds | 1.5 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| 8 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | August 31, 2018 | |||||||||||||
With Sales Charge** | 0.36 | % | 14.52 | % | 4.78 | % | ||||||||
Without Sales Charge | 5.94 | 20.84 | 9.09 | |||||||||||
CLASS C SHARES | August 31, 2018 | |||||||||||||
With CDSC*** | 4.66 | 19.14 | 8.49 | |||||||||||
Without CDSC | 5.66 | 20.14 | 8.49 | |||||||||||
CLASS I SHARES | August 31, 2018 | 6.11 | 21.08 | 9.32 | ||||||||||
CLASS R5 SHARES | August 31, 2018 | 6.12 | 21.18 | 9.43 | ||||||||||
CLASS R6 SHARES | August 31, 2018 | 6.24 | 21.38 | 9.59 | ||||||||||
| * | Not annualized. |
| ** | 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(8/31/18 to 12/31/19)
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 August 31, 2018.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Premium Income Fund, the S&P 500 Index and the ICE BofAML 3-Month U.S. Treasury Bill Index from August 31, 2018 to December 31, 2019. 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 ICE BofAML 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. 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 ICE BofAML
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 ICE BofAML 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.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through April 7, 2019, 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.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 11.02% | |||
| Russell 1000 Value Index | 8.86% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 776,413 | ||
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, 2019. The Fund’s security selection in the health care sector and its security selection and overweight position in the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples and real estate sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in Apple Inc. and Microsoft Corp. and its overweight position in Bristol-Myers Squibb Co. Shares of Apple and Microsoft, both of which are information technology companies that were not held in the Benchmark, rose amid broad investor demand for large cap technology stocks during the reporting period. Shares of Bristol-Myers Squibb, a drug manufacturer, rose following the company’s acquisition of Celgene Corp. and after the company raised its dividend in December 2019.
Leading individual detractors from relative performance included JPMorgan Chase & Co., Intel Corp. and AT&T Inc., none of which were held by the Fund. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broader gains in shares of large banks. Shares of Intel, a semiconductor manufacturer, rose amid a rally in stocks of semiconductor manufacturers. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs and repurchase 100 million of its shares.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Bank of America Corp. | 3.5 | % | |||||
| 2. | Microsoft Corp. | 2.8 | ||||||
| 3. | Morgan Stanley | 2.4 | ||||||
| 4. | Bristol-Myers Squibb Co. | 2.3 | ||||||
| 5. | Berkshire Hathaway, Inc., Class B | 2.3 | ||||||
| 6. | Truist Financial Corp. | 2.3 | ||||||
| 7. | Chevron Corp. | 2.2 | ||||||
| 8. | BlackRock, Inc. | 2.0 | ||||||
| 9. | Apple, Inc. | 2.0 | ||||||
| 10. | United Technologies Corp. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 28.8 | % | ||
| Health Care | 14.2 | |||
| Information Technology | 10.2 | |||
| Industrials | 10.1 | |||
| Energy | 7.8 | |||
| Consumer Discretionary | 7.1 | |||
| Consumer Staples | 5.6 | |||
| Utilities | 4.3 | |||
| Communication Services | 3.9 | |||
| Real Estate | 3.1 | |||
| Materials | 3.0 | |||
| Short-Term Investments | 1.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| 10 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | September 23, 1987 | |||||||||||||||||
With Sales Charge** | 5.19 | % | 21.09 | % | 7.93 | % | 11.93 | % | ||||||||||
Without Sales Charge | �� | 11.02 | 27.81 | 9.10 | 12.54 | |||||||||||||
CLASS C SHARES | January 2, 1998 | |||||||||||||||||
With CDSC*** | 9.74 | 26.22 | 8.56 | 11.98 | ||||||||||||||
Without CDSC | 10.74 | 27.22 | 8.56 | 11.98 | ||||||||||||||
CLASS I SHARES | January 25, 1996 | 11.17 | 28.16 | 9.37 | 12.83 | |||||||||||||
CLASS R2 SHARES | November 2, 2015 | 10.89 | 27.51 | 8.88 | 12.42 | |||||||||||||
CLASS R3 SHARES | July 31, 2017 | 11.02 | 27.82 | 9.11 | 12.54 | |||||||||||||
CLASS R4 SHARES | July 31, 2017 | 11.15 | 28.15 | 9.37 | 12.83 | |||||||||||||
CLASS R5 SHARES | November 2, 2015 | 11.24 | 28.35 | 9.53 | 12.91 | |||||||||||||
CLASS R6 SHARES | November 2, 2015 | 11.31 | 28.48 | 9.60 | 12.95 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 LipperLarge-Cap Core Funds
Index from December 31, 2009 to December 31, 2019. 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 LipperLarge-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 LipperLarge-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. 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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 5.42% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 6,707,148 | ||
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 S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. 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 50% of the Benchmark’s total return with about 60% of the Benchmark’s volatility during the six month reporting period.
The Fund’s security selection in the financials and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and pharmaceutical/medical technology sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included JPMorgan Chase & Co. and the Fund’s overweight positions in Automatic Data Processing Co. and Expedia Inc. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broader gains in shares of large banks during the reporting period. Shares of Automatic Data Processing, a provider of payroll and other business services, fell after the company reporter lower-than-expected revenue for its fiscal first quarter. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019.
Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc. and Oracle Corp. and its overweight position in Zimmer Biomet Holdings Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Zimmer Biomet Holdings, a medical devices manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.
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. | Microsoft Corp. | 5.2 | % | |||||
| 2. | Apple, Inc. | 4.9 | ||||||
| 3. | Amazon.com, Inc. | 3.2 | ||||||
| 4. | Mastercard, Inc., Class A | 1.9 | ||||||
| 5. | Alphabet, Inc., Class A | 1.8 | ||||||
| 6. | Alphabet, Inc., Class C | 1.6 | ||||||
| 7. | Berkshire Hathaway, Inc., Class B | 1.6 | ||||||
| 8. | Comcast Corp., Class A | 1.5 | ||||||
| 9. | UnitedHealth Group, Inc. | 1.4 | ||||||
| 10. | Citigroup, Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 22.7 | % | ||
| Health Care | 13.7 | |||
| Financials | 12.2 | |||
| Consumer Discretionary | 10.8 | |||
| Communication Services | 10.2 | |||
| Industrials | 8.8 | |||
| Consumer Staples | 5.5 | |||
| Energy | 4.1 | |||
| Utilities | 3.2 | |||
| Materials | 2.5 | |||
| Real Estate | 2.1 | |||
| Put Options Purchased | 1.2 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| 12 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | December 13, 2013 | |||||||||||||||||
With Sales Charge** | (0.20 | )% | 7.09 | % | 5.09 | % | 6.04 | % | ||||||||||
Without Sales Charge | 5.32 | 13.02 | 6.23 | 6.99 | ||||||||||||||
CLASS C SHARES | December 13, 2013 | |||||||||||||||||
With CDSC*** | 3.99 | 11.47 | 5.69 | 6.45 | ||||||||||||||
Without CDSC | 4.99 | 12.47 | 5.69 | 6.45 | ||||||||||||||
CLASS I SHARES | December 13, 2013 | 5.42 | 13.31 | 6.49 | 7.25 | |||||||||||||
CLASS R5 SHARES | December 13, 2013 | 5.48 | 13.45 | 6.68 | 7.45 | |||||||||||||
CLASS R6 SHARES | December 13, 2013 | 5.58 | 13.60 | 6.75 | 7.51 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/13/13 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 ICE BofAML 3-Month U.S. Treasury Bill Index and the Lipper Alternative Long/Short Equity Funds Average from December 13, 2013 to December 31, 2019. 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 ICE BofAML 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 ICE BofAML 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 ICE BofAML 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.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class I Shares)* | 8.33% | |||
| Russell 1000 Growth Index | 12.27% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 17,625,014 | ||
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, 2019. The Fund’s security selection in the technology 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 consumer discretionary sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in MercadoLibre Inc. and Exact Sciences Corp. Shares of Apple, a maker of mobile anddesk-top devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of MercadoLibre, an online commerce platform operator not held in the Benchmark, fell after the company reported a loss for the third quarter of 2019. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019.
Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc., Tesla Inc. and DexCom Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Telsa, a maker of electric cars and electricity storage technologies, rose amid increases in production and deliveries of automobiles. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized abottom-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. | Microsoft Corp. | 6.4 | % | |||||
| 2. | Alphabet, Inc., Class C | 5.3 | ||||||
| 3. | Apple, Inc. | 3.6 | ||||||
| 4. | Amazon.com, Inc. | 3.5 | ||||||
| 5. | Mastercard, Inc., Class A | 3.5 | ||||||
| 6. | Tesla, Inc. | 2.6 | ||||||
| 7. | Texas Instruments, Inc. | 2.2 | ||||||
| 8. | Advanced Micro Devices, Inc. | 2.2 | ||||||
| 9. | MercadoLibre, Inc. (Argentina) | 2.0 | ||||||
| 10. | PayPal Holdings, Inc. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 30.6 | % | ||
Consumer Discretionary | 19.1 | |||
Health Care | 12.6 | |||
Industrials | 9.8 | |||
Communication Services | 9.8 | |||
Financials | 6.3 | |||
Consumer Staples | 2.9 | |||
Materials | 2.6 | |||
Real Estate | 0.8 | |||
Short-Term Investments | 5.5 | |||
| * | 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, 2019. The Fund’s portfolio composition is subject to change. |
| 14 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 22, 1994 | |||||||||||||||||
With Sales Charge** | 2.53 | % | 31.44 | % | 13.75 | % | 14.65 | % | ||||||||||
Without Sales Charge | 8.21 | 38.73 | 14.98 | 15.27 | ||||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||||
With CDSC*** | 6.90 | 36.99 | 14.40 | 14.69 | ||||||||||||||
Without CDSC | 7.90 | 37.99 | 14.40 | 14.69 | ||||||||||||||
CLASS I SHARES | February 28, 1992 | 8.33 | 39.04 | 15.20 | 15.49 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 8.08 | 38.39 | 14.68 | 14.99 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 8.21 | 38.73 | 14.93 | 15.26 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 8.35 | 39.08 | 15.20 | 15.49 | |||||||||||||
CLASS R5 SHARES | April 14, 2009 | 8.40 | 39.24 | 15.40 | 15.71 | |||||||||||||
CLASS R6 SHARES | November 30, 2010 | 8.47 | 39.39 | 15.52 | 15.80 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 and Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares had similar expenses to Class I 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 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 LipperLarge-Cap Growth Funds Index from December 31, 2009 to December 31, 2019. 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 LipperLarge-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 higherprice-to-book ratios and higher forecasted growth values. The LipperLarge-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. 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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
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FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class I Shares)* | 10.79% | |||
| Russell 1000 Value Index | 8.86% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 1,618,179 | ||
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, 2019. The Fund’s security selection in the consumer stable and basic materials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the real estate investment trusts sector and its security selection and underweight position in the semiconductors & hardware sector were leading detractors from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in FMC Corp., Marathon Petroleum Corp. and Lamb Weston Holdings Inc. Shares of FMC, a diversified chemicals manufacturer, rose after the company reported better-than-expected earnings for the third quarter of 2019 and raised its forecast for its fiscal year 2019. Shares of Marathon Petroleum, an oil refinery and transport company, rose after the company reported better-than-expected earnings for the third quarter of 2019 and unveiled plans to spin off its Speedway business. Shares of Lamb Weston Holdings, a producer of frozen potato products, rose after the company was added to the S&P 500 Index and amid investor expectations for revenue growth in 2020.
Leading individual detractors from relative performance included the Fund’s overweight positions in Ventas Inc. and Comcast Corp. and its underweight position in JPMorgan Chase & Co. Shares of Ventas, an owner/operator of senior housing and health care properties, fell after it agreed to buy a portfolio of Canadian seniors housing communities in partnership with Le Groupe Maurice in a deal valued at $1.8 billion. Shares of Comcast, a provider of video, Internet and telephone services, fell after the company reported lower-than-expected revenue for the second quarter of 2019. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broad gains in shares of large banks during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio manager combined abottom-up fundamental approach to security selection with a systematic valuation process. Overall, the Fund’s portfolio manager looked to take advantage of mispriced stocks that he believed appeared attractive relative to their fair value.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Comcast Corp., Class A | 3.9 | % | |||||
| 2. | FMC Corp. | 3.8 | ||||||
| 3. | Charter Communications, Inc., Class A | 3.1 | ||||||
| 4. | Bank of America Corp. | 2.9 | ||||||
| 5. | Morgan Stanley | 2.7 | ||||||
| 6. | Wells Fargo & Co. | 2.5 | ||||||
| 7. | Chevron Corp. | 2.5 | ||||||
| 8. | Cigna Corp. | 2.4 | ||||||
| 9. | Philip Morris International, Inc. | 2.4 | ||||||
| 10. | Citigroup, Inc. | 2.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 19.2 | % | ||
| Health Care | 13.6 | |||
| Communication Services | 9.4 | |||
| Energy | 9.3 | |||
| Consumer Discretionary | 9.3 | |||
| Real Estate | 8.2 | |||
| Industrials | 7.3 | |||
| Materials | 6.7 | |||
| Consumer Staples | 6.1 | |||
| Information Technology | 5.4 | |||
| Utilities | 2.5 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| 16 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||||||
With Sales Charge** | 4.80 | % | 20.48 | % | 7.39 | % | 10.63 | % | ||||||||||
Without Sales Charge | 10.60 | 27.12 | 8.56 | 11.22 | ||||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||||
With CDSC*** | 9.36 | 25.44 | 8.00 | 10.67 | ||||||||||||||
Without CDSC | 10.36 | 26.44 | 8.00 | 10.67 | ||||||||||||||
CLASS I SHARES | March 1, 1991 | 10.79 | 27.45 | 8.77 | 11.43 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 10.49 | 26.82 | 8.26 | 10.94 | |||||||||||||
CLASS R3 SHARES | October 1, 2018 | 10.67 | 27.07 | 8.56 | 11.22 | |||||||||||||
CLASS R4 SHARES | October 1, 2018 | 10.80 | 27.42 | 8.77 | 11.43 | |||||||||||||
CLASS R5 SHARES | May 15, 2006 | 10.83 | 27.59 | 8.95 | 11.64 | |||||||||||||
CLASS R6 SHARES | November 30, 2010 | 10.96 | 27.74 | 9.05 | 11.71 | |||||||||||||
| * | Not annualized. |
| ** | 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 PERFORMANCE12/31/09 TO 12/31/19
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of 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 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.
Returns for Class R6 Shares prior to their inception date are based on the per- formance 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 LipperLarge-Cap Value Funds Index from December 31, 2009 to December 31, 2019. 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 LipperLarge-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 lowerprice-to-book ratios and lower forecasted growth values. The LipperLarge-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. 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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class L Shares)* | 11.29% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 15,673,237 | ||
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, 2019. The Fund’s security selection in the semiconductors & hardware sector and the health services sector was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the energy and pharmaceutical/medical technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in Cisco Systems Inc. and its overweight positions in Taiwan Semiconductor Manufacturing Co. and Alphabet Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Taiwan Semiconductor Manufacturing, a maker of semiconductor wafers and integrated circuits, rose amid investor expectation for increased demand for semiconductors in 2020. Shares of Alphabet, the parent company of Google Inc., rose amid broad investor demand for large cap technology stocks during the reporting period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Analog Devices Inc. and Pfizer Inc. and its underweight position in Apple Inc. Shares of Analog Devices, a manufacturer of integrated circuits, fell after the company reported lower-than-expected earnings and revenue for its fiscal fourth quarter of 2019. Shares of Pfizer, a pharmaceuticals and consumer health care products manufacturer, fell after the company announced an agreement to merge its Upjohn business with Mylan Inc. and reported lower-than-expected revenue for the second quarter of 2019. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed abottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their underlying value and potential for future earnings growth.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 6.0 | % | |||||
| 2. | Amazon.com, Inc. | 4.5 | ||||||
| 3. | Alphabet, Inc., Class A | 3.9 | ||||||
| 4. | Apple, Inc. | 3.3 | ||||||
| 5. | Mastercard, Inc., Class A | 3.1 | ||||||
| 6. | Coca-Cola Co. (The) | 2.7 | ||||||
| 7. | UnitedHealth Group, Inc. | 2.6 | ||||||
| 8. | Prologis, Inc. | 2.2 | ||||||
| 9. | Verizon Communications, Inc. | 2.2 | ||||||
| 10. | Norfolk Southern Corp. | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 25.5 | % | ||
| Health Care | 15.7 | |||
| Communication Services | 11.9 | |||
| Consumer Discretionary | 10.5 | |||
| Financials | 9.6 | |||
| Industrials | 8.0 | |||
| Consumer Staples | 5.0 | |||
| Utilities | 4.3 | |||
| Energy | 3.9 | |||
| Real Estate | 2.5 | |||
| Materials | 2.2 | |||
| Short-Term Investments | 0.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| 18 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OFDECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | September 10, 2001 | |||||||||||||||||
With Sales Charge** | 5.18 | % | 24.72 | % | 9.46 | % | 12.20 | % | ||||||||||
Without Sales Charge | 11.02 | 31.60 | 10.64 | 12.81 | ||||||||||||||
CLASS C SHARES | September 10, 2001 | |||||||||||||||||
With CDSC*** | 9.75 | 29.90 | 10.08 | 12.24 | ||||||||||||||
Without CDSC | 10.75 | 30.90 | 10.08 | 12.24 | ||||||||||||||
CLASS I SHARES | September 10, 2001 | 11.17 | 31.91 | 10.87 | 13.04 | |||||||||||||
CLASS L SHARES | September 17, 1993 | 11.29 | 32.13 | 11.03 | 13.21 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 10.86 | 31.27 | 10.34 | 12.52 | |||||||||||||
CLASS R3 SHARES | September 9, 2016 | 11.05 | 31.62 | 10.63 | 12.80 | |||||||||||||
CLASS R4 SHARES | September 9, 2016 | 11.12 | 31.90 | 10.86 | 13.04 | |||||||||||||
CLASS R5 SHARES | May 15, 2006 | 11.23 | 32.05 | 11.05 | 13.24 | |||||||||||||
CLASS R6 SHARES | November 30, 2010 | 11.32 | 32.28 | 11.15 | 13.32 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R3 Shares prior to their inception dates are based on the performance of 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 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.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Equity Fund, the S&P 500 Index and the LipperLarge-Cap Core Funds Index from December 31, 2009 to
December 31, 2019. 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 LipperLarge-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 LipperLarge-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. 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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class I Shares)* | 10.36% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 4,434,386 | ||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Large Cap Core Plus Fund (the “Fund”) seeks to provide a high total return from a portfolio of selected equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the industrials and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and information technology sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Apple Inc. and JPMorgan Chase & Co. and its overweight position in DuPont Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of DuPont, a chemicals and materials manufacturer, fell after the company reported a decline in profit and sales for the third quarter of 2019.
Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc.
and its overweight positions in Advanced Micro Devices Inc. and Taiwan Semiconductor Manufacturing Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Taiwan Semiconductor Manufacturing, a maker of semiconductor wafers and integrated circuits, rose amid investor expectation for increased demand for semiconductors in 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed abottom-up fundamental approach to stock selection, researching companies to determine their underlying value and potential for future earnings growth. Overall, the Fund’s portfolio managers aimed to take advantage of mispriced stocks that appeared attractive relative to fair value for long positions, and looked for overvalued stocks in which to take short positions. Thelong-to-short exposure ratio at the end of the reporting period was 124% to 24%.
| * | 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. |
| 20 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| TOP TEN LONG POSITIONS OF THE PORTFOLIO* | ||||||||
| 1. | Microsoft Corp. | 4.8 | % | |||||
| 2. | Amazon.com, Inc. | 3.3 | ||||||
| 3. | Apple, Inc. | 3.1 | ||||||
| 4. | Alphabet, Inc., Class A | 2.0 | ||||||
| 5. | Linde plc (United Kingdom) | 1.8 | ||||||
| 6. | Citigroup, Inc. | 1.8 | ||||||
| 7. | Alphabet, Inc., Class C | 1.7 | ||||||
| 8. | Fiserv, Inc. | 1.7 | ||||||
| 9. | Norfolk Southern Corp. | 1.7 | ||||||
| 10. | Mastercard, Inc., Class A | 1.6 | ||||||
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO** | ||||||||
| 1. | Simon Property Group, Inc. | 2.2 | % | |||||
| 2. | Exxon Mobil Corp. | 2.1 | ||||||
| 3. | eBay, Inc. | 2.1 | ||||||
| 4. | Dominion Energy, Inc. | 2.0 | ||||||
| 5. | Halliburton Co. | 1.8 | ||||||
| 6. | Enbridge, Inc. (Canada) | 1.8 | ||||||
| 7. | Omnicom Group, Inc. | 1.8 | ||||||
| 8. | Seagate Technology plc | 1.8 | ||||||
| 9. | Huntington Ingalls Industries, Inc. | 1.7 | ||||||
| 10. | Robert Half International, Inc. | 1.6 | ||||||
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR* | ||||||
| Information Technology | 24.3 | % | ||||
| Health Care | 13.9 | |||||
| Consumer Discretionary | 11.0 | |||||
| Financials | 10.4 | |||||
| Communication Services | 10.0 | |||||
| Industrials | 9.8 | |||||
| Energy | 5.6 | |||||
| Materials | 4.3 | |||||
| Consumer Staples | 3.9 | |||||
| Utilities | 3.4 | |||||
| Real Estate | 2.7 | |||||
| Short-Term Investments | 0.7 | |||||
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR** | ||||||
| Information Technology | 14.3 | % | ||||
| Industrials | 14.0 | |||||
| Energy | 11.6 | |||||
| Financials | 9.1 | |||||
| Health Care | 9.0 | |||||
| Real Estate | 8.7 | |||||
| Consumer Discretionary | 8.0 | |||||
| Consumer Staples | 6.4 | |||||
| Utilities | 6.4 | |||||
| Materials | 6.3 | |||||
| Communication Services | 6.2 | |||||
| * | Percentages indicated are based on total long investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| ** | Percentages indicated are based on total short investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | November 1, 2005 | |||||||||||||||||
With Sales Charge** | 4.48 | % | 22.70 | % | 8.42 | % | 11.63 | % | ||||||||||
Without Sales Charge | 10.26 | 29.51 | 9.60 | 12.23 | ||||||||||||||
CLASS C SHARES | November 1, 2005 | |||||||||||||||||
With CDSC*** | 8.98 | 27.85 | 9.06 | 11.68 | ||||||||||||||
Without CDSC | 9.98 | 28.85 | 9.06 | 11.68 | ||||||||||||||
CLASS I SHARES | November 1, 2005 | 10.36 | 29.78 | 9.88 | 12.51 | |||||||||||||
CLASS R2 SHARES | November 3, 2008 | 10.09 | 29.05 | 9.28 | 11.93 | |||||||||||||
CLASS R5 SHARES | May 15, 2006 | 10.44 | 29.86 | 10.02 | 12.70 | |||||||||||||
CLASS R6 SHARES | November 1, 2017 | 10.45 | 30.00 | 10.07 | 12.72 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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 R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Large Cap Core Plus Fund, the S&P 500 Index and the Lipper Alternative Active Extension Funds Average from December 31, 2009 to December 31, 2019. 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 Alternative Active Extension 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. Investors cannot directly invest in an index. The Lipper Alternative Active Extension Funds Average is an average based on 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. 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.
| 22 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class L Shares)* | 11.25% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 4,388,914 | ||
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 S&P 500 Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the Benchmark for the six months ended December 31, 2019. The Fund’s security selection in the technology and pharmaceutical/medical technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and consumer cyclical sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc. and Oracle Inc. and its overweight position in Zimmer Biomet Holdings Inc. Shares of Cisco Systems, a network and information technology provider, fell following two consecutive quarters of weak revenue growth. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Zimmer Biomet Holdings, a medical devices manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.
Leading individual detractors from relative performance included the Fund’s underweight position in JPMorgan Chase & Co. and its overweight positions in Automatic Data Processing Corp. and Expedia Inc. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of Automatic Data Processing, a provider of payroll and other business services, fell after the company reporter lower-than-expected revenue for its fiscal first quarter. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of
potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 5.4 | % | |||||
| 2. | Apple, Inc. | 5.1 | ||||||
| 3. | Amazon.com, Inc. | 3.3 | ||||||
| 4. | Mastercard, Inc., Class A | 1.9 | ||||||
| 5. | Alphabet, Inc., Class A | 1.8 | ||||||
| 6. | Alphabet, Inc., Class C | 1.7 | ||||||
| 7. | Berkshire Hathaway, Inc., Class B | 1.7 | ||||||
| 8. | Comcast Corp., Class A | 1.5 | ||||||
| 9. | UnitedHealth Group, Inc. | 1.4 | ||||||
| 10. | Citigroup, Inc. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||||
| Information Technology | 23.5 | % | ||||
| Health Care | 14.2 | |||||
| Financials | 12.7 | |||||
| Consumer Discretionary | 11.2 | |||||
| Communication Services | 10.6 | |||||
| Industrials | 9.1 | |||||
| Consumer Staples | 5.6 | |||||
| Energy | 4.3 | |||||
| Utilities | 3.3 | |||||
| Materials | 2.5 | |||||
| Real Estate | 2.2 | |||||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||||||
With Sales Charge** | 5.29 | % | 24.26 | % | 8.57 | % | 12.12 | % | ||||||||||
Without Sales Charge | 11.14 | 31.13 | 9.75 | 12.72 | ||||||||||||||
CLASS I SHARES | September 10, 2001 | 11.27 | 31.39 | 10.02 | 13.01 | |||||||||||||
CLASS L SHARES | January 3, 1997 | 11.25 | 31.40 | 10.07 | 13.12 | |||||||||||||
CLASS R6 SHARES | March 24, 2003 | 11.34 | 31.56 | 10.20 | 13.24 | |||||||||||||
| * | Not annualized. |
| ** | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 LipperLarge-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperLarge-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 LipperLarge-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. 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.
| 24 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.2% |
| |||||||
Airlines — 3.3% |
| |||||||
Delta Air Lines, Inc. | 58 | 3,370 | ||||||
|
| |||||||
Automobiles — 1.8% |
| |||||||
Tesla, Inc. * | 4 | 1,877 | ||||||
|
| |||||||
Banks — 3.5% |
| |||||||
Bank of America Corp. | 101 | 3,563 | ||||||
|
| |||||||
Biotechnology — 1.3% |
| |||||||
Amgen, Inc. | 6 | 1,326 | ||||||
|
| |||||||
Capital Markets — 6.5% |
| |||||||
Charles Schwab Corp. (The) | 53 | 2,542 | ||||||
S&P Global, Inc. | 8 | 2,182 | ||||||
T. Rowe Price Group, Inc. | 17 | 2,016 | ||||||
|
| |||||||
| 6,740 | ||||||||
|
| |||||||
Construction Materials — 2.7% |
| |||||||
Martin Marietta Materials, Inc. | 10 | 2,800 | ||||||
|
| |||||||
Consumer Finance — 3.9% |
| |||||||
Capital One Financial Corp. | 39 | 4,003 | ||||||
|
| |||||||
Containers & Packaging — 3.7% |
| |||||||
Ball Corp. | 24 | 1,574 | ||||||
Packaging Corp. of America | 20 | 2,219 | ||||||
|
| |||||||
| 3,793 | ||||||||
|
| |||||||
Diversified Financial Services — 2.6% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 12 | 2,677 | ||||||
|
| |||||||
Electric Utilities — 2.7% |
| |||||||
Xcel Energy, Inc. | 44 | 2,824 | ||||||
|
| |||||||
Entertainment — 3.3% |
| |||||||
Spotify Technology SA * | 10 | 1,536 | ||||||
Take-Two Interactive Software, Inc. * | 15 | 1,870 | ||||||
|
| |||||||
| 3,406 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.3% |
| |||||||
Federal Realty Investment Trust | 21 | 2,730 | ||||||
Public Storage | 13 | 2,724 | ||||||
|
| |||||||
| 5,454 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Walgreens Boots Alliance, Inc. | 20 | 1,182 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
DexCom, Inc. * | 6 | 1,297 | ||||||
Intuitive Surgical, Inc. * | 3 | 1,888 | ||||||
|
| |||||||
| 3,185 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.0% |
| |||||||
UnitedHealth Group, Inc. | 14 | 4,132 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Insurance — 4.1% |
| |||||||
Loews Corp. | 80 | 4,212 | ||||||
|
| |||||||
Interactive Media & Services — 3.9% |
| |||||||
Alphabet, Inc., Class C * | 3 | 4,008 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.2% |
| |||||||
Amazon.com, Inc. * | 2 | 3,326 | ||||||
|
| |||||||
IT Services — 4.8% |
| |||||||
Mastercard, Inc., Class A | 12 | 3,521 | ||||||
PayPal Holdings, Inc. * | 13 | 1,410 | ||||||
|
| |||||||
| 4,931 | ||||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
Parker-Hannifin Corp. | 5 | 955 | ||||||
Stanley Black & Decker, Inc. | 9 | 1,563 | ||||||
|
| |||||||
| 2,518 | ||||||||
|
| |||||||
Media — 2.0% |
| |||||||
DISH Network Corp., Class A * | 60 | 2,116 | ||||||
|
| |||||||
Multiline Retail — 1.7% |
| |||||||
Kohl’s Corp. | 35 | 1,779 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% |
| |||||||
Kinder Morgan, Inc. | 129 | 2,734 | ||||||
Marathon Petroleum Corp. | �� | 47 | 2,803 | |||||
|
| |||||||
| 5,537 | ||||||||
|
| |||||||
Pharmaceuticals — 2.6% |
| |||||||
Pfizer, Inc. | 68 | 2,655 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
Advanced Micro Devices, Inc. * | 46 | 2,100 | ||||||
QUALCOMM, Inc. | 17 | 1,506 | ||||||
|
| |||||||
| 3,606 | ||||||||
|
| |||||||
Software — 8.3% |
| |||||||
Microsoft Corp. | 45 | 7,089 | ||||||
Synopsys, Inc. * | 10 | 1,461 | ||||||
|
| |||||||
| 8,550 | ||||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
AutoZone, Inc. * | 2 | 2,399 | ||||||
Home Depot, Inc. (The) | 10 | 2,179 | ||||||
|
| |||||||
| 4,578 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.1% |
| |||||||
Apple, Inc. | 14 | 4,240 | ||||||
|
| |||||||
Total Common Stocks |
| 102,388 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.8% |
| |||||||
Investment Companies — 0.8% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | 890 | 890 | ||||||
|
| |||||||
Total Investments — 100.0% | 103,278 | |||||||
Liabilities in Excess of | (46 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 103,232 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.3% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
General Dynamics Corp. | 2,571 | 453,421 | ||||||
United Technologies Corp. | 2,914 | 436,464 | ||||||
|
| |||||||
| 889,885 | ||||||||
|
| |||||||
Banks — 10.4% | ||||||||
Bank of America Corp. | 29,477 | 1,038,187 | ||||||
Cullen/Frost Bankers, Inc. | 1,109 | 108,407 | ||||||
M&T Bank Corp. | 476 | 80,730 | ||||||
PNC Financial Services Group, Inc. (The) | 4,654 | 742,975 | ||||||
Truist Financial Corp. | 6,890 | 388,055 | ||||||
US Bancorp | 6,005 | 356,066 | ||||||
Wells Fargo & Co. | 10,554 | 567,778 | ||||||
|
| |||||||
| 3,282,198 | ||||||||
|
| |||||||
Beverages — 2.3% | ||||||||
Coca-Cola Co. (The) | 6,816 | 377,245 | ||||||
PepsiCo, Inc. | 2,461 | 336,306 | ||||||
|
| |||||||
| 713,551 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Gilead Sciences, Inc. | 2,297 | 149,228 | ||||||
|
| |||||||
Capital Markets — 5.6% | ||||||||
BlackRock, Inc. | 1,311 | 659,050 | ||||||
CME Group, Inc. | 3,592 | 720,961 | ||||||
Northern Trust Corp. | 1,423 | 151,159 | ||||||
T. Rowe Price Group, Inc. | 1,995 | 243,096 | ||||||
|
| |||||||
| 1,774,266 | ||||||||
|
| |||||||
Chemicals — 3.8% | ||||||||
Air Products & Chemicals, Inc. | 2,121 | 498,328 | ||||||
Corteva, Inc. | 579 | 17,122 | ||||||
DuPont de Nemours, Inc. | 2,361 | 151,597 | ||||||
PPG Industries, Inc. | 2,870 | 383,101 | ||||||
RPM International, Inc. | 1,900 | 145,863 | ||||||
|
| |||||||
| 1,196,011 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.7% |
| |||||||
Republic Services, Inc. | 2,407 | 215,750 | ||||||
|
| |||||||
Consumer Finance — 1.8% | ||||||||
Capital One Financial Corp. | 2,960 | 304,600 | ||||||
Discover Financial Services | 3,042 | 257,981 | ||||||
|
| |||||||
| 562,581 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
Verizon Communications, Inc. | 8,458 | 519,295 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — 3.3% | ||||||||
Edison International | 1,468 | 110,707 | ||||||
Entergy Corp. | 786 | 94,184 | ||||||
NextEra Energy, Inc. | 2,016 | 488,276 | ||||||
Xcel Energy, Inc. | 5,650 | 358,744 | ||||||
|
| |||||||
| 1,051,911 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 789 | 127,425 | ||||||
AvalonBay Communities, Inc. | 1,440 | 301,927 | ||||||
Boston Properties, Inc. | 1,098 | 151,382 | ||||||
Simon Property Group, Inc. | 1,221 | 181,865 | ||||||
Ventas, Inc. | 2,193 | 126,604 | ||||||
Vornado Realty Trust | 2,865 | 190,494 | ||||||
|
| |||||||
| 1,079,697 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% | ||||||||
Walmart, Inc. | 2,134 | 253,620 | ||||||
|
| |||||||
Food Products — 1.4% | ||||||||
Mondelez International, Inc., Class A | 8,230 | 453,290 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% | ||||||||
Abbott Laboratories | 1,247 | 108,288 | ||||||
Becton Dickinson and Co. | 1,124 | 305,820 | ||||||
Medtronic plc | 3,957 | 448,952 | ||||||
|
| |||||||
| 863,060 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.8% | ||||||||
CVS Health Corp. | 2,878 | 213,792 | ||||||
UnitedHealth Group, Inc. | 1,213 | 356,611 | ||||||
|
| |||||||
| 570,403 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.2% | ||||||||
Las Vegas Sands Corp. | 3,942 | 272,151 | ||||||
McDonald’s Corp. | 2,632 | 520,068 | ||||||
Starbucks Corp. | 987 | 86,809 | ||||||
Wyndham Hotels & Resorts, Inc. | 2,210 | 138,819 | ||||||
|
| |||||||
| 1,017,847 | ||||||||
|
| |||||||
Household Products — 1.5% | ||||||||
Procter & Gamble Co. (The) | 3,662 | 457,417 | ||||||
|
| |||||||
Industrial Conglomerates — 0.7% | ||||||||
Honeywell International, Inc. | 1,248 | 220,825 | ||||||
|
| |||||||
Insurance — 7.5% | ||||||||
Arthur J Gallagher & Co. | 2,766 | 263,444 | ||||||
Chubb Ltd. | 1,560 | 242,767 | ||||||
Cincinnati Financial Corp. | 689 | 72,443 | ||||||
Hartford Financial Services Group, Inc. (The) | 6,007 | 365,051 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Insurance — continued |
| |||||||
Marsh & McLennan Cos., Inc. | 1,151 | 128,210 | ||||||
MetLife, Inc. | 6,411 | 326,772 | ||||||
Progressive Corp. (The) | 3,083 | 223,149 | ||||||
Prudential Financial, Inc. | 4,327 | 405,586 | ||||||
Travelers Cos., Inc. (The) | 2,370 | 324,639 | ||||||
|
| |||||||
| 2,352,061 | ||||||||
|
| |||||||
IT Services — 2.8% | ||||||||
Accenture plc, Class A | 1,086 | 228,740 | ||||||
Automatic Data Processing, Inc. | 1,759 | 299,842 | ||||||
Fidelity National Information Services, Inc. | 2,613 | 363,463 | ||||||
|
| |||||||
| 892,045 | ||||||||
|
| |||||||
Leisure Products — 1.0% | ||||||||
Hasbro, Inc. | 2,848 | 300,789 | ||||||
|
| |||||||
Machinery — 5.3% | ||||||||
Deere & Co. | 1,824 | 316,038 | ||||||
Dover Corp. | 4,367 | 503,372 | ||||||
Illinois Tool Works, Inc. | 1,166 | 209,453 | ||||||
Parker-Hannifin Corp. | 2,095 | 431,266 | ||||||
Stanley Black & Decker, Inc. | 1,256 | 208,142 | ||||||
|
| |||||||
| 1,668,271 | ||||||||
|
| |||||||
Media — 1.9% | ||||||||
Comcast Corp., Class A | 13,398 | 602,488 | ||||||
|
| |||||||
Multi-Utilities — 2.0% |
| |||||||
CMS Energy Corp. | 4,737 | 297,682 | ||||||
DTE Energy Co. | 545 | 70,828 | ||||||
NiSource, Inc. | 1,802 | 50,167 | ||||||
Public Service Enterprise Group, Inc. | 3,493 | 206,255 | ||||||
|
| |||||||
| 624,932 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.0% |
| |||||||
Chevron Corp. | 7,454 | 898,299 | ||||||
ConocoPhillips | 10,563 | 686,936 | ||||||
Exxon Mobil Corp. | 5,440 | 379,620 | ||||||
Valero Energy Corp. | 2,462 | 230,555 | ||||||
|
| |||||||
| 2,195,410 | ||||||||
|
| |||||||
Pharmaceuticals — 8.4% |
| |||||||
Bristol-Myers Squibb Co. | 11,382 | 730,606 | ||||||
Eli Lilly & Co. | 2,682 | 352,549 | ||||||
Johnson & Johnson | 4,463 | 651,027 | ||||||
Merck & Co., Inc. | 5,174 | 470,612 | ||||||
Pfizer, Inc. | 10,987 | 430,460 | ||||||
|
| |||||||
| 2,635,254 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Road & Rail — 1.1% |
| |||||||
Norfolk Southern Corp. | 1,840 | 357,130 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Analog Devices, Inc. | 4,288 | 509,537 | ||||||
Texas Instruments, Inc. | 4,138 | 530,877 | ||||||
|
| |||||||
| 1,040,414 | ||||||||
|
| |||||||
Software — 1.9% |
| |||||||
Microsoft Corp. | 3,784 | 596,674 | ||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
Home Depot, Inc. (The) | 2,218 | 484,356 | ||||||
Tiffany & Co. | 492 | 65,786 | ||||||
|
| |||||||
| 550,142 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.5% |
| |||||||
Apple, Inc. | 1,573 | 461,835 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
VF Corp. | 3,086 | 307,580 | ||||||
|
| |||||||
Tobacco — 2.5% |
| |||||||
Altria Group, Inc. | 5,401 | 269,548 | ||||||
Philip Morris International, Inc. | 6,151 | 523,387 | ||||||
|
| |||||||
| 792,935 | ||||||||
|
| |||||||
Total Common Stocks |
| 30,648,795 | ||||||
|
| |||||||
Short-Term Investments — 2.6% |
| |||||||
Investment Companies — 2.6% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | 821,015 | 821,261 | ||||||
|
| |||||||
Total Investments — 99.9% |
| 31,470,056 | ||||||
Other Assets Less Liabilities — 0.1% |
| 42,666 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 31,512,722 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 81.0% |
| |||||||
Aerospace & Defense — 3.0% |
| |||||||
General Dynamics Corp. | 8 | 1,329 | ||||||
Northrop Grumman Corp. | 2 | 771 | ||||||
United Technologies Corp. | 9 | 1,384 | ||||||
|
| |||||||
| 3,484 | ||||||||
|
| |||||||
Banks — 0.3% |
| |||||||
Truist Financial Corp. | 6 | 349 | ||||||
|
| |||||||
Beverages — 3.2% |
| |||||||
Coca-Cola Co. (The) | 27 | 1,483 | ||||||
Constellation Brands, Inc., Class A | 4 | 716 | ||||||
PepsiCo, Inc. | 11 | 1,533 | ||||||
|
| |||||||
| 3,732 | ||||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
Allegion plc | 4 | 470 | ||||||
|
| |||||||
Capital Markets — 1.9% |
| |||||||
CME Group, Inc. | 4 | 764 | ||||||
Intercontinental Exchange, Inc. | 16 | 1,442 | ||||||
|
| |||||||
| 2,206 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products & Chemicals, Inc. | 2 | 472 | ||||||
Celanese Corp. | 7 | 861 | ||||||
Linde plc (United Kingdom) | 5 | 993 | ||||||
|
| |||||||
| 2,326 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.2% |
| |||||||
Waste Management, Inc. | 12 | 1,398 | ||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
American Express Co. | 11 | 1,380 | ||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Silgan Holdings, Inc. | 9 | 269 | ||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
Berkshire Hathaway, Inc., Class B* | 6 | 1,398 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
Verizon Communications, Inc. | 23 | 1,399 | ||||||
|
| |||||||
Electric Utilities — 7.1% |
| |||||||
American Electric Power Co., Inc. | 16 | 1,554 | ||||||
Edison International | 6 | 472 | ||||||
Entergy Corp. | 12 | 1,394 | ||||||
Exelon Corp. | 5 | 241 | ||||||
FirstEnergy Corp. | 21 | 1,044 | ||||||
NextEra Energy, Inc. | 6 | 1,538 | ||||||
Southern Co. (The) | 7 | 461 | ||||||
Xcel Energy, Inc. | 24 | 1,511 | ||||||
|
| |||||||
| 8,215 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electrical Equipment — 1.4% |
| |||||||
Eaton Corp. plc | 16 | 1,562 | ||||||
|
| |||||||
Entertainment — 0.7% |
| |||||||
Walt Disney Co. (The) | 5 | 794 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.9% |
| |||||||
Boston Properties, Inc. | 4 | 608 | ||||||
Equity LifeStyle Properties, Inc. | 5 | 329 | ||||||
Equity Residential | 5 | 434 | ||||||
National Retail Properties, Inc. | 16 | 864 | ||||||
Prologis, Inc. | 8 | 691 | ||||||
Public Storage | 4 | 756 | ||||||
VICI Properties, Inc. | 20 | 511 | ||||||
WP Carey, Inc. | 4 | 297 | ||||||
|
| |||||||
| 4,490 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
Costco Wholesale Corp. | 2 | 723 | ||||||
Walmart, Inc. | 5 | 633 | ||||||
|
| |||||||
| 1,356 | ||||||||
|
| |||||||
Food Products — 1.9% |
| |||||||
General Mills, Inc. | 12 | 657 | ||||||
Mondelez International, Inc., Class A | 27 | 1,503 | ||||||
|
| |||||||
| 2,160 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
Becton Dickinson and Co. | 2 | 550 | ||||||
Medtronic plc | 8 | 941 | ||||||
Zimmer Biomet Holdings, Inc. | 2 | 331 | ||||||
|
| |||||||
| 1,822 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.9% |
| |||||||
Anthem, Inc. | 1 | 320 | ||||||
Cigna Corp. | 1 | 248 | ||||||
UnitedHealth Group, Inc. | 6 | 1,639 | ||||||
|
| |||||||
| 2,207 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.5% |
| |||||||
Darden Restaurants, Inc. | 4 | 473 | ||||||
McDonald’s Corp. | 6 | 1,251 | ||||||
Yum! Brands, Inc. | 12 | 1,184 | ||||||
|
| |||||||
| 2,908 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
Kimberly-Clark Corp. | 3 | 462 | ||||||
Procter & Gamble Co. (The) | 12 | 1,550 | ||||||
|
| |||||||
| 2,012 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
Honeywell International, Inc. | 7 | 1,322 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Insurance — 7.2% |
| |||||||
Allstate Corp. (The) | 13 | 1,468 | ||||||
Aon plc | 5 | 972 | ||||||
Axis Capital Holdings Ltd. | 18 | 1,051 | ||||||
Chubb Ltd. | 9 | 1,386 | ||||||
Everest Re Group Ltd. | 4 | 1,068 | ||||||
Hartford Financial Services Group, Inc. (The) | 23 | 1,409 | ||||||
MetLife, Inc. | 17 | 865 | ||||||
|
| |||||||
| 8,219 | ||||||||
|
| |||||||
Interactive Media & Services — 1.4% |
| |||||||
Alphabet, Inc., Class A* | 1 | 1,566 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.4% |
| |||||||
Amazon.com, Inc.* | — | (a) | 477 | |||||
|
| |||||||
IT Services — 6.7% |
| |||||||
Accenture plc, Class A | 8 | 1,597 | ||||||
Automatic Data Processing, Inc. | 8 | 1,431 | ||||||
Fiserv, Inc.* | 13 | 1,519 | ||||||
International Business Machines Corp. | 6 | 848 | ||||||
Leidos Holdings, Inc. | 8 | 783 | ||||||
Mastercard, Inc., Class A | 2 | 621 | ||||||
Visa, Inc., Class A | 5 | 886 | ||||||
|
| |||||||
| 7,685 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% |
| |||||||
Thermo Fisher Scientific, Inc. | 2 | 804 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
Cummins, Inc. | 3 | 555 | ||||||
Ingersoll-Rand plc | 10 | 1,279 | ||||||
|
| |||||||
| 1,834 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
Comcast Corp., Class A | 29 | 1,326 | ||||||
|
| |||||||
Multi-Utilities — 2.5% |
| |||||||
CMS Energy Corp. | 23 | 1,419 | ||||||
Sempra Energy | 10 | 1,443 | ||||||
|
| |||||||
| 2,862 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.3% |
| |||||||
Chevron Corp. | 11 | 1,343 | ||||||
ONEOK, Inc. | 18 | 1,338 | ||||||
|
| |||||||
| 2,681 | ||||||||
|
| |||||||
Pharmaceuticals — 5.5% |
| |||||||
Bristol-Myers Squibb Co. | 12 | 739 | ||||||
Eli Lilly & Co. | 12 | 1,601 | ||||||
Johnson & Johnson | 10 | 1,450 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — continued |
| |||||||
Merck & Co., Inc. | 16 | 1,444 | ||||||
Pfizer, Inc. | 27 | 1,058 | ||||||
|
| |||||||
| 6,292 | ||||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
Kansas City Southern | 3 | 460 | ||||||
Norfolk Southern Corp. | 5 | 949 | ||||||
Union Pacific Corp. | 1 | 226 | ||||||
|
| |||||||
| 1,635 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
Analog Devices, Inc. | 4 | 454 | ||||||
Texas Instruments, Inc. | 9 | 1,169 | ||||||
|
| |||||||
| 1,623 | ||||||||
|
| |||||||
Software — 1.7% |
| |||||||
Intuit, Inc. | 1 | 267 | ||||||
Microsoft Corp. | 11 | 1,666 | ||||||
|
| |||||||
| 1,933 | ||||||||
|
| |||||||
Specialty Retail — 4.1% |
| |||||||
AutoZone, Inc.* | 1 | 1,377 | ||||||
Home Depot, Inc. (The) | 4 | 883 | ||||||
Ross Stores, Inc. | 8 | 946 | ||||||
TJX Cos., Inc. (The) | 25 | 1,521 | ||||||
|
| |||||||
| 4,727 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.3% |
| |||||||
NIKE, Inc., Class B | 3 | 318 | ||||||
|
| |||||||
Tobacco — 1.6% |
| |||||||
Altria Group, Inc. | 17 | 840 | ||||||
Philip Morris International, Inc. | 12 | 1,029 | ||||||
|
| |||||||
| 1,869 | ||||||||
|
| |||||||
Total Common Stocks |
| 93,110 | ||||||
|
| |||||||
| PRINCIPAL AMOUNT ($000) | ||||||||
Equity Linked Notes — 15.7% |
| |||||||
Credit Suisse AG, ELN, 36.10%, 1/31/2020, (linked to S&P 500 Index) (b) | 1 | 3,980 | ||||||
GS Finance Corp., ELN, 45.79, 1/10/2020, (linked to S&P 500 Index) (b) | 1 | 3,293 | ||||||
HSBC Bank USA, NA, ELN, 38.99%, 1/17/2020, (linked to S&P 500 Index) (b) | 1 | 3,492 | ||||||
UBS AG, ELN, 32.60%, 1/24/2020, (linked to S&P 500 Index) (b) | 1 | 3,608 | ||||||
Wells Fargo Bank, ELN, 42.50%, 2/7/2020, (linked to S&P 500 Index) (b) | 1 | 3,648 | ||||||
|
| |||||||
Total Equity Linked Notes |
| 18,021 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Exchange-Traded Funds — 1.5% |
| |||||||
International Equity — 1.5% | ||||||||
iShares Edge MSCI Min Vol USA ETF | 26 | 1,683 | ||||||
|
| |||||||
Short-Term Investments — 2.6% | ||||||||
Investment Companies — 2.6% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 3,014 | 3,015 | ||||||
|
| |||||||
Total Investments — 100.8% |
| 115,829 | ||||||
Liabilities in Excess of |
| (912 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 114,917 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations | ||
| ELN | Equity-Linked Note | |
| ETF | Exchange-Traded Fund | |
| (a) | Amount rounds to less than one thousand. | |
| (b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.0% |
| |||||||
Aerospace & Defense — 2.9% |
| |||||||
General Dynamics Corp. | 46 | 8,041 | ||||||
United Technologies Corp. | 97 | 14,482 | ||||||
|
| |||||||
| 22,523 | ||||||||
|
| |||||||
Banks — 12.3% | ||||||||
Bank of America Corp. | 770 | 27,119 | ||||||
Citigroup, Inc. | 103 | 8,233 | ||||||
Citizens Financial Group, Inc. | 131 | 5,336 | ||||||
Cullen/Frost Bankers, Inc. | 37 | 3,589 | ||||||
M&T Bank Corp. | 38 | 6,366 | ||||||
PNC Financial Services Group, Inc. (The) | 71 | 11,302 | ||||||
Truist Financial Corp. | 310 | 17,469 | ||||||
US Bancorp | 143 | 8,467 | ||||||
Wells Fargo & Co. | 147 | 7,903 | ||||||
|
| |||||||
| 95,784 | ||||||||
|
| |||||||
Beverages — 0.5% |
| |||||||
PepsiCo, Inc. | 30 | 4,114 | ||||||
|
| |||||||
Biotechnology — 1.9% | ||||||||
AbbVie, Inc. | 108 | 9,554 | ||||||
Gilead Sciences, Inc. | 81 | 5,263 | ||||||
|
| |||||||
| 14,817 | ||||||||
|
| |||||||
Capital Markets — 7.7% |
| |||||||
BlackRock, Inc. | 32 | 15,835 | ||||||
Charles Schwab Corp. (The) | 113 | 5,360 | ||||||
Goldman Sachs Group, Inc. (The) | 36 | 8,209 | ||||||
Morgan Stanley | 372 | 18,996 | ||||||
T. Rowe Price Group, Inc. | 93 | 11,331 | ||||||
|
| |||||||
| 59,731 | ||||||||
|
| |||||||
Chemicals — 2.3% | ||||||||
Air Products & Chemicals, Inc. | 29 | 6,791 | ||||||
Axalta Coating Systems Ltd. * | 150 | 4,557 | ||||||
Corteva, Inc. | 25 | 737 | ||||||
DuPont de Nemours, Inc. | 89 | 5,741 | ||||||
|
| |||||||
| 17,826 | ||||||||
|
| |||||||
Consumer Finance — 1.9% |
| |||||||
Capital One Financial Corp. | 68 | 6,977 | ||||||
Discover Financial Services | 89 | 7,541 | ||||||
|
| |||||||
| 14,518 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
Ball Corp. | 40 | 2,593 | ||||||
Sealed Air Corp. | 67 | 2,653 | ||||||
|
| |||||||
| 5,246 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Diversified Financial Services — 2.3% |
| |||||||
Berkshire Hathaway, Inc., Class B* | 78 | 17,667 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
Verizon Communications, Inc. | 169 | 10,353 | ||||||
|
| |||||||
Electric Utilities — 2.1% |
| |||||||
Edison International | 56 | 4,185 | ||||||
NextEra Energy, Inc. | 27 | 6,538 | ||||||
Xcel Energy, Inc. | 87 | 5,511 | ||||||
|
| |||||||
| 16,234 | ||||||||
|
| |||||||
Entertainment — 1.4% |
| |||||||
Walt Disney Co. (The) | 75 | 10,789 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.1% |
| |||||||
AvalonBay Communities, Inc. | 25 | 5,264 | ||||||
Crown Castle International Corp. | 25 | 3,582 | ||||||
Simon Property Group, Inc. | 27 | 3,947 | ||||||
Ventas, Inc. | 101 | 5,814 | ||||||
Vornado Realty Trust | 80 | 5,327 | ||||||
|
| |||||||
| 23,934 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
Walmart, Inc. | 60 | 7,166 | ||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Mondelez International, Inc., Class A | 144 | 7,948 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.3% |
| |||||||
Becton Dickinson and Co. | 37 | 10,090 | ||||||
Medtronic plc | 67 | 7,545 | ||||||
|
| |||||||
| 17,635 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.1% |
| |||||||
Cigna Corp. | 36 | 7,331 | ||||||
Humana, Inc. | 14 | 5,241 | ||||||
UnitedHealth Group, Inc. | 39 | 11,465 | ||||||
|
| |||||||
| 24,037 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
McDonald’s Corp. | 30 | 5,849 | ||||||
Royal Caribbean Cruises Ltd. | 37 | 4,967 | ||||||
|
| |||||||
| 10,816 | ||||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Colgate-Palmolive Co. | 124 | 8,557 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
Honeywell International, Inc. | 47 | 8,337 | ||||||
|
| |||||||
Insurance — 4.6% |
| |||||||
Chubb Ltd. | 59 | 9,116 | ||||||
Hartford Financial Services Group, Inc. (The) | 197 | 11,954 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Insurance — continued | ||||||||
Loews Corp. | 80 | 4,215 | ||||||
MetLife, Inc. | 81 | 4,144 | ||||||
Prudential Financial, Inc. | 68 | 6,402 | ||||||
|
| |||||||
| 35,831 | ||||||||
|
| |||||||
Interactive Media & Services — 0.7% |
| |||||||
Alphabet, Inc., Class C * | 4 | 5,587 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% |
| |||||||
Expedia Group, Inc. | 35 | 3,785 | ||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
Fidelity National Information Services, Inc. | 58 | 8,123 | ||||||
|
| |||||||
Machinery — 4.2% |
| |||||||
Dover Corp. | 87 | 9,991 | ||||||
Ingersoll-Rand plc | 24 | 3,124 | ||||||
Parker-Hannifin Corp. | 67 | 13,872 | ||||||
Stanley Black & Decker, Inc. | 32 | 5,254 | ||||||
|
| |||||||
| 32,241 | ||||||||
|
| |||||||
Media — 0.5% | ||||||||
Comcast Corp., Class A | 85 | 3,836 | ||||||
|
| |||||||
Multi-Utilities — 2.2% | ||||||||
CMS Energy Corp. | 193 | 12,122 | ||||||
NiSource, Inc. | 48 | 1,325 | ||||||
Public Service Enterprise Group, Inc. | 57 | 3,384 | ||||||
|
| |||||||
| 16,831 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.8% | ||||||||
Chevron Corp. | 144 | 17,341 | ||||||
ConocoPhillips | 193 | 12,575 | ||||||
EOG Resources, Inc. | 91 | 7,584 | ||||||
Exxon Mobil Corp. | 54 | 3,739 | ||||||
Marathon Petroleum Corp. | 42 | 2,525 | ||||||
Phillips 66 | 40 | 4,401 | ||||||
Pioneer Natural Resources Co. | 27 | 4,072 | ||||||
Valero Energy Corp. | 73 | 6,865 | ||||||
Williams Cos., Inc. (The) | 56 | 1,319 | ||||||
|
| |||||||
| 60,421 | ||||||||
|
| |||||||
Pharmaceuticals — 6.9% | ||||||||
Bristol-Myers Squibb Co. | 278 | 17,858 | ||||||
Eli Lilly & Co. | 29 | 3,753 | ||||||
Johnson & Johnson | 95 | 13,872 | ||||||
Merck & Co., Inc. | 115 | 10,502 | ||||||
Pfizer, Inc. | 202 | 7,930 | ||||||
|
| |||||||
| 53,915 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Road & Rail — 1.3% | ||||||||
CSX Corp. | 52 | 3,741 | ||||||
Kansas City Southern | 41 | 6,234 | ||||||
|
| |||||||
| 9,975 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
Analog Devices, Inc. | 103 | 12,205 | ||||||
NXP Semiconductors NV (Netherlands) | 62 | 7,916 | ||||||
Texas Instruments, Inc. | 105 | 13,406 | ||||||
|
| |||||||
| 33,527 | ||||||||
|
| |||||||
Software — 2.8% | ||||||||
Microsoft Corp. | 140 | 21,999 | ||||||
|
| |||||||
Specialty Retail — 4.1% | ||||||||
AutoZone, Inc. * | 8 | 8,947 | ||||||
Home Depot, Inc. (The) | 54 | 11,683 | ||||||
Lowe’s Cos., Inc. | 50 | 5,940 | ||||||
TJX Cos., Inc. (The) | 93 | 5,660 | ||||||
|
| |||||||
| 32,230 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.0% |
| |||||||
Apple, Inc. | 53 | 15,563 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
NIKE, Inc., Class B | 85 | 8,642 | ||||||
|
| |||||||
Tobacco — 2.0% | ||||||||
Altria Group, Inc. | 98 | 4,866 | ||||||
Philip Morris International, Inc. | 125 | 10,645 | ||||||
|
| |||||||
| 15,511 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
Watsco, Inc. | 29 | 5,206 | ||||||
|
| |||||||
Total Common Stocks |
| 761,255 | ||||||
|
| |||||||
Short-Term Investments — 1.9% |
| |||||||
Investment Companies — 1.9% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | 14,488 | 14,492 | ||||||
|
| |||||||
Total Investments — 99.9% |
| 775,747 | ||||||
Other Assets Less Liabilities — 0.1% |
| 666 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 776,413 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.0% |
| |||||||
Aerospace & Defense — 2.0% |
| |||||||
Boeing Co. (The) | 40 | 12,965 | ||||||
General Dynamics Corp. (a) | 269 | 47,486 | ||||||
Northrop Grumman Corp. | 67 | 23,132 | ||||||
United Technologies Corp. | 326 | 48,828 | ||||||
|
| |||||||
| 132,411 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Delta Air Lines, Inc. | 240 | 14,059 | ||||||
Southwest Airlines Co. | 175 | 9,422 | ||||||
United Airlines Holdings, Inc. * | 59 | 5,224 | ||||||
|
| |||||||
| 28,705 | ||||||||
|
| |||||||
Auto Components — 0.2% |
| |||||||
Magna International, Inc. (Canada) | 228 | 12,519 | ||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
General Motors Co. | 549 | 20,082 | ||||||
|
| |||||||
Banks — 4.5% |
| |||||||
Bank of America Corp. (a) | 2,165 | 76,268 | ||||||
Citigroup, Inc. | 1,204 | 96,196 | ||||||
Citizens Financial Group, Inc. | 198 | 8,039 | ||||||
Fifth Third Bancorp | 268 | 8,249 | ||||||
KeyCorp | 1,739 | 35,196 | ||||||
Regions Financial Corp. | 576 | 9,882 | ||||||
Truist Financial Corp. | 269 | 15,146 | ||||||
Wells Fargo & Co. | 993 | 53,430 | ||||||
|
| |||||||
| 302,406 | ||||||||
|
| |||||||
Beverages — 1.9% |
| |||||||
Coca-Cola Co. (The) (a) | 1,484 | 82,164 | ||||||
Constellation Brands, Inc., Class A | 177 | 33,590 | ||||||
PepsiCo, Inc. (a) | 56 | 7,600 | ||||||
|
| |||||||
| 123,354 | ||||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
AbbVie, Inc. (a) | 693 | 61,398 | ||||||
Alexion Pharmaceuticals, Inc. * (a) | 179 | 19,366 | ||||||
Amgen, Inc. | 27 | 6,413 | ||||||
Biogen, Inc. * | 94 | 27,804 | ||||||
Regeneron Pharmaceuticals, Inc. * | 48 | 18,109 | ||||||
Vertex Pharmaceuticals, Inc. * | 130 | 28,461 | ||||||
|
| |||||||
| 161,551 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
Masco Corp. | 405 | 19,416 | ||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
Ameriprise Financial, Inc. | 82 | 13,740 | ||||||
BlackRock, Inc. | 28 | 14,242 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued | ||||||||
Charles Schwab Corp. (The) | 563 | 26,780 | ||||||
Intercontinental Exchange, Inc. | 529 | 48,926 | ||||||
MarketAxess Holdings, Inc. | 6 | 2,350 | ||||||
Morgan Stanley | 1,110 | 56,719 | ||||||
S&P Global, Inc. | 84 | 22,832 | ||||||
State Street Corp. | 84 | 6,611 | ||||||
|
| |||||||
| 192,200 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Celanese Corp. | 174 | 21,364 | ||||||
Corteva, Inc. | 528 | 15,600 | ||||||
Dow, Inc. | 335 | 18,351 | ||||||
DuPont de Nemours, Inc. | 266 | 17,075 | ||||||
Eastman Chemical Co. | 360 | 28,524 | ||||||
Linde plc (United Kingdom) | 96 | 20,343 | ||||||
LyondellBasell Industries NV, Class A | 127 | 11,972 | ||||||
|
| |||||||
| 133,229 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
Cintas Corp. (a) | 15 | 4,106 | ||||||
Waste Management, Inc. | 305 | 34,729 | ||||||
|
| |||||||
| 38,835 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
Cisco Systems, Inc. | 296 | 14,207 | ||||||
Motorola Solutions, Inc. | 25 | 3,988 | ||||||
|
| |||||||
| 18,195 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
American Express Co. | 355 | 44,253 | ||||||
Capital One Financial Corp. | 427 | 43,959 | ||||||
Synchrony Financial | 349 | 12,553 | ||||||
|
| |||||||
| 100,765 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Crown Holdings, Inc. * | 226 | 16,358 | ||||||
Packaging Corp. of America | 18 | 1,993 | ||||||
Westrock Co. | 221 | 9,476 | ||||||
|
| |||||||
| 27,827 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0%(b) |
| |||||||
H&R Block, Inc. | 99 | 2,333 | ||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * (a) | 488 | 110,564 | ||||||
Voya Financial, Inc. | 46 | 2,780 | ||||||
|
| |||||||
| 113,344 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
AT&T, Inc. | 94 | 3,689 | ||||||
Verizon Communications, Inc. (a) | 1,180 | 72,421 | ||||||
|
| |||||||
| 76,110 | ||||||||
|
| |||||||
Electric Utilities — 2.6% |
| |||||||
Edison International | 219 | 16,549 | ||||||
Entergy Corp. | 378 | 45,224 | ||||||
FirstEnergy Corp. | 113 | 5,492 | ||||||
NextEra Energy, Inc. (a) | 275 | 66,485 | ||||||
Southern Co. (The) | 455 | 29,010 | ||||||
Xcel Energy, Inc. (a) | 186 | 11,819 | ||||||
|
| |||||||
| 174,579 | ||||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
Eaton Corp. plc | 712 | 67,462 | ||||||
Emerson Electric Co. | 87 | 6,629 | ||||||
|
| |||||||
| 74,091 | ||||||||
|
| |||||||
Entertainment — 1.3% |
| |||||||
Electronic Arts, Inc. * | 200 | 21,485 | ||||||
Netflix, Inc. * (a) | 141 | 45,568 | ||||||
Walt Disney Co. (The) (a) | 120 | 17,357 | ||||||
|
| |||||||
| 84,410 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
AvalonBay Communities, Inc. | 100 | 20,964 | ||||||
Equinix, Inc. | 42 | 24,603 | ||||||
Equity Residential | 269 | 21,788 | ||||||
Federal Realty Investment Trust | 92 | 11,873 | ||||||
Mid-America Apartment Communities, Inc. | 76 | 10,028 | ||||||
Prologis, Inc. | 351 | 31,294 | ||||||
Public Storage | 27 | 5,675 | ||||||
Ventas, Inc. | 221 | 12,739 | ||||||
VICI Properties, Inc. | 223 | 5,704 | ||||||
|
| |||||||
| 144,668 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
Walmart, Inc. | 134 | 15,914 | ||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
Conagra Brands, Inc. | 125 | 4,280 | ||||||
General Mills, Inc. | 393 | 21,040 | ||||||
Mondelez International, Inc., Class A (a) | 916 | 50,439 | ||||||
|
| |||||||
| 75,759 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Becton Dickinson and Co. (a) | 15 | 4,047 | ||||||
Boston Scientific Corp. * (a) | 1,128 | 51,027 | ||||||
Intuitive Surgical, Inc. * (a) | 20 | 11,829 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
Medtronic plc (a) | 710 | 80,599 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 341 | 51,108 | ||||||
|
| |||||||
| 198,610 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.1% |
| |||||||
Anthem, Inc. | 146 | 44,226 | ||||||
Cigna Corp. (a) | 280 | 57,272 | ||||||
McKesson Corp. | 68 | 9,407 | ||||||
UnitedHealth Group, Inc. (a) | 328 | 96,452 | ||||||
|
| |||||||
| 207,357 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Hilton Worldwide Holdings, Inc. | 225 | 24,943 | ||||||
McDonald’s Corp. | 76 | 15,004 | ||||||
Royal Caribbean Cruises Ltd. | 52 | 6,975 | ||||||
Yum! Brands, Inc. | 414 | 41,720 | ||||||
|
| |||||||
| 88,642 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
Lennar Corp., Class A | 376 | 20,986 | ||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Kimberly-Clark Corp. | 23 | 3,205 | ||||||
Procter & Gamble Co. (The) (a) | 562 | 70,138 | ||||||
|
| |||||||
| 73,343 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.9% |
| |||||||
Honeywell International, Inc. (a) | 347 | 61,462 | ||||||
|
| |||||||
Insurance — 2.1% |
| |||||||
Allstate Corp. (The) (a) | 157 | 17,662 | ||||||
American International Group, Inc. (a) | 645 | 33,121 | ||||||
Arthur J Gallagher & Co. | 70 | 6,698 | ||||||
Hartford Financial Services Group, Inc. (The) | 591 | 35,894 | ||||||
Lincoln National Corp. | 21 | 1,235 | ||||||
MetLife, Inc. | 792 | 40,343 | ||||||
Progressive Corp. (The) | 59 | 4,276 | ||||||
|
| |||||||
| 139,229 | ||||||||
|
| |||||||
Interactive Media & Services — 4.8% |
| |||||||
Alphabet, Inc., Class A * (a) | 91 | 121,911 | ||||||
Alphabet, Inc., Class C * (a) | 84 | 111,828 | ||||||
Facebook, Inc., Class A * (a) | 433 | 88,777 | ||||||
|
| |||||||
| 322,516 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.9% |
| |||||||
Amazon.com, Inc. * (a) | 120 | 222,554 | ||||||
Booking Holdings, Inc. * (a) | 4 | 8,236 | ||||||
Expedia Group, Inc. | 255 | 27,557 | ||||||
|
| |||||||
| 258,347 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
IT Services — 6.2% |
| |||||||
Accenture plc, Class A | 154 | 32,356 | ||||||
Automatic Data Processing, Inc. (a) | 427 | 72,814 | ||||||
Fiserv, Inc. * | 203 | 23,510 | ||||||
International Business Machines Corp. | 83 | 11,191 | ||||||
Leidos Holdings, Inc. | 212 | 20,737 | ||||||
Mastercard, Inc., Class A (a) | 436 | 130,108 | ||||||
PayPal Holdings, Inc. * (a) | 722 | 78,114 | ||||||
Visa, Inc., Class A (a) | 252 | 47,313 | ||||||
|
| |||||||
| 416,143 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 77 | 8,124 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Illumina, Inc. * | 37 | 12,251 | ||||||
Thermo Fisher Scientific, Inc. (a) | 210 | 68,382 | ||||||
|
| |||||||
| 80,633 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Caterpillar, Inc. | 66 | 9,673 | ||||||
Cummins, Inc. | 179 | 31,970 | ||||||
Deere & Co. | 74 | 12,814 | ||||||
Ingersoll-Rand plc | 195 | 25,938 | ||||||
Parker-Hannifin Corp. | 164 | 33,738 | ||||||
Snap-on, Inc. | 59 | 9,937 | ||||||
Stanley Black & Decker, Inc. | 146 | 24,254 | ||||||
|
| |||||||
| 148,324 | ||||||||
|
| |||||||
Media — 3.2% |
| |||||||
Altice USA, Inc., Class A * | 389 | 10,643 | ||||||
Charter Communications, Inc., Class A * (a) | 137 | 66,480 | ||||||
Comcast Corp., Class A (a) | 2,244 | 100,917 | ||||||
Discovery, Inc., Class A * | 528 | 17,299 | ||||||
Discovery, Inc., Class C * | 577 | 17,600 | ||||||
ViacomCBS, Inc. | 75 | 3,145 | ||||||
|
| |||||||
| 216,084 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 322 | 4,220 | ||||||
Newmont Goldcorp Corp. | 117 | 5,067 | ||||||
|
| |||||||
| 9,287 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Target Corp. | 100 | 12,788 | ||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
CMS Energy Corp. | 520 | 32,662 | ||||||
Sempra Energy | 96 | 14,518 | ||||||
|
| |||||||
| 47,180 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — 4.3% |
| |||||||
Chevron Corp. (a) | 779 | 93,848 | ||||||
Diamondback Energy, Inc. | 248 | 23,031 | ||||||
EOG Resources, Inc. (a) | 561 | 47,010 | ||||||
Exxon Mobil Corp. (a) | 199 | 13,861 | ||||||
Marathon Petroleum Corp. (a) | 624 | 37,578 | ||||||
ONEOK, Inc. | 487 | 36,822 | ||||||
Pioneer Natural Resources Co. (a) | 230 | 34,868 | ||||||
|
| |||||||
| 287,018 | ||||||||
|
| |||||||
Pharmaceuticals — 4.5% |
| |||||||
Allergan plc | 73 | 13,883 | ||||||
Bristol-Myers Squibb Co. (a) | 945 | 60,672 | ||||||
Eli Lilly & Co. | 358 | 47,020 | ||||||
Johnson & Johnson (a) | 475 | 69,318 | ||||||
Merck & Co., Inc. (a) | 908 | 82,580 | ||||||
Pfizer, Inc. | 722 | 28,305 | ||||||
|
| |||||||
| 301,778 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
Kansas City Southern | 50 | 7,620 | ||||||
Lyft, Inc., Class A * | 90 | 3,858 | ||||||
Norfolk Southern Corp. (a) | 303 | 58,817 | ||||||
Union Pacific Corp. (a) | 180 | 32,495 | ||||||
|
| |||||||
| 102,790 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
Advanced Micro Devices, Inc. * (a) | 922 | 42,281 | ||||||
Analog Devices, Inc. (a) | 498 | 59,194 | ||||||
Intel Corp. | 182 | 10,877 | ||||||
NVIDIA Corp. (a) | 218 | 51,385 | ||||||
NXP Semiconductors NV (Netherlands) | 330 | 41,964 | ||||||
Teradyne, Inc. | 348 | 23,716 | ||||||
Texas Instruments, Inc. (a) | 636 | 81,553 | ||||||
|
| |||||||
| 310,970 | ||||||||
|
| |||||||
Software — 7.1% |
| |||||||
Intuit, Inc. | 186 | 48,777 | ||||||
Microsoft Corp. (a) | 2,306 | 363,612 | ||||||
salesforce.com, Inc. * (a) | 381 | 62,019 | ||||||
|
| |||||||
| 474,408 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
AutoZone, Inc. * (a) | 37 | 44,102 | ||||||
Best Buy Co., Inc. | 417 | 36,581 | ||||||
Home Depot, Inc. (The) (a) | 306 | 66,835 | ||||||
Lowe’s Cos., Inc. | 431 | 51,598 | ||||||
O’Reilly Automotive, Inc. * | 34 | 15,050 | ||||||
Ross Stores, Inc. (a) | 179 | 20,816 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Specialty Retail — continued |
| |||||||
TJX Cos., Inc. (The) | 502 | 30,672 | ||||||
|
| |||||||
| 265,654 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.3% |
| |||||||
Apple, Inc. (a) | 1,153 | 338,626 | ||||||
HP, Inc. | 822 | 16,892 | ||||||
|
| |||||||
| 355,518 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
NIKE, Inc., Class B | 513 | 51,996 | ||||||
Ralph Lauren Corp. | 65 | 7,676 | ||||||
|
| |||||||
| 59,672 | ||||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
Altria Group, Inc. | 477 | 23,817 | ||||||
Philip Morris International, Inc. (a) | 770 | 65,484 | ||||||
|
| |||||||
| 89,301 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
T-Mobile US, Inc. * | 102 | 7,988 | ||||||
|
| |||||||
Total Common Stocks |
| 6,636,855 | ||||||
|
| |||||||
| NO. OF CONTRACTS | ||||||||
Options Purchased — 1.2% |
| |||||||
Put Options Purchased — 1.2% |
| |||||||
Index Funds — 1.2% |
| |||||||
S&P 500 Index | 20,800 | 82,160 | ||||||
|
| |||||||
Total Options Purchased | 82,160 | |||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 3.1% |
| |||||||
Investment Companies — 3.1% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (c) (d) | 209,467 | 209,467 | ||||||
|
| |||||||
Total Investments — 103.3% | 6,928,482 | |||||||
Liabilities in Excess of | (221,334 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 6,707,148 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations | ||
| USD | United States Dollar | |
| (a) | All or a portion of the security is segregated for options written. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
| S&P 500E-Mini Index | 247 | 03/2020 | USD | 39,915 | 1,066 | |||||||||||||||
|
| |||||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Written Call Options Contracts as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
| S&P 500 Index | Exchange Traded | 20,800 | USD 6,720,022 | USD 3,330.00 | 3/31/2020 | (69,680 | ) | |||||||||||||||
|
| |||||||||||||||||||||
| Written Put Options Contracts as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
| S&P 500 Index | Exchange Traded | 20,800 | USD 6,720,022 | USD 2,575.00 | 3/31/2020 | (11,440 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Written Options Contracts (Premiums Received $80,766) |
| (81,120 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.0% |
| |||||||
Aerospace & Defense — 3.2% |
| |||||||
Boeing Co. (The) | 1,089 | 354,688 | ||||||
TransDigm Group, Inc. (a) | 365 | 204,288 | ||||||
|
| |||||||
| 558,976 | ||||||||
|
| |||||||
Automobiles — 2.6% |
| |||||||
Tesla, Inc. * (a) | 1,106 | 462,673 | ||||||
|
| |||||||
Beverages — 1.2% |
| |||||||
Monster Beverage Corp. * | 3,216 | 204,348 | ||||||
|
| |||||||
Biotechnology — 4.2% |
| |||||||
Amgen, Inc. (a) | 1,010 | 243,577 | ||||||
BioMarin Pharmaceutical, Inc. * | 1,074 | 90,815 | ||||||
Exact Sciences Corp. * (a) | 2,157 | 199,498 | ||||||
Moderna, Inc. * (a) | 1,745 | 34,132 | ||||||
Regeneron Pharmaceuticals, Inc. * (a) | 259 | 97,287 | ||||||
Sarepta Therapeutics, Inc. * (a) | 600 | 77,437 | ||||||
|
| |||||||
| 742,746 | ||||||||
|
| |||||||
Capital Markets — 6.5% |
| |||||||
Charles Schwab Corp. (The) | 6,225 | 296,048 | ||||||
MarketAxess Holdings, Inc. | 884 | 335,133 | ||||||
Morgan Stanley | 2,181 | 111,498 | ||||||
MSCI, Inc. | 429 | 110,837 | ||||||
S&P Global, Inc. | 1,076 | 293,747 | ||||||
|
| |||||||
| 1,147,263 | ||||||||
|
| |||||||
Chemicals — 2.6% |
| |||||||
Air Products & Chemicals, Inc. | 1,077 | 253,108 | ||||||
Ecolab, Inc. | 260 | 50,089 | ||||||
Sherwin-Williams Co. (The) | 271 | 158,314 | ||||||
|
| |||||||
| 461,511 | ||||||||
|
| |||||||
Electrical Equipment — 1.5% |
| |||||||
Rockwell Automation, Inc. | 1,318 | 267,160 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
Amphenol Corp., Class A | 1,853 | 200,496 | ||||||
|
| |||||||
Entertainment — 1.3% |
| |||||||
Netflix, Inc. * | 705 | 228,052 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.8% |
| |||||||
Equinix, Inc. | 232 | 135,623 | ||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
Costco Wholesale Corp. | 443 | 130,265 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 5.7% |
| |||||||
Abbott Laboratories | 1,487 | 129,152 | ||||||
ABIOMED, Inc. * (a) | 183 | 31,252 | ||||||
Boston Scientific Corp. * (a) | 5,987 | 270,710 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
DexCom, Inc. * | 1,428 | 312,339 | ||||||
Intuitive Surgical, Inc. * | 455 | 268,899 | ||||||
|
| |||||||
| 1,012,352 | ||||||||
|
| |||||||
Health Care Technology — 0.9% |
| |||||||
Veeva Systems, Inc., Class A * | 1,107 | 155,711 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.9% |
| |||||||
Chipotle Mexican Grill, Inc. * | 404 | 338,276 | ||||||
Las Vegas Sands Corp. | 2,898 | 200,071 | ||||||
Starbucks Corp. | 3,669 | 322,605 | ||||||
|
| |||||||
| 860,952 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.5% |
| |||||||
Honeywell International, Inc. | 1,263 | 223,498 | ||||||
Roper Technologies, Inc. | 607 | 215,053 | ||||||
|
| |||||||
| 438,551 | ||||||||
|
| |||||||
Interactive Media & Services — 8.8% |
| |||||||
Alphabet, Inc., Class C * | 722 | 965,010 | ||||||
Facebook, Inc., Class A * | 1,398 | 286,986 | ||||||
Match Group, Inc. * (a) | 2,961 | 243,160 | ||||||
Twitter, Inc. * | 1,577 | 50,556 | ||||||
|
| |||||||
| 1,545,712 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 7.9% |
| |||||||
Alibaba Group Holding Ltd., ADR (China) * | 624 | 132,308 | ||||||
Amazon.com, Inc. * | 345 | 637,514 | ||||||
Booking Holdings, Inc. * | 101 | 206,811 | ||||||
MercadoLibre, Inc. (Argentina) * | 646 | 369,187 | ||||||
Wayfair, Inc., Class A * (a) | 408 | 36,862 | ||||||
|
| |||||||
| 1,382,682 | ||||||||
|
| |||||||
IT Services — 7.3% |
| |||||||
Fidelity National Information Services, Inc. (a) | 965 | 134,223 | ||||||
Mastercard, Inc., Class A (a) | 2,105 | 628,562 | ||||||
PayPal Holdings, Inc. * | 3,409 | 368,800 | ||||||
Shopify, Inc., Class A (Canada) * | 382 | 151,677 | ||||||
|
| |||||||
| 1,283,262 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.1% |
| |||||||
Illumina, Inc. * | 317 | 105,220 | ||||||
Thermo Fisher Scientific, Inc. | 833 | 270,636 | ||||||
|
| |||||||
| 375,856 | ||||||||
|
| |||||||
Personal Products — 1.1% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 910 | 187,848 | ||||||
|
| |||||||
Professional Services — 1.1% |
| |||||||
CoStar Group, Inc. * | 329 | 196,960 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Road & Rail — 1.8% |
| |||||||
Lyft, Inc., Class A * | 536 | 23,040 | ||||||
Norfolk Southern Corp. | 1,501 | 291,311 | ||||||
|
| |||||||
| 314,351 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.5% |
| |||||||
Advanced Micro Devices, Inc. * | 8,776 | 402,486 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 583 | 172,414 | ||||||
NVIDIA Corp. | 862 | 202,938 | ||||||
QUALCOMM, Inc. | 1,404 | 123,875 | ||||||
Texas Instruments, Inc. | 3,143 | 403,267 | ||||||
Xilinx, Inc. | 249 | 24,335 | ||||||
|
| |||||||
| 1,329,315 | ||||||||
|
| |||||||
Software — 11.8% |
| |||||||
Atlassian Corp. plc, Class A * | 1,374 | 165,347 | ||||||
Microsoft Corp. | 7,392 | 1,165,703 | ||||||
salesforce.com, Inc. * | 530 | 86,199 | ||||||
ServiceNow, Inc. * | 669 | 188,914 | ||||||
SS&C Technologies Holdings, Inc. | 1,166 | 71,580 | ||||||
Synopsys, Inc. * | 1,849 | 257,423 | ||||||
Trade Desk, Inc. (The), Class A * (a) | 556 | 144,516 | ||||||
|
| |||||||
| 2,079,682 | ||||||||
|
| |||||||
Specialty Retail — 2.5% |
| |||||||
Home Depot, Inc. (The) | 1,446 | 315,699 | ||||||
Ross Stores, Inc. | 1,108 | 129,037 | ||||||
|
| |||||||
| 444,736 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.7% |
| |||||||
Apple, Inc. | 2,210 | 649,030 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
Lululemon Athletica, Inc. * | 1,317 | 305,202 | ||||||
|
| |||||||
Total Common Stocks |
| 17,101,315 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 5.6% |
| |||||||
Investment Companies — 3.1% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 553,692 | 553,858 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 2.5% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 390,024 | 390,062 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 46,512 | 46,512 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 436,574 | |||||||
|
| |||||||
Total Short-Term Investments | 990,432 | |||||||
|
| |||||||
Total Investments — 102.6% |
| 18,091,747 | ||||||
Liabilities in Excess of |
| (466,733 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 17,625,014 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations | ||
| ADR | American Depositary Receipt | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $426,730,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.3% |
| |||||||
Aerospace & Defense — 2.7% |
| |||||||
Arconic, Inc. | 420 | 12,911 | ||||||
General Dynamics Corp. | 178 | 31,320 | ||||||
|
| |||||||
| 44,231 | ||||||||
|
| |||||||
Airlines — 2.9% |
| |||||||
Delta Air Lines, Inc. | 161 | 9,398 | ||||||
JetBlue Airways Corp. * | 480 | 8,993 | ||||||
Southwest Airlines Co. | 536 | 28,922 | ||||||
|
| |||||||
| 47,313 | ||||||||
|
| |||||||
Auto Components — 1.2% |
| |||||||
Adient plc * (a) | 267 | 5,672 | ||||||
Autoliv, Inc. (Sweden) (a) | 93 | 7,867 | ||||||
Delphi Technologies plc * | 473 | 6,063 | ||||||
|
| |||||||
| 19,602 | ||||||||
|
| |||||||
Automobiles — 1.0% |
| |||||||
General Motors Co. | 461 | 16,862 | ||||||
|
| |||||||
Banks — 8.3% |
| |||||||
Bank of America Corp. | 1,370 | 48,237 | ||||||
Citigroup, Inc. | 477 | 38,094 | ||||||
East West Bancorp, Inc. | 160 | 7,777 | ||||||
Wells Fargo & Co. | 751 | 40,415 | ||||||
|
| |||||||
| 134,523 | ||||||||
|
| |||||||
Biotechnology — 1.8% |
| |||||||
AbbVie, Inc. | 118 | 10,430 | ||||||
Alexion Pharmaceuticals, Inc. * | 77 | 8,285 | ||||||
Regeneron Pharmaceuticals, Inc. * | 29 | 10,701 | ||||||
|
| |||||||
| 29,416 | ||||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
Owens Corning | 104 | 6,799 | ||||||
|
| |||||||
Capital Markets — 3.3% |
| |||||||
Intercontinental Exchange, Inc. | 94 | 8,700 | ||||||
Morgan Stanley | 861 | 44,029 | ||||||
|
| |||||||
| 52,729 | ||||||||
|
| |||||||
Chemicals — 5.7% |
| |||||||
Celanese Corp. | 38 | 4,629 | ||||||
Eastman Chemical Co. | 138 | 10,962 | ||||||
FMC Corp. (a) | 627 | 62,567 | ||||||
Linde plc (United Kingdom) | 69 | 14,775 | ||||||
|
| |||||||
| 92,933 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
Capital One Financial Corp. | 188 | 19,316 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Containers & Packaging — 0.2% |
| |||||||
Westrock Co. | 82 | 3,536 | ||||||
|
| |||||||
Diversified Financial Services — 2.3% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 167 | 37,735 | ||||||
|
| |||||||
Electric Utilities — 2.5% |
| |||||||
Edison International | 311 | 23,415 | ||||||
Entergy Corp. | 69 | 8,218 | ||||||
Xcel Energy, Inc. | 135 | 8,590 | ||||||
|
| |||||||
| 40,223 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
Eaton Corp. plc | 91 | 8,572 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.9% |
| |||||||
Empire State Realty Trust, Inc., Class A | 457 | 6,378 | ||||||
JBG SMITH Properties (a) | 209 | 8,341 | ||||||
SBA Communications Corp. | 59 | 14,291 | ||||||
Ventas, Inc. (a) | 613 | 35,400 | ||||||
VEREIT, Inc. | 873 | 8,069 | ||||||
VICI Properties, Inc. | 658 | 16,807 | ||||||
Weingarten Realty Investors | 380 | 11,865 | ||||||
WP Carey, Inc. | 120 | 9,629 | ||||||
|
| |||||||
| 110,780 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Sprouts Farmers Market, Inc. * (a) | 166 | 3,212 | ||||||
Walmart, Inc. | 117 | 13,916 | ||||||
|
| |||||||
| 17,128 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
Lamb Weston Holdings, Inc. | 289 | 24,880 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.9% |
| |||||||
Becton Dickinson and Co. | 57 | 15,475 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 208 | 31,178 | ||||||
|
| |||||||
| 46,653 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
Centene Corp. * | 166 | 10,455 | ||||||
Cigna Corp. | 195 | 39,957 | ||||||
McKesson Corp. | 72 | 10,001 | ||||||
|
| |||||||
| 60,413 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% |
| |||||||
Carnival Corp. | 171 | 8,707 | ||||||
Norwegian Cruise Line Holdings Ltd. * | 278 | 16,221 | ||||||
Wynn Resorts Ltd. | 130 | 18,067 | ||||||
|
| |||||||
| 42,995 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Durables — 1.4% |
| |||||||
Lennar Corp., Class A | 291 | 16,258 | ||||||
Whirlpool Corp. | 44 | 6,432 | ||||||
|
| |||||||
| 22,690 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Energizer Holdings, Inc. (a) | 152 | 7,623 | ||||||
|
| |||||||
Insurance — 4.4% | ||||||||
Axis Capital Holdings Ltd. | 144 | 8,583 | ||||||
Lincoln National Corp. | 278 | 16,411 | ||||||
MetLife, Inc. | 402 | 20,505 | ||||||
Prudential Financial, Inc. | 269 | 25,207 | ||||||
|
| |||||||
| 70,706 | ||||||||
|
| |||||||
IT Services — 0.9% | ||||||||
DXC Technology Co. | 139 | 5,233 | ||||||
Fidelity National Information Services, Inc. | 65 | 9,013 | ||||||
|
| |||||||
| 14,246 | ||||||||
|
| |||||||
Leisure Products — 0.5% | ||||||||
Brunswick Corp. | 142 | 8,535 | ||||||
|
| |||||||
Machinery — 0.6% | ||||||||
Parker-Hannifin Corp. | 46 | 9,488 | ||||||
|
| |||||||
Media — 9.6% | ||||||||
Altice USA, Inc., Class A * | 646 | 17,673 | ||||||
Charter Communications, Inc., Class A * | 104 | 50,545 | ||||||
Comcast Corp., Class A | 1,406 | 63,237 | ||||||
Discovery, Inc., Class A * (a) | 159 | 5,219 | ||||||
DISH Network Corp., Class A * | 182 | 6,441 | ||||||
ViacomCBS, Inc. | 274 | 11,491 | ||||||
|
| |||||||
| 154,606 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
Alcoa Corp. * | 375 | 8,073 | ||||||
Nucor Corp. | 89 | 5,026 | ||||||
|
| |||||||
| 13,099 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar Tree, Inc. * | 82 | 7,693 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.5% |
| |||||||
Chevron Corp. | 334 | 40,287 | ||||||
Concho Resources, Inc. | 239 | 20,903 | ||||||
Diamondback Energy, Inc. | 294 | 27,292 | ||||||
Marathon Petroleum Corp. | 477 | 28,739 | ||||||
Pioneer Natural Resources Co. | 237 | 35,844 | ||||||
|
| |||||||
| 153,065 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — 5.3% |
| |||||||
Bristol-Myers Squibb Co. | 483 | 30,972 | ||||||
Eli Lilly & Co. | 228 | 29,908 | ||||||
Merck & Co., Inc. | 282 | 25,621 | ||||||
|
| |||||||
| 86,501 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.4% |
| |||||||
CBRE Group, Inc., Class A * | 90 | 5,497 | ||||||
Cushman & Wakefield plc * (a) | 854 | 17,454 | ||||||
|
| |||||||
| 22,951 | ||||||||
|
| |||||||
Road & Rail — 0.2% |
| |||||||
Lyft, Inc., Class A * (a) | 88 | 3,803 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Analog Devices, Inc. | 89 | 10,553 | ||||||
Broadcom, Inc. | 21 | 6,668 | ||||||
First Solar, Inc. * (a) | 132 | 7,398 | ||||||
ON Semiconductor Corp. * (a) | 1,185 | 28,898 | ||||||
|
| |||||||
| 53,517 | ||||||||
|
| |||||||
Software — 0.9% |
| |||||||
LogMeIn, Inc. | 109 | 9,320 | ||||||
salesforce.com, Inc. * | 30 | 4,798 | ||||||
|
| |||||||
| 14,118 | ||||||||
|
| |||||||
Specialty Retail — 1.3% |
| |||||||
Best Buy Co., Inc. | 236 | 20,756 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
Dell Technologies, Inc., Class C * | 116 | 5,977 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Kontoor Brands, Inc. | 88 | 3,679 | ||||||
Levi Strauss & Co., Class A (a) | 139 | 2,681 | ||||||
Ralph Lauren Corp. | 63 | 7,338 | ||||||
|
| |||||||
| 13,698 | ||||||||
|
| |||||||
Tobacco — 3.1% |
| |||||||
Altria Group, Inc. | 228 | 11,354 | ||||||
Philip Morris International, Inc. | 456 | 38,793 | ||||||
|
| |||||||
| 50,147 | ||||||||
|
| |||||||
Total Common Stocks |
| 1,589,858 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | NO. OF RIGHTS (000) | VALUE ($000) | ||||||
Rights — 0.0%(b) |
| |||||||
Pharmaceuticals — 0.0%(b) |
| |||||||
Bristol-Myers Squibb Co., CVR, expiring 12/31/2020 * | 214 | 645 | ||||||
|
| |||||||
| SHARES (000) | ||||||||
Short-Term Investments — 3.0% |
| |||||||
Investment Companies — 1.8% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 28,859 | 28,867 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 13,200 | 13,201 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 6,743 | 6,743 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 19,944 | |||||||
|
| |||||||
Total Short-Term Investments | 48,811 | |||||||
|
| |||||||
Total Investments — 101.3% |
| 1,639,314 | ||||||
Liabilities in Excess of |
| (21,135 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,618,179 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| CVR | Contingent Value | |
| USD | United States Dollar | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $19,448,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.6% |
| |||||||
Aerospace & Defense — 3.2% |
| |||||||
General Dynamics Corp. | 752 | 132,546 | ||||||
Northrop Grumman Corp. | 972 | 334,323 | ||||||
United Technologies Corp. | 255 | 38,207 | ||||||
|
| |||||||
| 505,076 | ||||||||
|
| |||||||
Banks — 5.1% |
| |||||||
Bank of America Corp. | 1,912 | 67,357 | ||||||
Citigroup, Inc. | 1,029 | 82,243 | ||||||
First Republic Bank | 39 | 4,616 | ||||||
Huntington Bancshares, Inc. | 10,825 | 163,243 | ||||||
KeyCorp (a) | 8,390 | 169,805 | ||||||
SVB Financial Group * (a) | 676 | 169,663 | ||||||
Truist Financial Corp. | 2,028 | 114,227 | ||||||
Wells Fargo & Co. | 665 | 35,773 | ||||||
|
| |||||||
| 806,927 | ||||||||
|
| |||||||
Beverages — 4.5% |
| |||||||
Coca-Cola Co. (The) | 7,772 | 430,190 | ||||||
Constellation Brands, Inc., Class A | 1,390 | 263,805 | ||||||
PepsiCo, Inc. | 30 | 4,127 | ||||||
|
| |||||||
| 698,122 | ||||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
AbbVie, Inc. | 2,250 | 199,238 | ||||||
Alexion Pharmaceuticals, Inc. * | 853 | 92,278 | ||||||
Biogen, Inc. * | 229 | 67,880 | ||||||
Regeneron Pharmaceuticals, Inc. * | 12 | 4,445 | ||||||
Vertex Pharmaceuticals, Inc. * | 93 | 20,263 | ||||||
|
| |||||||
| 384,104 | ||||||||
|
| |||||||
Capital Markets — 2.6% |
| |||||||
Ameriprise Financial, Inc. | 759 | 126,475 | ||||||
BlackRock, Inc. | 5 | 2,354 | ||||||
Charles Schwab Corp. (The) | 578 | 27,506 | ||||||
Morgan Stanley | 4,982 | 254,678 | ||||||
State Street Corp. | 32 | 2,548 | ||||||
|
| |||||||
| 413,561 | ||||||||
|
| |||||||
Chemicals — 1.5% |
| |||||||
Air Products & Chemicals, Inc. | 21 | 4,990 | ||||||
Celanese Corp. | 33 | 4,029 | ||||||
DuPont de Nemours, Inc. | 408 | 26,203 | ||||||
Eastman Chemical Co. | 1,801 | 142,779 | ||||||
FMC Corp. | 40 | 3,952 | ||||||
Linde plc (United Kingdom) | 222 | 47,244 | ||||||
|
| |||||||
| 229,197 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Commercial Services & Supplies — 0.0%(b) |
| |||||||
Waste Management, Inc. | 50 | 5,684 | ||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
American Express Co. | 122 | 15,134 | ||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
Crown Holdings, Inc. * | 1,575 | 114,280 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
Verizon Communications, Inc. | 5,651 | 346,966 | ||||||
|
| |||||||
Electric Utilities — 4.3% |
| |||||||
American Electric Power Co., Inc. | 1,438 | 135,932 | ||||||
Edison International | 255 | 19,232 | ||||||
Entergy Corp. | 42 | 5,019 | ||||||
NextEra Energy, Inc. | 1,174 | 284,273 | ||||||
Xcel Energy, Inc. | 3,551 | 225,484 | ||||||
|
| |||||||
| 669,940 | ||||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
Eaton Corp. plc | 2,635 | 249,587 | ||||||
|
| |||||||
Entertainment — 1.4% |
| |||||||
Netflix, Inc. * | 667 | 215,878 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
Equinix, Inc. | 4 | 2,276 | ||||||
Prologis, Inc. | 3,913 | 348,818 | ||||||
Ventas, Inc. (a) | 412 | 23,803 | ||||||
VICI Properties, Inc. | 741 | 18,933 | ||||||
|
| |||||||
| 393,830 | ||||||||
|
| |||||||
Food Products — 0.0%(b) |
| |||||||
Mondelez International, Inc., Class A | 113 | 6,243 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
Becton Dickinson and Co. | 115 | 31,313 | ||||||
Boston Scientific Corp. * | 6,134 | 277,392 | ||||||
Intuitive Surgical, Inc. * (a) | 265 | 156,421 | ||||||
Medtronic plc | 29 | 3,317 | ||||||
Zimmer Biomet Holdings, Inc. | 293 | 43,881 | ||||||
|
| |||||||
| 512,324 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.6% |
| |||||||
Anthem, Inc. | 8 | 2,431 | ||||||
Cigna Corp. | 1,041 | 212,945 | ||||||
HCA Healthcare, Inc. | 17 | 2,522 | ||||||
Quest Diagnostics, Inc. | 1,004 | 107,246 | ||||||
UnitedHealth Group, Inc. | 1,361 | 400,052 | ||||||
|
| |||||||
| 725,196 | ||||||||
|
| |||||||
| 44 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Hotels, Restaurants & Leisure — 2.8% |
| |||||||
Hilton Worldwide Holdings, Inc. | 33 | 3,672 | ||||||
Las Vegas Sands Corp. | 72 | 4,988 | ||||||
McDonald’s Corp. | 1,067 | 210,842 | ||||||
Royal Caribbean Cruises Ltd. (a) | 1,418 | 189,336 | ||||||
Yum! Brands, Inc. | 251 | 25,266 | ||||||
|
| |||||||
| 434,104 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
Procter & Gamble Co. (The) | 426 | 53,235 | ||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
Honeywell International, Inc. | 340 | 60,182 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Arthur J Gallagher & Co. | 765 | 72,889 | ||||||
Hartford Financial Services Group, Inc. (The) | 321 | 19,523 | ||||||
MetLife, Inc. | 110 | 5,591 | ||||||
Progressive Corp. (The) | 2,284 | 165,307 | ||||||
Prudential Financial, Inc. (a) | 158 | 14,803 | ||||||
|
| |||||||
| 278,113 | ||||||||
|
| |||||||
Interactive Media & Services — 5.8% |
| |||||||
Alphabet, Inc., Class A * | 452 | 605,545 | ||||||
Alphabet, Inc., Class C * | 116 | 154,510 | ||||||
Facebook, Inc., Class A * | 751 | 154,197 | ||||||
|
| |||||||
| 914,252 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.6% |
| |||||||
Amazon.com, Inc. * | 383 | 707,359 | ||||||
Expedia Group, Inc. | 103 | 11,184 | ||||||
|
| |||||||
| 718,543 | ||||||||
|
| |||||||
IT Services — 6.5% |
| |||||||
Automatic Data Processing, Inc. | 242 | 41,281 | ||||||
Fidelity National Information Services, Inc. | 125 | 17,423 | ||||||
Fiserv, Inc. * | 290 | 33,481 | ||||||
Leidos Holdings, Inc. | 2,054 | 201,114 | ||||||
Mastercard, Inc., Class A (a) | 1,638 | 489,044 | ||||||
PayPal Holdings, Inc. * | 1,979 | 214,052 | ||||||
WEX, Inc. * (a) | 72 | 15,065 | ||||||
|
| |||||||
| 1,011,460 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Thermo Fisher Scientific, Inc. | 555 | 180,178 | ||||||
|
| |||||||
Machinery — 0.5% |
| |||||||
Deere & Co. | 109 | 18,928 | ||||||
Ingersoll-Rand plc | 263 | 34,896 | ||||||
Stanley Black & Decker, Inc. | 171 | 28,288 | ||||||
|
| |||||||
| 82,112 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Media — 2.5% |
| |||||||
Altice USA, Inc., Class A * | 414 | 11,316 | ||||||
Charter Communications, Inc., Class A * | 505 | 244,820 | ||||||
Comcast Corp., Class A | 1,312 | 59,014 | ||||||
Discovery, Inc., Class A * (a) | 122 | 3,990 | ||||||
Discovery, Inc., Class C * (a) | 2,265 | 69,052 | ||||||
|
| |||||||
| 388,192 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.0% |
| |||||||
Chevron Corp. | 2,272 | 273,816 | ||||||
Concho Resources, Inc. | 162 | 14,145 | ||||||
Diamondback Energy, Inc. | 1,844 | 171,198 | ||||||
EOG Resources, Inc. | 55 | 4,599 | ||||||
Marathon Petroleum Corp. | 432 | 26,033 | ||||||
Parsley Energy, Inc., Class A | 592 | 11,196 | ||||||
Pioneer Natural Resources Co. (a) | 763 | 115,551 | ||||||
TC Energy Corp. (Canada) (a) | 83 | 4,424 | ||||||
|
| |||||||
| 620,962 | ||||||||
|
| |||||||
Pharmaceuticals — 4.3% |
| |||||||
Allergan plc | 13 | 2,513 | ||||||
Bristol-Myers Squibb Co. | 2,713 | 174,131 | ||||||
Eli Lilly & Co. | 1,356 | 178,196 | ||||||
Johnson & Johnson | 762 | 111,115 | ||||||
Merck & Co., Inc. | 2,054 | 186,775 | ||||||
Nektar Therapeutics * (a) | 800 | 17,277 | ||||||
|
| |||||||
| 670,007 | ||||||||
|
| |||||||
Road & Rail — 2.3% |
| |||||||
Kansas City Southern | 22 | 3,397 | ||||||
Lyft, Inc., Class A * (a) | 192 | 8,258 | ||||||
Norfolk Southern Corp. | 1,735 | 336,900 | ||||||
Union Pacific Corp. | 60 | 10,834 | ||||||
|
| |||||||
| 359,389 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.1% |
| |||||||
Advanced Micro Devices, Inc. * (a) | 3,686 | 169,021 | ||||||
Analog Devices, Inc. | 2,142 | 254,577 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) (a) | 72 | 21,255 | ||||||
Broadcom, Inc. | 18 | 5,716 | ||||||
NVIDIA Corp. | 138 | 32,400 | ||||||
NXP Semiconductors NV (Netherlands) | 280 | 35,643 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 4,971 | 288,803 | ||||||
Texas Instruments, Inc. | 2,340 | 300,227 | ||||||
|
| |||||||
| 1,107,642 | ||||||||
| �� | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — 8.7% |
| |||||||
Coupa Software, Inc. * | 332 | 48,605 | ||||||
Intuit, Inc. | 24 | 6,356 | ||||||
Microsoft Corp. | 5,969 | 941,367 | ||||||
salesforce.com, Inc. * | 2,045 | 332,664 | ||||||
ServiceNow, Inc. * | 9 | 2,426 | ||||||
Slack Technologies, Inc., Class A * (a) | 423 | 9,517 | ||||||
Workday, Inc., Class A * | 163 | 26,787 | ||||||
|
| |||||||
| 1,367,722 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
AutoZone, Inc. * | 5 | 5,604 | ||||||
Best Buy Co., Inc. | 154 | 13,548 | ||||||
Home Depot, Inc. (The) | 236 | 51,521 | ||||||
Lowe’s Cos., Inc. | 268 | 32,143 | ||||||
O’Reilly Automotive, Inc. * | 616 | 269,801 | ||||||
Ross Stores, Inc. | 730 | 84,950 | ||||||
TJX Cos., Inc. (The) | 611 | 37,328 | ||||||
|
| |||||||
| 494,895 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.3% |
| |||||||
Apple, Inc. | 1,782 | 523,170 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.1% |
| |||||||
NIKE, Inc., Class B | 95 | 9,663 | ||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
Philip Morris International, Inc. | 403 | 34,328 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
T-Mobile US, Inc. * (a) | 159 | 12,494 | ||||||
|
| |||||||
Total Common Stocks |
| 15,612,692 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.9% |
| |||||||
Investment Companies — 0.6% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 99,177 | 99,207 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned �� 0.3% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 30,009 | 30,012 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 12,154 | 12,154 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 42,166 | |||||||
|
| |||||||
Total Short-Term Investments | 141,373 | |||||||
|
| |||||||
Total Investments — 100.5% |
| 15,754,065 | ||||||
Liabilities in Excess of |
| (80,828 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 15,673,237 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| ADR | American Depositary Receipt | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $41,689,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
| S&P 500E-Mini Index | 80 | 03/2020 | USD | 12,928 | 238 | |||||||||||||||
|
| |||||||||||||||||||
| Abbreviations | ||
| USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — 125.4% |
| |||||||
Common Stocks — 124.6% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
General Dynamics Corp. (a) | 229 | 40,385 | ||||||
Northrop Grumman Corp. (a) | 114 | 39,206 | ||||||
United Technologies Corp. | 374 | 56,050 | ||||||
|
| |||||||
| 135,641 | ||||||||
|
| |||||||
Auto Components — 0.2% |
| |||||||
BorgWarner, Inc. | 26 | 1,141 | ||||||
Magna International, Inc. (Canada) | 120 | 6,606 | ||||||
|
| |||||||
| 7,747 | ||||||||
|
| |||||||
Banks — 6.1% |
| |||||||
Bank of America Corp. (a) | 1,952 | 68,738 | ||||||
Citigroup, Inc. | 1,255 | 100,251 | ||||||
Citizens Financial Group, Inc. | 169 | 6,851 | ||||||
First Horizon National Corp. | 255 | 4,221 | ||||||
First Republic Bank | 146 | 17,157 | ||||||
KeyCorp | 1,969 | 39,846 | ||||||
Regions Financial Corp. | 392 | 6,728 | ||||||
Wells Fargo & Co. | 538 | 28,926 | ||||||
|
| |||||||
| 272,718 | ||||||||
|
| |||||||
Beverages — 2.4% |
| |||||||
Coca-Cola Co. (The) (a) | 1,055 | 58,396 | ||||||
Constellation Brands, Inc., Class A | 117 | 22,272 | ||||||
PepsiCo, Inc. (a) | 190 | 25,977 | ||||||
|
| |||||||
| 106,645 | ||||||||
|
| |||||||
Biotechnology — 3.3% |
| |||||||
AbbVie, Inc. | 896 | 79,348 | ||||||
Alexion Pharmaceuticals, Inc. * | 151 | 16,315 | ||||||
Biogen, Inc. * | 44 | 13,123 | ||||||
Regeneron Pharmaceuticals, Inc. * | 44 | 16,521 | ||||||
Vertex Pharmaceuticals, Inc. * | 89 | 19,587 | ||||||
|
| |||||||
| 144,894 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
Masco Corp. | 111 | 5,312 | ||||||
|
| |||||||
Capital Markets — 2.8% |
| |||||||
Ameriprise Financial, Inc. | 122 | 20,292 | ||||||
BlackRock, Inc. | 26 | 13,183 | ||||||
Charles Schwab Corp. (The) | 491 | 23,362 | ||||||
Morgan Stanley (a) | 975 | 49,844 | ||||||
State Street Corp. | 231 | 18,261 | ||||||
|
| |||||||
| 124,942 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — 5.4% |
| |||||||
Air Products & Chemicals, Inc. | 154 | 36,122 | ||||||
Celanese Corp. | 122 | 14,975 | ||||||
DuPont de Nemours, Inc. | 807 | 51,808 | ||||||
FMC Corp. | 319 | 31,809 | ||||||
Linde plc (United Kingdom) | 481 | 102,357 | ||||||
|
| |||||||
| 237,071 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
Waste Management, Inc. | 368 | 41,931 | ||||||
|
| |||||||
Consumer Finance — 1.3% |
| |||||||
American Express Co. (a) | 452 | 56,247 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
Verizon Communications, Inc. | 489 | 30,027 | ||||||
|
| |||||||
Electric Utilities — 4.1% |
| |||||||
American Electric Power Co., Inc. | 62 | 5,905 | ||||||
Edison International | 254 | 19,131 | ||||||
Entergy Corp. | 346 | 41,419 | ||||||
NextEra Energy, Inc. (a) | 330 | 79,878 | ||||||
Xcel Energy, Inc. | 578 | 36,711 | ||||||
|
| |||||||
| 183,044 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
AMETEK, Inc. | 90 | 8,954 | ||||||
Eaton Corp. plc | 189 | 17,892 | ||||||
Emerson Electric Co. | 58 | 4,440 | ||||||
|
| |||||||
| 31,286 | ||||||||
|
| |||||||
Entertainment — 0.9% |
| |||||||
Electronic Arts, Inc. * | 66 | 7,088 | ||||||
Netflix, Inc. * (a) | 104 | 33,730 | ||||||
|
| |||||||
| 40,818 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% |
| |||||||
Equinix, Inc. | 54 | 31,478 | ||||||
Invitation Homes, Inc. | 147 | 4,395 | ||||||
JBG SMITH Properties | 264 | 10,534 | ||||||
Prologis, Inc. | 697 | 62,173 | ||||||
Ventas, Inc. | 593 | 34,246 | ||||||
VICI Properties, Inc. | 269 | 6,876 | ||||||
|
| |||||||
| 149,702 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
Conagra Brands, Inc. | 151 | 5,163 | ||||||
General Mills, Inc. (a) | 68 | 3,651 | ||||||
Mondelez International, Inc., Class A (a) | 496 | 27,346 | ||||||
|
| |||||||
| 36,160 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Health Care Equipment & Supplies — 3.8% |
| |||||||
Boston Scientific Corp. * (a) | 1,420 | 64,227 | ||||||
Intuitive Surgical, Inc. * | 23 | 13,646 | ||||||
Medtronic plc | 147 | 16,646 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 506 | 75,801 | ||||||
|
| |||||||
| 170,320 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
Anthem, Inc. | 67 | 20,293 | ||||||
Cigna Corp. (a) | 321 | 65,578 | ||||||
HCA Healthcare, Inc. | 177 | 26,226 | ||||||
McKesson Corp. | 27 | 3,756 | ||||||
UnitedHealth Group, Inc. (a) | 224 | 65,810 | ||||||
|
| |||||||
| 181,663 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% |
| |||||||
Hilton Worldwide Holdings, Inc. | 123 | 13,646 | ||||||
Las Vegas Sands Corp. | 336 | 23,182 | ||||||
McDonald’s Corp. | 117 | 23,214 | ||||||
MGM Resorts International | 139 | 4,629 | ||||||
Royal Caribbean Cruises Ltd. | 70 | 9,376 | ||||||
Yum! Brands, Inc. | 447 | 45,033 | ||||||
|
| |||||||
| 119,080 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
DR Horton, Inc. | 159 | 8,367 | ||||||
Lennar Corp., Class A | 148 | 8,254 | ||||||
Mohawk Industries, Inc. * | 30 | 4,028 | ||||||
|
| |||||||
| 20,649 | ||||||||
|
| |||||||
Household Products — 1.4% |
| |||||||
Procter & Gamble Co. (The) (a) | 493 | 61,553 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
Honeywell International, Inc. | 391 | 69,155 | ||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
Arthur J Gallagher & Co. | 362 | 34,507 | ||||||
Hartford Financial Services Group, Inc. (The) | 232 | 14,087 | ||||||
Lincoln National Corp. | 37 | 2,162 | ||||||
MetLife, Inc. | 495 | 25,238 | ||||||
Progressive Corp. (The) | 438 | 31,696 | ||||||
Reinsurance Group of America, Inc. | 28 | 4,519 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 12 | 2,254 | ||||||
Willis Towers Watson plc | 42 | 8,394 | ||||||
|
| |||||||
| 122,857 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — 6.8% |
| |||||||
Alphabet, Inc., Class A * (a) | 85 | 113,947 | ||||||
Alphabet, Inc., Class C * (a) | 70 | 94,168 | ||||||
Facebook, Inc., Class A * (a) | 387 | 79,330 | ||||||
Snap, Inc., Class A * | 911 | 14,875 | ||||||
|
| |||||||
| 302,320 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.5% |
| |||||||
Amazon.com, Inc. * (a) | 100 | 185,523 | ||||||
Expedia Group, Inc. | 110 | 11,893 | ||||||
|
| |||||||
| 197,416 | ||||||||
|
| |||||||
IT Services — 9.3% |
| |||||||
Automatic Data Processing, Inc. (a) | 290 | 49,465 | ||||||
Fidelity National Information Services, Inc. (a) | 544 | 75,681 | ||||||
Fiserv, Inc. * (a) | 808 | 93,403 | ||||||
Leidos Holdings, Inc. | 415 | 40,599 | ||||||
Mastercard, Inc., Class A (a) | 293 | 87,450 | ||||||
PayPal Holdings, Inc. * | 343 | 37,140 | ||||||
WEX, Inc. * | 142 | 29,793 | ||||||
|
| |||||||
| 413,531 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% |
| |||||||
Thermo Fisher Scientific, Inc. | 126 | 40,813 | ||||||
|
| |||||||
Machinery — 2.0% |
| |||||||
Gardner Denver Holdings, Inc. * | 132 | 4,830 | ||||||
Ingersoll-Rand plc | 389 | 51,678 | ||||||
Parker-Hannifin Corp. | 55 | 11,248 | ||||||
Stanley Black & Decker, Inc. | 138 | 22,937 | ||||||
|
| |||||||
| 90,693 | ||||||||
|
| |||||||
Media — 4.1% |
| |||||||
Altice USA, Inc., Class A * | 588 | 16,085 | ||||||
Charter Communications, Inc., Class A * | 123 | 59,516 | ||||||
Comcast Corp., Class A (a) | 1,800 | 80,964 | ||||||
Discovery, Inc., Class A * | 576 | 18,867 | ||||||
ViacomCBS, Inc. | 166 | 6,975 | ||||||
|
| |||||||
| 182,407 | ||||||||
|
| |||||||
Multiline Retail — 0.1% |
| |||||||
Dollar General Corp. | 38 | 5,965 | ||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
CMS Energy Corp. | 67 | 4,195 | ||||||
Sempra Energy | 30 | 4,488 | ||||||
|
| |||||||
| 8,683 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Oil, Gas & Consumable Fuels — 7.0% |
| |||||||
Chevron Corp. | 529 | 63,702 | ||||||
ConocoPhillips | 212 | 13,763 | ||||||
Diamondback Energy, Inc. | 541 | 50,267 | ||||||
EOG Resources, Inc. (a) | 204 | 17,092 | ||||||
Marathon Petroleum Corp. (a) | 1,106 | 66,638 | ||||||
ONEOK, Inc. (a) | 242 | 18,278 | ||||||
Parsley Energy, Inc., Class A | 874 | 16,525 | ||||||
Pioneer Natural Resources Co. (a) | 254 | 38,498 | ||||||
TC Energy Corp. (Canada) | 515 | 27,455 | ||||||
|
| |||||||
| 312,218 | ||||||||
|
| |||||||
Pharmaceuticals — 5.3% |
| |||||||
Allergan plc | 61 | 11,735 | ||||||
Bristol-Myers Squibb Co. | 1,351 | 86,719 | ||||||
Eli Lilly & Co. | 371 | 48,709 | ||||||
Johnson & Johnson | 256 | 37,384 | ||||||
Merck & Co., Inc. (a) | 560 | 50,937 | ||||||
|
| |||||||
| 235,484 | ||||||||
|
| |||||||
Road & Rail — 3.8% |
| |||||||
Kansas City Southern | 161 | 24,631 | ||||||
Lyft, Inc., Class A * | 266 | 11,423 | ||||||
Norfolk Southern Corp. (a) | 476 | 92,496 | ||||||
Union Pacific Corp. (a) | 223 | 40,265 | ||||||
|
| |||||||
| 168,815 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.0% |
| |||||||
Advanced Micro Devices, Inc.* | 1,367 | 62,690 | ||||||
Analog Devices, Inc. | 281 | 33,388 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 130 | 38,338 | ||||||
Broadcom, Inc. (a) | 67 | 21,246 | ||||||
NVIDIA Corp. (a) | 129 | 30,462 | ||||||
NXP Semiconductors NV (Netherlands) | 351 | 44,620 | ||||||
ON Semiconductor Corp. * | 201 | 4,912 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 677 | 39,312 | ||||||
Teradyne, Inc. | 74 | 5,047 | ||||||
Texas Instruments, Inc. (a) | 575 | 73,824 | ||||||
|
| |||||||
| 353,839 | ||||||||
|
| |||||||
Software — 9.3% |
| |||||||
Intuit, Inc. | 132 | 34,552 | ||||||
Microsoft Corp. (a) | 1,692 | 266,790 | ||||||
salesforce.com, Inc. *(a) | 468 | 76,106 | ||||||
ServiceNow, Inc. * | 40 | 11,327 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — continued |
| |||||||
Slack Technologies, Inc., Class A * | 300 | 6,737 | ||||||
Workday, Inc., Class A * | 99 | 16,241 | ||||||
|
| |||||||
| 411,753 | ||||||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
AutoZone, Inc. * (a) | 17 | 20,828 | ||||||
Best Buy Co., Inc. | 142 | 12,497 | ||||||
Home Depot, Inc. (The) (a) | 302 | 65,969 | ||||||
Lowe’s Cos., Inc. | 287 | 34,344 | ||||||
O’Reilly Automotive, Inc. * | 85 | 37,311 | ||||||
Ross Stores, Inc. | 129 | 14,964 | ||||||
TJX Cos., Inc. (The) | 448 | 27,384 | ||||||
|
| |||||||
| 213,297 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||
Apple, Inc. (a) | 593 | 174,215 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
NIKE, Inc., Class B | 497 | 50,345 | ||||||
|
| |||||||
Tobacco — 0.3% |
| |||||||
Philip Morris International, Inc. | 167 | 14,249 | ||||||
|
| |||||||
Total Common Stocks | 5,525,505 | |||||||
|
| |||||||
Short-Term Investments — 0.8% |
| |||||||
Investment Companies — 0.8% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 36,484 | 36,495 | ||||||
|
| |||||||
Total Long Positions | 5,562,000 | |||||||
|
| |||||||
Short Positions — (25.0)% |
| |||||||
Common Stocks — (25.0)% |
| |||||||
Aerospace & Defense — (0.5)% |
| |||||||
Boeing Co. (The) | (10 | ) | (3,287 | ) | ||||
Huntington Ingalls Industries, Inc. | (77 | ) | (19,299 | ) | ||||
|
| |||||||
| (22,586 | ) | |||||||
|
| |||||||
Air Freight & Logistics — (0.4)% |
| |||||||
CH Robinson Worldwide, Inc. | (142 | ) | (11,110 | ) | ||||
Expeditors International of Washington, Inc. | (111 | ) | (8,698 | ) | ||||
|
| |||||||
| (19,808 | ) | |||||||
|
| |||||||
Auto Components — (0.2)% |
| |||||||
Autoliv, Inc. (Sweden) | (130 | ) | (10,993 | ) | ||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Banks — (1.1)% |
| |||||||
BancorpSouth Bank | (217 | ) | (6,802 | ) | ||||
Bank of Hawaii Corp. | (94 | ) | (8,969 | ) | ||||
Commerce Bancshares, Inc. | (127 | ) | (8,643 | ) | ||||
Fulton Financial Corp. | (185 | ) | (3,217 | ) | ||||
Old National Bancorp | (123 | ) | (2,252 | ) | ||||
People’s United Financial, Inc. | (419 | ) | (7,077 | ) | ||||
US Bancorp | (222 | ) | (13,133 | ) | ||||
|
| |||||||
| (50,093 | ) | |||||||
|
| |||||||
Biotechnology — (0.2)% |
| |||||||
Amgen, Inc. | (34 | ) | (8,097 | ) | ||||
|
| |||||||
Building Products — (0.2)% |
| |||||||
Johnson Controls International plc | (77 | ) | (3,135 | ) | ||||
Lennox International, Inc. | (21 | ) | (5,019 | ) | ||||
|
| |||||||
| (8,154 | ) | |||||||
|
| |||||||
Capital Markets — (0.1)% |
| |||||||
CME Group, Inc. | (21 | ) | (4,311 | ) | ||||
Nasdaq, Inc. | (21 | ) | (2,253 | ) | ||||
|
| |||||||
| (6,564 | ) | |||||||
|
| |||||||
Chemicals — (0.8)% |
| |||||||
Albemarle Corp. | (199 | ) | (14,510 | ) | ||||
Ecolab, Inc. | (89 | ) | (17,083 | ) | ||||
LyondellBasell Industries NV, Class A | (62 | ) | (5,816 | ) | ||||
|
| |||||||
| (37,409 | ) | |||||||
|
| |||||||
Communications Equipment — (0.6)% |
| |||||||
Cisco Systems, Inc. | (290 | ) | (13,901 | ) | ||||
Juniper Networks, Inc. | (452 | ) | (11,122 | ) | ||||
|
| |||||||
| (25,023 | ) | |||||||
|
| |||||||
Containers & Packaging — (0.6)% |
| |||||||
Avery Dennison Corp. | (18 | ) | (2,315 | ) | ||||
Ball Corp. | (110 | ) | (7,131 | ) | ||||
International Paper Co. | (240 | ) | (11,047 | ) | ||||
Sonoco Products Co. | (118 | ) | (7,260 | ) | ||||
|
| |||||||
| (27,753 | ) | |||||||
|
| |||||||
Electric Utilities — (0.7)% |
| |||||||
Duke Energy Corp. | (174 | ) | (15,897 | ) | ||||
Eversource Energy | (53 | ) | (4,517 | ) | ||||
Exelon Corp. | (48 | ) | (2,200 | ) | ||||
Pinnacle West Capital Corp. | (114 | ) | (10,262 | ) | ||||
|
| |||||||
| (32,876 | ) | |||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electrical Equipment — (0.7)% |
| |||||||
Acuity Brands, Inc. | (96 | ) | (13,299 | ) | ||||
Hubbell, Inc. | (63 | ) | (9,285 | ) | ||||
Rockwell Automation, Inc. | (41 | ) | (8,406 | ) | ||||
|
| |||||||
| (30,990 | ) | |||||||
|
| |||||||
Energy Equipment & Services — (0.9)% |
| |||||||
Baker Hughes Co. | (316 | ) | (8,100 | ) | ||||
Halliburton Co. | (833 | ) | (20,384 | ) | ||||
National Oilwell Varco, Inc. | (187 | ) | (4,696 | ) | ||||
Schlumberger Ltd. | (213 | ) | (8,559 | ) | ||||
|
| |||||||
| (41,739 | ) | |||||||
|
| |||||||
Entertainment — (0.4)% |
| |||||||
Activision Blizzard, Inc. | (74 | ) | (4,412 | ) | ||||
Spotify Technology SA * | (44 | ) | (6,536 | ) | ||||
Take-Two Interactive Software, Inc. * | (66 | ) | (8,081 | ) | ||||
|
| |||||||
| (19,029 | ) | |||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — (2.2)% |
| |||||||
Apartment Investment & Management Co., Class A | (129 | ) | (6,658 | ) | ||||
Digital Realty Trust, Inc. | (47 | ) | (5,682 | ) | ||||
Duke Realty Corp. | (129 | ) | (4,474 | ) | ||||
Extra Space Storage, Inc. | (99 | ) | (10,428 | ) | ||||
Iron Mountain, Inc. | (384 | ) | (12,247 | ) | ||||
Kimco Realty Corp. | (539 | ) | (11,168 | ) | ||||
Public Storage | (20 | ) | (4,259 | ) | ||||
Realty Income Corp. | (192 | ) | (14,160 | ) | ||||
Simon Property Group, Inc. | (161 | ) | (23,989 | ) | ||||
Welltower, Inc. | (49 | ) | (4,041 | ) | ||||
|
| |||||||
| (97,106 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.9)% |
| |||||||
Kroger Co. (The) | (601 | ) | (17,415 | ) | ||||
Sysco Corp. | (55 | ) | (4,668 | ) | ||||
Walgreens Boots Alliance, Inc. | (299 | ) | (17,634 | ) | ||||
|
| |||||||
| (39,717 | ) | |||||||
|
| |||||||
Food Products — (0.2)% |
| |||||||
Campbell Soup Co. | (139 | ) | (6,866 | ) | ||||
Hershey Co. (The) | (15 | ) | (2,240 | ) | ||||
|
| |||||||
| (9,106 | ) | |||||||
|
| |||||||
Health Care Equipment & Supplies — (0.3)% |
| |||||||
Abbott Laboratories | (51 | ) | (4,473 | ) | ||||
Stryker Corp. | (47 | ) | (9,927 | ) | ||||
|
| |||||||
| (14,400 | ) | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Health Care Providers & Services — (1.1)% |
| |||||||
AmerisourceBergen Corp. | (210 | ) | (17,874 | ) | ||||
Cardinal Health, Inc. | (265 | ) | (13,398 | ) | ||||
Henry Schein, Inc. * | (262 | ) | (17,450 | ) | ||||
|
| |||||||
| (48,722 | ) | |||||||
|
| |||||||
Hotels, Restaurants & Leisure — (0.6)% |
| |||||||
Chipotle Mexican Grill, Inc. * | (14 | ) | (11,957 | ) | ||||
Choice Hotels International, Inc. | (45 | ) | (4,627 | ) | ||||
Marriott International, Inc., Class A | (16 | ) | (2,472 | ) | ||||
Starbucks Corp. | (73 | ) | (6,418 | ) | ||||
|
| |||||||
| (25,474 | ) | |||||||
|
| |||||||
Household Durables — (0.2)% |
| |||||||
PulteGroup, Inc. | (112 | ) | (4,337 | ) | ||||
Toll Brothers, Inc. | (104 | ) | (4,127 | ) | ||||
|
| |||||||
| (8,464 | ) | |||||||
|
| |||||||
Household Products — (0.5)% |
| |||||||
Clorox Co. (The) | (76 | ) | (11,728 | ) | ||||
Colgate-Palmolive Co. | (128 | ) | (8,817 | ) | ||||
|
| |||||||
| (20,545 | ) | |||||||
|
| |||||||
Industrial Conglomerates — (0.4)% |
| |||||||
3M Co. | (94 | ) | (16,536 | ) | ||||
|
| |||||||
Insurance — (1.0)% |
| |||||||
Aflac, Inc. | (125 | ) | (6,620 | ) | ||||
Everest Re Group Ltd. | (26 | ) | (7,081 | ) | ||||
Globe Life, Inc. | (70 | ) | (7,414 | ) | ||||
Marsh & McLennan Cos., Inc. | (82 | ) | (9,124 | ) | ||||
Travelers Cos., Inc. (The) | (81 | ) | (11,100 | ) | ||||
WR Berkley Corp. | (44 | ) | (3,064 | ) | ||||
|
| |||||||
| (44,403 | ) | |||||||
|
| |||||||
Internet & Direct Marketing Retail — (0.5)% |
| |||||||
eBay, Inc. | (638 | ) | (23,021 | ) | ||||
|
| |||||||
IT Services — (1.0)% |
| |||||||
Infosys Ltd., ADR (India) | (768 | ) | (7,929 | ) | ||||
Jack Henry & Associates, Inc. | (75 | ) | (10,935 | ) | ||||
Paychex, Inc. | (101 | ) | (8,565 | ) | ||||
Western Union Co. (The) | (651 | ) | (17,422 | ) | ||||
|
| |||||||
| (44,851 | ) | |||||||
|
| |||||||
Leisure Products — (0.1)% |
| |||||||
Mattel, Inc. * | (377 | ) | (5,112 | ) | ||||
|
| |||||||
Life Sciences Tools & Services — (0.7)% |
| |||||||
Agilent Technologies, Inc. | (102 | ) | (8,718 | ) | ||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Life Sciences Tools & Services — continued |
| |||||||
Mettler-Toledo International, Inc. * | (9 | ) | (7,153 | ) | ||||
Waters Corp. * | (58 | ) | (13,491 | ) | ||||
|
| |||||||
| (29,362 | ) | |||||||
|
| |||||||
Machinery — (0.5)% |
| |||||||
Donaldson Co., Inc. | (165 | ) | (9,523 | ) | ||||
Illinois Tool Works, Inc. | (67 | ) | (12,055 | ) | ||||
|
| |||||||
| (21,578 | ) | |||||||
|
| |||||||
Media — (1.1)% |
| |||||||
AMC Networks, Inc., Class A * | (60 | ) | (2,362 | ) | ||||
Fox Corp., Class A | (443 | ) | (16,412 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (513 | ) | (11,854 | ) | ||||
Omnicom Group, Inc. | (244 | ) | (19,769 | ) | ||||
|
| |||||||
| (50,397 | ) | |||||||
|
| |||||||
Multiline Retail — (0.2)% |
| |||||||
Kohl’s Corp. | (79 | ) | (4,019 | ) | ||||
Macy’s, Inc. | (271 | ) | (4,600 | ) | ||||
|
| |||||||
| (8,619 | ) | |||||||
|
| |||||||
Multi-Utilities — (0.9)% |
| |||||||
Dominion Energy, Inc. | (274 | ) | (22,724 | ) | ||||
DTE Energy Co. | (72 | ) | (9,357 | ) | ||||
Public Service Enterprise Group, Inc. | (104 | ) | (6,127 | ) | ||||
|
| |||||||
| (38,208 | ) | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels — (2.0)% |
| |||||||
Apache Corp. | (78 | ) | (1,992 | ) | ||||
Devon Energy Corp. | (418 | ) | (10,848 | ) | ||||
Enbridge, Inc. (Canada) | (498 | ) | (19,823 | ) | ||||
Exxon Mobil Corp. | (335 | ) | (23,362 | ) | ||||
Hess Corp. | (117 | ) | (7,848 | ) | ||||
HollyFrontier Corp. | (79 | ) | (4,026 | ) | ||||
Kinder Morgan, Inc. | (122 | ) | (2,573 | ) | ||||
Marathon Oil Corp. | (556 | ) | (7,549 | ) | ||||
Occidental Petroleum Corp. | (99 | ) | (4,059 | ) | ||||
Valero Energy Corp. | (48 | ) | (4,494 | ) | ||||
|
| |||||||
| (86,574 | ) | |||||||
|
| |||||||
Paper & Forest Products — (0.1)% |
| |||||||
Domtar Corp. | (113 | ) | (4,336 | ) | ||||
|
| |||||||
Personal Products — 0.0%(d) |
| |||||||
Coty, Inc., Class A | (165 | ) | (1,856 | ) | ||||
|
| |||||||
Professional Services — (0.4)% |
| |||||||
Robert Half International, Inc. | (284 | ) | (17,912 | ) | ||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued | ||||||||
Common Stocks — continued | ||||||||
Road & Rail — (0.2)% |
| |||||||
JB Hunt Transport Services, Inc. | (36 | ) | (4,229 | ) | ||||
Werner Enterprises, Inc. | (125 | ) | (4,548 | ) | ||||
|
| |||||||
| (8,777 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (0.5)% |
| |||||||
Intel Corp. | (272 | ) | (16,267 | ) | ||||
Qorvo, Inc. * | (21 | ) | (2,455 | ) | ||||
Universal Display Corp. | (11 | ) | (2,280 | ) | ||||
|
| |||||||
| (21,002 | ) | |||||||
|
| |||||||
Software — (0.7)% |
| |||||||
Adobe, Inc. * | (22 | ) | (7,107 | ) | ||||
Citrix Systems, Inc. | (102 | ) | (11,342 | ) | ||||
Oracle Corp. | (115 | ) | (6,104 | ) | ||||
Splunk, Inc. * | (31 | ) | (4,600 | ) | ||||
|
| |||||||
| (29,153 | ) | |||||||
|
| |||||||
Specialty Retail — (0.2)% |
| |||||||
Bed Bath & Beyond, Inc. | (281 | ) | (4,856 | ) | ||||
CarMax, Inc. * | (23 | ) | (1,991 | ) | ||||
|
| |||||||
| (6,847 | ) | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — (0.9)% |
| |||||||
Hewlett Packard Enterprise Co. | (252 | ) | (4,004 | ) | ||||
NetApp, Inc. | (69 | ) | (4,276 | ) | ||||
Seagate Technology plc | (330 | ) | (19,612 | ) | ||||
Western Digital Corp. | (164 | ) | (10,432 | ) | ||||
|
| |||||||
| (38,324 | ) | |||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Trading Companies & Distributors — (0.2)% |
| |||||||
Fastenal Co. | (244 | ) | (9,006 | ) | ||||
|
| |||||||
Total Common Stocks |
| (1,110,522 | ) | |||||
|
| |||||||
Total Short Positions |
| (1,110,522 | ) | |||||
|
| |||||||
Total Investments — 100.4% |
| 4,451,478 | ||||||
Liabilities in Excess of |
| (17,092 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | 4,434,386 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| ADR | American Depositary Receipt | |
| (a) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is approximately $1,505,380,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| (d) | Amount rounds to less than 0.1% of net assets. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
| S&P 500E-Mini Index | 120 | 03/2020 | USD | 19,392 | 51 | |||||||||||||||
|
| |||||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.2% |
| |||||||
Aerospace & Defense — 2.0% |
| |||||||
Boeing Co. (The) | 26 | 8,502 | ||||||
General Dynamics Corp. | 177 | 31,135 | ||||||
Northrop Grumman Corp. | 44 | 15,168 | ||||||
United Technologies Corp. | 214 | 32,015 | ||||||
|
| |||||||
| 86,820 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Delta Air Lines, Inc. | 158 | 9,218 | ||||||
Southwest Airlines Co. | 114 | 6,178 | ||||||
United Airlines Holdings, Inc. * | 39 | 3,425 | ||||||
|
| |||||||
| 18,821 | ||||||||
|
| |||||||
Auto Components — 0.2% |
| |||||||
Magna International, Inc. (Canada) | 150 | 8,209 | ||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
General Motors Co. | 360 | 13,168 | ||||||
|
| |||||||
Banks — 4.5% |
| |||||||
Bank of America Corp. | 1,420 | 50,007 | ||||||
Citigroup, Inc. | 790 | 63,074 | ||||||
Citizens Financial Group, Inc. | 130 | 5,271 | ||||||
Fifth Third Bancorp | 176 | 5,409 | ||||||
KeyCorp | 1,140 | 23,077 | ||||||
Regions Financial Corp. | 378 | 6,479 | ||||||
Truist Financial Corp. | 176 | 9,931 | ||||||
Wells Fargo & Co. | 651 | 35,033 | ||||||
|
| |||||||
| 198,281 | ||||||||
|
| |||||||
Beverages — 1.9% |
| |||||||
Coca-Cola Co. (The) | 973 | 53,873 | ||||||
Constellation Brands, Inc., Class A | 116 | 22,025 | ||||||
PepsiCo, Inc. | 36 | 4,984 | ||||||
|
| |||||||
| 80,882 | ||||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
AbbVie, Inc. | 455 | 40,257 | ||||||
Alexion Pharmaceuticals, Inc. * | 117 | 12,698 | ||||||
Amgen, Inc. | 17 | 4,205 | ||||||
Biogen, Inc. * | 61 | 18,230 | ||||||
Regeneron Pharmaceuticals, Inc. * | 32 | 11,874 | ||||||
Vertex Pharmaceuticals, Inc.* | 85 | 18,661 | ||||||
|
| |||||||
| 105,925 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
Masco Corp. | 265 | 12,731 | ||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
Ameriprise Financial, Inc. | 54 | 9,008 | ||||||
BlackRock, Inc. | 19 | 9,338 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued |
| |||||||
Charles Schwab Corp. (The) | 369 | 17,559 | ||||||
Intercontinental Exchange, Inc. | 347 | 32,079 | ||||||
MarketAxess Holdings, Inc. | 4 | 1,565 | ||||||
Morgan Stanley | 727 | 37,190 | ||||||
S&P Global, Inc. | 55 | 14,971 | ||||||
State Street Corp. | 55 | 4,335 | ||||||
|
| |||||||
| 126,045 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Celanese Corp. | 114 | 14,008 | ||||||
Corteva, Inc. | 346 | 10,229 | ||||||
Dow, Inc. | 220 | 12,033 | ||||||
DuPont de Nemours, Inc. | 174 | 11,195 | ||||||
Eastman Chemical Co. | 236 | 18,702 | ||||||
Linde plc (United Kingdom) | 63 | 13,339 | ||||||
LyondellBasell Industries NV, Class A | 83 | 7,850 | ||||||
|
| |||||||
| 87,356 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
Cintas Corp. | 10 | 2,692 | ||||||
Waste Management, Inc. | 200 | 22,771 | ||||||
|
| |||||||
| 25,463 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
Cisco Systems, Inc. | 194 | 9,315 | ||||||
Motorola Solutions, Inc. | 16 | 2,615 | ||||||
|
| |||||||
| 11,930 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
American Express Co. | 233 | 29,016 | ||||||
Capital One Financial Corp. | 280 | 28,823 | ||||||
Synchrony Financial | 229 | 8,231 | ||||||
|
| |||||||
| 66,070 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Crown Holdings, Inc. * | 148 | 10,726 | ||||||
Packaging Corp. of America | 12 | 1,307 | ||||||
Westrock Co. | 145 | 6,213 | ||||||
|
| |||||||
| 18,246 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0%(a) |
| |||||||
H&R Block, Inc. | 65 | 1,529 | ||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 320 | 72,494 | ||||||
Voya Financial, Inc. | 30 | 1,854 | ||||||
|
| |||||||
| 74,348 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 53 | ||||||
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
AT&T, Inc. | 62 | 2,419 | ||||||
Verizon Communications, Inc. | 773 | 47,485 | ||||||
|
| |||||||
| 49,904 | ||||||||
|
| |||||||
Electric Utilities — 2.6% |
| |||||||
Edison International | 144 | 10,851 | ||||||
Entergy Corp. | 248 | 29,652 | ||||||
FirstEnergy Corp. | 74 | 3,601 | ||||||
NextEra Energy, Inc. | 180 | 43,593 | ||||||
Southern Co. (The) | 299 | 19,021 | ||||||
Xcel Energy, Inc. | 122 | 7,750 | ||||||
|
| |||||||
| 114,468 | ||||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
Eaton Corp. plc | 467 | 44,233 | ||||||
Emerson Electric Co. | 57 | 4,347 | ||||||
|
| |||||||
| 48,580 | ||||||||
|
| |||||||
Entertainment — 1.3% |
| |||||||
Electronic Arts, Inc. * | 131 | 14,087 | ||||||
Netflix, Inc. * | 92 | 29,879 | ||||||
Walt Disney Co. (The) | 79 | 11,380 | ||||||
|
| |||||||
| 55,346 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
AvalonBay Communities, Inc. | 66 | 13,746 | ||||||
Equinix, Inc. | 28 | 16,133 | ||||||
Equity Residential | 177 | 14,286 | ||||||
Federal Realty Investment Trust | 60 | 7,785 | ||||||
Mid-America Apartment Communities, Inc. | 50 | 6,575 | ||||||
Prologis, Inc. | 230 | 20,519 | ||||||
Public Storage | 17 | 3,721 | ||||||
Ventas, Inc. | 145 | 8,352 | ||||||
VICI Properties, Inc. | 146 | 3,740 | ||||||
|
| |||||||
| 94,857 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
Walmart, Inc. | 88 | 10,434 | ||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
Conagra Brands, Inc. | 82 | 2,806 | ||||||
General Mills, Inc. | 258 | 13,795 | ||||||
Mondelez International, Inc., Class A | 600 | 33,072 | ||||||
|
| |||||||
| 49,673 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Becton Dickinson and Co. | 10 | 2,654 | ||||||
Boston Scientific Corp. * | 740 | 33,457 | ||||||
Intuitive Surgical, Inc. * | 13 | 7,755 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
Medtronic plc | 466 | 52,847 | ||||||
Zimmer Biomet Holdings, Inc. | 224 | 33,511 | ||||||
|
| |||||||
| 130,224 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.1% |
| |||||||
Anthem, Inc. | 96 | 28,998 | ||||||
Cigna Corp. | 184 | 37,552 | ||||||
McKesson Corp. | 45 | 6,168 | ||||||
UnitedHealth Group, Inc. | 215 | 63,241 | ||||||
|
| |||||||
| 135,959 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Hilton Worldwide Holdings, Inc. | 147 | 16,355 | ||||||
McDonald’s Corp. | 50 | 9,838 | ||||||
Royal Caribbean Cruises Ltd. | 34 | 4,573 | ||||||
Yum! Brands, Inc. | 272 | 27,355 | ||||||
|
| |||||||
| 58,121 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
Lennar Corp., Class A | 247 | 13,760 | ||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Kimberly-Clark Corp. | 15 | 2,102 | ||||||
Procter & Gamble Co. (The) | 368 | 45,988 | ||||||
|
| |||||||
| 48,090 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.9% |
| |||||||
Honeywell International, Inc. | 228 | 40,299 | ||||||
|
| |||||||
Insurance — 2.1% |
| |||||||
Allstate Corp. (The) | 103 | 11,581 | ||||||
American International Group, Inc. | 423 | 21,716 | ||||||
Arthur J Gallagher & Co. | 46 | 4,391 | ||||||
Hartford Financial Services Group, Inc. (The) | 387 | 23,535 | ||||||
Lincoln National Corp. | 13 | 772 | ||||||
MetLife, Inc. | 519 | 26,452 | ||||||
Progressive Corp. (The) | 39 | 2,804 | ||||||
|
| |||||||
| 91,251 | ||||||||
|
| |||||||
Interactive Media & Services — 4.8% |
| |||||||
Alphabet, Inc., Class A * | 60 | 79,939 | ||||||
Alphabet, Inc., Class C * | 55 | 73,322 | ||||||
Facebook, Inc., Class A * | 284 | 58,209 | ||||||
|
| |||||||
| 211,470 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.9% |
| |||||||
Amazon.com, Inc. * | 79 | 145,926 | ||||||
Booking Holdings, Inc. * | 3 | 5,428 | ||||||
Expedia Group, Inc. | 167 | 18,069 | ||||||
|
| |||||||
| 169,423 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
IT Services — 6.2% |
| |||||||
Accenture plc, Class A | 101 | 21,216 | ||||||
Automatic Data Processing, Inc. | 280 | 47,742 | ||||||
Fiserv, Inc. * | 133 | 15,415 | ||||||
International Business Machines Corp. | 55 | 7,338 | ||||||
Leidos Holdings, Inc. | 139 | 13,597 | ||||||
Mastercard, Inc., Class A | 286 | 85,309 | ||||||
PayPal Holdings, Inc. * | 473 | 51,218 | ||||||
Visa, Inc., Class A | 165 | 31,022 | ||||||
|
| |||||||
| 272,857 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 50 | 5,327 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Illumina, Inc. * | 24 | 8,033 | ||||||
Thermo Fisher Scientific, Inc. | 138 | 44,836 | ||||||
|
| |||||||
| 52,869 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Caterpillar, Inc. | 43 | 6,342 | ||||||
Cummins, Inc. | 117 | 20,962 | ||||||
Deere & Co. | 48 | 8,403 | ||||||
Ingersoll-Rand plc | 128 | 17,007 | ||||||
Parker-Hannifin Corp. | 107 | 22,121 | ||||||
Snap-on, Inc. | 38 | 6,515 | ||||||
Stanley Black & Decker, Inc. | 96 | 15,904 | ||||||
|
| |||||||
| 97,254 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
Altice USA, Inc., Class A * | 255 | 6,979 | ||||||
Charter Communications, Inc., Class A * | 90 | 43,591 | ||||||
Comcast Corp., Class A | 1,471 | 66,169 | ||||||
Discovery, Inc., Class A * | 357 | 11,702 | ||||||
Discovery, Inc., Class C * | 390 | 11,899 | ||||||
ViacomCBS, Inc. | 49 | 2,062 | ||||||
|
| |||||||
| 142,402 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 211 | 2,767 | ||||||
Newmont Goldcorp Corp. | 76 | 3,322 | ||||||
|
| |||||||
| 6,089 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Target Corp. | 65 | 8,385 | ||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
CMS Energy Corp. | 341 | 21,416 | ||||||
Sempra Energy | 63 | 9,519 | ||||||
|
| |||||||
| 30,935 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — 4.3% |
| |||||||
Chevron Corp. | 511 | 61,534 | ||||||
Diamondback Energy, Inc. | 163 | 15,101 | ||||||
EOG Resources, Inc. | 368 | 30,824 | ||||||
Exxon Mobil Corp. | 130 | 9,088 | ||||||
Marathon Petroleum Corp. | 409 | 24,639 | ||||||
ONEOK, Inc. | 319 | 24,143 | ||||||
Pioneer Natural Resources Co. | 151 | 22,862 | ||||||
|
| |||||||
| 188,191 | ||||||||
|
| |||||||
Pharmaceuticals — 4.5% |
| |||||||
Allergan plc | 48 | 9,103 | ||||||
Bristol-Myers Squibb Co. | 620 | 39,782 | ||||||
Eli Lilly & Co. | 235 | 30,830 | ||||||
Johnson & Johnson | 312 | 45,449 | ||||||
Merck & Co., Inc. | 595 | 54,146 | ||||||
Pfizer, Inc. | 474 | 18,559 | ||||||
|
| |||||||
| 197,869 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
Kansas City Southern | 33 | 4,997 | ||||||
Lyft, Inc., Class A * | 59 | 2,530 | ||||||
Norfolk Southern Corp. | 199 | 38,565 | ||||||
Union Pacific Corp. | 118 | 21,307 | ||||||
|
| |||||||
| 67,399 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.7% |
| |||||||
Advanced Micro Devices, Inc. * | 605 | 27,723 | ||||||
Analog Devices, Inc. | 327 | 38,812 | ||||||
Intel Corp. | 119 | 7,132 | ||||||
NVIDIA Corp. | 143 | 33,692 | ||||||
NXP Semiconductors NV (Netherlands) | 216 | 27,514 | ||||||
Teradyne, Inc. | 228 | 15,550 | ||||||
Texas Instruments, Inc. | 417 | 53,472 | ||||||
|
| |||||||
| 203,895 | ||||||||
|
| |||||||
Software — 7.1% |
| |||||||
Intuit, Inc. | 122 | 31,981 | ||||||
Microsoft Corp. | 1,512 | 238,412 | ||||||
salesforce.com, Inc. * | 250 | 40,665 | ||||||
|
| |||||||
| 311,058 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
AutoZone, Inc. * | 24 | 28,920 | ||||||
Best Buy Co., Inc. | 273 | 23,986 | ||||||
Home Depot, Inc. (The) | 201 | 43,822 | ||||||
Lowe’s Cos., Inc. | 282 | 33,831 | ||||||
O’Reilly Automotive, Inc. * | 23 | 9,868 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 55 | ||||||
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Specialty Retail — continued |
| |||||||
Ross Stores, Inc. | 117 | 13,648 | ||||||
TJX Cos., Inc. (The) | 329 | 20,111 | ||||||
|
| |||||||
| 174,186 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.3% |
| |||||||
Apple, Inc. | 756 | 222,029 | ||||||
HP, Inc. | 539 | 11,076 | ||||||
|
| |||||||
| 233,105 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
NIKE, Inc., Class B | 337 | 34,093 | ||||||
Ralph Lauren Corp. | 43 | 5,033 | ||||||
|
| |||||||
| 39,126 | ||||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
Altria Group, Inc. | 313 | 15,617 | ||||||
Philip Morris International, Inc. | 505 | 42,936 | ||||||
|
| |||||||
| 58,553 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
T-Mobile US, Inc. * | 67 | 5,237 | ||||||
|
| |||||||
Total Common Stocks |
| 4,352,420 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.8% |
| |||||||
Investment Companies — 0.8% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 35,059 | 35,070 | ||||||
|
| |||||||
Total Investments — 100.0% |
| 4,387,490 | ||||||
Other Assets Less Liabilities — 0.0%(a) |
| 1,424 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 4,388,914 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Amount rounds to less than 0.1% of net assets. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500E-Mini Index | 198 | 03/2020 | USD | 31,997 | 786 | |||||||||||||||
|
| |||||||||||||||||||
| Abbreviations | ||
| USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Income Fund | JPMorgan Equity Premium Income Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments innon-affiliates, at value | $ | 102,388 | $ | 30,648,795 | $ | 112,814 | ||||||
Investments in affiliates, at value | 890 | 821,261 | 3,015 | |||||||||
Cash | 3 | 1,264 | — | (a) | ||||||||
Receivables: | ||||||||||||
Investment securities sold | — | — | 3,535 | |||||||||
Fund shares sold | 11 | 51,246 | 330 | |||||||||
Dividends fromnon-affiliates | 56 | 61,610 | 475 | |||||||||
Dividends from affiliates | — | (a) | 40 | — | (a) | |||||||
Securities lending income (See Note 2.E.) | — | (a) | — | — | ||||||||
Due from adviser | — | — | 11 | |||||||||
Other assets | — | 311 | 20 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 103,348 | 31,584,527 | 120,200 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Distributions | — | — | — | (a) | ||||||||
Investment securities purchased | — | — | 5,038 | |||||||||
Fund shares redeemed | — | (a) | 53,996 | 192 | ||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 34 | 10,372 | — | |||||||||
Administration fees | — | 1,264 | — | |||||||||
Distribution fees | 3 | 1,869 | 2 | |||||||||
Service fees | 16 | 3,675 | 23 | |||||||||
Custodian and accounting fees | 6 | 66 | 6 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | 5 | — | |||||||||
Audit fees | 11 | 14 | 17 | |||||||||
Printing and mailing costs | 43 | 421 | 2 | |||||||||
Other | 3 | 123 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 116 | 71,805 | 5,283 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 103,232 | $ | 31,512,722 | $ | 114,917 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan | JPMorgan Income Fund | JPMorgan Equity Premium Income Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 66,689 | $ | 23,670,124 | $ | 113,257 | ||||||
Total distributable earnings (loss) | 36,543 | 7,842,598 | 1,660 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 103,232 | $ | 31,512,722 | $ | 114,917 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 6,054 | $ | 3,757,325 | $ | 3,079 | ||||||
Class C | 3,437 | 1,612,057 | 2,257 | |||||||||
Class I | 65,026 | 11,313,846 | 109,511 | |||||||||
Class R2 | — | 96,140 | — | |||||||||
Class R3 | — | 185,019 | — | |||||||||
Class R4 | — | 91,668 | — | |||||||||
Class R5 | — | 1,582,869 | 22 | |||||||||
Class R6 | 28,715 | 12,873,798 | 48 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 103,232 | $ | 31,512,722 | $ | 114,917 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 218 | 196,738 | 202 | |||||||||
Class C | 130 | 86,194 | 148 | |||||||||
Class I | 2,303 | 581,838 | 7,199 | |||||||||
Class R2 | — | 5,059 | — | |||||||||
Class R3 | — | 9,696 | — | |||||||||
Class R4 | — | 4,717 | — | |||||||||
Class R5 | — | 81,341 | 2 | |||||||||
Class R6 | 1,023 | 662,062 | 3 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 27.75 | $ | 19.10 | $ | 15.21 | ||||||
Class C — Offering price per share (b) | 26.53 | 18.70 | 15.21 | |||||||||
Class I — Offering and redemption price per share | 28.24 | 19.45 | 15.21 | |||||||||
Class R2 — Offering and redemption price per share | — | 19.00 | — | |||||||||
Class R3 — Offering and redemption price per share | — | 19.08 | — | |||||||||
Class R4 — Offering and redemption price per share | — | 19.43 | — | |||||||||
Class R5 — Offering and redemption price per share | — | 19.46 | 15.21 | |||||||||
Class R6 — Offering and redemption price per share | 28.06 | 19.45 | 15.21 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 29.29 | $ | 20.16 | $ | 16.05 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 69,121 | $ | 22,798,429 | $ | 105,061 | ||||||
Cost of investments in affiliates | 890 | 821,266 | 3,015 | |||||||||
| (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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Equity Fund | JPMorgan Large Cap | ||||||||||
ASSETS: |
| |||||||||||
Investments innon-affiliates, at value | $ | 761,255 | $ | 6,636,855 | $ | 17,101,315 | ||||||
Investments in affiliates, at value | 14,492 | 209,467 | 553,858 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.E.) | — | — | 436,574 | |||||||||
Options purchased, at value | — | 82,160 | — | |||||||||
Cash | 35 | — | (a) | 909 | ||||||||
Deposits at broker for futures contracts | — | 7,198 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 432,154 | 6,332 | |||||||||
Fund shares sold | 476 | 31,874 | 33,688 | |||||||||
Dividends fromnon-affiliates | 1,143 | 6,150 | 13,849 | |||||||||
Dividends from affiliates | 1 | 181 | 27 | |||||||||
Tax reclaims | — | 8 | — | |||||||||
Securities lending income (See Note 2.E.) | — | — | 440 | |||||||||
Variation margin on futures contracts | — | 1,204 | — | |||||||||
Other assets | — | — | 151 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 777,402 | 7,407,251 | 18,147,143 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 608,899 | 5,207 | |||||||||
Collateral received on securities loaned (See Note 2.E.) | — | — | 436,574 | |||||||||
Fund shares redeemed | 355 | 6,644 | 70,858 | |||||||||
Outstanding options written, at fair value | — | 81,120 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 226 | 1,373 | 5,798 | |||||||||
Administration fees | 28 | 418 | 446 | |||||||||
Distribution fees | 141 | 219 | 968 | |||||||||
Service fees | 132 | 1,270 | 1,769 | |||||||||
Custodian and accounting fees | 7 | 21 | 52 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 1 | 1 | ||||||||
Audit fees | 13 | 23 | 11 | |||||||||
Printing and mailing costs | 15 | 14 | 326 | |||||||||
Other | 72 | 101 | 119 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 989 | 700,103 | 522,129 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 776,413 | $ | 6,707,148 | $ | 17,625,014 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan | JPMorgan Equity Fund | JPMorgan Large Cap | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 497,737 | $ | 6,117,269 | $ | 10,235,996 | ||||||
Total distributable earnings (loss) | 278,676 | 589,879 | 7,389,018 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 776,413 | $ | 6,707,148 | $ | 17,625,014 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 581,403 | $ | 447,853 | $ | 2,628,093 | ||||||
Class C | 30,821 | 202,505 | 545,054 | |||||||||
Class I | 101,118 | 5,471,480 | 4,902,532 | |||||||||
Class R2 | 784 | — | 127,068 | |||||||||
Class R3 | 26 | — | 69,905 | |||||||||
Class R4 | 87 | — | 23,714 | |||||||||
Class R5 | 69 | 2,437 | 735,659 | |||||||||
Class R6 | 62,105 | 582,873 | 8,592,989 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 776,413 | $ | 6,707,148 | $ | 17,625,014 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 10,806 | 21,132 | 65,775 | |||||||||
Class C | 643 | 9,616 | 18,448 | |||||||||
Class I | 1,774 | 257,499 | 120,654 | |||||||||
Class R2 | 15 | — | 3,324 | |||||||||
Class R3 | 1 | — | 1,739 | |||||||||
Class R4 | 1 | — | 584 | |||||||||
Class R5 | 1 | 115 | 17,653 | |||||||||
Class R6 | 1,082 | 27,374 | 204,452 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 53.81 | $ | 21.19 | $ | 39.96 | ||||||
Class C — Offering price per share (b) | 47.96 | 21.06 | 29.55 | |||||||||
Class I — Offering and redemption price per share | 56.99 | 21.25 | 40.63 | |||||||||
Class R2 — Offering and redemption price per share | 53.90 | — | 38.23 | |||||||||
Class R3 — Offering and redemption price per share | 56.95 | — | 40.21 | |||||||||
Class R4 — Offering and redemption price per share | 56.97 | — | 40.58 | |||||||||
Class R5 — Offering and redemption price per share | 57.40 | 21.29 | 41.67 | |||||||||
Class R6 — Offering and redemption price per share | 57.42 | 21.29 | 42.03 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 56.79 | $ | 22.36 | $ | 42.17 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 483,946 | $ | 5,437,210 | $ | 10,169,143 | ||||||
Cost of investments in affiliates | 14,492 | 209,467 | 553,858 | |||||||||
Cost of options purchased | — | 82,285 | — | |||||||||
Investment securities on loan, at value (See Note 2.E.) | — | — | 426,730 | |||||||||
Cost of investment of cash collateral (See Note 2.E.) | — | — | 436,573 | |||||||||
Premiums received from options written | — | 80,766 | — | |||||||||
| (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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 61 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity Fund | JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments innon-affiliates, at value | $ | 1,590,503 | $ | 15,612,692 | $ | 5,525,505 | $ | 4,352,420 | ||||||||
Investments in affiliates, at value | 28,867 | 99,207 | 36,495 | 35,070 | ||||||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.E.) | 19,944 | 42,166 | — | — | ||||||||||||
Cash | 35 | 252 | 128 | 53 | ||||||||||||
Deposits at broker for futures contracts | — | 48 | 956 | 2,413 | ||||||||||||
Deposits at broker for securities sold short | — | — | 100 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | — | 36,538 | — | 16,909 | ||||||||||||
Fund shares sold | 556 | 12,116 | 1,711 | 2,267 | ||||||||||||
Dividends fromnon-affiliates | 3,192 | 11,022 | 4,137 | 3,938 | ||||||||||||
Dividends from affiliates | 1 | 5 | 2 | 2 | ||||||||||||
Tax reclaims | — | — | — | 5 | ||||||||||||
Securities lending income (See Note 2.E.) | 4 | 8 | — | — | ||||||||||||
Variation margin on futures contracts | — | 500 | 52 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,643,102 | 15,814,554 | 5,569,086 | 4,413,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: |
| |||||||||||||||
Payables: | ||||||||||||||||
Due to broker for securities sold short | — | — | 100 | — | ||||||||||||
Securities sold short, at value | — | — | 1,110,522 | — | ||||||||||||
Dividend expense tonon-affiliates on securities sold short | — | — | 1,922 | — | ||||||||||||
Investment securities purchased | 1,612 | 53,957 | — | 16,424 | ||||||||||||
Interest expense tonon-affiliates on securities sold short | — | — | 529 | — | ||||||||||||
Collateral received on securities loaned (See Note 2.E.) | 19,944 | 42,166 | — | — | ||||||||||||
Fund shares redeemed | 2,417 | 37,042 | 17,946 | 5,509 | ||||||||||||
Variation margin on futures contracts | — | — | — | 926 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 485 | 4,950 | 2,390 | 718 | ||||||||||||
Administration fees | 66 | 686 | 221 | 147 | ||||||||||||
Distribution fees | 93 | 686 | 157 | 43 | ||||||||||||
Service fees | 127 | 921 | 470 | 68 | ||||||||||||
Custodian and accounting fees | 13 | 70 | 71 | 30 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 2 | — | — | (a) | |||||||||||
Audit fees | 12 | 11 | 11 | 11 | ||||||||||||
Printing and mailing costs | 111 | 616 | 242 | 207 | ||||||||||||
Other | 42 | 210 | 119 | 80 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 24,923 | 141,317 | 1,134,700 | 24,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,618,179 | $ | 15,673,237 | $ | 4,434,386 | $ | 4,388,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity Fund | JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | |||||||||||||
NET ASSETS: |
| |||||||||||||||
Paid-in-Capital | $ | 1,413,811 | $ | 10,946,602 | $ | 2,221,567 | $ | 2,399,908 | ||||||||
Total distributable earnings (loss) | 204,368 | 4,726,635 | 2,212,819 | 1,989,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,618,179 | $ | 15,673,237 | $ | 4,434,386 | $ | 4,388,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Class A | $ | 242,687 | $ | 1,786,452 | $ | 455,766 | $ | 202,118 | ||||||||
Class C | 51,413 | 292,353 | 87,987 | — | ||||||||||||
Class I | 291,699 | 1,042,532 | 3,093,045 | 228,045 | ||||||||||||
Class L | — | 1,497,427 | — | 413,326 | ||||||||||||
Class R2 | 22,357 | 231,835 | 5,524 | — | ||||||||||||
Class R3 | 21 | 118,363 | — | — | ||||||||||||
Class R4 | 14,393 | 23,449 | — | — | ||||||||||||
Class R5 | 28,996 | 857,446 | 85,829 | — | ||||||||||||
Class R6 | 966,613 | 9,823,380 | 706,235 | 3,545,425 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,618,179 | $ | 15,673,237 | $ | 4,434,386 | $ | 4,388,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 15,654 | 111,327 | 18,779 | 7,434 | ||||||||||||
Class C | 3,468 | 18,937 | 3,921 | — | ||||||||||||
Class I | 19,164 | 64,725 | 125,249 | 8,295 | ||||||||||||
Class L | — | 92,800 | — | 15,062 | ||||||||||||
Class R2 | 1,456 | 14,605 | 238 | — | ||||||||||||
Class R3 | 1 | 7,404 | — | — | ||||||||||||
Class R4 | 928 | 1,458 | — | — | ||||||||||||
Class R5 | 1,885 | 53,120 | 3,454 | — | ||||||||||||
Class R6 | 63,265 | 607,251 | 28,465 | 129,123 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 15.50 | $ | 16.05 | $ | 24.27 | $ | 27.19 | ||||||||
Class C — Offering price per share (b) | 14.82 | 15.44 | 22.44 | — | ||||||||||||
Class I — Offering and redemption price per share | 15.22 | 16.11 | 24.70 | 27.49 | ||||||||||||
Class L — Offering and redemption price per share | — | 16.14 | — | 27.44 | ||||||||||||
Class R2 — Offering and redemption price per share | 15.36 | 15.87 | 23.28 | — | ||||||||||||
Class R3 — Offering and redemption price per share | 15.21 | 15.99 | — | — | ||||||||||||
Class R4 — Offering and redemption price per share | 15.51 | 16.08 | — | — | ||||||||||||
Class R5 — Offering and redemption price per share | 15.38 | 16.14 | 24.85 | — | ||||||||||||
Class R6 — Offering and redemption price per share | 15.28 | 16.18 | 24.81 | 27.46 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 16.36 | $ | 16.94 | $ | 25.61 | $ | 28.70 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments innon-affiliates | $ | 1,369,463 | $ | 10,858,741 | $ | 3,451,051 | $ | 2,883,052 | ||||||||
Cost of investments in affiliates | 28,867 | 99,206 | 36,495 | 35,070 | ||||||||||||
Investment securities on loan, at value (See Note 2.E.) | 19,448 | 41,689 | — | — | ||||||||||||
Cost of investment of cash collateral (See Note 2.E.) | 19,944 | 42,165 | — | — | ||||||||||||
Proceeds from securities sold short | — | — | 1,127,282 | — | ||||||||||||
| (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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
| JPMorgan Equity Focus Fund | JPMorgan Income Fund | JPMorgan Equity Premium Income Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income fromnon-affiliates | $ | — | $ | — | (a) | $ | 2,434 | |||||
Interest income from affiliates | — | (a) | — | 4 | ||||||||
Dividend income fromnon-affiliates | 833 | 357,429 | 742 | |||||||||
Dividend income from affiliates | 27 | 9,387 | 6 | |||||||||
Income from securities lending (net) (See Note 2.E.) | — | (a) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 860 | 366,816 | 3,186 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 274 | 54,457 | 95 | |||||||||
Administration fees | 40 | 7,339 | 29 | |||||||||
Distribution fees: | ||||||||||||
Class A | 7 | 4,380 | 2 | |||||||||
Class C | 12 | 5,628 | 3 | |||||||||
Class R2 | — | 238 | — | |||||||||
Class R3 | — | 197 | — | |||||||||
Service fees: | ||||||||||||
Class A | 7 | 4,380 | 2 | |||||||||
Class C | 4 | 1,876 | 1 | |||||||||
Class I | 88 | 12,573 | 92 | |||||||||
Class R2 | — | 119 | — | |||||||||
Class R3 | — | 197 | — | |||||||||
Class R4 | — | 105 | — | |||||||||
Class R5 | — | 747 | — | (a) | ||||||||
Custodian and accounting fees | 12 | 324 | 23 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 27 | 151 | 49 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 13 | 64 | 13 | |||||||||
Printing and mailing costs | 25 | 636 | 13 | |||||||||
Registration and filing fees | 35 | 298 | 76 | |||||||||
Transfer agency fees (See Note 2.J.) | 3 | 436 | — | (a) | ||||||||
Offering costs (See Note 2.H.) | — | — | 5 | |||||||||
Other | 3 | 150 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 550 | 94,295 | 409 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (116 | ) | (642 | ) | (120 | ) | ||||||
Less expense reimbursements | — | — | (58 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 434 | 93,653 | 231 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 426 | 273,163 | 2,955 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | 7,456 | 370,332 | (2,649 | ) | ||||||||
Investments in affiliates | — | (a) | (25 | ) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 7,456 | 370,307 | (2,649 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments innon-affiliates | 1,499 | 1,913,828 | 4,470 | |||||||||
Investments in affiliates | — | (a) | (86 | ) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 1,499 | 1,913,742 | 4,470 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 8,955 | 2,284,049 | 1,821 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 9,381 | $ | 2,557,212 | $ | 4,776 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan | JPMorgan Hedged Equity Fund | JPMorgan Large Cap Growth Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income fromnon-affiliates | $ | — | (a) | $ | — | $ | — | |||||
Interest income from affiliates | — | (a) | — | — | (a) | |||||||
Dividend income fromnon-affiliates | 8,406 | 52,431 | 77,969 | |||||||||
Dividend income from affiliates | 177 | 1,121 | 4,453 | |||||||||
Income from securities lending (net) (See Note 2.E.) | — | (a) | — | 2,190 | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 8,583 | 53,552 | 84,612 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 1,386 | 7,378 | 38,032 | |||||||||
Administration fees | 260 | 2,213 | 5,441 | |||||||||
Distribution fees: | ||||||||||||
Class A | 653 | 450 | 3,210 | |||||||||
Class C | 104 | 676 | 1,978 | |||||||||
Class R2 | — | (a) | — | 337 | ||||||||
Class R3 | — | (a) | — | 69 | ||||||||
Service fees: | ||||||||||||
Class A | 653 | 450 | 3,210 | |||||||||
Class C | 35 | 226 | 659 | |||||||||
Class I | 120 | 6,069 | 5,928 | |||||||||
Class R2 | — | (a) | — | 169 | ||||||||
Class R3 | — | (a) | — | 69 | ||||||||
Class R4 | — | (a) | — | 18 | ||||||||
Class R5 | — | (a) | 1 | 355 | ||||||||
Custodian and accounting fees | 19 | 147 | 212 | |||||||||
Interest expense to affiliates | — | 1 | 4 | |||||||||
Professional fees | 31 | 73 | 107 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 24 | 44 | |||||||||
Printing and mailing costs | 23 | 102 | 357 | |||||||||
Registration and filing fees | 74 | 247 | 169 | |||||||||
Transfer agency fees (See Note 2.J.) | 109 | 42 | 288 | |||||||||
Other | 8 | 39 | 94 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 3,489 | 18,138 | 60,750 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (411 | ) | (133 | ) | (8,486 | ) | ||||||
Less expense reimbursements | (1 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 3,077 | 18,005 | 52,264 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 5,506 | 35,547 | 32,348 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | 5,253 | 12,770 | 1,359,618 | |||||||||
Investments in affiliates | (1 | ) | — | (62 | ) | |||||||
Options purchased | — | (180,143 | ) | — | ||||||||
Futures contracts | — | 7,538 | — | |||||||||
Options written | — | (170,079 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 5,252 | (329,914 | ) | 1,359,556 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments innon-affiliates | 64,293 | 614,057 | (27,840 | ) | ||||||||
Options purchased | (1 | ) | 1,486 | (43 | ) | |||||||
Futures contracts | — | (173 | ) | — | ||||||||
Options written | — | 993 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 64,292 | 616,363 | (27,883 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 69,544 | 286,449 | 1,331,673 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 75,050 | $ | 321,996 | $ | 1,364,021 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity | JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income fromnon-affiliates | $ | — | (a) | $ | 33 | $ | 29 | $ | 22 | |||||||
Interest income from affiliates | — | — | (a) | 2 | — | (a) | ||||||||||
Dividend income fromnon-affiliates | 16,168 | 115,050 | 47,666 | 43,489 | ||||||||||||
Dividend income from affiliates | 336 | 1,432 | 830 | 498 | ||||||||||||
Income from securities lending (net) (See Note 2.E.) | 16 | 64 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 16,520 | 116,579 | 48,527 | 44,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 3,123 | 29,687 | 16,666 | 6,168 | ||||||||||||
Administration fees | 586 | 5,001 | 1,892 | 1,850 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 304 | 2,045 | 657 | 254 | ||||||||||||
Class C | 194 | 1,072 | 369 | — | ||||||||||||
Class R2 | 54 | 601 | 13 | — | ||||||||||||
Class R3 | — | (a) | 145 | — | — | |||||||||||
Service fees: | ||||||||||||||||
Class A | 304 | 2,045 | 657 | 254 | ||||||||||||
Class C | 65 | 357 | 123 | — | ||||||||||||
Class I | 384 | 1,314 | 4,485 | 279 | ||||||||||||
Class L | — | 745 | — | 208 | ||||||||||||
Class R2 | 27 | 301 | 6 | — | ||||||||||||
Class R3 | — | (a) | 145 | — | — | |||||||||||
Class R4 | 17 | 28 | — | — | ||||||||||||
Class R5 | 15 | 418 | 49 | — | ||||||||||||
Custodian and accounting fees | 30 | 214 | 164 | 86 | ||||||||||||
Interest expense to affiliates | — | 1 | 4 | — | (a) | |||||||||||
Professional fees | 36 | 106 | 65 | 62 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 16 | 41 | 23 | 23 | ||||||||||||
Printing and mailing costs | 82 | 366 | 112 | 52 | ||||||||||||
Registration and filing fees | 88 | 163 | 101 | 56 | ||||||||||||
Transfer agency fees (See Note 2.J.) | 62 | 226 | 64 | 47 | ||||||||||||
Dividend expense tonon-affiliates on securities sold short | — | — | 16,341 | — | ||||||||||||
Interest expense tonon-affiliates on securities sold short | — | — | 3,400 | — | ||||||||||||
Other | 16 | 118 | 41 | 45 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 5,403 | 45,139 | 45,232 | 9,384 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (628 | ) | (3,241 | ) | (3,629 | ) | (2,544 | ) | ||||||||
Less expense reimbursements | (11 | ) | (45 | ) | (2 | ) | (23 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 4,764 | 41,853 | 41,601 | 6,817 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 11,756 | 74,726 | 6,926 | 37,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments innon-affiliates | 39,996 | 568,241 | 957,562 | 781,055 | ||||||||||||
Investments in affiliates | 2 | (45 | ) | (1 | ) | (3 | ) | |||||||||
Futures contracts | — | 5,807 | (10,319 | ) | 5,028 | |||||||||||
Securities sold short | — | — | (18,749 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 39,998 | 574,003 | 928,493 | 786,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||||||
Investments innon-affiliates | 111,975 | 951,469 | (424,821 | ) | (362,657 | ) | ||||||||||
Investments in affiliates | (1 | ) | (8 | ) | (2 | ) | (4 | ) | ||||||||
Futures contracts | — | 96 | 207 | 150 | ||||||||||||
Securities sold short | — | — | (61,025 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 111,974 | 951,557 | (485,641 | ) | (362,511 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 151,972 | 1,525,560 | 442,852 | 423,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 163,728 | $ | 1,600,286 | $ | 449,778 | $ | 460,761 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 426 | $ | 1,021 | $ | 273,163 | $ | 417,629 | ||||||||
Net realized gain (loss) | 7,456 | 25,683 | 370,307 | 261,966 | ||||||||||||
Change in net unrealized appreciation/depreciation | 1,499 | (16,976 | ) | 1,913,742 | 1,549,963 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 9,381 | 9,728 | 2,557,212 | 2,229,558 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (962 | ) | (681 | ) | (67,596 | ) | (140,305 | ) | ||||||||
Class C | (540 | ) | (399 | ) | (25,948 | ) | (57,794 | ) | ||||||||
Class I | (10,258 | ) | (14,230 | ) | (208,819 | ) | (356,669 | ) | ||||||||
Class R2 | — | — | (1,670 | ) | (3,859 | ) | ||||||||||
Class R3 | — | — | (3,163 | ) | (5,148 | ) | ||||||||||
Class R4 | — | — | (1,746 | ) | (1,500 | ) | ||||||||||
Class R5 | — | — | (31,075 | ) | (59,529 | ) | ||||||||||
Class R6 (a) | (4,735 | ) | (2 | ) | (243,011 | ) | (310,524 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (16,495 | ) | (15,312 | ) | (583,028 | ) | (935,328 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 3,518 | (140,958 | ) | 5,876,091 | 5,113,722 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (3,596 | ) | (146,542 | ) | 7,850,275 | 6,407,952 | ||||||||||
Beginning of period | 106,828 | 253,370 | 23,662,447 | 17,254,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 103,232 | $ | 106,828 | $ | 31,512,722 | $ | 23,662,447 | ||||||||
|
| �� |
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Premium Income Fund | JPMorgan Growth and Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Period Ended June 30, 2019 (a) | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 2,955 | $ | 3,239 | $ | 5,506 | $ | 11,130 | ||||||||
Net realized gain (loss) | (2,649 | ) | (3,432 | ) | 5,252 | 16,767 | ||||||||||
Change in net unrealized appreciation/depreciation | 4,470 | 3,283 | 64,292 | 12,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 4,776 | 3,090 | 75,050 | 40,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (48 | ) | (2 | ) | (15,684 | ) | (28,923 | ) | ||||||||
Class C | (26 | ) | (1 | ) | (858 | ) | (1,489 | ) | ||||||||
Class I | (2,891 | ) | (3,249 | ) | (2,700 | ) | (5,085 | ) | ||||||||
Class R2 | — | — | (10 | ) | (6 | ) | ||||||||||
Class R3 | — | — | — | (b) | (1 | ) | ||||||||||
Class R4 | — | — | (3 | ) | (1 | ) | ||||||||||
Class R5 | (1 | ) | (1 | ) | (2 | ) | (3 | ) | ||||||||
Class R6 | (1 | ) | (1 | ) | (1,633 | ) | (2,303 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (2,967 | ) | (3,254 | ) | (20,890 | ) | (37,811 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 58,875 | 54,397 | 69,750 | 38,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 60,684 | 54,233 | 123,910 | 41,740 | ||||||||||||
Beginning of period | 54,233 | — | 652,503 | 610,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 114,917 | $ | 54,233 | $ | 776,413 | $ | 652,503 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was August 31, 2018. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Hedged Equity Fund | JPMorgan Large Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 35,547 | $ | 44,889 | $ | 32,348 | $ | 9,977 | ||||||||
Net realized gain (loss) | (329,914 | ) | (199,259 | ) | 1,359,556 | 2,059,616 | ||||||||||
Change in net unrealized appreciation/depreciation | 616,363 | 377,249 | (27,883 | ) | (142,274 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 321,996 | 222,879 | 1,364,021 | 1,927,319 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (2,000 | ) | (2,575 | ) | (307,305 | ) | (290,662 | ) | ||||||||
Class C | (488 | ) | (707 | ) | (82,111 | ) | (80,926 | ) | ||||||||
Class I | (30,992 | ) | (36,679 | ) | (568,389 | ) | (537,464 | ) | ||||||||
Class R2 | — | — | (16,104 | ) | (19,576 | ) | ||||||||||
Class R3 | — | — | (7,619 | ) | (2,356 | ) | ||||||||||
Class R4 | — | — | (2,550 | ) | (823 | ) | ||||||||||
Class R5 | (16 | ) | (7 | ) | (83,447 | ) | (94,352 | ) | ||||||||
Class R6 | (3,997 | ) | (3,472 | ) | (964,234 | ) | (744,597 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (37,493 | ) | (43,440 | ) | (2,031,759 | ) | (1,770,756 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,366,839 | 2,447,975 | 2,380,142 | 1,405,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,651,342 | 2,627,414 | 1,712,404 | 1,562,023 | ||||||||||||
Beginning of period | 5,055,806 | 2,428,392 | 15,912,610 | 14,350,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,707,148 | $ | 5,055,806 | $ | 17,625,014 | $ | 15,912,610 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 69 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 11,756 | $ | 24,256 | $ | 74,726 | $ | 163,804 | ||||||||
Net realized gain (loss) | 39,998 | (38,069 | ) | 574,003 | 1,320,157 | |||||||||||
Change in net unrealized appreciation/depreciation | 111,974 | 29,360 | 951,557 | (180,336 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 163,728 | 15,547 | 1,600,286 | 1,303,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (1,635 | ) | (14,350 | ) | (155,782 | ) | (145,610 | ) | ||||||||
Class C | (235 | ) | (4,699 | ) | (25,985 | ) | (34,523 | ) | ||||||||
Class I | (2,440 | ) | (26,304 | ) | (93,295 | ) | (176,401 | ) | ||||||||
Class L | — | — | (135,175 | ) | (197,302 | ) | ||||||||||
Class R2 | (122 | ) | (1,479 | ) | (21,355 | ) | (28,317 | ) | ||||||||
Class R3 (a) | — | (b) | (1 | ) | (10,771 | ) | (10,133 | ) | ||||||||
Class R4 (a) | (109 | ) | (93 | ) | (2,054 | ) | (1,931 | ) | ||||||||
Class R5 | (265 | ) | (2,258 | ) | (76,605 | ) | (104,750 | ) | ||||||||
Class R6 | (8,653 | ) | (70,128 | ) | (873,258 | ) | (936,749 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (13,459 | ) | (119,312 | ) | (1,394,280 | ) | (1,635,716 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 56,782 | (137,459 | ) | 1,165,734 | (424,509 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 207,051 | (241,224 | ) | 1,371,740 | (756,600 | ) | ||||||||||
Beginning of period | 1,411,128 | 1,652,352 | 14,301,497 | 15,058,097 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,618,179 | $ | 1,411,128 | $ | 15,673,237 | $ | 14,301,497 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 6,926 | $ | 33,620 | $ | 37,192 | $ | 100,475 | ||||||||
Net realized gain (loss) | 928,493 | 962,925 | 786,080 | 517,266 | ||||||||||||
Change in net unrealized appreciation/depreciation | (485,641 | ) | (561,494 | ) | (362,511 | ) | (24,892 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 449,778 | 435,051 | 460,761 | 592,849 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (110,686 | ) | (96,383 | ) | (21,006 | ) | (27,920 | ) | ||||||||
Class C | (22,436 | ) | (20,837 | ) | — | — | ||||||||||
Class I | (858,499 | ) | (784,212 | ) | (22,697 | ) | (27,285 | ) | ||||||||
Class L | — | — | (42,811 | ) | (51,150 | ) | ||||||||||
Class R2 | (1,126 | ) | (839 | ) | — | — | ||||||||||
Class R5 | (20,316 | ) | (16,031 | ) | — | — | ||||||||||
Class R6 | (161,893 | ) | (193,852 | ) | (441,704 | ) | (633,551 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,174,956 | ) | (1,112,154 | ) | (528,218 | ) | (739,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (1,259,444 | ) | (1,932,512 | ) | (1,358,975 | ) | (774,687 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (1,984,622 | ) | (2,609,615 | ) | (1,426,432 | ) | (921,744 | ) | ||||||||
Beginning of period | 6,419,008 | 9,028,623 | 5,815,346 | 6,737,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,434,386 | $ | 6,419,008 | $ | 4,388,914 | $ | 5,815,346 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 71 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,030 | $ | 2,435 | $ | 566,709 | $ | 755,202 | ||||||||
Distributions reinvested | 962 | 681 | 64,152 | 133,800 | ||||||||||||
Cost of shares redeemed | (1,002 | ) | (1,458 | ) | (396,842 | ) | (824,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 990 | $ | 1,658 | $ | 234,019 | $ | 64,870 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 200 | $ | 529 | $ | 181,600 | $ | 284,340 | ||||||||
Distributions reinvested | 540 | 399 | 22,635 | 51,095 | ||||||||||||
Cost of shares redeemed | (133 | ) | (688 | ) | (130,776 | ) | (286,413 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 607 | $ | 240 | $ | 73,459 | $ | 49,022 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 2,613 | $ | 23,367 | $ | 2,232,308 | $ | 3,482,287 | ||||||||
Distributions reinvested | 10,183 | 14,130 | 187,365 | 318,091 | ||||||||||||
Cost of shares redeemed | (19,252 | ) | (198,184 | ) | (836,297 | ) | (1,602,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (6,456 | ) | $ | (160,687 | ) | $ | 1,583,376 | $ | 2,198,088 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 11,265 | $ | 30,350 | ||||||||
Distributions reinvested | — | — | 1,594 | 3,484 | ||||||||||||
Cost of shares redeemed | — | — | (16,651 | ) | (25,985 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (3,792 | ) | $ | 7,849 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 53,820 | $ | 64,756 | ||||||||
Distributions reinvested | — | — | 2,730 | 4,644 | ||||||||||||
Cost of shares redeemed | — | — | (20,123 | ) | (30,072 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | $ | — | $ | 36,427 | $ | 39,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 30,272 | $ | 57,970 | ||||||||
Distributions reinvested | — | — | 1,746 | 1,500 | ||||||||||||
Cost of shares redeemed | — | — | (13,104 | ) | (20,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | — | $ | — | $ | 18,914 | $ | 39,168 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 222,723 | $ | 460,008 | ||||||||
Distributions reinvested | — | — | 29,711 | 55,745 | ||||||||||||
Cost of shares redeemed | — | — | (196,028 | ) | (273,526 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 56,406 | $ | 242,227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(a) | ||||||||||||||||
Proceeds from shares issued | $ | 5,917 | $ | 40,177 | $ | 4,470,610 | $ | 3,362,596 | ||||||||
Distributions reinvested | 4,735 | 2 | 232,737 | 292,441 | ||||||||||||
Cost of shares redeemed | (2,275 | ) | (22,348 | ) | (826,065 | ) | (1,127,173 | ) | ||||||||
Redemptionsin-kind (See Note 8) | — | — | — | (54,694 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 8,377 | $ | 17,831 | $ | 3,877,282 | $ | 2,473,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 3,518 | $ | (140,958 | ) | $ | 5,876,091 | $ | 5,113,722 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 34 | 81 | 31,219 | 44,333 | ||||||||||||
Reinvested | 35 | 25 | 3,437 | 8,045 | ||||||||||||
Redeemed | (34 | ) | (51 | ) | (21,757 | ) | (48,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 35 | 55 | 12,899 | 4,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 8 | 18 | 10,144 | 17,076 | ||||||||||||
Reinvested | 21 | 15 | 1,235 | 3,143 | ||||||||||||
Redeemed | (5 | ) | (25 | ) | (7,333 | ) | (17,081 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 24 | 8 | 4,046 | 3,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 83 | 726 | 120,287 | 201,387 | ||||||||||||
Reinvested | 366 | 511 | 9,862 | 18,776 | ||||||||||||
Redeemed | (626 | ) | (6,421 | ) | (45,088 | ) | (93,029 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (177 | ) | (5,184 | ) | 85,061 | 127,134 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | — | — | 622 | 1,779 | ||||||||||||
Reinvested | — | — | 86 | 211 | ||||||||||||
Redeemed | — | — | (917 | ) | (1,521 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (209 | ) | 469 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | — | — | 2,950 | 3,784 | ||||||||||||
Reinvested | — | — | 146 | 280 | ||||||||||||
Redeemed | — | — | (1,099 | ) | (1,796 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 1,997 | 2,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | — | — | 1,655 | 3,364 | ||||||||||||
Reinvested | — | — | 92 | 88 | ||||||||||||
Redeemed | — | — | (703 | ) | (1,151 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 1,044 | 2,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | — | — | 11,953 | 26,643 | ||||||||||||
Reinvested | — | — | 1,565 | 3,283 | ||||||||||||
Redeemed | — | — | (10,525 | ) | (15,716 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 2,993 | 14,210 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(a) |
| |||||||||||||||
Issued | 197 | 1,490 | 241,104 | 192,820 | ||||||||||||
Reinvested | 171 | — | (b) | 12,240 | 17,229 | |||||||||||
Redeemed | (78 | ) | (757 | ) | (44,207 | ) | (64,768 | ) | ||||||||
Redemptionsin-kind (See Note 8) | — | — | — | (3,151 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 290 | 733 | 209,137 | 142,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Premium Income Fund | JPMorgan Growth and Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Period Ended June 30, 2019 (a) | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 3,045 | $ | 123 | $ | 65,475 | $ | 48,540 | ||||||||
Distributions reinvested | 47 | 2 | 15,273 | 28,106 | ||||||||||||
Cost of shares redeemed | (174 | ) | — | (b) | (30,916 | ) | (63,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 2,918 | $ | 125 | $ | 49,832 | $ | 12,647 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 2,201 | $ | 20 | $ | 4,470 | $ | 8,554 | ||||||||
Distributions reinvested | 26 | 1 | 713 | 1,282 | ||||||||||||
Cost of shares redeemed | (16 | ) | — | (2,434 | ) | (6,924 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 2,211 | $ | 21 | $ | 2,749 | $ | 2,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 51,725 | $ | 51,120 | $ | 12,261 | $ | 37,640 | ||||||||
Distributions reinvested | 2,888 | 3,248 | 2,446 | 4,589 | ||||||||||||
Cost of shares redeemed | (894 | ) | (159 | ) | (15,591 | ) | (26,157 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 53,719 | $ | 54,209 | $ | (884 | ) | $ | 16,072 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 681 | $ | 66 | ||||||||
Distributions reinvested | — | — | 10 | 6 | ||||||||||||
Cost of shares redeemed | — | — | (33 | ) | (3 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 658 | $ | 69 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Distributions reinvested | $ | — | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 58 | $ | — | ||||||||
Distributions reinvested | — | — | 3 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | — | $ | — | $ | 61 | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 20 | $ | 24 | $ | 30 | ||||||||
Distributions reinvested | 1 | 1 | 2 | 3 | ||||||||||||
Cost of shares redeemed | — | — | (35 | ) | (3 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 1 | $ | 21 | $ | (9 | ) | $ | 30 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 25 | $ | 20 | $ | 20,493 | $ | 12,212 | ||||||||
Distributions reinvested | 1 | 1 | 1,571 | 2,197 | ||||||||||||
Cost of shares redeemed | — | — | (4,721 | ) | (7,418 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 26 | $ | 21 | $ | 17,343 | $ | 6,991 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 58,875 | $ | 54,397 | $ | 69,750 | $ | 38,723 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was August 31, 2018. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Equity Premium Income Fund | JPMorgan Growth and Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Period Ended June 30, 2019 (a) | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 203 | 8 | 1,275 | 987 | ||||||||||||
Reinvested | 3 | — | (b) | 288 | 606 | |||||||||||
Redeemed | (12 | ) | — | (b) | (601 | ) | (1,316 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 194 | 8 | 962 | 277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 146 | 1 | 98 | 198 | ||||||||||||
Reinvested | 2 | — | (b) | 15 | 31 | |||||||||||
Redeemed | (1 | ) | — | (54 | ) | (158 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 147 | 1 | 59 | 71 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 3,443 | 3,410 | 226 | 736 | ||||||||||||
Reinvested | 191 | 225 | 44 | 93 | ||||||||||||
Redeemed | (59 | ) | (11 | ) | (289 | ) | (519 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 3,575 | 3,624 | (19 | ) | 310 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | — | — | 14 | 1 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
Redeemed | — | — | (1 | ) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 13 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Reinvested | — | — | — | (b) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | — | (b) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | — | — | — | (b) | — | |||||||||||
Reinvested | — | — | — | (b) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | — | (b) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | — | 1 | — | (b) | — | (b) | ||||||||||
Reinvested | 1 | — | (b) | — | (b) | — | (b) | |||||||||
Redeemed | — | — | — | (b) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1 | 1 | — | (b) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 2 | 1 | 364 | 235 | ||||||||||||
Reinvested | — | (b) | — | (b) | 28 | 44 | ||||||||||
Redeemed | — | — | (85 | ) | (144 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 2 | 1 | 307 | 135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was August 31, 2018. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Hedged Equity Fund | JPMorgan Large Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 192,642 | $ | 200,515 | $ | 440,559 | $ | 565,602 | ||||||||
Distributions reinvested | 1,995 | 2,559 | 290,772 | 268,247 | ||||||||||||
Cost of shares redeemed | (60,130 | ) | (196,149 | ) | (463,479 | ) | (848,901 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 134,507 | $ | 6,925 | $ | 267,852 | $ | (15,052 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 50,992 | $ | 98,773 | $ | 64,791 | $ | 101,496 | ||||||||
Distributions reinvested | 487 | 705 | 64,738 | 64,190 | ||||||||||||
Cost of shares redeemed | (16,221 | ) | (27,734 | ) | (60,807 | ) | (162,510 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 35,258 | $ | 71,744 | $ | 68,722 | $ | 3,176 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 1,617,324 | $ | 3,264,704 | $ | 731,060 | $ | 1,278,824 | ||||||||
Distributions reinvested | 29,691 | 34,623 | 522,530 | 499,924 | ||||||||||||
Cost of shares redeemed | (623,876 | ) | (1,180,493 | ) | (857,965 | ) | (1,526,803 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 1,023,139 | $ | 2,118,834 | $ | 395,625 | $ | 251,945 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 19,335 | $ | 52,974 | ||||||||
Distributions reinvested | — | — | 13,984 | 15,016 | ||||||||||||
Cost of shares redeemed | — | — | (38,376 | ) | (85,360 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (5,057 | ) | $ | (17,370 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 30,182 | $ | 41,442 | ||||||||
Distributions reinvested | — | — | 4,020 | 1,370 | ||||||||||||
Cost of shares redeemed | — | — | (6,729 | ) | (5,767 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | $ | — | $ | 27,473 | $ | 37,045 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 12,450 | $ | 5,495 | ||||||||
Distributions reinvested | — | — | 2,550 | 823 | ||||||||||||
Cost of shares redeemed | — | — | (837 | ) | (1,898 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | — | $ | — | $ | 14,163 | $ | 4,420 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 526 | $ | 1,826 | $ | 85,094 | $ | 171,763 | ||||||||
Distributions reinvested | 16 | 7 | 78,312 | 89,822 | ||||||||||||
Cost of shares redeemed | (102 | ) | (105 | ) | (103,810 | ) | (351,362 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 440 | $ | 1,728 | $ | 59,596 | $ | (89,777 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 252,106 | $ | 295,474 | $ | 1,390,862 | $ | 1,840,965 | ||||||||
Distributions reinvested | 1,415 | 978 | 931,375 | 723,675 | ||||||||||||
Cost of shares redeemed | (80,026 | ) | (47,708 | ) | (770,469 | ) | (1,333,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 173,495 | $ | 248,744 | $ | 1,551,768 | $ | 1,231,073 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,366,839 | $ | 2,447,975 | $ | 2,380,142 | $ | 1,405,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Hedged Equity Fund | JPMorgan Large Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 9,311 | 10,234 | 10,459 | 14,213 | ||||||||||||
Reinvested | 96 | 131 | 7,477 | 7,726 | ||||||||||||
Redeemed | (2,918 | ) | (10,028 | ) | (11,077 | ) | (21,501 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 6,489 | 337 | 6,859 | 438 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 2,499 | 5,092 | 2,069 | 3,322 | ||||||||||||
Reinvested | 23 | 37 | 2,250 | 2,388 | ||||||||||||
Redeemed | (795 | ) | (1,432 | ) | (1,898 | ) | (5,303 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,727 | 3,697 | 2,421 | 407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 78,497 | 166,589 | 17,171 | 31,957 | ||||||||||||
Reinvested | 1,422 | 1,758 | 13,208 | 14,219 | ||||||||||||
Redeemed | (30,241 | ) | (60,565 | ) | (20,218 | ) | (38,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 49,678 | 107,782 | 10,161 | 7,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | — | — | 481 | 1,393 | ||||||||||||
Reinvested | — | — | 376 | 449 | ||||||||||||
Redeemed | — | — | (956 | ) | (2,227 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (99 | ) | (385 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | — | — | 717 | 1,026 | ||||||||||||
Reinvested | — | — | 103 | 39 | ||||||||||||
Redeemed | — | — | (159 | ) | (148 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 661 | 917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | — | — | 287 | 139 | ||||||||||||
Reinvested | — | — | 64 | 23 | ||||||||||||
Redeemed | — | — | (20 | ) | (47 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 331 | 115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 26 | 92 | 1,949 | 4,109 | ||||||||||||
Reinvested | 1 | — | (a) | 1,927 | 2,499 | |||||||||||
Redeemed | (5 | ) | (5 | ) | (2,396 | ) | (8,504 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 22 | 87 | 1,480 | (1,896 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 12,258 | 15,045 | 31,705 | 44,475 | ||||||||||||
Reinvested | 68 | 49 | 22,702 | 19,983 | ||||||||||||
Redeemed | (3,880 | ) | (2,420 | ) | (17,595 | ) | (32,490 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 8,446 | 12,674 | 36,812 | 31,968 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 77 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 111,854 | $ | 38,199 | $ | 262,797 | $ | 668,701 | ||||||||
Distributions reinvested | 1,609 | 13,929 | 148,528 | 132,720 | ||||||||||||
Cost of shares redeemed | (47,390 | ) | (120,946 | ) | (202,139 | ) | (561,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 66,073 | $ | (68,818 | ) | $ | 209,186 | $ | 239,512 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,942 | $ | 12,245 | $ | 13,885 | $ | 47,501 | ||||||||
Distributions reinvested | 228 | 4,589 | 24,646 | 32,837 | ||||||||||||
Cost of shares redeemed | (10,521 | ) | (26,332 | ) | (38,858 | ) | (81,416 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (8,351 | ) | $ | (9,498 | ) | $ | (327 | ) | $ | (1,078 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 72,322 | $ | 180,351 | $ | 71,297 | $ | 408,617 | ||||||||
Distributions reinvested | 2,429 | 26,175 | 90,021 | 171,208 | ||||||||||||
Cost of shares redeemed | (112,847 | ) | (258,184 | ) | (253,903 | ) | (922,817 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (38,096 | ) | $ | (51,658 | ) | $ | (92,585 | ) | $ | (342,992 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 98,934 | $ | 340,083 | ||||||||
Distributions reinvested | — | — | 119,013 | 166,869 | ||||||||||||
Cost of shares redeemed | — | — | (295,323 | ) | (575,141 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | (77,376 | ) | $ | (68,189 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,314 | $ | 9,456 | $ | 13,067 | $ | 31,183 | ||||||||
Distributions reinvested | 114 | 1,316 | 20,726 | 26,663 | ||||||||||||
Cost of shares redeemed | (2,615 | ) | (4,971 | ) | (49,430 | ) | (72,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (1,187 | ) | $ | 5,801 | $ | (15,637 | ) | $ | (14,502 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R3(a) | ||||||||||||||||
Proceeds from shares issued | $ | — | (b) | $ | 20 | $ | 14,561 | $ | 53,558 | |||||||
Distributions reinvested | — | (b) | 1 | 9,724 | 9,047 | |||||||||||
Cost of shares redeemed | — | — | (19,357 | ) | (9,993 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | (b) | $ | 21 | $ | 4,928 | $ | 52,612 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R4(a) | ||||||||||||||||
Proceeds from shares issued | $ | 749 | $ | 13,825 | $ | 2,065 | $ | 17,146 | ||||||||
Distributions reinvested | 109 | 93 | 2,054 | 1,931 | ||||||||||||
Cost of shares redeemed | (2,312 | ) | (1,201 | ) | (3,778 | ) | (6,325 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | (1,454 | ) | $ | 12,717 | $ | 341 | $ | 12,752 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 3,450 | $ | 20,278 | $ | 30,064 | $ | 73,209 | ||||||||
Distributions reinvested | 263 | 2,241 | 69,831 | 94,444 | ||||||||||||
Cost of shares redeemed | (7,985 | ) | (13,694 | ) | (97,837 | ) | (236,756 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (4,272 | ) | $ | 8,825 | $ | 2,058 | $ | (69,103 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 103,940 | $ | 325,810 | $ | 1,122,894 | $ | 1,335,233 | ||||||||
Subscriptionsin-kind (See Note 9) | — | — | 45,414 | — | ||||||||||||
Distributions reinvested | 8,611 | 69,882 | 867,740 | 934,866 | ||||||||||||
Cost of shares redeemed | (68,482 | ) | (430,541 | ) | (900,902 | ) | (2,503,620 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 44,069 | $ | (34,849 | ) | $ | 1,135,146 | $ | (233,521 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 56,782 | $ | (137,459 | ) | $ | 1,165,734 | $ | (424,509 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A |
| |||||||||||||||
Issued | 7,883 | 2,636 | 16,314 | 43,450 | ||||||||||||
Reinvested | 108 | 1,057 | 9,438 | 9,250 | ||||||||||||
Redeemed | (3,240 | ) | (8,443 | ) | (12,578 | ) | (35,922 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,751 | (4,750 | ) | 13,174 | 16,778 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 140 | 893 | 894 | 3,118 | ||||||||||||
Reinvested | 16 | 365 | 1,630 | 2,381 | ||||||||||||
Redeemed | (765 | ) | (1,966 | ) | (2,508 | ) | (5,483 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (609 | ) | (708 | ) | 16 | 16 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 5,113 | 12,677 | 4,417 | 26,279 | ||||||||||||
Reinvested | 167 | 2,016 | 5,698 | 11,895 | ||||||||||||
Redeemed | (7,895 | ) | (18,372 | ) | (15,890 | ) | (59,810 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (2,615 | ) | (3,679 | ) | (5,775 | ) | (21,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class L |
| |||||||||||||||
Issued | — | — | 6,160 | 21,487 | ||||||||||||
Reinvested | — | — | 7,513 | 11,566 | ||||||||||||
Redeemed | — | — | (18,306 | ) | (37,224 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | (4,633 | ) | (4,171 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | 93 | 652 | 825 | 2,018 | ||||||||||||
Reinvested | 8 | 101 | 1,332 | 1,883 | ||||||||||||
Redeemed | (182 | ) | (353 | ) | (3,115 | ) | (4,597 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (81 | ) | 400 | (958 | ) | (696 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3(a) |
| |||||||||||||||
Issued | — | 1 | 900 | 3,354 | ||||||||||||
Reinvested | — | (b) | — | (b) | 620 | 633 | ||||||||||
Redeemed | — | — | (1,198 | ) | (643 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | (b) | 1 | 322 | 3,344 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4(a) |
| |||||||||||||||
Issued | 53 | 1,113 | 127 | 1,067 | ||||||||||||
Reinvested | 7 | 7 | 130 | 134 | ||||||||||||
Redeemed | (163 | ) | (89 | ) | (238 | ) | (400 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | (103 | ) | 1,031 | 19 | 801 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 243 | 1,415 | 1,872 | 4,699 | ||||||||||||
Reinvested | 18 | 170 | 4,408 | 6,538 | ||||||||||||
Redeemed | (557 | ) | (950 | ) | (6,039 | ) | (15,115 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (296 | ) | 635 | 241 | (3,878 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 7,455 | 22,094 | 69,117 | 85,926 | ||||||||||||
Subscriptionsin-kind (See Note 9) | — | — | 2,771 | — | ||||||||||||
Reinvested | 588 | 5,350 | 54,639 | 64,491 | ||||||||||||
Redeemed | (4,770 | ) | (29,764 | ) | (55,214 | ) | (154,015 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,273 | (2,320 | ) | 71,313 | (3,598 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 79 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 39,681 | $ | 135,379 | $ | 24,016 | $ | 34,397 | ||||||||
Distributions reinvested | 107,818 | 94,468 | 20,900 | 27,797 | ||||||||||||
Cost of shares redeemed | (305,423 | ) | (275,160 | ) | (50,650 | ) | (123,985 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (157,924 | ) | $ | (45,313 | ) | $ | (5,734 | ) | $ | (61,791 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 4,605 | $ | 12,993 | $ | — | $ | — | ||||||||
Distributions reinvested | 19,111 | 17,995 | — | — | ||||||||||||
Cost of shares redeemed | (30,345 | ) | (67,277 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (6,629 | ) | $ | (36,289 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 223,482 | $ | 888,442 | $ | 13,504 | $ | 56,824 | ||||||||
Distributions reinvested | 811,087 | 739,627 | 22,217 | 26,614 | ||||||||||||
Cost of shares redeemed | (2,137,528 | ) | (2,590,860 | ) | (40,807 | ) | (115,409 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (1,102,959 | ) | $ | (962,791 | ) | $ | (5,086 | ) | $ | (31,971 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 27,553 | $ | 60,334 | ||||||||
Distributions reinvested | — | — | 25,240 | 32,173 | ||||||||||||
Cost of shares redeemed | — | — | (62,435 | ) | (138,095 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | (9,642 | ) | $ | (45,588 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 537 | $ | 946 | $ | — | $ | — | ||||||||
Distributions reinvested | 808 | 532 | — | — | ||||||||||||
Cost of shares redeemed | (512 | ) | (2,235 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 833 | $ | (757 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 5,384 | $ | 22,201 | $ | — | $ | — | ||||||||
Distributions reinvested | 20,259 | 15,977 | — | — | ||||||||||||
Cost of shares redeemed | (28,257 | ) | (57,731 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (2,614 | ) | $ | (19,553 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 65,939 | $ | 38,738 | $ | 485,142 | $ | 253,929 | ||||||||
Distributions reinvested | 113,531 | 166,828 | 440,937 | 633,410 | ||||||||||||
Cost of shares redeemed | (169,621 | ) | (1,073,375 | ) | (927,883 | ) | (1,522,676 | ) | ||||||||
Redemptionsin-kind (See Note 8) | — | — | (1,336,709 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 9,849 | $ | (867,809 | ) | $ | (1,338,513 | ) | $ | (635,337 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (1,259,444 | ) | $ | (1,932,512 | ) | $ | (1,358,975 | ) | $ | (774,687 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 1,613 | 4,895 | 892 | 1,253 | ||||||||||||
Reinvested | 4,576 | 3,825 | 855 | 1,116 | ||||||||||||
Redeemed | (12,058 | ) | (9,740 | ) | (1,903 | ) | (4,605 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (5,869 | ) | (1,020 | ) | (156 | ) | (2,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 206 | 506 | — | — | ||||||||||||
Reinvested | 873 | 773 | — | — | ||||||||||||
Redeemed | (1,344 | ) | (2,631 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (265 | ) | (1,352 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 8,956 | 31,989 | 500 | 2,021 | ||||||||||||
Reinvested | 33,851 | 29,468 | 898 | 1,056 | ||||||||||||
Redeemed | (87,242 | ) | (93,992 | ) | (1,495 | ) | (4,084 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (44,435 | ) | (32,535 | ) | (97 | ) | (1,007 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class L |
| |||||||||||||||
Issued | — | — | 1,071 | 2,291 | ||||||||||||
Reinvested | — | — | 1,023 | 1,280 | ||||||||||||
Redeemed | — | — | (2,330 | ) | (4,963 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | (236 | ) | (1,392 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | 24 | 36 | — | — | ||||||||||||
Reinvested | 36 | 22 | — | — | ||||||||||||
Redeemed | (21 | ) | (82 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 39 | (24 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 210 | 840 | — | — | ||||||||||||
Reinvested | 840 | 633 | — | — | ||||||||||||
Redeemed | (1,125 | ) | (2,058 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (75 | ) | (585 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 2,620 | 1,425 | 18,557 | 9,239 | ||||||||||||
Reinvested | 4,714 | 6,614 | 17,857 | 25,157 | ||||||||||||
Redeemed | (6,928 | ) | (38,577 | ) | (33,782 | ) | (54,997 | ) | ||||||||
Redemptionsin-kind (See Note 8) | — | — | (52,834 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 406 | (30,538 | ) | (50,202 | ) | (20,601 | ) | |||||||||
|
|
|
|
|
|
| �� | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 81 | ||||||
Table of Contents
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
JPMorgan U.S. | ||||
INCREASE (DECREASE) IN CASH | ||||
Cash flows provided (used) by operating activities: | ||||
Net increase in net assets resulting from operations | $ | 449,778 | ||
Adjustments to reconcile net increase/decrease in net assets resulting from | ||||
operations to net cash provided (used) by operating activities: | ||||
Purchase of investment securities | (2,345,025 | ) | ||
Proceeds from disposition of investment securities | 5,162,203 | |||
Covers of investment securities sold short | (1,354,457 | ) | ||
Proceeds from investment securities sold short | 918,373 | |||
Purchases of short-term investments — affiliates, net | 41,588 | |||
Change in unrealized (appreciation)/depreciation on investments in non-affiliates | 424,821 | |||
Change in unrealized (appreciation)/depreciation on investments in affiliates | 2 | |||
Change in unrealized (appreciation)/depreciation on investment securities sold short | 61,025 | |||
Net realized (gain)/loss on investments in non-affiliates | (957,562 | ) | ||
Net realized (gain)/loss on investments in affiliates | 1 | |||
Net realized (gain)/loss on securities sold short | 18,749 | |||
Decrease in dividends receivable from affiliates | 3 | |||
Decrease in dividends receivable from non-affiliates | 4,844 | |||
Decrease in variation margin receivable | 117 | |||
Increase in due to broker for securities sold short | 100 | |||
Decrease in dividend expense to non-affiliates on securities sold short | (931 | ) | ||
Decrease in interest expense to non-affiliates on securities sold short | (145 | ) | ||
Decrease in investment advisory fees payable | (1,084 | ) | ||
Decrease in administration fees payable | (4 | ) | ||
Decrease in distribution fees payable | (52 | ) | ||
Decrease in service fees payable | (223 | ) | ||
Decrease in custodian and accounting fees payable | (64 | ) | ||
Decrease in audit fees payable | (22 | ) | ||
Increase in printing and mailing cost payable | 9 | |||
Increase in other accrued expenses payable | 12 | |||
|
| |||
Net cash provided (used) by operating activities | 2,422,056 | |||
|
| |||
Cash flows provided (used) by financing activities: | ||||
Proceeds from shares issued | 340,725 | |||
Payment for shares redeemed | (2,661,495 | ) | ||
Cash distributions paid to shareholders (net of reinvestments of approximately $1,072,614,000) | (102,342 | ) | ||
|
| |||
Net cash provided (used) by financing activities | (2,423,112 | ) | ||
|
| |||
Cash: | ||||
Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker | (1,056 | ) | ||
Restricted and unrestricted cash and deposits at broker at beginning of period | 2,240 | |||
|
| |||
Restricted and unrestricted cash and deposits at broker at end of period | $ | 1,184 | ||
|
| |||
Supplemental disclosure of cash flow information:
For the six months ended December 31, 2019 the Fund paid approximately $3,549,000 in interest expense for securities sold short.
For purposes of reporting the Statement of Cash Flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents.
Reconciliation of restricted and unrestricted cash and foreign currency at the end of period to the Statement of Assets and Liabilities:
| June 30, 2019 | December 31, 2019 | |||||||
Cash | $ | 408 | $ | 128 | ||||
Deposits at broker: | ||||||||
Futures contracts | 1,832 | 956 | ||||||
Securities sold short | — | 100 | ||||||
|
|
|
| |||||
| $ | 2,240 | $ | 1,184 | |||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 83 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Focus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 30.15 | $ | 0.08 | $ | 2.62 | $ | 2.70 | $ | (0.12 | ) | $ | (4.98 | ) | $ | (5.10 | ) | |||||||||||
Year Ended June 30, 2019 | 31.83 | 0.13 | 2.32 | 2.45 | (0.41 | ) | (3.72 | ) | (4.13 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.09 | 0.08 | 4.23 | 4.31 | (0.01 | ) | (1.56 | ) | (1.57 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.73 | (0.01 | ) | 5.70 | 5.69 | (0.01 | ) | (0.32 | ) | (0.33 | ) | |||||||||||||||||
Year Ended June 30, 2016 | 24.78 | (0.01 | ) | (0.38 | ) | (0.39 | ) | — | (f) | (0.66 | ) | (0.66 | ) | |||||||||||||||
Year Ended June 30, 2015 | 23.56 | (0.02 | ) | 1.42 | 1.40 | (0.02 | ) | (0.16 | ) | (0.18 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 29.01 | 0.01 | 2.50 | 2.51 | (0.01 | ) | (4.98 | ) | (4.99 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 30.75 | (0.03 | ) | 2.25 | 2.22 | (0.24 | ) | (3.72 | ) | (3.96 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 28.28 | (0.08 | ) | 4.11 | 4.03 | — | (1.56 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.18 | (0.14 | ) | 5.56 | 5.42 | — | (0.32 | ) | (0.32 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 24.34 | (0.13 | ) | (0.37 | ) | (0.50 | ) | — | (0.66 | ) | (0.66 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 23.24 | (0.13 | ) | 1.39 | 1.26 | — | (0.16 | ) | (0.16 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 30.60 | 0.12 | 2.67 | 2.79 | (0.17 | ) | (4.98 | ) | (5.15 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.13 | 0.18 | 2.38 | 2.56 | (0.37 | ) | (3.72 | ) | (4.09 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.34 | 0.16 | 4.27 | 4.43 | (0.08 | ) | (1.56 | ) | (1.64 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.92 | 0.06 | 5.75 | 5.81 | (0.07 | ) | (0.32 | ) | (0.39 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 24.95 | 0.06 | (0.39 | ) | (0.33 | ) | (0.04 | ) | (0.66 | ) | (0.70 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 23.67 | 0.04 | 1.44 | 1.48 | (0.04 | ) | (0.16 | ) | (0.20 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 30.48 | 0.16 | 2.64 | 2.80 | (0.24 | ) | (4.98 | ) | (5.22 | ) | ||||||||||||||||||
October 1, 2018 (g) through June 30, 2019 | 34.55 | 0.23 | (0.05 | ) | 0.18 | (0.53 | ) | (3.72 | ) | (4.25 | ) | |||||||||||||||||
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 27.75 | 9.30 | % | $ | 6,054 | 1.10 | % | 0.54 | % | 1.34 | % | 18 | % | |||||||||||||
| 30.15 | 9.22 | 5,511 | 1.09 | 0.42 | 1.41 | 45 | ||||||||||||||||||||
| 31.83 | 15.02 | 4,077 | 1.11 | 0.26 | 1.31 | 34 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 26.53 | 9.00 | 3,437 | 1.60 | 0.03 | 1.83 | 18 | ||||||||||||||||||||
| 29.01 | 8.67 | 3,084 | 1.59 | (0.09 | ) | 1.89 | 45 | |||||||||||||||||||
| 30.75 | 14.45 | 3,017 | 1.61 | (0.26 | ) | 1.80 | 34 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 28.24 | 9.45 | 65,026 | 0.85 | 0.77 | 1.07 | 18 | ||||||||||||||||||||
| 30.60 | 9.50 | 75,887 | 0.84 | 0.57 | 1.08 | 45 | ||||||||||||||||||||
| 32.13 | 15.31 | 246,276 | 0.86 | 0.52 | 1.03 | 34 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 28.06 | 9.55 | 28,715 | 0.60 | 1.06 | 0.81 | 18 | ||||||||||||||||||||
| 30.48 | 2.03 | 22,346 | 0.59 | 1.08 | 0.95 | 45 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 85 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized gains | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 17.83 | $ | 0.16 | (e) | $ | 1.46 | $ | 1.62 | $ | (0.16 | ) | $ | (0.19 | ) | $ | (0.35 | ) | ||||||||||
Year Ended June 30, 2019 | 16.82 | 0.32 | (e) | 1.48 | 1.80 | (0.33 | ) | (0.46 | ) | (0.79 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.67 | 0.26 | (e) | 1.29 | 1.55 | (0.25 | ) | (0.15 | ) | (0.40 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 17.47 | 0.11 | (e) | 1.42 | 1.53 | (0.11 | ) | (0.19 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.50 | 0.23 | (e) | 1.46 | 1.69 | (0.26 | ) | (0.46 | ) | (0.72 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.41 | 0.17 | (e) | 1.26 | 1.43 | (0.19 | ) | (0.15 | ) | (0.34 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.14 | 0.18 | (e) | 1.50 | 1.68 | (0.18 | ) | (0.19 | ) | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 17.10 | 0.37 | (e) | 1.51 | 1.88 | (0.38 | ) | (0.46 | ) | (0.84 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.31 | (e) | 1.31 | 1.62 | (0.29 | ) | (0.15 | ) | (0.44 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 17.74 | 0.13 | (e) | 1.45 | 1.58 | (0.13 | ) | (0.19 | ) | (0.32 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.74 | 0.28 | (e) | 1.47 | 1.75 | (0.29 | ) | (0.46 | ) | (0.75 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.62 | 0.21 | (e) | 1.28 | 1.49 | (0.22 | ) | (0.15 | ) | (0.37 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 17.81 | 0.16 | (e) | 1.46 | 1.62 | (0.16 | ) | (0.19 | ) | (0.35 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.80 | 0.32 | (e) | 1.49 | 1.81 | (0.34 | ) | (0.46 | ) | (0.80 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.66 | 0.27 | (e) | 1.27 | 1.54 | (0.25 | ) | (0.15 | ) | (0.40 | ) | |||||||||||||||||
September 9, 2016 (f) 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, 2019 (Unaudited) | 18.13 | 0.18 | (e) | 1.49 | 1.67 | (0.18 | ) | (0.19 | ) | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 17.09 | 0.36 | (e) | 1.52 | 1.88 | (0.38 | ) | (0.46 | ) | (0.84 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.32 | (e) | 1.29 | 1.61 | (0.29 | ) | (0.15 | ) | (0.44 | ) | |||||||||||||||||
September 9, 2016 (f) 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, 2019 (Unaudited) | 18.16 | 0.20 | (e) | 1.48 | 1.68 | (0.19 | ) | (0.19 | ) | (0.38 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 17.11 | 0.40 | (e) | 1.51 | 1.91 | (0.40 | ) | (0.46 | ) | (0.86 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.93 | 0.34 | (e) | 1.30 | 1.64 | (0.31 | ) | (0.15 | ) | (0.46 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.14 | 0.21 | (e) | 1.49 | 1.70 | (0.20 | ) | (0.19 | ) | (0.39 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 17.10 | 0.42 | (e) | 1.50 | 1.92 | (0.42 | ) | (0.46 | ) | (0.88 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.35 | (e) | 1.31 | 1.66 | (0.33 | ) | (0.15 | ) | (0.48 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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.
| 86 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net income | Expenses | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 19.10 | 9.15 | % | $ | 3,757,325 | 0.98 | % | 1.70 | % | 0.98 | % | 9 | % | |||||||||||||
| 17.83 | 11.17 | 3,277,249 | 0.99 | 1.90 | 1.00 | 23 | ||||||||||||||||||||
| 16.82 | 9.94 | 3,022,879 | 1.00 | 1.55 | 1.01 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 18.70 | 8.84 | 1,612,057 | 1.47 | 1.21 | 1.48 | 9 | ||||||||||||||||||||
| 17.47 | 10.66 | 1,434,793 | 1.48 | 1.39 | 1.49 | 23 | ||||||||||||||||||||
| 16.50 | 9.35 | 1,303,731 | 1.50 | 1.05 | 1.50 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.45 | 9.35 | 11,313,846 | 0.71 | 1.98 | 0.72 | 9 | ||||||||||||||||||||
| 18.14 | 11.45 | 9,013,293 | 0.73 | 2.12 | 0.74 | 23 | ||||||||||||||||||||
| 17.10 | 10.22 | 6,320,979 | 0.74 | 1.81 | 0.75 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.00 | 9.00 | 96,140 | 1.23 | 1.44 | 1.23 | 9 | ||||||||||||||||||||
| 17.74 | 10.90 | 93,453 | 1.24 | 1.64 | 1.25 | 23 | ||||||||||||||||||||
| 16.74 | 9.59 | 80,330 | 1.26 | 1.29 | 1.26 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.08 | 9.17 | 185,019 | 0.97 | 1.73 | 0.97 | 9 | ||||||||||||||||||||
| 17.81 | 11.20 | 137,142 | 0.98 | 1.87 | 0.99 | 23 | ||||||||||||||||||||
| 16.80 | 9.90 | 91,267 | 0.99 | 1.61 | 0.99 | 20 | ||||||||||||||||||||
| 15.66 | 13.62 | 25,209 | 1.03 | 1.55 | 1.05 | 14 | ||||||||||||||||||||
| 19.43 | 9.30 | 91,668 | 0.72 | 1.98 | 0.72 | 9 | ||||||||||||||||||||
| 18.13 | 11.46 | 66,602 | 0.73 | 2.08 | 0.74 | 23 | ||||||||||||||||||||
| 17.09 | 10.18 | 23,451 | 0.74 | 1.90 | 0.75 | 20 | ||||||||||||||||||||
| 15.92 | 13.85 | 1,340 | 0.78 | 2.28 | 0.83 | 14 | ||||||||||||||||||||
| 19.46 | 9.36 | 1,582,869 | 0.56 | 2.11 | 0.57 | 9 | ||||||||||||||||||||
| 18.16 | 11.67 | 1,422,483 | 0.58 | 2.29 | 0.59 | 23 | ||||||||||||||||||||
| 17.11 | 10.38 | 1,097,476 | 0.59 | 1.98 | 0.60 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.45 | 9.48 | 12,873,798 | 0.46 | 2.26 | 0.47 | 9 | ||||||||||||||||||||
| 18.14 | 11.72 | 8,217,432 | 0.48 | 2.38 | 0.49 | 23 | ||||||||||||||||||||
| 17.10 | 10.49 | 5,314,382 | 0.49 | 2.08 | 0.50 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 87 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Equity Premium Income Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 14.92 | $ | 0.56 | $ | 0.31 | $ | 0.87 | $ | (0.58 | ) | |||||||||
August 31, 2018 (g) through June 30, 2019 | 15.00 | 0.95 | (0.11 | ) | 0.84 | (0.92 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.92 | 0.52 | 0.31 | 0.83 | (0.54 | ) | ||||||||||||||
August 31, 2018 (g) through June 30, 2019 | 15.00 | 0.85 | (0.07 | ) | 0.78 | (0.86 | ) | |||||||||||||
Class I | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.92 | 0.59 | 0.30 | 0.89 | (0.60 | ) | ||||||||||||||
August 31, 2018 (g) through June 30, 2019 | 15.00 | 0.94 | (0.07 | ) | 0.87 | (0.95 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.92 | 0.60 | 0.30 | 0.90 | (0.61 | ) | ||||||||||||||
August 31, 2018 (g) through June 30, 2019 | 15.00 | 0.96 | (0.08 | ) | 0.88 | (0.96 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.92 | 0.62 | 0.28 | 0.90 | (0.61 | ) | ||||||||||||||
August 31, 2018 (g) through June 30, 2019 | 15.00 | 0.97 | (0.07 | ) | 0.90 | (0.98 | ) | |||||||||||||
| (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) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net income | Expenses without waivers, | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 15.21 | 5.94 | % | $ | 3,079 | 0.85 | % | 7.44 | % | 1.32 | % | 61 | % | |||||||||||||
| 14.92 | 5.95 | 125 | 0.85 | 7.90 | 1.80 | 43 | ||||||||||||||||||||
| 15.21 | 5.66 | 2,257 | 1.35 | 6.84 | 1.79 | 61 | ||||||||||||||||||||
| 14.92 | 5.50 | 21 | 1.35 | 7.14 | 2.26 | 43 | ||||||||||||||||||||
| 15.21 | 6.04 | 109,511 | 0.60 | 7.79 | 1.06 | 61 | ||||||||||||||||||||
| 14.92 | 6.15 | 54,045 | 0.60 | 7.89 | 1.13 | 43 | ||||||||||||||||||||
| 15.21 | 6.12 | 22 | 0.45 | 8.00 | 0.97 | 61 | ||||||||||||||||||||
| 14.92 | 6.28 | 21 | 0.45 | 8.04 | 1.36 | 43 | ||||||||||||||||||||
| 15.21 | 6.17 | 48 | 0.35 | 8.14 | 0.84 | 61 | ||||||||||||||||||||
| 14.92 | 6.37 | 21 | 0.35 | 8.14 | 1.26 | 43 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 89 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Growth and Income Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 49.84 | $ | 0.40 | $ | 5.06 | $ | 5.46 | $ | (0.42 | ) | $ | (1.07 | ) | $ | (1.49 | ) | |||||||||||
Year Ended June 30, 2019 | 49.77 | 0.85 | 2.21 | 3.06 | (0.85 | ) | (2.14 | ) | (2.99 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 46.85 | 0.64 | 4.98 | 5.62 | (0.62 | ) | (2.08 | ) | (2.70 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 44.59 | 0.24 | 4.52 | 4.76 | (0.32 | ) | (1.07 | ) | (1.39 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 44.91 | 0.53 | 1.98 | 2.51 | (0.69 | ) | (2.14 | ) | (2.83 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 42.54 | 0.35 | 4.51 | 4.86 | (0.41 | ) | (2.08 | ) | (2.49 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 52.69 | 0.49 | 5.36 | 5.85 | (0.48 | ) | (1.07 | ) | (1.55 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.41 | 1.00 | 2.36 | 3.36 | (0.94 | ) | (2.14 | ) | (3.08 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.21 | 0.81 | 5.21 | 6.02 | (0.74 | ) | (2.08 | ) | (2.82 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 50.01 | 0.35 | 5.05 | 5.40 | (0.44 | ) | (1.07 | ) | (1.51 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 49.98 | 0.63 | 2.31 | 2.94 | (0.77 | ) | (2.14 | ) | (2.91 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.06 | 0.53 | 4.99 | 5.52 | (0.52 | ) | (2.08 | ) | (2.60 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 52.66 | 0.42 | 5.35 | 5.77 | (0.41 | ) | (1.07 | ) | (1.48 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.41 | 0.89 | 2.33 | 3.22 | (0.83 | ) | (2.14 | ) | (2.97 | ) | ||||||||||||||||||
July 31, 2017 (f) through June 30, 2018 | 49.99 | 0.68 | 4.46 | 5.14 | (0.64 | ) | (2.08 | ) | (2.72 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 52.69 | 0.53 | 5.31 | 5.84 | (0.49 | ) | (1.07 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.41 | 1.02 | 2.34 | 3.36 | (0.94 | ) | (2.14 | ) | (3.08 | ) | ||||||||||||||||||
July 31, 2017 (f) through June 30, 2018 | 49.99 | 0.79 | 4.46 | 5.25 | (0.75 | ) | (2.08 | ) | (2.83 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 53.06 | 0.53 | 5.40 | 5.93 | (0.52 | ) | (1.07 | ) | (1.59 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.74 | 1.09 | 2.38 | 3.47 | (1.01 | ) | (2.14 | ) | (3.15 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.50 | 0.91 | 5.23 | 6.14 | (0.82 | ) | (2.08 | ) | (2.90 | ) | ||||||||||||||||||
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, 2019 (Unaudited) | 53.08 | 0.57 | 5.38 | 5.95 | (0.54 | ) | (1.07 | ) | (1.61 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 52.75 | 1.16 | 2.36 | 3.52 | (1.05 | ) | (2.14 | ) | (3.19 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.50 | 1.04 | 5.16 | 6.20 | (0.87 | ) | (2.08 | ) | (2.95 | ) | ||||||||||||||||||
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.
| 90 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 53.81 | 11.02 | % | $ | 581,403 | 0.94 | % | 1.54 | % | 1.07 | % | 7 | % | |||||||||||||
| 49.84 | 6.68 | 490,597 | 0.93 | 1.73 | 1.06 | 26 | ||||||||||||||||||||
| 49.77 | 12.04 | 476,090 | 0.97 | 1.29 | 1.08 | 32 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 47.96 | 10.74 | 30,821 | 1.44 | 1.04 | 1.54 | 7 | ||||||||||||||||||||
| 44.59 | 6.15 | 26,032 | 1.43 | 1.21 | 1.54 | 26 | ||||||||||||||||||||
| 44.91 | 11.45 | 23,034 | 1.47 | 0.77 | 1.55 | 32 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 56.99 | 11.17 | 101,118 | 0.69 | 1.79 | 0.78 | 7 | ||||||||||||||||||||
| 52.69 | 6.94 | 94,500 | 0.68 | 1.93 | 0.79 | 26 | ||||||||||||||||||||
| 52.41 | 12.29 | 77,737 | 0.72 | 1.55 | 0.79 | 32 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 53.90 | 10.87 | 784 | 1.19 | 1.35 | 1.72 | 7 | ||||||||||||||||||||
| 50.01 | 6.41 | 108 | 1.18 | 1.30 | 2.77 | 26 | ||||||||||||||||||||
| 49.98 | 11.76 | 41 | 1.21 | 1.06 | 1.49 | 32 | ||||||||||||||||||||
| 47.06 | 16.04 | 23 | 1.28 | 1.01 | 2.06 | 28 | ||||||||||||||||||||
| 42.94 | (0.40 | ) | 20 | 1.28 | 1.44 | 3.72 | 39 | |||||||||||||||||||
| 56.95 | 11.02 | 26 | 0.94 | 1.54 | 1.05 | 7 | ||||||||||||||||||||
| 52.66 | 6.66 | 24 | 0.93 | 1.73 | 1.84 | 26 | ||||||||||||||||||||
| 52.41 | 10.33 | 22 | 0.94 | 1.42 | 1.12 | 32 | ||||||||||||||||||||
| 56.97 | 11.15 | 87 | 0.69 | 1.93 | 0.79 | 7 | ||||||||||||||||||||
| 52.69 | 6.94 | 24 | 0.68 | 1.98 | 1.60 | 26 | ||||||||||||||||||||
| 52.41 | 10.56 | 22 | 0.71 | 1.64 | 0.87 | 32 | ||||||||||||||||||||
| 57.40 | 11.24 | 69 | 0.54 | 1.93 | 0.67 | 7 | ||||||||||||||||||||
| 53.06 | 7.10 | 74 | 0.53 | 2.10 | 1.01 | 26 | ||||||||||||||||||||
| 52.74 | 12.48 | 43 | 0.55 | 1.72 | 0.80 | 32 | ||||||||||||||||||||
| 49.50 | 16.88 | 37 | 0.59 | 1.72 | 1.23 | 28 | ||||||||||||||||||||
| 45.01 | 0.05 | 20 | 0.59 | 2.14 | 3.02 | 39 | ||||||||||||||||||||
| 57.42 | 11.29 | 62,105 | 0.44 | 2.06 | 0.53 | 7 | ||||||||||||||||||||
| 53.08 | 7.21 | 41,144 | 0.43 | 2.22 | 0.53 | 26 | ||||||||||||||||||||
| 52.75 | 12.59 | 33,774 | 0.44 | 1.95 | 0.52 | 32 | ||||||||||||||||||||
| 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, 2019 | J.P. MORGAN LARGE CAP FUNDS | 91 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| |||||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | Total return (excludes sales charge) (c)(d) | ||||||||||||||||||||||||||
JPMorgan Hedged Equity Fund | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 20.23 | $ | 0.10 | $ | 0.96 | $ | 1.06 | $ | (0.10 | ) | $ | 21.19 | 5.27 | % | |||||||||||||||||
Year Ended June 30, 2019 | 19.43 | 0.20 | 0.79 | 0.99 | (0.19 | ) | 20.23 | 5.12 | ||||||||||||||||||||||||
Year Ended June 30, 2018 | 18.24 | 0.18 | 1.15 | 1.33 | (0.14 | ) | 19.43 | 7.33 | ||||||||||||||||||||||||
Year Ended June 30, 2017 | 16.23 | 0.19 | 2.01 | 2.20 | (0.19 | ) | 18.24 | 13.60 | ||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.47 | 0.20 | (0.28 | ) | (0.08 | ) | (0.16 | ) | 16.23 | (0.43 | ) | |||||||||||||||||||||
Year Ended June 30, 2015 | 15.74 | 0.19 | 0.67 | 0.86 | (0.13 | ) | 16.47 | 5.45 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.10 | 0.05 | 0.96 | 1.01 | (0.05 | ) | 21.06 | 5.04 | ||||||||||||||||||||||||
Year Ended June 30, 2019 | 19.33 | 0.11 | 0.77 | 0.88 | (0.11 | ) | 20.10 | 4.60 | ||||||||||||||||||||||||
Year Ended June 30, 2018 | 18.16 | 0.08 | 1.15 | 1.23 | (0.06 | ) | 19.33 | 6.79 | ||||||||||||||||||||||||
Year Ended June 30, 2017 | 16.17 | 0.10 | 2.01 | 2.11 | (0.12 | ) | 18.16 | 13.07 | ||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.43 | 0.13 | (0.29 | ) | (0.16 | ) | (0.10 | ) | 16.17 | (0.95 | ) | |||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.10 | 0.67 | 0.77 | (0.10 | ) | 16.43 | 4.85 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.28 | 0.13 | 0.97 | 1.10 | (0.13 | ) | 21.25 | 5.42 | ||||||||||||||||||||||||
Year Ended June 30, 2019 | 19.47 | 0.26 | 0.78 | 1.04 | (0.23 | ) | 20.28 | 5.39 | ||||||||||||||||||||||||
Year Ended June 30, 2018 | 18.27 | 0.23 | 1.16 | 1.39 | (0.19 | ) | 19.47 | 7.63 | ||||||||||||||||||||||||
Year Ended June 30, 2017 | 16.26 | 0.23 | 2.01 | 2.24 | (0.23 | ) | 18.27 | 13.86 | ||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.50 | 0.25 | (0.28 | ) | (0.03 | ) | (0.21 | ) | 16.26 | (0.17 | ) | |||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.23 | 0.66 | 0.89 | (0.15 | ) | 16.50 | 5.66 | ||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.32 | 0.14 | 0.97 | 1.11 | (0.14 | ) | 21.29 | 5.48 | ||||||||||||||||||||||||
Year Ended June 30, 2019 | 19.50 | 0.29 | 0.79 | 1.08 | (0.26 | ) | 20.32 | 5.57 | ||||||||||||||||||||||||
Year Ended June 30, 2018 | 18.30 | 0.26 | 1.16 | 1.42 | (0.22 | ) | 19.50 | 7.81 | ||||||||||||||||||||||||
Year Ended June 30, 2017 | 16.28 | 0.26 | 2.02 | 2.28 | (0.26 | ) | 18.30 | 14.10 | ||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.51 | 0.24 | (0.24 | ) | — | (g) | (0.23 | ) | 16.28 | 0.07 | ||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.26 | 0.66 | 0.92 | (0.17 | ) | 16.51 | 5.86 | ||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.32 | 0.15 | 0.97 | 1.12 | (0.15 | ) | 21.29 | 5.54 | ||||||||||||||||||||||||
Year Ended June 30, 2019 | 19.49 | 0.31 | 0.79 | 1.10 | (0.27 | ) | 20.32 | 5.69 | ||||||||||||||||||||||||
Year Ended June 30, 2018 | 18.29 | 0.27 | 1.16 | 1.43 | (0.23 | ) | 19.49 | 7.87 | ||||||||||||||||||||||||
Year Ended June 30, 2017 | 16.28 | 0.25 | 2.03 | 2.28 | (0.27 | ) | 18.29 | 14.09 | ||||||||||||||||||||||||
Year Ended June 30, 2016 | 16.52 | 0.27 | (0.27 | ) | — | (g) | (0.24 | ) | 16.28 | 0.07 | ||||||||||||||||||||||
Year Ended June 30, 2015 | 15.76 | 0.27 | 0.67 | 0.94 | (0.18 | ) | 16.52 | 5.96 | ||||||||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||
| 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) | ||||||||||||||
| $ | 447,853 | 0.85 | % | 0.98 | % | 0.85 | % | 22 | % | |||||||||
| 296,242 | 0.85 | 1.02 | 0.87 | 48 | ||||||||||||||
| 277,898 | 0.84 | 0.92 | 0.87 | 44 | ||||||||||||||
| 133,789 | 0.84 | 1.06 | 1.05 | 31 | ||||||||||||||
| 71,417 | 0.85 | 1.27 | 1.11 | 57 | ||||||||||||||
| 93,007 | 0.85 | (f) | 1.14 | (f) | 1.21 | (f) | 42 | |||||||||||
| 202,505 | 1.35 | 0.47 | 1.36 | 22 | ||||||||||||||
| 158,602 | 1.35 | 0.55 | 1.37 | 48 | ||||||||||||||
| 81,030 | 1.34 | 0.42 | 1.38 | 44 | ||||||||||||||
| 29,168 | 1.34 | 0.55 | 1.45 | 31 | ||||||||||||||
| 9,867 | 1.35 | 0.80 | 1.52 | 57 | ||||||||||||||
| 3,405 | 1.35 | (f) | 0.59 | (f) | 1.65 | (f) | 42 | |||||||||||
| 5,471,480 | 0.59 | 1.22 | 0.60 | 22 | ||||||||||||||
| 4,214,453 | 0.60 | 1.30 | 0.61 | 48 | ||||||||||||||
| 1,947,444 | 0.59 | 1.17 | 0.62 | 44 | ||||||||||||||
| 597,013 | 0.59 | 1.30 | 0.69 | 31 | ||||||||||||||
| 158,820 | 0.60 | 1.54 | 0.74 | 57 | ||||||||||||||
| 105,397 | 0.60 | (f) | 1.39 | (f) | 0.91 | (f) | 42 | |||||||||||
| 2,437 | 0.45 | 1.38 | 0.47 | 22 | ||||||||||||||
| 1,893 | 0.45 | 1.46 | 0.95 | 48 | ||||||||||||||
| 123 | 0.39 | 1.37 | 0.67 | 44 | ||||||||||||||
| 37 | 0.40 | 1.51 | 1.08 | 31 | ||||||||||||||
| 25 | 0.40 | 1.49 | 2.16 | 57 | ||||||||||||||
| 442 | 0.40 | (f) | 1.58 | (f) | 0.82 | (f) | 42 | |||||||||||
| 582,873 | 0.34 | 1.48 | 0.35 | 22 | ||||||||||||||
| 384,616 | 0.35 | 1.56 | 0.37 | 48 | ||||||||||||||
| 121,897 | 0.34 | 1.42 | 0.42 | 44 | ||||||||||||||
| 3,289 | 0.34 | 1.41 | 0.42 | 31 | ||||||||||||||
| 74 | 0.35 | 1.66 | 1.40 | 57 | ||||||||||||||
| 443 | 0.35 | (f) | 1.63 | (f) | 0.77 | (f) | 42 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 93 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Large Cap Growth Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 41.87 | $ | 0.02 | $ | 3.28 | $ | 3.30 | $ | — | $ | (5.21 | ) | $ | (5.21 | ) | ||||||||||||
Year Ended June 30, 2019 | 42.44 | (0.09 | ) | 4.80 | 4.71 | — | (5.28 | ) | (5.28 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.23 | (0.10 | ) | 9.92 | 9.82 | — | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 32.33 | (0.07 | ) | 2.50 | 2.43 | — | (5.21 | ) | (5.21 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.20 | (0.23 | ) | 3.64 | 3.41 | — | (5.28 | ) | (5.28 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 31.95 | (0.25 | ) | 8.11 | 7.86 | — | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 42.46 | 0.07 | 3.33 | 3.40 | (0.02 | ) | (5.21 | ) | (5.23 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 42.86 | 0.01 | 4.87 | 4.88 | — | (5.28 | ) | (5.28 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 38.47 | (0.01 | ) | 10.01 | 10.00 | — | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 40.32 | (0.04 | ) | 3.16 | 3.12 | — | (5.21 | ) | (5.21 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 41.17 | (0.18 | ) | 4.61 | 4.43 | — | (5.28 | ) | (5.28 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.33 | (0.20 | ) | 9.65 | 9.45 | — | (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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 42.10 | 0.02 | 3.30 | 3.32 | — | (5.21 | ) | (5.21 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 42.64 | (0.08 | ) | 4.82 | 4.74 | — | (5.28 | ) | (5.28 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.39 | (0.08 | ) | 9.94 | 9.86 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 33.97 | (0.06 | ) | 7.62 | 7.56 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 42.45 | 0.08 | 3.32 | 3.40 | (0.06 | ) | (5.21 | ) | (5.27 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 42.85 | 0.01 | 4.87 | 4.88 | — | (5.28 | ) | (5.28 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 38.47 | 0.01 | 9.98 | 9.99 | — | (5.61 | ) | (5.61 | ) | |||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 33.97 | 0.04 | 7.60 | 7.64 | — | (3.14 | ) | (3.14 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 43.44 | 0.10 | 3.41 | 3.51 | (0.07 | ) | (5.21 | ) | (5.28 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 43.65 | 0.07 | 5.00 | 5.07 | — | (5.28 | ) | (5.28 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 39.04 | 0.06 | 10.16 | 10.22 | — | (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 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 43.78 | 0.13 | 3.44 | 3.57 | (0.11 | ) | (5.21 | ) | (5.32 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 43.95 | 0.11 | 5.03 | 5.14 | (0.03 | ) | (5.28 | ) | (5.31 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.23 | 0.10 | 10.23 | 10.33 | — | (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 | ) | |||||||||||||||||||
| (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.
| 94 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 39.96 | 8.21 | % | $ | 2,628,093 | 0.94 | % | 0.08 | % | 1.05 | % | 27 | % | |||||||||||||
| 41.87 | 13.67 | 2,466,910 | 0.93 | (0.23 | ) | 1.10 | 50 | |||||||||||||||||||
| 42.44 | 28.45 | 2,481,816 | 0.97 | (0.25 | ) | 1.11 | 24 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 29.55 | 7.94 | 545,054 | 1.44 | (0.42 | ) | 1.55 | 27 | |||||||||||||||||||
| 32.33 | 13.11 | 518,116 | 1.43 | (0.73 | ) | 1.59 | 50 | |||||||||||||||||||
| 34.20 | 27.83 | 534,199 | 1.47 | (0.75 | ) | 1.60 | 24 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 40.63 | 8.33 | 4,902,532 | 0.69 | 0.33 | 0.79 | 27 | ||||||||||||||||||||
| 42.46 | 13.95 | 4,691,515 | 0.68 | 0.02 | 0.84 | 50 | ||||||||||||||||||||
| 42.86 | 28.77 | 4,413,908 | 0.74 | (0.03 | ) | 0.85 | 24 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 38.23 | 8.08 | 127,068 | 1.19 | (0.18 | ) | 1.30 | 27 | |||||||||||||||||||
| 40.32 | 13.39 | 138,030 | 1.18 | (0.47 | ) | 1.34 | 50 | |||||||||||||||||||
| 41.17 | 28.11 | 156,775 | 1.24 | (0.52 | ) | 1.35 | 24 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 40.21 | 8.21 | 69,905 | 0.94 | 0.11 | 1.04 | 27 | ||||||||||||||||||||
| 42.10 | 13.68 | 45,376 | 0.93 | (0.21 | ) | 1.08 | 50 | |||||||||||||||||||
| 42.64 | 28.43 | 6,865 | 0.96 | (0.21 | ) | 1.10 | 24 | |||||||||||||||||||
| 38.39 | 24.05 | 992 | 1.12 | (0.20 | ) | 1.20 | 22 | |||||||||||||||||||
| 40.58 | 8.35 | 23,714 | 0.69 | 0.39 | 0.79 | 27 | ||||||||||||||||||||
| 42.45 | 13.96 | 10,740 | 0.68 | 0.02 | 0.83 | 50 | ||||||||||||||||||||
| 42.85 | 28.74 | 5,930 | 0.73 | 0.02 | 0.85 | 24 | ||||||||||||||||||||
| 38.47 | 24.31 | 440 | 0.89 | 0.12 | 1.07 | 22 | ||||||||||||||||||||
| 41.67 | 8.40 | 735,659 | 0.54 | 0.48 | 0.64 | 27 | ||||||||||||||||||||
| 43.44 | 14.15 | 702,536 | 0.53 | 0.17 | 0.69 | 50 | ||||||||||||||||||||
| 43.65 | 28.93 | 788,766 | 0.59 | 0.14 | 0.70 | 24 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 42.03 | 8.47 | 8,592,989 | 0.44 | 0.59 | 0.54 | 27 | ||||||||||||||||||||
| 43.78 | 14.23 | 7,339,387 | 0.43 | 0.27 | 0.58 | 50 | ||||||||||||||||||||
| 43.95 | 29.08 | 5,962,328 | 0.48 | 0.24 | 0.60 | 24 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 95 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Large Cap Value Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 14.11 | $ | 0.09 | $ | 1.40 | $ | 1.49 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | ||||||||||||
Year Ended June 30, 2019 | 15.11 | 0.17 | (0.09 | ) | 0.08 | (0.17 | ) | (0.91 | ) | (1.08 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.48 | 0.15 | 0.89 | 1.04 | (0.13 | ) | (1.28 | ) | (1.41 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 13.49 | 0.05 | 1.35 | 1.40 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 14.51 | 0.10 | (0.10 | ) | — | (f) | (0.11 | ) | (0.91 | ) | (1.02 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 14.93 | 0.06 | 0.86 | 0.92 | (0.06 | ) | (1.28 | ) | (1.34 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 13.85 | 0.10 | 1.39 | 1.49 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 14.85 | 0.20 | (0.09 | ) | 0.11 | (0.20 | ) | (0.91 | ) | (1.11 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.24 | 0.18 | 0.87 | 1.05 | (0.16 | ) | (1.28 | ) | (1.44 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 13.98 | 0.07 | 1.39 | 1.46 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 14.99 | 0.14 | (0.10 | ) | 0.04 | (0.14 | ) | (0.91 | ) | (1.05 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.39 | 0.11 | 0.86 | 0.97 | (0.09 | ) | (1.28 | ) | (1.37 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 13.84 | 0.08 | 1.39 | 1.47 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
October 1, 2018 (g) through June 30, 2019 | 15.63 | 0.13 | (0.88 | ) | (0.75 | ) | (0.13 | ) | (0.91 | ) | (1.04 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.11 | 0.10 | 1.42 | 1.52 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
October 1, 2018 (g) through June 30, 2019 | 15.90 | 0.16 | (0.89 | ) | (0.73 | ) | (0.15 | ) | (0.91 | ) | (1.06 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.00 | 0.11 | 1.40 | 1.51 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 14.99 | 0.23 | (0.09 | ) | 0.14 | (0.22 | ) | (0.91 | ) | (1.13 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.21 | 0.88 | 1.09 | (0.19 | ) | (1.28 | ) | (1.47 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 13.90 | 0.12 | 1.40 | 1.52 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Year Ended June 30, 2019 | 14.90 | 0.24 | (0.10 | ) | 0.14 | (0.23 | ) | (0.91 | ) | (1.14 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.28 | 0.22 | 0.88 | 1.10 | (0.20 | ) | (1.28 | ) | (1.48 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 15.50 | 10.60 | % | $ | 242,687 | 0.93 | % | 1.18 | % | 1.04 | % | 71 | % | |||||||||||||
| 14.11 | 1.07 | 153,809 | 0.93 | 1.19 | 1.04 | 162 | ||||||||||||||||||||
| 15.11 | 6.52 | 236,470 | 0.93 | 0.92 | 1.04 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.82 | 10.36 | 51,413 | 1.44 | 0.68 | 1.52 | 71 | ||||||||||||||||||||
| 13.49 | 0.57 | 55,009 | 1.44 | 0.70 | 1.52 | 162 | ||||||||||||||||||||
| 14.51 | 5.94 | 69,445 | 1.44 | 0.42 | 1.52 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.22 | 10.79 | 291,699 | 0.69 | 1.42 | 0.76 | 71 | ||||||||||||||||||||
| 13.85 | 1.31 | 301,663 | 0.69 | 1.44 | 0.77 | 162 | ||||||||||||||||||||
| 14.85 | 6.74 | 378,058 | 0.70 | 1.19 | 0.77 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.36 | 10.49 | 22,357 | 1.19 | 0.93 | 1.29 | 71 | ||||||||||||||||||||
| 13.98 | 0.83 | 21,489 | 1.19 | 0.97 | 1.29 | 162 | ||||||||||||||||||||
| 14.99 | 6.14 | 17,046 | 1.21 | 0.68 | 1.30 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.21 | 10.67 | 21 | 0.94 | 1.19 | 1.10 | 71 | ||||||||||||||||||||
| 13.84 | (4.25 | ) | 19 | 0.94 | 1.28 | 1.17 | 162 | |||||||||||||||||||
| 15.51 | 10.80 | 14,393 | 0.69 | 1.44 | 0.76 | 71 | ||||||||||||||||||||
| 14.11 | (4.05 | ) | 14,545 | 0.68 | 1.51 | 0.77 | 162 | |||||||||||||||||||
| 15.38 | 10.83 | 28,996 | 0.54 | 1.59 | 0.62 | 71 | ||||||||||||||||||||
| 14.00 | 1.50 | 30,522 | 0.54 | 1.61 | 0.63 | 162 | ||||||||||||||||||||
| 14.99 | 6.90 | 23,166 | 0.55 | 1.33 | 0.63 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.28 | 10.96 | 966,613 | 0.44 | 1.69 | 0.51 | 71 | ||||||||||||||||||||
| 13.90 | 1.52 | 834,072 | 0.44 | 1.70 | 0.52 | 162 | ||||||||||||||||||||
| 14.90 | 7.04 | 928,167 | 0.46 | 1.41 | 0.52 | 130 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 97 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Equity Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 15.86 | $ | 0.05 | (e) | $ | 1.66 | $ | 1.71 | $ | (0.06 | ) | $ | (1.46 | ) | $ | (1.52 | ) | ||||||||||
Year Ended June 30, 2019 | 16.48 | 0.12 | (e) | 1.17 | 1.29 | (0.12 | ) | (1.79 | ) | (1.91 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.80 | 0.11 | (e) | 1.94 | 2.05 | (0.11 | ) | (1.26 | ) | (1.37 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.31 | 0.01 | (e) | 1.60 | 1.61 | (0.02 | ) | (1.46 | ) | (1.48 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 15.99 | 0.04 | (e) | 1.13 | 1.17 | (0.06 | ) | (1.79 | ) | (1.85 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.03 | (e) | 1.89 | 1.92 | (0.04 | ) | (1.26 | ) | (1.30 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.91 | 0.07 | (e) | 1.67 | 1.74 | (0.08 | ) | (1.46 | ) | (1.54 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.51 | 0.16 | (e) | 1.18 | 1.34 | (0.15 | ) | (1.79 | ) | (1.94 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.83 | 0.15 | (e) | 1.94 | 2.09 | (0.15 | ) | (1.26 | ) | (1.41 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.93 | 0.08 | (e) | 1.68 | 1.76 | (0.09 | ) | (1.46 | ) | (1.55 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.53 | 0.18 | (e) | 1.18 | 1.36 | (0.17 | ) | (1.79 | ) | (1.96 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.85 | 0.17 | (e) | 1.94 | 2.11 | (0.17 | ) | (1.26 | ) | (1.43 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.70 | 0.03 | (e) | 1.64 | 1.67 | (0.04 | ) | (1.46 | ) | (1.50 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.34 | 0.08 | (e) | 1.16 | 1.24 | (0.09 | ) | (1.79 | ) | (1.88 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.68 | 0.07 | (e) | 1.92 | 1.99 | (0.07 | ) | (1.26 | ) | (1.33 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.80 | 0.05 | (e) | 1.66 | 1.71 | (0.06 | ) | (1.46 | ) | (1.52 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.43 | 0.12 | (e) | 1.16 | 1.28 | (0.12 | ) | (1.79 | ) | (1.91 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.76 | 0.11 | (e) | 1.93 | 2.04 | (0.11 | ) | (1.26 | ) | (1.37 | ) | |||||||||||||||||
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, 2019 (Unaudited) | 15.89 | 0.07 | (e) | 1.66 | 1.73 | (0.08 | ) | (1.46 | ) | (1.54 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.50 | 0.17 | (e) | 1.16 | 1.33 | (0.15 | ) | (1.79 | ) | (1.94 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.82 | 0.16 | (e) | 1.93 | 2.09 | (0.15 | ) | (1.26 | ) | (1.41 | ) | |||||||||||||||||
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, 2019 (Unaudited) | 15.94 | 0.08 | (e) | 1.67 | 1.75 | (0.09 | ) | (1.46 | ) | (1.55 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.54 | 0.19 | (e) | 1.17 | 1.36 | (0.17 | ) | (1.79 | ) | (1.96 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.85 | 0.18 | (e) | 1.95 | 2.13 | (0.18 | ) | (1.26 | ) | (1.44 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.97 | 0.09 | (e) | 1.68 | 1.77 | (0.10 | ) | (1.46 | ) | (1.56 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 16.56 | 0.20 | (e) | 1.19 | 1.39 | (0.19 | ) | (1.79 | ) | (1.98 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.87 | 0.19 | (e) | 1.95 | 2.14 | (0.19 | ) | (1.26 | ) | (1.45 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
| (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.
| 98 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 16.05 | 11.02 | % | $ | 1,786,452 | 0.94 | % | 0.63 | % | 0.99 | % | 37 | % | |||||||||||||
| 15.86 | 9.18 | 1,556,392 | 0.94 | 0.76 | 0.99 | 91 | ||||||||||||||||||||
| 16.48 | 13.20 | 1,340,858 | 0.94 | 0.69 | 1.01 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.44 | 10.75 | 292,353 | 1.44 | 0.13 | 1.49 | 37 | ||||||||||||||||||||
| 15.31 | 8.63 | 289,675 | 1.44 | 0.27 | 1.49 | 91 | ||||||||||||||||||||
| 15.99 | 12.66 | 302,297 | 1.44 | 0.19 | 1.50 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.11 | 11.17 | 1,042,532 | 0.69 | 0.88 | 0.74 | 37 | ||||||||||||||||||||
| 15.91 | 9.47 | 1,121,609 | 0.69 | 1.03 | 0.74 | 91 | ||||||||||||||||||||
| 16.51 | 13.44 | 1,521,535 | 0.71 | 0.92 | 0.75 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.14 | 11.29 | 1,497,427 | 0.55 | 1.01 | 0.59 | 37 | ||||||||||||||||||||
| 15.93 | 9.60 | 1,552,520 | 0.55 | 1.16 | 0.60 | 91 | ||||||||||||||||||||
| 16.53 | 13.56 | 1,679,995 | 0.57 | 1.05 | 0.60 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.87 | 10.86 | 231,835 | 1.19 | 0.38 | 1.24 | 37 | ||||||||||||||||||||
| 15.70 | 8.89 | 244,356 | 1.19 | 0.52 | 1.24 | 91 | ||||||||||||||||||||
| 16.34 | 12.88 | 265,675 | 1.21 | 0.42 | 1.25 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.99 | 11.05 | 118,363 | 0.94 | 0.64 | 0.99 | 37 | ||||||||||||||||||||
| 15.80 | 9.14 | 111,902 | 0.94 | 0.79 | 0.99 | 91 | ||||||||||||||||||||
| 16.43 | 13.18 | 61,413 | 0.95 | 0.69 | 1.00 | 97 | ||||||||||||||||||||
| 15.76 | 16.83 | 25,050 | 1.00 | 0.67 | 1.03 | 86 | ||||||||||||||||||||
| 16.08 | 11.12 | 23,449 | 0.69 | 0.88 | 0.74 | 37 | ||||||||||||||||||||
| 15.89 | 9.44 | 22,870 | 0.69 | 1.08 | 0.75 | 91 | ||||||||||||||||||||
| 16.50 | 13.48 | 10,531 | 0.70 | 0.94 | 0.75 | 97 | ||||||||||||||||||||
| 15.82 | 16.99 | 1,030 | 0.75 | 1.03 | 0.81 | 86 | ||||||||||||||||||||
| 16.14 | 11.23 | 857,446 | 0.54 | 1.03 | 0.58 | 37 | ||||||||||||||||||||
| 15.94 | 9.60 | 842,888 | 0.54 | 1.17 | 0.59 | 91 | ||||||||||||||||||||
| 16.54 | 13.66 | 938,744 | 0.54 | 1.08 | 0.60 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.18 | 11.32 | 9,823,380 | 0.44 | 1.14 | 0.48 | 37 | ||||||||||||||||||||
| 15.97 | 9.74 | 8,559,285 | 0.44 | 1.27 | 0.49 | 91 | ||||||||||||||||||||
| 16.56 | 13.75 | 8,937,049 | 0.46 | 1.17 | 0.50 | 97 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 99 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 27.51 | $ | 0.01 | (f) | $ | 2.37 | $ | 2.38 | $ | (0.03 | ) | $ | (5.59 | ) | $ | (5.62 | ) | ||||||||||
Year Ended June 30, 2019 | 30.10 | 0.05 | (f) | 1.53 | 1.58 | (0.05 | ) | (4.12 | ) | (4.17 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 30.35 | — | (f)(g) | 3.87 | 3.87 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.06 | — | (f)(g) | 5.54 | 5.54 | (0.01 | ) | (1.24 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2016 | 29.81 | 0.04 | (f) | (1.37 | ) | (1.33 | ) | — | (g) | (2.42 | ) | (2.42 | ) | |||||||||||||||
Year Ended June 30, 2015 | 29.50 | 0.06 | 2.49 | 2.55 | (0.11 | ) | (2.13 | ) | (2.24 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 25.88 | (0.05 | )(f) | 2.20 | 2.15 | — | (5.59 | ) | (5.59 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 28.65 | (0.08 | )(f) | 1.43 | 1.35 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.21 | (0.15 | )(f) | 3.71 | 3.56 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 25.23 | (0.14 | )(f) | 5.36 | 5.22 | — | (1.24 | ) | (1.24 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 29.07 | (0.10 | )(f) | (1.32 | ) | (1.42 | ) | — | (2.42 | ) | (2.42 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 28.85 | (0.09 | ) | 2.44 | 2.35 | — | (2.13 | ) | (2.13 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 27.94 | 0.04 | (f) | 2.41 | 2.45 | (0.10 | ) | (5.59 | ) | (5.69 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 30.51 | 0.13 | (f) | 1.54 | 1.67 | (0.12 | ) | (4.12 | ) | (4.24 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 30.66 | 0.08 | (f) | 3.92 | 4.00 | (0.03 | ) | (4.12 | ) | (4.15 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 26.32 | 0.08 | (f) | 5.59 | 5.67 | (0.09 | ) | (1.24 | ) | (1.33 | ) | |||||||||||||||||
Year Ended June 30, 2016 | 30.07 | 0.10 | (f) | (1.37 | ) | (1.27 | ) | (0.06 | ) | (2.42 | ) | (2.48 | ) | |||||||||||||||
Year Ended June 30, 2015 | 29.74 | 0.13 | 2.52 | 2.65 | (0.19 | ) | (2.13 | ) | (2.32 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 26.62 | (0.03 | )(f) | 2.28 | 2.25 | — | (5.59 | ) | (5.59 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 29.31 | (0.04 | )(f) | 1.47 | 1.43 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.74 | (0.09 | )(f) | 3.78 | 3.69 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 25.61 | (0.07 | )(f) | 5.44 | 5.37 | — | (1.24 | ) | (1.24 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 29.40 | (0.03 | )(f) | (1.34 | ) | (1.37 | ) | — | (2.42 | ) | (2.42 | ) | ||||||||||||||||
Year Ended June 30, 2015 | 29.14 | (0.01 | ) | 2.46 | 2.45 | (0.06 | ) | (2.13 | ) | (2.19 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 28.08 | 0.05 | (f) | 2.42 | 2.47 | (0.11 | ) | (5.59 | ) | (5.70 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 30.65 | 0.14 | (f) | 1.55 | 1.69 | (0.14 | ) | (4.12 | ) | (4.26 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 30.81 | 0.11 | (f) | 3.93 | 4.04 | (0.08 | ) | (4.12 | ) | (4.20 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 26.44 | 0.13 | (f) | 5.62 | 5.75 | (0.14 | ) | (1.24 | ) | (1.38 | ) | |||||||||||||||||
Year Ended June 30, 2016 | 30.21 | 0.18 | (f) | (1.40 | ) | (1.22 | ) | (0.13 | ) | (2.42 | ) | (2.55 | ) | |||||||||||||||
Year Ended June 30, 2015 | 29.86 | 0.18 | 2.55 | 2.73 | (0.25 | ) | (2.13 | ) | (2.38 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 28.07 | 0.06 | (f) | 2.41 | 2.47 | (0.14 | ) | (5.59 | ) | (5.73 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 30.63 | 0.17 | (f) | 1.56 | 1.73 | (0.17 | ) | (4.12 | ) | (4.29 | ) | |||||||||||||||||
November 1, 2017 (i) through June 30, 2018 | 32.99 | 0.09 | (f) | 1.79 | 1.88 | (0.12 | ) | (4.12 | ) | (4.24 | ) | |||||||||||||||||
| (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% or unless otherwise noted. |
| (e) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class A are 1.10% and 1.27% for the six months ended December 31, 2019, 1.09% and 1.34% for the year ended June 30, 2019, 1.15% and 1.40% for the year ended June 30, 2018, 1.25% and 1.43% for the year ended June 30, 2017, 1.26% and 1.49% for the year ended June 30, 2016 and 1.30% and 1.66% for the year ended June 30, 2015; for Class C are 1.60% and 1.77% for the six months ended December 31, 2019, 1.60% and 1.85% for the year ended June 30, 2019, 1.65% and 1.90% for the year ended June 30, 2018, 1.75% and 1.94% for the year ended June 30, 2017, 1.76% and 2.00% for the year ended June 30, 2016 and 1.80% and 2.15% for the year ended June 30, 2015; for Class I are 0.85% and 1.01% for the six months ended December 31, 2019, 0.85% and 1.09% for the year ended June 30, 2019, 0.90% and 1.15% for the year ended June 30, 2018, 0.98% and 1.16% for the year ended June 30, 2017, 1.00% and 1.21% for the year ended June 30, 2016 and 1.05% and 1.38% for the year ended June 30, 2015; for Class R2 are 1.45% and 1.54% for the six months ended December 31, 2019, 1.45% and 1.63% for the year ended June 30, 2019, 1.47% and 1.67% for the year ended June 30, 2018, 1.50% and 1.76% for the year ended June 30, 2017, 1.51% and 1.84% for the year ended June 30, 2016 and 1.55% and 1.97% for the year ended June 30, 2015; for Class R5 are 0.80% and 0.86% for the six months ended December 31, 2019, 0.80% and 0.94% for the year ended June 30, 2019, 0.79% and 1.00% for the year ended June 30, 2018, 0.80% and 0.96% for the year ended June 30, 2017, 0.80% and 0.97% for the year ended June 30, 2016 and 0.85% and 1.17% for the year ended June 30, 2015; for Class R6 are 0.70% and 0.76% for the six months ended December 31, 2019, 0.70% and 0.85% for the year ended June 30, 2019 and 0.70% and 0.90% for the period ended June 30, 2018, respectively. |
| (f) | Calculated based upon average shares outstanding. |
| (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.
| 100 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (d)(e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (e) | Portfolio turnover rate (excluding securities sold short) (b) | Portfolio turnover rate (including securities sold short) (b) | |||||||||||||||||||||||
| $ | 24.27 | 10.26 | % | $ | 455,766 | 1.89 | % | 0.08 | % | 2.06 | % | 37 | % | 58 | % | |||||||||||||||
| 27.51 | 6.84 | 678,071 | 1.91 | 0.22 | 2.16 | 98 | 148 | |||||||||||||||||||||||
| 30.10 | 13.16 | 772,656 | 2.01 | 0.01 | 2.26 | 110 | 161 | |||||||||||||||||||||||
| 30.35 | 21.64 | 791,067 | 2.20 | 0.00 | (h) | 2.39 | 94 | 131 | ||||||||||||||||||||||
| 26.06 | (4.52 | ) | 890,217 | 2.21 | 0.14 | 2.44 | 88 | 127 | ||||||||||||||||||||||
| 29.81 | 9.05 | 943,586 | 2.33 | 0.18 | 2.69 | 94 | 127 | |||||||||||||||||||||||
| 22.44 | 9.98 | 87,987 | 2.39 | (0.43 | ) | 2.56 | 37 | 58 | ||||||||||||||||||||||
| 25.88 | 6.31 | 108,332 | 2.42 | (0.29 | ) | 2.67 | 98 | 148 | ||||||||||||||||||||||
| 28.65 | 12.58 | 158,677 | 2.50 | (0.50 | ) | 2.75 | 110 | 161 | ||||||||||||||||||||||
| 29.21 | 21.05 | 201,031 | 2.70 | (0.50 | ) | 2.89 | 94 | 131 | ||||||||||||||||||||||
| 25.23 | (4.98 | ) | 212,879 | 2.71 | (0.37 | ) | 2.95 | 88 | 127 | |||||||||||||||||||||
| 29.07 | 8.51 | 263,257 | 2.83 | (0.31 | ) | 3.18 | 94 | 127 | ||||||||||||||||||||||
| 24.70 | 10.41 | 3,093,045 | 1.64 | 0.28 | 1.80 | 37 | 58 | |||||||||||||||||||||||
| 27.94 | 7.11 | 4,740,691 | 1.67 | 0.46 | 1.91 | 98 | 148 | |||||||||||||||||||||||
| 30.51 | 13.46 | 6,169,553 | 1.75 | 0.27 | 2.00 | 110 | 161 | |||||||||||||||||||||||
| 30.66 | 21.95 | 8,075,047 | 1.94 | 0.27 | 2.12 | 94 | 131 | |||||||||||||||||||||||
| 26.32 | (4.28 | ) | 8,175,603 | 1.95 | 0.38 | 2.16 | 88 | 127 | ||||||||||||||||||||||
| 30.07 | 9.32 | 10,354,676 | 2.08 | 0.45 | 2.41 | 94 | 127 | |||||||||||||||||||||||
| 23.28 | 10.09 | 5,524 | 2.24 | (0.26 | ) | 2.33 | 37 | 58 | ||||||||||||||||||||||
| 26.62 | 6.45 | 5,304 | 2.27 | (0.14 | ) | 2.45 | 98 | 148 | ||||||||||||||||||||||
| 29.31 | 12.81 | 6,528 | 2.31 | (0.30 | ) | 2.52 | 110 | 161 | ||||||||||||||||||||||
| 29.74 | 21.33 | 6,207 | 2.45 | (0.24 | ) | 2.71 | 94 | 131 | ||||||||||||||||||||||
| 25.61 | (4.74 | ) | 5,987 | 2.46 | (0.11 | ) | 2.79 | 88 | 127 | |||||||||||||||||||||
| 29.40 | 8.79 | 5,821 | 2.58 | (0.05 | ) | 3.00 | 94 | 127 | ||||||||||||||||||||||
| 24.85 | 10.44 | 85,829 | 1.59 | 0.38 | 1.65 | 37 | 58 | |||||||||||||||||||||||
| 28.08 | 7.14 | 99,113 | 1.62 | 0.51 | 1.76 | 98 | 148 | |||||||||||||||||||||||
| 30.65 | 13.57 | 126,084 | 1.65 | 0.37 | 1.85 | 110 | 161 | |||||||||||||||||||||||
| 30.81 | 22.18 | 168,526 | 1.76 | 0.47 | 1.92 | 94 | 131 | |||||||||||||||||||||||
| 26.44 | (4.07 | ) | 591,379 | 1.75 | 0.73 | 1.92 | 88 | 127 | ||||||||||||||||||||||
| 30.21 | 9.54 | 301,894 | 1.88 | 0.65 | 2.20 | 94 | 127 | |||||||||||||||||||||||
| 24.81 | 10.45 | 706,235 | 1.49 | 0.47 | 1.55 | 37 | 58 | |||||||||||||||||||||||
| 28.07 | 7.30 | 787,497 | 1.52 | 0.59 | 1.67 | 98 | 148 | |||||||||||||||||||||||
| 30.63 | 6.10 | 1,795,125 | 1.54 | 0.44 | 1.74 | 110 | 161 | |||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 101 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 27.38 | $ | 0.16 | $ | 2.54 | $ | 2.70 | $ | (0.19 | ) | $ | (2.70 | ) | $ | — | $ | (2.89 | ) | |||||||||||||
Year Ended June 30, 2019 | 28.37 | 0.34 | 1.96 | 2.30 | (0.36 | ) | (2.93 | ) | — | (3.29 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.40 | 0.31 | 2.96 | 3.27 | (0.30 | ) | — | — | (0.30 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 27.65 | 0.20 | 2.56 | 2.76 | (0.22 | ) | (2.70 | ) | — | (2.92 | ) | |||||||||||||||||||||
Year Ended June 30, 2019 | 28.61 | 0.41 | 1.98 | 2.39 | (0.42 | ) | (2.93 | ) | — | (3.35 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.62 | 0.39 | 2.98 | 3.37 | (0.38 | ) | — | — | (0.38 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Class L | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 27.61 | 0.20 | 2.55 | 2.75 | (0.22 | ) | (2.70 | ) | — | (2.92 | ) | |||||||||||||||||||||
Year Ended June 30, 2019 | 28.57 | 0.41 | 1.97 | 2.38 | (0.41 | ) | (2.93 | ) | — | (3.34 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.58 | 0.38 | 2.98 | 3.36 | (0.37 | ) | — | — | (0.37 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 27.62 | 0.21 | 2.57 | 2.78 | (0.24 | ) | (2.70 | ) | — | (2.94 | ) | |||||||||||||||||||||
Year Ended June 30, 2019 | 28.57 | 0.44 | 1.98 | 2.42 | (0.44 | ) | (2.93 | ) | — | (3.37 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.59 | 0.41 | 2.97 | 3.38 | (0.40 | ) | — | — | (0.40 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
| (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.
| 102 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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| 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) | ||||||||||||||||||||
| $ | 27.19 | 11.14 | % | $ | 202,118 | 0.60 | % | 1.20 | % | 0.86 | % | 26 | % | |||||||||||||
| 27.38 | 9.39 | 207,809 | 0.60 | 1.24 | 0.85 | 42 | ||||||||||||||||||||
| 28.37 | 12.92 | 278,766 | 0.60 | 1.13 | 0.85 | 45 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 27.49 | 11.27 | 228,045 | 0.35 | 1.45 | 0.59 | 26 | ||||||||||||||||||||
| 27.65 | 9.65 | 232,077 | 0.35 | 1.50 | 0.59 | 42 | ||||||||||||||||||||
| 28.61 | 13.19 | 268,898 | 0.35 | 1.39 | 0.60 | 45 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 27.44 | 11.25 | 413,326 | 0.35 | 1.44 | 0.44 | 26 | ||||||||||||||||||||
| 27.61 | 9.66 | 422,351 | 0.35 | 1.50 | 0.44 | 42 | ||||||||||||||||||||
| 28.57 | 13.20 | 476,809 | 0.35 | 1.38 | 0.44 | 45 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 27.46 | 11.34 | 3,545,425 | 0.25 | 1.54 | 0.34 | 26 | ||||||||||||||||||||
| 27.62 | 9.78 | 4,953,109 | 0.25 | 1.60 | 0.34 | 42 | ||||||||||||||||||||
| 28.57 | 13.28 | 5,712,617 | 0.25 | 1.50 | 0.34 | 45 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
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Table of Contents
AS OF DECEMBER 31, 2019 (Unaudited)
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), asopen-end management investment companies.
The following are 10 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Equity Focus Fund | Class A, Class C, Class I and Class R6(1) | JPM I | Non-Diversified(5) | |||
| JPMorgan Equity Income Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM II | Diversified | |||
| JPMorgan Equity Premium Income Fund(2) | Class A, Class C, Class I, Class R5 and Class R6 | JPM IV | Diversified | |||
| JPMorgan Growth and Income Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Hedged Equity Fund | Class A, Class C, Class I, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Large Cap Growth Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM II | Diversified | |||
| JPMorgan Large Cap Value Fund | Class A, Class C, Class I, Class R2, Class R3(3), Class R4(3), Class R5 and Class R6 | JPM II | Diversified | |||
| JPMorgan 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 | |||
| JPMorgan U.S. Large Cap Core Plus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan U.S. Research Enhanced Equity Fund | Class A(4), Class I, Class L and Class R6 | JPM I | Diversified |
| (1) | Class R6 commenced operations on October 1, 2018 for JPMorgan Equity Focus Fund. |
| (2) | Equity Premium Income Fund commenced operations on August 31, 2018. |
| (3) | Class R3 and Class R4 commenced operations on October 1, 2018 for JPMorgan Large Cap Value Fund. |
| (4) | Class A Shares are publicly offered on a limited basis for JPMorgan U.S. Research Enhanced Equity Fund. |
| (5) | Effective February 12, 2020, JPMorgan Equity Focus Fund is classified as a diversified fund. |
The investment objective of JPMorgan Equity Focus Fund (“Equity Focus Fund”) and JPMorgan Large Cap Growth Fund (“Large Cap Growth Fund”) is to seek long-term capital appreciation.
The investment objective of JPMorgan Equity Income Fund (“Equity Income Fund”) is to seek capital appreciation and current income.
The investment objective of JPMorgan Equity Premium Income Fund (“Equity Premium Income Fund”) is to seek current income while maintaining prospects for capital appreciation.
The investment objective of JPMorgan Growth and Income Fund (“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 JPMorgan Hedged Equity Fund (“Hedged Equity Fund”) is to seek to provide capital appreciation.
The investment objective of JPMorgan Large Cap Value Fund (“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 JPMorgan U.S. Equity Fund (“U.S. Equity Fund”) is to seek to provide high total return from a portfolio of selected equity securities.
The investment objective of JPMorgan U.S. Large Cap Core Plus Fund (“U.S. Large Cap Core Plus Fund”) is to seek to provide a high total return from a portfolio of selected equity securities.
The investment objective of JPMorgan U.S. Research Enhanced Equity Fund (“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.
Class L Shares for U.S. Equity Fund and Class A and Class L Shares for U.S. Research Enhanced Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of the Funds unless they meet certain requirements as described in Funds’ prospectuses.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Class C Shares automatically convert
| 104 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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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.
Class A Shares for the U.S. Research Enhanced Equity Fund are publicly offered 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 prospectus.
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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), 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 their market value 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 Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards 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 Boards. 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 Boards.
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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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) | $ | 103,278 | $ | — | $ | — | $ | 103,278 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Equity Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 31,470,056 | $ | — | $ | — | $ | 31,470,056 | ||||||||
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| Equity Premium Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(b) | $ | 97,808 | $ | 18,021 | $ | — | $ | 115,829 | ||||||||
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| Growth and Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 775,747 | $ | — | $ | — | $ | 775,747 | ||||||||
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| Hedged Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 6,928,482 | $ | — | $ | — | $ | 6,928,482 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 1,066 | $ | — | $ | — | $ | 1,066 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Options Written (a) | ||||||||||||||||
Call Options Written | $ | (69,680 | ) | $ | — | $ | — | $ | (69,680 | ) | ||||||
Put Options Written | (11,440 | ) | — | — | (11,440 | ) | ||||||||||
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Total Depreciation in Other Financial Instruments | $ | (81,120 | ) | $ | — | $ | — | $ | (81,120 | ) | ||||||
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| Large Cap Growth Fund |
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Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 18,091,747 | $ | — | $ | — | $ | 18,091,747 | ||||||||
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| Large Cap Value Fund |
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| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 1,639,314 | $ | — | $ | — | $ | 1,639,314 | ||||||||
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| U.S. Equity Fund |
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| Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 15,754,065 | $ | — | $ | — | $ | 15,754,065 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (a) | $ | 238 | $ | — | $ | — | $ | 238 | ||||||||
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| U.S. Large Cap Core Plus Fund |
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| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 5,562,000 | $ | — | $ | — | $ | 5,562,000 | ||||||||
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Total Liabilities for Securities Sold Short(a) | $ | (1,110,522 | ) | $ | — | $ | — | $ | (1,110,522 | ) | ||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (a) | $ | 51 | $ | — | $ | — | $ | 51 | ||||||||
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| U.S. Research Enhanced Equity Fund |
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| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 4,387,490 | $ | — | $ | — | $ | 4,387,490 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts (a) | $ | 786 | $ | — | $ | — | $ | 786 | ||||||||
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| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. |
| (b) | All portfolio holdings designated in Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of Equity-Linked Notes, Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
B. Futures Contracts — Hedged Equity Fund, U.S. Equity Fund, U.S. Large Cap Core Plus 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, while cash deposited, which is considered restricted, 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, 2019 (amounts in thousands):
| Hedged Equity Fund | U.S. Equity Fund | U.S. Large Cap Core Plus Fund | U.S. Research Enhanced Equity Fund | |||||||||||||
Futures Contracts — Equity: | ||||||||||||||||
Average Notional Balance Long | $ | 99,610 | $ | 49,705 | $ | 25,619 | $ | 43,694 | ||||||||
Ending Notional Balance Long | 39,915 | 12,928 | 19,392 | 31,997 | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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 of options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
The Fund pledges collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted 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 option 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 forover-the-counter options. Cash collateral posted by the Fund is considered restricted.
The table below discloses the volume of the Fund’s options contracts activity during the six months ended December 31, 2019:
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 19,362 | |||
Average Number of Contracts Written | 38,723 | |||
Ending Number of Contracts Purchased | 20,800 | |||
Ending Number of Contracts Written | 41,600 | |||
D. Short Sales — The U.S. Large Cap Core Plus 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 SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference 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 onex-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
| 108 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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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, 2019, the Fund had outstanding short sales as listed on the SOI.
E. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).
| Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Large Cap Growth Fund | $ | 426,730 | $ | (426,730 | ) | $ | — | |||||
Large Cap Value Fund | 19,448 | (19,448 | ) | — | ||||||||
U.S. Equity Fund | 41,689 | (41,689 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Equity Focus Fund | $ | — | (a) | |
Growth and Income Fund | — | (a) | ||
Large Cap Growth Fund | 37 | |||
Large Cap Value Fund | 2 | |||
U.S. Equity Fund | 5 |
| (a) | Amount rounds to less than one thousand. |
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 109 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included in the Statements of Operations as Income from securities lending (net).
Equity Focus Fund and Growth and Income Fund did not have any securities out on loan at December 31, 2019. Equity Income Fund, Equity Premium Income Fund, Hedged Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund did not lend out any securities during the six months ended December 31, 2019.
F. 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 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 tables below. Amounts in the tables below are in thousands.
Equity Focus Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 2,779 | $ | 12,758 | $ | 14,647 | $ | — | (c) | $ | — | (c) | $ | 890 | 890 | $ | 27 | $ | — | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | — | 2,024 | 2,024 | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||
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Total | $ | 2,779 | $ | 14,782 | $ | 16,671 | $ | — | (c) | $ | — | (c) | $ | 890 | $ | 27 | $ | — | ||||||||||||||||||
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Equity Income Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 1,052,315 | $ | 6,559,879 | $ | 6,790,822 | $ | (25 | ) | $ | (86 | ) | $ | 821,261 | 821,015 | $ | 9,387 | $ | — | |||||||||||||||||
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Equity Premium Income Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | — | $ | 68,510 | $ | 65,495 | $ | — | (c) | $ | — | (c) | $ | 3,015 | 3,014 | $ | 6 | $ | — | |||||||||||||||||
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Growth and Income Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 20,398 | $ | 79,059 | $ | 84,963 | $ | (1 | ) | $ | (1 | ) | $ | 14,492 | 14,488 | $ | 177 | $ | — | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | — | 5,048 | 5,048 | — | — | — | — | — | (c)* | — | ||||||||||||||||||||||||||
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Total | $ | 20,398 | $ | 84,107 | $ | 90,011 | $ | (1 | ) | $ | (1 | ) | $ | 14,492 | $ | 177 | $ | — | ||||||||||||||||||
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| 110 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
Hedged Equity Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (a)(b) | $ | 232,451 | $ | 1,291,723 | $ | 1,314,707 | $ | — | $ | — | $ | 209,467 | 209,467 | $ | 1,121 | $ | — | |||||||||||||||||||
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Large Cap Growth Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 177,684 | $ | 3,039,635 | $ | 2,663,392 | $ | (62 | ) | $ | (7 | ) | $ | 553,858 | 553,692 | $ | 4,453 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b) | 406,108 | 1,323,000 | 1,339,000 | (10 | )* | (36 | ) | 390,062 | 390,024 | 4,914 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b) | 96,965 | 948,685 | 999,138 | — | — | 46,512 | 46,512 | 782 | * | — | ||||||||||||||||||||||||||
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Total | $ | 680,757 | $ | 5,311,320 | $ | 5,001,530 | $ | (72 | ) | $ | (43 | ) | $ | 990,432 | $ | 10,149 | $ | — | ||||||||||||||||||
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Large Cap Value Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 11,520 | $ | 496,544 | $ | 479,198 | $ | 2 | $ | (1 | ) | $ | 28,867 | 28,859 | $ | 336 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b) | — | 57,200 | 44,000 | 1 | * | — | 13,201 | 13,200 | 67 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b) | — | 103,250 | 96,507 | — | — | 6,743 | 6,743 | 56 | * | — | ||||||||||||||||||||||||||
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Total | $ | 11,520 | $ | 656,994 | $ | 619,705 | $ | 3 | $ | (1 | ) | $ | 48,811 | $ | 459 | $ | — | |||||||||||||||||||
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| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 111 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
U.S. Equity Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 88,792 | $ | 2,651,830 | $ | 2,641,362 | $ | (45 | ) | $ | (8 | ) | $ | 99,207 | 99,177 | $ | 1,432 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b) | 13,017 | 460,301 | 443,300 | (6 | )* | — | (c) | 30,012 | 30,009 | 470 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b) | 3,902 | 268,461 | 260,209 | — | — | 12,154 | 12,154 | 118 | * | — | ||||||||||||||||||||||||||
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Total | $ | 105,711 | $ | 3,380,592 | $ | 3,344,871 | $ | (51 | ) | $ | (8 | ) | $ | 141,373 | $ | 2,020 | $ | — | ||||||||||||||||||
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U.S. Large Cap Core Plus Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 78,086 | $ | 2,211,175 | $ | 2,252,763 | $ | (1 | ) | $ | (2 | ) | $ | 36,495 | 36,484 | $ | 830 | $ | — | |||||||||||||||||
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U.S. Research Enhanced Equity Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b) | $ | 39,677 | $ | 727,293 | $ | 731,893 | $ | (3 | ) | $ | (4 | ) | $ | 35,070 | 35,059 | $ | 498 | $ | — | |||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of December 31, 2019. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
G. Equity-Linked Notes — The Equity Premium Income Fund invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publically listed or traded on an exchanged. ELNS are valued daily, under procedures adopted by the Board of JPM IV, based upon values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as interest income on the Statements of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statements of Operations. The Fund records a realized gain or loss when ELN is sold or matures.
As of December 31, 2019, the Fund had outstanding ELNs as listed on the SOI.
H. Offering and Organizational Costs — Total offering costs of approximately $27,000 incurred in connection with the offering of shares of the Equity Premium Income Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund, if any, are recorded as an expense at the time the Fund commenced operations. For the six months ended December 31, 2019, total offering costs amortized were approximately $5,000.
| 112 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
I. 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 theex-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.
J. 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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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 | $ | — | (a) | $ | 3 | |||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 234 | 48 | 57 | n/a | $ | 7 | $ | 2 | $ | 1 | $ | 15 | 72 | 436 | ||||||||||||||||||||||||||
Equity Premium Income Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | — | (a) | — | (a) | n/a | n/a | n/a | n/a | — | (a) | — | (a) | — | (a) | ||||||||||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 104 | 1 | 3 | n/a | 1 | — | (a) | — | (a) | — | (a) | — | (a) | 109 | ||||||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 8 | 7 | 22 | n/a | n/a | n/a | n/a | — | (a) | 5 | 42 | |||||||||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 183 | 12 | 37 | n/a | 5 | 1 | — | (a) | 9 | 41 | 288 | |||||||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 35 | 2 | 4 | n/a | 3 | — | (a) | — | (a) | 1 | 17 | 62 | ||||||||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 59 | 9 | 18 | $ | 84 | 4 | 2 | — | (a) | 5 | 45 | 226 | ||||||||||||||||||||||||||||
U.S. Large Cap Core Plus Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 19 | 4 | 36 | n/a | 1 | n/a | n/a | — | (a) | 4 | 64 | |||||||||||||||||||||||||||||
U.S. Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 15 | n/a | 4 | 5 | n/a | n/a | n/a | n/a | 23 | 47 | ||||||||||||||||||||||||||||||
| (a) | Amount rounds to less than one thousand. |
K. 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 (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, 2019, no liability for Federal 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.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly, except for Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund, for which distributions are generally declared and paid annually, and Equity Income Fund and Equity Premium 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.
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 113 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 | 0.50 | %(1) | ||
Equity Income Fund | 0.40 | |||
Equity Premium Income Fund | 0.25 | |||
Growth and Income Fund | 0.40 | |||
Hedged Equity Fund | 0.25 | |||
Large Cap Growth Fund | 0.45 | (1) | ||
Large Cap Value Fund | 0.40 | |||
U.S. Equity Fund | 0.40 | |||
U.S. Large Cap Core Plus Fund | 0.65 | (1) | ||
U.S. Research Enhanced Equity Fund | 0.25 |
| (1) | Prior to August 1, 2019, the investment advisory fee for Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund was accrued daily and paid monthly at an annual rate of 0.60%, 0.50% and 0.70%, respectively, of each Fund’s daily net assets. |
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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate for Equity Focus Fund, Equity Income Fund, Equity Premium Income Fund, Growth and Income Fund, Hedged Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund was 0.08%, 0.05%, 0.08%, 0.08%, 0.08%, 0.07%, 0.08%, 0.07%, 0.08% and 0.08%, respectively, 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 asSub-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 Funds’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. The Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 | % | ||||||||||
Equity Premium Income Fund | 0.25 | 0.75 | n/a | n/a | ||||||||||||
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 | 0.25 | ||||||||||||
U.S. Equity Fund | 0.25 | 0.75 | 0.50 | 0.25 | ||||||||||||
U.S. Large Cap Core Plus Fund | 0.25 | 0.75 | 0.50 | n/a | ||||||||||||
U.S. Research Enhanced Equity Fund | 0.25 | n/a | n/a | n/a | ||||||||||||
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In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Focus Fund | $ | 2 | $ | — | ||||
Equity Income Fund | 428 | 1 | ||||||
Equity Premium Income Fund | 1 | — | ||||||
Growth and Income Fund | 9 | — | (a) | |||||
Hedged Equity Fund | 109 | 1 | ||||||
Large Cap Growth Fund | 226 | — | (a) | |||||
Large Cap Value Fund | 3 | — | ||||||
U.S. Equity Fund | 32 | — | ||||||
U.S. Large Cap Core Plus Fund | 5 | — | ||||||
U.S. Research Enhanced Equity Fund | — | (a) | — | (a) | ||||
| (a) | Amount rounds to less than one thousand. |
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, 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 | % | ||||||||||||||||||||
Equity Premium Income Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 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 | 0.25 | 0.25 | 0.10 | ||||||||||||||||||||||||
U.S. Equity Fund | 0.25 | 0.25 | 0.25 | 0.10 | % | 0.25 | 0.25 | 0.25 | 0.10 | |||||||||||||||||||||||
U.S. Large Cap Core Plus Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 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. Pursuant to such contracts, 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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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, expenses related to trustee elections 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 | 0.60 | % | |||||||||||||||||||||||
Equity Income Fund | n/a | (1) | n/a | (1) | n/a | (1) | n/a | n/a | (1) | n/a | (1) | n/a | (1) | n/a | (1) | n/a | (1) | |||||||||||||||||||
Equity Premium Income Fund | 0.85 | 1.35 | 0.60 | n/a | n/a | n/a | n/a | 0.45 | % | 0.35 | ||||||||||||||||||||||||||
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 | 0.45 | 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 | 0.94 | 0.69 | 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. Large Cap Core Plus Fund | 1.10 | 1.60 | 0.85 | n/a | 1.45 | n/a | n/a | 0.80 | 0.70 | |||||||||||||||||||||||||||
U.S. Research Enhanced Equity Fund | 0.60 | n/a | 0.35 | n/a | (2) | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||||
| (1) | Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation 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. |
| (2) | Effective November 1, 2019, the contractual expense limitation for Class L Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.45% for Class L Shares. |
Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2019 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2020.
For the six months ended December 31, 2019, 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 | $ | 72 | $ | 40 | $ | 2 | $ | 114 | $ | — | ||||||||||
Equity Income Fund | 12 | — | — | 12 | — | |||||||||||||||
Equity Premium Income Fund | 90 | 29 | — | (a) | 119 | 58 | ||||||||||||||
Growth and Income Fund | 176 | �� | 117 | 107 | 400 | 1 | ||||||||||||||
Hedged Equity Fund | — | — | 5 | 5 | — | |||||||||||||||
Large Cap Growth Fund | 4,826 | 3,214 | 201 | 8,241 | — | |||||||||||||||
Large Cap Value Fund | 332 | 221 | 53 | 606 | 11 | |||||||||||||||
U.S. Equity Fund | 1,823 | 1,213 | 97 | 3,133 | 45 | |||||||||||||||
U.S. Large Cap Core Plus Fund | 853 | 567 | 2,156 | 3,576 | 2 | |||||||||||||||
U.S. Research Enhanced Equity Fund | 1,302 | 869 | 339 | 2,510 | 23 | |||||||||||||||
| (a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
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The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 were as follows (amounts in thousands):
Equity Focus Fund | $ | 2 | ||
Equity Income Fund | 630 | |||
Equity Premium Income Fund | 1 | |||
Growth and Income Fund | 11 | |||
Hedged Equity Fund | 128 | |||
Large Cap Growth Fund | 245 | |||
Large Cap Value Fund | 22 | |||
U.S. Equity Fund | 108 | |||
U.S. Large Cap Core Plus Fund | 53 | |||
U.S. Research Enhanced Equity Fund | 34 |
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 Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-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, 2019, the Hedged Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended December 31, 2019, 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 | |||||||||||||
Equity Focus Fund | $ | 18,562 | $ | 29,096 | $ | — | $ | — | ||||||||
Equity Income Fund | 8,076,326 | 2,312,815 | — | — | ||||||||||||
Equity Premium Income Fund | 84,383 | 39,534 | — | — | ||||||||||||
Growth and Income Fund | 101,871 | 47,838 | — | — | ||||||||||||
Hedged Equity Fund | 2,307,939 | 1,272,696 | — | — | ||||||||||||
Large Cap Growth Fund | 4,313,732 | 4,397,132 | — | — | ||||||||||||
Large Cap Value Fund | 1,119,026 | 1,071,151 | — | — | ||||||||||||
U.S. Equity Fund | 5,410,320 | 5,599,929 | — | — | ||||||||||||
U.S. Large Cap Core Plus Fund | 2,312,610 | 5,114,301 | 893,450 | 1,310,316 | ||||||||||||
U.S. Research Enhanced Equity Fund | 1,255,607 | 1,776,134 | — | — | ||||||||||||
During the six months ended December 31, 2019, there were no purchases or sales of U.S. Government securities.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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, 2019 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Focus Fund | $ | 70,011 | $ | 33,442 | $ | 175 | $ | 33,267 | ||||||||
Equity Income Fund | 23,619,695 | 7,970,279 | 119,918 | 7,850,361 | ||||||||||||
Equity Premium Income Fund | 108,076 | 8,698 | 945 | 7,753 | ||||||||||||
Growth and Income Fund | 498,438 | 280,810 | 3,501 | 277,309 | ||||||||||||
Hedged Equity Fund | 5,648,196 | 1,227,229 | 26,997 | 1,200,232 | ||||||||||||
Large Cap Growth Fund | 11,159,574 | 6,970,602 | 38,429 | 6,932,173 | ||||||||||||
Large Cap Value Fund | 1,418,274 | 234,533 | 13,493 | 221,040 | ||||||||||||
U.S. Equity Fund | 11,000,112 | 4,800,706 | 46,515 | 4,754,191 | ||||||||||||
U.S. Large Cap Core Plus Fund* | 2,360,264 | 2,154,952 | 63,687 | 2,091,265 | ||||||||||||
U.S. Research Enhanced Equity Fund | 2,918,122 | 1,492,112 | 21,958 | 1,470,154 | ||||||||||||
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
As of June 30, 2019, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
Equity Premium Income Fund | $ | 274 | $ | — | ||||
Hedged Equity Fund | 30,463 | 39,552 | ||||||
Large Cap Value Fund | 20,829 | — | ||||||
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2019, the Funds deferred to July 1, 2019 the following net capital losses of (amounts in thousands):
| Net Capital Losses (Gains) | ||||||||
| Short-Term | Long-Term | |||||||
Equity Income Fund | $ | 71,623 | $ | (42,715 | ) | |||
Equity Premium Income Fund | 3,158 | (7 | ) | |||||
Growth and Income Fund | 498 | — | ||||||
Hedged Equity Fund | 64,453 | 80,038 | ||||||
Large Cap Growth Fund | 123,326 | — | ||||||
Large Cap Value Fund | 32,251 | (19,678 | ) | |||||
U.S. Equity Fund | 30,565 | — | ||||||
U.S. Large Cap Core Plus Fund | 84,150 | — | ||||||
U.S. Research Enhanced Equity Fund | 17,394 | — | ||||||
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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.
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 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
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The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have 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 London InterBank Offered Rate (“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 13, 2019, 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, 2019.
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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of December 31, 2019, the Funds had individual shareholder and/or 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 individual shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Equity Focus Fund | 1 | 69.6 | % | 1 | 17.9 | % | ||||||||||
Equity Income Fund | 1 | 11.0 | 2 | 24.7 | ||||||||||||
Equity Premium Income Fund | 1 | 48.9 | 1 | 27.9 | ||||||||||||
Growth and Income Fund | 1 | 18.1 | 1 | 17.2 | ||||||||||||
Hedged Equity Fund | — | — | 3 | 40.2 | ||||||||||||
Large Cap Growth Fund | — | — | 1 | 20.3 | ||||||||||||
Large Cap Value Fund | 2 | 27.8 | 1 | 10.6 | ||||||||||||
U.S. Equity Fund | — | — | 1 | 11.7 | ||||||||||||
U.S. Large Cap Core Plus Fund | 1 | 16.9 | 1 | 40.8 | ||||||||||||
U.S. Research Enhanced Equity Fund | 1 | 11.4 | 1 | 15.7 | ||||||||||||
As of December 31, 2019, 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 | |||||||
Large Cap Value Fund | 37.9 | % | n/a | |||||
U.S. Equity Fund | n/a | 29.8 | % | |||||
U.S. Research Enhanced Equity Fund | n/a | 41.6 | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
8. Redemptionsin-kind
On February 28, 2019, certain shareholders sold Class R6 Shares of Equity Income Fund. The portfolio securities were delivered primarily by means of a redemptionin-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below (amounts in thousands):
| Value | Realized Gains (Losses) | Type | ||||||||||
Equity Income Fund | $ | 54,694 | * | $ | 27,965 | Redemption in-kind | ||||||
| * | This amount includes cash of approximately $2,919,000 associated with the redemptionin-kind. |
On October 21, 2019, certain shareholders sold Class R6 Shares of U.S. Research Enhanced Equity Fund. The portfolio securities were delivered primarily by means of a redemptionin-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below (amounts in thousands):
| Value | Realized Gains (Losses) | Type | ||||||||||
U.S. Research Enhanced Equity Fund | $ | 1,336,709 | * | $ | 545,813 | Redemption in-kind | ||||||
| * | This amount includes cash of approximately $17,300,000 associated with the redemptionin-kind. |
9. Subscriptionin-kind
On July 29, 2019, certain shareholders purchased Class R6 Shares of U.S. Equity Fund. The portfolio securities were received primarily by means of a subscriptionin-kind in exchange for shares of the Fund. Portfolio securities were transferred as detailed below (amounts in thousands):
| Value | Type | |||||||
U.S. Equity Fund | $ | 45,414 | Subscription in-kind | |||||
10. Subsequent Event
At a meeting held on February 11, 2020, the Board of JPM I approved the conversion of the U.S. Research Enhanced Equity Fund’s Class L Shares into the U.S. Research Enhanced Equity Fund’s Class I Shares. Beginning July 3, 2020, Class L Shares of U.S. Research Enhanced Equity Fund will no longer be available for purchase. In connection with this share class conversion, effective July 3, 2020, the contractual expense waivers in effect for Class I Shares of the U.S. Research Enhanced Equity Fund will be extended such that they will remain in effect through July 2, 2022, at which time it will be determined whether such waivers will be renewed or revised.
| 120 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Focus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.00 | $ | 5.79 | 1.10 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.61 | 5.58 | 1.10 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,090.00 | 8.41 | 1.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.09 | 8.11 | 1.60 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,094.50 | 4.48 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.86 | 4.32 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,095.50 | 3.16 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 3.05 | 0.60 | ||||||||||||
JPMorgan Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,091.50 | 5.15 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.21 | 4.98 | 0.98 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,088.40 | 7.72 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.75 | 7.46 | 1.47 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,093.50 | 3.74 | 0.71 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.61 | 0.71 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,090.00 | 6.46 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.95 | 6.24 | 1.23 | ||||||||||||
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 121 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Income Fund (continued) | ||||||||||||||||
Class R3 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.70 | $ | 5.10 | 0.97 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.26 | 4.93 | 0.97 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,093.00 | 3.79 | 0.72 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.52 | 3.66 | 0.72 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,093.60 | 2.95 | 0.56 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.85 | 0.56 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,094.80 | 2.42 | 0.46 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.82 | 2.34 | 0.46 | ||||||||||||
JPMorgan Equity Premium Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,059.40 | 4.40 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.86 | 4.32 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,056.60 | 6.98 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.85 | 1.35 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,060.40 | 3.11 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 3.05 | 0.60 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,061.20 | 2.33 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.29 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,061.70 | 1.81 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.38 | 1.78 | 0.35 | ||||||||||||
JPMorgan Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,110.20 | 4.99 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,107.40 | 7.63 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.30 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,111.70 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,108.70 | 6.31 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.15 | 6.04 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,110.20 | 4.99 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,111.50 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,112.40 | 2.87 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.42 | 2.75 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,112.90 | 2.34 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
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| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Hedged Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.70 | $ | 4.39 | 0.85 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.86 | 4.32 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,050.40 | 6.96 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.85 | 1.35 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,054.20 | 3.05 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.17 | 3.00 | 0.59 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,054.80 | 2.32 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.29 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,055.40 | 1.76 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.43 | 1.73 | 0.34 | ||||||||||||
JPMorgan Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,082.10 | 4.92 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,079.40 | 7.53 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.30 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,083.30 | 3.61 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,080.80 | 6.22 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.15 | 6.04 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,082.10 | 4.92 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,083.50 | 3.61 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,084.00 | 2.83 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.42 | 2.75 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,084.70 | 2.31 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
JPMorgan Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,106.00 | 4.92 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.46 | 4.72 | 0.93 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,103.60 | 7.61 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.30 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,107.90 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,104.90 | 6.30 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.15 | 6.04 | 1.19 | ||||||||||||
| DECEMBER 31, 2019 | J.P. MORGAN LARGE CAP FUNDS | 123 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Large Cap Value Fund (continued) | ||||||||||||||||
Class R3 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.70 | $ | 4.98 | 0.94 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,108.00 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,108.30 | 2.86 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.42 | 2.75 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,109.60 | 2.33 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
JPMorgan U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,110.20 | 4.99 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,107.50 | 7.63 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.30 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,111.70 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,112.90 | 2.92 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.37 | 2.80 | 0.55 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,108.60 | 6.31 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.15 | 6.04 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,110.50 | 4.99 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.41 | 4.77 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,111.20 | 3.66 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.51 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,112.30 | 2.87 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.42 | 2.75 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,113.20 | 2.34 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,102.60 | 9.99 | 1.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.63 | 9.58 | 1.89 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,099.80 | 12.61 | 2.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,013.12 | 12.09 | 2.39 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,104.10 | 8.67 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.89 | 8.31 | 1.64 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,100.90 | 11.83 | 2.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,013.88 | 11.34 | 2.24 | ||||||||||||
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| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.40 | $ | 8.41 | 1.59 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.14 | 8.06 | 1.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,104.50 | 7.88 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.56 | 1.49 | ||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,111.40 | 3.18 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 3.05 | 0.60 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,112.70 | 1.86 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.38 | 1.78 | 0.35 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,112.50 | 1.86 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.38 | 1.78 | 0.35 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,113.40 | 1.33 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.88 | 1.27 | 0.25 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund 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 14, 2019.
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 Funds with at least two years of performance history as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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
| 126 | J.P. MORGAN LARGE CAP FUNDS | DECEMBER 31, 2019 | ||||
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designed to improve investment results and the services provided to each 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 each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of
products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.
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 the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
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.
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(Unaudited) (continued)
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Equity Focus Fund, Equity Premium Income Fund, Growth and Income Fund, Hedged Equity Fund, U.S. Large Cap Core Plus 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 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 Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. 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 third, second and first quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and third 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, 2018, 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 first, second and first quintiles based upon the Peer Group, and in the second, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and first quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the first quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. 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 the performance of the Equity Premium Income Fund since its inception on August 31, 2018 as compared with that of its benchmark index. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable.
The Trustees noted that the Growth and Income Fund’s performance for Class A shares was in the first quintile based upon the Peer Group, and in the second, second and first
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quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile 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, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group, and in the second and first quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the Hedged Equity Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, first and second quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group for the one- and three-year periods ended December 31, 2018, and in the first quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2018. 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, third and second quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, second and second quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and first quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 Large Cap Value Fund’s performance for Class A shares was in the fourth, second and first quintiles based upon the Peer Group, and in the fifth, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fifth, first and first quintiles based upon the Peer Group, and in the fifth, second and first quintiles based upon the Universe, for the one, three, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the fifth, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the U.S. Equity Fund’s performance for Class A shares was in the third, third and second quintiles based upon both the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, third and second quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the third, third and second quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, 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 under the circumstances.
The Trustees noted that the U.S. Large Cap Core Plus Fund’s performance for Class A shares was in the second, second and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second quintile based upon the Universe for each of the
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Universe for the one-year period ended December 31, 2018. 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 under the circumstances. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.
The Trustees noted that the U.S. Research Enhanced Equity Fund’s performance for Class A and Class I shares was in the third quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the third quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2018. 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 and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, for the Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund, the Trustees noted the reduction to the Funds’ contractual advisory fees effective August 1, 2019. 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 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 second and first 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 noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was 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 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 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 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 noted that the net advisory fee for Class R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Equity Premium Income Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Growth and Income 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 for
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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. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was 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, Class I and Class R6 shares were in the first quintile based upon both the Peer Groups and Universe. After considering the factors identified above, in light of this information, 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 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 first quintile based upon both the Peer Group and Universe, and actual total expenses for Class I 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 R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, 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 both Class A and Class R6 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 the factors identified above, in light of this information, 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 and actual total expenses for 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 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 noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, 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. Large Cap Core Plus 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 second and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for both Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering all of the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, 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. Research Enhanced Equity Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December 2019. | SAN-LCE-1219 |
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Semi-Annual Report
J.P. Morgan Equity Funds
December 31, 2019 (Unaudited)
JPMorgan Equity Index Fund
JPMorgan Market Expansion Enhanced Index Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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| 1 | ||||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| Schedules of Portfolio Investments | 7 | |||
| Financial Statements | 26 | |||
| Financial Highlights | 32 | |||
| Notes to Financial Statements | 36 | |||
| Schedule of Shareholder Expenses | 44 | |||
| Board Approval of Investment Advisory Agreements | 45 | |||
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.
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February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
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J.P. Morgan Index Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Bloomberg Barclays U.S. Aggregate Index returned 2.5%.
Global equity prices rebounded from two sharp sell-offs and U.S. equity largely outperformed both developed and emerging markets equity during the reporting period.
Growth in corporate profits, low interest rates and the continued growth in the global economy bolstered financial markets throughout the reporting period. However, investor concerns about the direction of U.S. interest rates, rising trade tensions and signs of slowing economic activity in China and Europe helped fuel significant market downturns in late 2018 and again in May 2019.
Leading equity indexes plummeted in the second half of December 2018 amid slowing global economic growth, unresolved U.S.-China trade tensions and investor concerns over rising interest rates.
However, financial market volatility stabilized in January and U.S. equity prices rebounded over the next few months and returned to record high levels by April 2019. Global equity markets slumped in May 2019 and leading indexes in the U.S. and Asian developed markets, as well as emerging markets, dropped by more than 6%. However, global equity prices rebounded again in June.
Within U.S. equity, large cap and mid cap stocks generally outperformed small cap stocks and growth stocks continued to outperform value stocks. For the twelve month reporting period, the S&P 500 returned 10.41%.
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FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 10.82% | |||
| S&P 500 Index** | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 5,278,882 | ||
INVESTMENT OBJECTIVE***
The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the six months ended December 31, 2019, the Fund’s Class I Shares largely performed in line with the Benchmark, before considering the effect of Fund fees and expenses. This was consistent with the Fund’s indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to those of the Benchmark.
U.S. equity markets provided positive returns for the reporting period amid lower interest rates, continued growth in corporate earnings and an easing of global trade tensions. During the reporting period, the energy sector was the sole sector detractor from performance for the Fund and the Benchmark, while the information technology and financials sectors were leading contributors to performance.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full replication index strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Apple, Inc. | 4.5 | % | |||||
| 2. | Microsoft Corp. | 4.4 | ||||||
| 3. | Amazon.com, Inc. | 2.8 | ||||||
| 4. | Facebook, Inc., Class A | 1.8 | ||||||
| 5. | Berkshire Hathaway, Inc., Class B | 1.6 | ||||||
| 6. | JPMorgan Chase & Co. | 1.6 | ||||||
| 7. | Alphabet, Inc., Class A | 1.5 | ||||||
| 8. | Alphabet, Inc., Class C | 1.5 | ||||||
| 9. | Johnson & Johnson | 1.4 | ||||||
| 10. | Visa, Inc., Class A | 1.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 22.9 | % | ||
| Health Care | 14.0 | |||
| Financials | 12.8 | |||
| Communication Services | 10.3 | |||
| Consumer Discretionary | 9.6 | |||
| Industrials | 9.0 | |||
| Consumer Staples | 7.1 | |||
| Energy | 4.3 | |||
| Utilities | 3.3 | |||
| Real Estate | 2.9 | |||
| Materials | 2.6 | |||
| Short-Term Investments | 1.2 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | “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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
Table of Contents
JPMorgan Equity Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||||||
With Sales Charge** | 4.86 | % | 24.03 | % | 10.00 | % | 12.44 | % | ||||||||||
Without Sales Charge | 10.67 | 30.90 | 11.19 | 13.04 | ||||||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||||||
With CDSC*** | 9.33 | 29.11 | 10.46 | 12.25 | ||||||||||||||
Without CDSC | 10.33 | 30.11 | 10.46 | 12.25 | ||||||||||||||
CLASS I SHARES | July 2, 1991 | 10.82 | 31.23 | 11.47 | 13.33 | |||||||||||||
CLASS R6 SHARES | September 1, 2016 | 10.90 | 31.42 | 11.59 | 13.39 | |||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information pleasecall 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, 2009 to December 31, 2019. 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 7.85% | |||
| S&P 1000 Index** | 7.28% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 949,054 | ||
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 S&P 1000 Index (the “Benchmark”) for the six months ended December31, 2019. The Fund’s security selection in the pharmaceutical and systems hardware sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the telecommunications and utilities sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Medicines Co. and Momenta Pharmaceuticals Inc. and its underweight position in GrubHub Inc. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG. Shares of Momenta Pharmaceuticals, a drug development company, rose after the company reported better-than-expected revenue for the third quarter of 2019. Shares of GrubHub, an online food-ordering business, fell after the company unveiled measures to bolster its business amid increased competition.
Leading individual detractors from relative performance included the Fund’s overweight positions in Akorn Inc., Meredith Corp. and CoreCivic Inc. Shares of Akorn, a maker of generic drugs and other health care products, fell after the company warned it may file for Chapter 11 bankruptcy. Shares of Meredith, a media company, fell after the company reported a lower revenue and an earnings loss for its fiscal fourth quarter. Shares of CoreCivic, an operator of prisons, fell amid U.S. Congressional scrutiny of private prison operators.
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. The Fund’s portfolio managers seek to invest in stocks that they believe are attractively valued and that have improving momentum characteristics. The portfolio managers strive to add value exclusively through security selection rather than sector, style or theme allocations.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Molina Healthcare, Inc. | 0.6 | % | |||||
| 2. | UGI Corp. | 0.6 | ||||||
| 3. | Arrow Electronics, Inc. | 0.6 | ||||||
| 4. | Reliance Steel & Aluminum Co. | 0.6 | ||||||
| 5. | Perspecta, Inc. | 0.5 | ||||||
| 6. | American Financial Group, Inc. | 0.5 | ||||||
| 7. | Tyler Technologies, Inc. | 0.5 | ||||||
| 8. | ITT, Inc. | 0.5 | ||||||
| 9. | Alleghany Corp. | 0.5 | ||||||
| 10. | Camden Property Trust | 0.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 15.7 | % | ||
| Industrials | 15.4 | |||
| Financials | 14.8 | |||
| Health Care | 11.4 | |||
| Consumer Discretionary | 10.7 | |||
| Real Estate | 9.5 | |||
| Materials | 5.6 | |||
| Utilities | 3.5 | |||
| Energy | 2.7 | |||
| Consumer Staples | 2.6 | |||
| Communication Services | 1.9 | |||
| Short-Term Investments | 6.2 | |||
| * | 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. |
| ** | “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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||
Class A SHARES | July 31, 1998 | |||||||||||||||
With Sales Charge** | 1.97% | 17.78 | % | 6.92 | % | 11.47 | % | |||||||||
Without Sales Charge | 7.65 | 24.25 | 8.07 | 12.07 | ||||||||||||
Class C SHARES | March 22, 1999 | |||||||||||||||
With CDSC** | 6.48 | 22.67 | 7.45 | 11.37 | ||||||||||||
Without CDSC | 7.48 | 23.67 | 7.45 | 11.37 | ||||||||||||
CLASS I SHARES | July 31, 1998 | 7.85 | 24.57 | 8.34 | 12.35 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 7.49 | 23.70 | 7.78 | 11.75 | |||||||||||
CLASS R6 SHARES | October 1, 2018 | 7.91 | 24.61 | 8.36 | 12.36 | |||||||||||
| * | Not annualized |
| ** | 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(12/31/09 TO 12/31/19)
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 of 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 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, 2009 to December 31, 2019. 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. 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, 2019 | ||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.6% |
| |||||||
Aerospace & Defense — 2.4% |
| |||||||
Arconic, Inc. | 76 | 2,342 | ||||||
Boeing Co. (The) | 105 | 34,220 | ||||||
General Dynamics Corp. | 46 | 8,120 | ||||||
Huntington Ingalls Industries, Inc. | 8 | 2,016 | ||||||
L3Harris Technologies, Inc. | 43 | 8,594 | ||||||
Lockheed Martin Corp. | 49 | 18,990 | ||||||
Northrop Grumman Corp. | 31 | 10,593 | ||||||
Raytheon Co. | 55 | 12,023 | ||||||
Textron, Inc. | 45 | 2,000 | ||||||
TransDigm Group, Inc. | 10 | 5,480 | ||||||
United Technologies Corp. | 159 | 23,873 | ||||||
|
| |||||||
| 128,251 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
CH Robinson Worldwide, Inc. | 27 | 2,078 | ||||||
Expeditors International of Washington, Inc. | 33 | 2,611 | ||||||
FedEx Corp. | 47 | 7,131 | ||||||
United Parcel Service, Inc., Class B | 138 | 16,117 | ||||||
|
| |||||||
| 27,937 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Alaska Air Group, Inc. | 24 | 1,640 | ||||||
American Airlines Group, Inc. (a) | 77 | 2,197 | ||||||
Delta Air Lines, Inc. | 113 | 6,614 | ||||||
Southwest Airlines Co. | 93 | 5,023 | ||||||
United Airlines Holdings, Inc. * | 43 | 3,766 | ||||||
|
| |||||||
| 19,240 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Aptiv plc | 50 | 4,764 | ||||||
BorgWarner, Inc. | 41 | 1,760 | ||||||
|
| |||||||
| 6,524 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
Ford Motor Co. | 765 | 7,115 | ||||||
General Motors Co. | 247 | 9,042 | ||||||
Harley-Davidson, Inc. | 30 | 1,127 | ||||||
|
| |||||||
| 17,284 | ||||||||
|
| |||||||
Banks — 5.6% |
| |||||||
Bank of America Corp. | 1,591 | 56,021 | ||||||
Citigroup, Inc. | 429 | 34,269 | ||||||
Citizens Financial Group, Inc. | 85 | 3,469 | ||||||
Comerica, Inc. | 28 | 2,032 | ||||||
Fifth Third Bancorp | 139 | 4,286 | ||||||
First Republic Bank | 33 | 3,889 | ||||||
Huntington Bancshares, Inc. | 203 | 3,060 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued | ||||||||
JPMorgan Chase & Co. (b) | 616 | 85,906 | ||||||
KeyCorp | 194 | 3,917 | ||||||
M&T Bank Corp. | 26 | 4,390 | ||||||
People’s United Financial, Inc. | 87 | 1,475 | ||||||
PNC Financial Services Group, Inc. (The) | 86 | 13,743 | ||||||
Regions Financial Corp. | 190 | 3,252 | ||||||
SVB Financial Group * | 10 | 2,543 | ||||||
Truist Financial Corp. | 263 | 14,840 | ||||||
US Bancorp | 279 | 16,557 | ||||||
Wells Fargo & Co. | 756 | 40,683 | ||||||
Zions Bancorp NA | 33 | 1,739 | ||||||
|
| |||||||
| 296,071 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
Brown-Forman Corp., Class B | 36 | 2,420 | ||||||
Coca-Cola Co. (The) | 758 | 41,935 | ||||||
Constellation Brands, Inc., Class A | 33 | 6,245 | ||||||
Molson Coors Brewing Co., Class B | 37 | 1,989 | ||||||
Monster Beverage Corp. * | 75 | 4,767 | ||||||
PepsiCo, Inc. | 274 | 37,444 | ||||||
|
| |||||||
| 94,800 | ||||||||
|
| |||||||
Biotechnology — 2.0% |
| |||||||
AbbVie, Inc. | 291 | 25,726 | ||||||
Alexion Pharmaceuticals, Inc. * | 43 | 4,702 | ||||||
Amgen, Inc. | 117 | 28,144 | ||||||
Biogen, Inc. * | 35 | 10,520 | ||||||
Gilead Sciences, Inc. | 249 | 16,152 | ||||||
Incyte Corp. * | 35 | 3,067 | ||||||
Regeneron Pharmaceuticals, Inc. * | 16 | 5,893 | ||||||
Vertex Pharmaceuticals, Inc. * | 51 | 11,063 | ||||||
|
| |||||||
| 105,267 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
Allegion plc | 18 | 2,274 | ||||||
AO Smith Corp. | 27 | 1,283 | ||||||
Fortune Brands Home & Security, Inc. | 27 | 1,786 | ||||||
Johnson Controls International plc | 152 | 6,170 | ||||||
Masco Corp. | 56 | 2,679 | ||||||
|
| |||||||
| 14,192 | ||||||||
|
| |||||||
Capital Markets — 2.7% |
| |||||||
Ameriprise Financial, Inc. | 25 | 4,147 | ||||||
Bank of New York Mellon Corp. (The) | 165 | 8,299 | ||||||
BlackRock, Inc. | 23 | 11,648 | ||||||
Cboe Global Markets, Inc. | 22 | 2,614 | ||||||
Charles Schwab Corp. (The) | 225 | 10,683 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Capital Markets — continued |
| |||||||
CME Group, Inc. | 70 | 14,133 | ||||||
E*TRADE Financial Corp. | 44 | 2,014 | ||||||
Franklin Resources, Inc. | 55 | 1,424 | ||||||
Goldman Sachs Group, Inc. (The) | 63 | 14,397 | ||||||
Intercontinental Exchange, Inc. | 109 | 10,126 | ||||||
Invesco Ltd. | 73 | 1,315 | ||||||
MarketAxess Holdings, Inc. | 7 | 2,825 | ||||||
Moody’s Corp. | 32 | 7,574 | ||||||
Morgan Stanley | 242 | 12,355 | ||||||
MSCI, Inc. | 17 | 4,297 | ||||||
Nasdaq, Inc. | 23 | 2,414 | ||||||
Northern Trust Corp. | 42 | 4,423 | ||||||
Raymond James Financial, Inc. | 24 | 2,170 | ||||||
S&P Global, Inc. | 48 | 13,111 | ||||||
State Street Corp. | 71 | 5,651 | ||||||
T. Rowe Price Group, Inc. | 46 | 5,594 | ||||||
|
| |||||||
| 141,214 | ||||||||
|
| |||||||
Chemicals — 1.9% |
| |||||||
Air Products & Chemicals, Inc. | 43 | 10,178 | ||||||
Albemarle Corp. (a) | 21 | 1,522 | ||||||
Celanese Corp. | 24 | 2,924 | ||||||
CF Industries Holdings, Inc. | 43 | 2,039 | ||||||
Corteva, Inc. | 147 | 4,347 | ||||||
Dow, Inc. (a) | 146 | 7,973 | ||||||
DuPont de Nemours, Inc. | 146 | 9,344 | ||||||
Eastman Chemical Co. | 27 | 2,118 | ||||||
Ecolab, Inc. | 49 | 9,509 | ||||||
FMC Corp. | 25 | 2,542 | ||||||
International Flavors & Fragrances, Inc. (a) | 21 | 2,707 | ||||||
Linde plc (United Kingdom) | 106 | 22,470 | ||||||
LyondellBasell Industries NV, Class A | 50 | 4,766 | ||||||
Mosaic Co. (The) | 69 | 1,487 | ||||||
PPG Industries, Inc. | 46 | 6,202 | ||||||
Sherwin-Williams Co. (The) | 16 | 9,419 | ||||||
|
| |||||||
| 99,547 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp. | 16 | 4,432 | ||||||
Copart, Inc. * | 40 | 3,655 | ||||||
Republic Services, Inc. | 41 | 3,709 | ||||||
Rollins, Inc. | 28 | 918 | ||||||
Waste Management, Inc. | 77 | 8,739 | ||||||
|
| |||||||
| 21,453 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Communications Equipment — 1.0% |
| |||||||
Arista Networks, Inc. * (a) | 11 | 2,168 | ||||||
Cisco Systems, Inc. | 834 | 39,975 | ||||||
F5 Networks, Inc. * | 12 | 1,668 | ||||||
Juniper Networks, Inc. | 66 | 1,620 | ||||||
Motorola Solutions, Inc. | 34 | 5,425 | ||||||
|
| |||||||
| 50,856 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
Jacobs Engineering Group, Inc. | 27 | 2,392 | ||||||
Quanta Services, Inc. | 28 | 1,138 | ||||||
|
| |||||||
| 3,530 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 12 | 3,434 | ||||||
Vulcan Materials Co. | 26 | 3,744 | ||||||
|
| |||||||
| 7,178 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
American Express Co. | 132 | 16,412 | ||||||
Capital One Financial Corp. (a) | 92 | 9,417 | ||||||
Discover Financial Services | 62 | 5,224 | ||||||
Synchrony Financial | 117 | 4,206 | ||||||
|
| |||||||
| 35,259 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Amcor plc (a) | 318 | 3,451 | ||||||
Avery Dennison Corp. | 16 | 2,146 | ||||||
Ball Corp. | 64 | 4,157 | ||||||
International Paper Co. | 77 | 3,548 | ||||||
Packaging Corp. of America | 19 | 2,083 | ||||||
Sealed Air Corp. | 30 | 1,209 | ||||||
Westrock Co. | 51 | 2,174 | ||||||
|
| |||||||
| 18,768 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 29 | 3,032 | ||||||
LKQ Corp. * | 60 | 2,150 | ||||||
|
| |||||||
| 5,182 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0%(c) |
| |||||||
H&R Block, Inc. | 38 | 901 | ||||||
|
| |||||||
Diversified Financial Services — 1.6% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 384 | 87,048 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.1% |
| |||||||
AT&T, Inc. | 1,435 | 56,091 | ||||||
CenturyLink, Inc. | 193 | 2,547 | ||||||
Verizon Communications, Inc. | 813 | 49,893 | ||||||
|
| |||||||
| 108,531 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Electric Utilities — 2.0% |
| |||||||
Alliant Energy Corp. | 47 | 2,584 | ||||||
American Electric Power Co., Inc. | 97 | 9,172 | ||||||
Duke Energy Corp. | 143 | 13,065 | ||||||
Edison International | 70 | 5,313 | ||||||
Entergy Corp. | 39 | 4,686 | ||||||
Evergy, Inc. | 45 | 2,915 | ||||||
Eversource Energy | 64 | 5,412 | ||||||
Exelon Corp. | 191 | 8,708 | ||||||
FirstEnergy Corp. (a) | 106 | 5,159 | ||||||
NextEra Energy, Inc. | 96 | 23,256 | ||||||
Pinnacle West Capital Corp. | 22 | 1,986 | ||||||
PPL Corp. | 142 | 5,097 | ||||||
Southern Co. (The) | 206 | 13,126 | ||||||
Xcel Energy, Inc. | 103 | 6,541 | ||||||
|
| |||||||
| 107,020 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
AMETEK, Inc. | 45 | 4,480 | ||||||
Eaton Corp. plc | 81 | 7,694 | ||||||
Emerson Electric Co. | 120 | 9,127 | ||||||
Rockwell Automation, Inc. | 23 | 4,601 | ||||||
|
| |||||||
| 25,902 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
Amphenol Corp., Class A | 58 | 6,305 | ||||||
CDW Corp. | 28 | 4,032 | ||||||
Corning, Inc. (a) | 151 | 4,399 | ||||||
FLIR Systems, Inc. | 26 | 1,373 | ||||||
IPG Photonics Corp. * | 7 | 1,012 | ||||||
Keysight Technologies, Inc. * | 37 | 3,783 | ||||||
TE Connectivity Ltd. | 66 | 6,298 | ||||||
Zebra Technologies Corp., Class A * | 11 | 2,706 | ||||||
|
| |||||||
| 29,908 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.4% |
| |||||||
Baker Hughes Co. | 128 | 3,273 | ||||||
Halliburton Co. (a) | 172 | 4,220 | ||||||
Helmerich & Payne, Inc. | 21 | 968 | ||||||
National Oilwell Varco, Inc. | 76 | 1,899 | ||||||
Schlumberger Ltd. | 272 | 10,935 | ||||||
TechnipFMC plc (United Kingdom) | 83 | 1,770 | ||||||
|
| |||||||
| 23,065 | ||||||||
|
| |||||||
Entertainment — 1.9% |
| |||||||
Activision Blizzard, Inc. | 151 | 8,969 | ||||||
Electronic Arts, Inc. * | 57 | 6,168 | ||||||
Live Nation Entertainment, Inc. * | 28 | 1,979 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Entertainment — continued |
| |||||||
Netflix, Inc. * | 86 | 27,862 | ||||||
Take-Two Interactive Software, Inc. * | 22 | 2,722 | ||||||
Walt Disney Co. (The) | 354 | 51,218 | ||||||
|
| |||||||
| 98,918 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 23 | 3,656 | ||||||
American Tower Corp. | 87 | 20,001 | ||||||
Apartment Investment & Management Co., Class A | 29 | 1,511 | ||||||
AvalonBay Communities, Inc. | 27 | 5,754 | ||||||
Boston Properties, Inc. | 28 | 3,895 | ||||||
Crown Castle International Corp. | 82 | 11,612 | ||||||
Digital Realty Trust, Inc. (a) | 41 | 4,910 | ||||||
Duke Realty Corp. | 72 | 2,504 | ||||||
Equinix, Inc. | 17 | 9,780 | ||||||
Equity Residential | 69 | 5,550 | ||||||
Essex Property Trust, Inc. | 13 | 3,906 | ||||||
Extra Space Storage, Inc. | 25 | 2,688 | ||||||
Federal Realty Investment Trust | 14 | 1,776 | ||||||
Healthpeak Properties, Inc. | 97 | 3,352 | ||||||
Host Hotels & Resorts, Inc. (a) | 141 | 2,614 | ||||||
Iron Mountain, Inc. | 56 | 1,798 | ||||||
Kimco Realty Corp. | 83 | 1,718 | ||||||
Mid-America Apartment Communities, Inc. | 22 | 2,955 | ||||||
Prologis, Inc. | 124 | 11,064 | ||||||
Public Storage | 30 | 6,286 | ||||||
Realty Income Corp. | 64 | 4,715 | ||||||
Regency Centers Corp. | 33 | 2,077 | ||||||
SBA Communications Corp. | 22 | 5,332 | ||||||
Simon Property Group, Inc. | 60 | 8,981 | ||||||
SL Green Realty Corp. | 16 | 1,472 | ||||||
UDR, Inc. | 58 | 2,689 | ||||||
Ventas, Inc. | 73 | 4,229 | ||||||
Vornado Realty Trust | 31 | 2,070 | ||||||
Welltower, Inc. | 80 | 6,520 | ||||||
Weyerhaeuser Co. | 146 | 4,421 | ||||||
|
| |||||||
| 149,836 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
Costco Wholesale Corp. | 87 | 25,513 | ||||||
Kroger Co. (The) | 158 | 4,568 | ||||||
Sysco Corp. | 100 | 8,575 | ||||||
Walgreens Boots Alliance, Inc. | 147 | 8,685 | ||||||
Walmart, Inc. | 279 | 33,123 | ||||||
|
| |||||||
| 80,464 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Food Products — 1.1% |
| |||||||
Archer-Daniels-Midland Co. | 109 | 5,070 | ||||||
Campbell Soup Co. (a) | 33 | 1,640 | ||||||
Conagra Brands, Inc. | 96 | 3,274 | ||||||
General Mills, Inc. | 119 | 6,360 | ||||||
Hershey Co. (The) | 29 | 4,283 | ||||||
Hormel Foods Corp. (a) | 55 | 2,464 | ||||||
JM Smucker Co. (The) | 22 | 2,334 | ||||||
Kellogg Co. | 49 | 3,383 | ||||||
Kraft Heinz Co. (The) | 122 | 3,932 | ||||||
Lamb Weston Holdings, Inc. | 29 | 2,469 | ||||||
McCormick & Co., Inc.(Non-Voting) (a) | 24 | 4,121 | ||||||
Mondelez International, Inc., Class A | 283 | 15,582 | ||||||
Tyson Foods, Inc., Class A | 58 | 5,280 | ||||||
|
| |||||||
| 60,192 | ||||||||
|
| |||||||
Gas Utilities — 0.0%(c) |
| |||||||
Atmos Energy Corp. | 23 | 2,623 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.6% |
| |||||||
Abbott Laboratories | 347 | 30,163 | ||||||
ABIOMED, Inc. * | 9 | 1,513 | ||||||
Align Technology, Inc. * | 14 | 3,932 | ||||||
Baxter International, Inc. | 100 | 8,388 | ||||||
Becton Dickinson and Co. | 53 | 14,453 | ||||||
Boston Scientific Corp. * | 274 | 12,384 | ||||||
Cooper Cos., Inc. (The) | 10 | 3,129 | ||||||
Danaher Corp. | 126 | 19,278 | ||||||
Dentsply Sirona, Inc. | 44 | 2,473 | ||||||
Edwards Lifesciences Corp. * | 41 | 9,560 | ||||||
Hologic, Inc. * | 53 | 2,751 | ||||||
IDEXX Laboratories, Inc. * | 17 | 4,401 | ||||||
Intuitive Surgical, Inc. * | 23 | 13,424 | ||||||
Medtronic plc | 263 | 29,878 | ||||||
ResMed, Inc. | 28 | 4,378 | ||||||
STERIS plc | 17 | 2,539 | ||||||
Stryker Corp. | 63 | 13,281 | ||||||
Teleflex, Inc. | 9 | 3,424 | ||||||
Varian Medical Systems, Inc. * | 18 | 2,536 | ||||||
Zimmer Biomet Holdings, Inc. | 40 | 6,049 | ||||||
|
| |||||||
| 187,934 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.9% |
| |||||||
AmerisourceBergen Corp. | 30 | 2,511 | ||||||
Anthem, Inc. | 50 | 15,047 | ||||||
Cardinal Health, Inc. (a) | 57 | 2,907 | ||||||
Centene Corp. * | 81 | 5,111 | ||||||
Cigna Corp. | 73 | 15,003 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — continued |
| |||||||
CVS Health Corp. | 256 | 18,989 | ||||||
DaVita, Inc. * | 18 | 1,322 | ||||||
HCA Healthcare, Inc. | 52 | 7,683 | ||||||
Henry Schein, Inc. * | 29 | 1,924 | ||||||
Humana, Inc. | 26 | 9,537 | ||||||
Laboratory Corp. of America Holdings * | 19 | 3,227 | ||||||
McKesson Corp. | 35 | 4,897 | ||||||
Quest Diagnostics, Inc. | 26 | 2,826 | ||||||
UnitedHealth Group, Inc. | 186 | 54,724 | ||||||
Universal Health Services, Inc., Class B | 16 | 2,264 | ||||||
WellCare Health Plans, Inc. * | 10 | 3,264 | ||||||
|
| |||||||
| 151,236 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp. | 62 | 4,529 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Carnival Corp. | 79 | 4,000 | ||||||
Chipotle Mexican Grill, Inc. * | 5 | 4,206 | ||||||
Darden Restaurants, Inc. | 24 | 2,626 | ||||||
Hilton Worldwide Holdings, Inc. | 55 | 6,149 | ||||||
Las Vegas Sands Corp. | 66 | 4,584 | ||||||
Marriott International, Inc., Class A (a) | 53 | 8,074 | ||||||
McDonald’s Corp. | 148 | 29,240 | ||||||
MGM Resorts International | 101 | 3,366 | ||||||
Norwegian Cruise Line Holdings Ltd. * | 42 | 2,442 | ||||||
Royal Caribbean Cruises Ltd. | 34 | 4,509 | ||||||
Starbucks Corp. | 232 | 20,401 | ||||||
Wynn Resorts Ltd. | 19 | 2,636 | ||||||
Yum! Brands, Inc. | 59 | 5,986 | ||||||
|
| |||||||
| 98,219 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
DR Horton, Inc. | 66 | 3,475 | ||||||
Garmin Ltd. | 28 | 2,770 | ||||||
Leggett & Platt, Inc. | 26 | 1,314 | ||||||
Lennar Corp., Class A | 55 | 3,068 | ||||||
Mohawk Industries, Inc. * | 12 | 1,593 | ||||||
Newell Brands, Inc. | 75 | 1,439 | ||||||
NVR, Inc. * | 1 | 2,597 | ||||||
PulteGroup, Inc. | 50 | 1,942 | ||||||
Whirlpool Corp. | 12 | 1,832 | ||||||
|
| |||||||
| 20,030 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
Church & Dwight Co., Inc. | 48 | 3,391 | ||||||
Clorox Co. (The) | 25 | 3,786 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Products — continued |
| |||||||
Colgate-Palmolive Co. | 168 | 11,592 | ||||||
Kimberly-Clark Corp. | 67 | 9,265 | ||||||
Procter & Gamble Co. (The) | 490 | 61,199 | ||||||
|
| |||||||
| 89,233 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 130 | 2,596 | ||||||
NRG Energy, Inc. | 49 | 1,965 | ||||||
|
| |||||||
| 4,561 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
3M Co. (a) | 113 | 19,933 | ||||||
General Electric Co. | 1,716 | 19,150 | ||||||
Honeywell International, Inc. | 140 | 24,849 | ||||||
Roper Technologies, Inc. | 20 | 7,242 | ||||||
|
| |||||||
| 71,174 | ||||||||
|
| |||||||
Insurance — 2.3% |
| |||||||
Aflac, Inc. (a) | 144 | 7,629 | ||||||
Allstate Corp. (The) | 64 | 7,158 | ||||||
American International Group, Inc. | 171 | 8,774 | ||||||
Aon plc | 46 | 9,582 | ||||||
Arthur J Gallagher & Co. | 37 | 3,490 | ||||||
Assurant, Inc. | 12 | 1,562 | ||||||
Chubb Ltd. | 89 | 13,861 | ||||||
Cincinnati Financial Corp. | 30 | 3,139 | ||||||
Everest Re Group Ltd. | 8 | 2,218 | ||||||
Globe Life, Inc. | 20 | 2,060 | ||||||
Hartford Financial Services Group, Inc. (The) | 71 | 4,303 | ||||||
Lincoln National Corp. | 39 | 2,300 | ||||||
Loews Corp. | 50 | 2,638 | ||||||
Marsh & McLennan Cos., Inc. | 99 | 11,047 | ||||||
MetLife, Inc. | 154 | 7,828 | ||||||
Principal Financial Group, Inc. | 51 | 2,791 | ||||||
Progressive Corp. (The) | 115 | 8,315 | ||||||
Prudential Financial, Inc. | 79 | 7,404 | ||||||
Travelers Cos., Inc. (The) | 51 | 6,945 | ||||||
Unum Group | 41 | 1,182 | ||||||
Willis Towers Watson plc | 25 | 5,101 | ||||||
WR Berkley Corp. | 29 | 1,970 | ||||||
|
| |||||||
| 121,297 | ||||||||
|
| |||||||
Interactive Media & Services — 4.9% |
| |||||||
Alphabet, Inc., Class A * | 59 | 78,851 | ||||||
Alphabet, Inc., Class C * | 59 | 78,517 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — continued |
| |||||||
Facebook, Inc., Class A * | 473 | 97,046 | ||||||
Twitter, Inc. * | 153 | 4,889 | ||||||
|
| |||||||
| 259,303 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.3% |
| |||||||
Amazon.com, Inc. * | 82 | 151,203 | ||||||
Booking Holdings, Inc. * | 8 | 16,890 | ||||||
eBay, Inc. | 150 | 5,426 | ||||||
Expedia Group, Inc. | 27 | 2,969 | ||||||
|
| |||||||
| 176,488 | ||||||||
|
| |||||||
IT Services — 5.4% |
| |||||||
Accenture plc, Class A | 125 | 26,274 | ||||||
Akamai Technologies, Inc. * | 32 | 2,743 | ||||||
Alliance Data Systems Corp. | 8 | 904 | ||||||
Automatic Data Processing, Inc. | 85 | 14,495 | ||||||
Broadridge Financial Solutions, Inc. | 23 | 2,783 | ||||||
Cognizant Technology Solutions Corp., Class A | 108 | 6,673 | ||||||
DXC Technology Co. | 50 | 1,891 | ||||||
Fidelity National Information Services, Inc. | 121 | 16,796 | ||||||
Fiserv, Inc. * | 112 | 12,975 | ||||||
FleetCor Technologies, Inc. * | 17 | 4,906 | ||||||
Gartner, Inc. * (a) | 18 | 2,709 | ||||||
Global Payments, Inc. | 59 | 10,780 | ||||||
International Business Machines Corp. | 174 | 23,324 | ||||||
Jack Henry & Associates, Inc. | 15 | 2,202 | ||||||
Leidos Holdings, Inc. | 26 | 2,559 | ||||||
Mastercard, Inc., Class A | 174 | 52,080 | ||||||
Paychex, Inc. | 63 | 5,324 | ||||||
PayPal Holdings, Inc. * | 231 | 24,955 | ||||||
VeriSign, Inc. * | 20 | 3,911 | ||||||
Visa, Inc., Class A | 336 | 63,198 | ||||||
Western Union Co. (The) (a) | 82 | 2,206 | ||||||
|
| |||||||
| 283,688 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 25 | 2,641 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Agilent Technologies, Inc. | 61 | 5,187 | ||||||
Illumina, Inc. * | 29 | 9,581 | ||||||
IQVIA Holdings, Inc. * | 35 | 5,478 | ||||||
Mettler-Toledo International, Inc. * (a) | 5 | 3,796 | ||||||
PerkinElmer, Inc. | 22 | 2,120 | ||||||
Thermo Fisher Scientific, Inc. | 79 | 25,595 | ||||||
Waters Corp. * | 13 | 2,958 | ||||||
|
| |||||||
| 54,715 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Machinery — 1.6% |
| |||||||
Caterpillar, Inc. | 109 | 16,036 | ||||||
Cummins, Inc. | 30 | 5,387 | ||||||
Deere & Co. | 62 | 10,719 | ||||||
Dover Corp. | 29 | 3,290 | ||||||
Flowserve Corp. (a) | 26 | 1,280 | ||||||
Fortive Corp. | 58 | 4,435 | ||||||
IDEX Corp. | 15 | 2,570 | ||||||
Illinois Tool Works, Inc. | 57 | 10,323 | ||||||
Ingersoll-Rand plc | 47 | 6,257 | ||||||
PACCAR, Inc. | 68 | 5,375 | ||||||
Parker-Hannifin Corp. | 25 | 5,195 | ||||||
Pentair plc | 33 | 1,515 | ||||||
Snap-on, Inc. | 11 | 1,825 | ||||||
Stanley Black & Decker, Inc. | 30 | 4,950 | ||||||
Westinghouse Air Brake Technologies Corp. (a) | 36 | 2,784 | ||||||
Xylem, Inc. (a) | 35 | 2,788 | ||||||
|
| |||||||
| 84,729 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
Charter Communications, Inc., Class A * | 31 | 14,944 | ||||||
Comcast Corp., Class A | 892 | 40,112 | ||||||
Discovery, Inc., Class A * (a) | 31 | 1,017 | ||||||
Discovery, Inc., Class C * | 66 | 2,009 | ||||||
DISH Network Corp., Class A * | 50 | 1,784 | ||||||
Fox Corp., Class A | 70 | 2,582 | ||||||
Fox Corp., Class B | 32 | 1,161 | ||||||
Interpublic Group of Cos., Inc. (The) (a) | 76 | 1,760 | ||||||
News Corp., Class A | 76 | 1,080 | ||||||
News Corp., Class B | 24 | 347 | ||||||
Omnicom Group, Inc. | 43 | 3,466 | ||||||
ViacomCBS, Inc. | 106 | 4,456 | ||||||
|
| |||||||
| 74,718 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
Freeport-McMoRan, Inc. | 285 | 3,740 | ||||||
Newmont Goldcorp Corp. | 161 | 6,999 | ||||||
Nucor Corp. | 60 | 3,353 | ||||||
|
| |||||||
| 14,092 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 50 | 7,803 | ||||||
Dollar Tree, Inc. * | 46 | 4,373 | ||||||
Kohl’s Corp. (a) | 31 | 1,567 | ||||||
Macy’s, Inc. (a) | 61 | 1,032 | ||||||
Nordstrom, Inc. | 21 | 862 | ||||||
Target Corp. | 100 | 12,765 | ||||||
|
| |||||||
| 28,402 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multi-Utilities — 1.1% |
| |||||||
Ameren Corp. | 48 | 3,712 | ||||||
CenterPoint Energy, Inc. | 99 | 2,691 | ||||||
CMS Energy Corp. | 56 | 3,505 | ||||||
Consolidated Edison, Inc. | 65 | 5,909 | ||||||
Dominion Energy, Inc. | 162 | 13,394 | ||||||
DTE Energy Co. | 38 | 4,902 | ||||||
NiSource, Inc. | 73 | 2,043 | ||||||
Public Service Enterprise Group, Inc. | 99 | 5,867 | ||||||
Sempra Energy | 55 | 8,390 | ||||||
WEC Energy Group, Inc. | 62 | 5,716 | ||||||
|
| |||||||
| 56,129 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% |
| |||||||
Apache Corp. | 74 | 1,891 | ||||||
Cabot Oil & Gas Corp. | 80 | 1,395 | ||||||
Chevron Corp. | 372 | 44,771 | ||||||
Cimarex Energy Co. | 20 | 1,050 | ||||||
Concho Resources, Inc. | 39 | 3,459 | ||||||
ConocoPhillips | 216 | 14,020 | ||||||
Devon Energy Corp. | 76 | 1,975 | ||||||
Diamondback Energy, Inc. | 32 | 2,940 | ||||||
EOG Resources, Inc. | 114 | 9,574 | ||||||
Exxon Mobil Corp. | 831 | 58,010 | ||||||
Hess Corp. | 51 | 3,400 | ||||||
HollyFrontier Corp. | 29 | 1,479 | ||||||
Kinder Morgan, Inc. | 383 | 8,102 | ||||||
Marathon Oil Corp. | 157 | 2,134 | ||||||
Marathon Petroleum Corp. | 128 | 7,687 | ||||||
Noble Energy, Inc. | 94 | 2,334 | ||||||
Occidental Petroleum Corp. | 176 | 7,233 | ||||||
ONEOK, Inc. | 81 | 6,142 | ||||||
Phillips 66 | 87 | 9,727 | ||||||
Pioneer Natural Resources Co. | 33 | 4,926 | ||||||
Valero Energy Corp. | 81 | 7,556 | ||||||
Williams Cos., Inc. (The) | 238 | 5,649 | ||||||
|
| |||||||
| 205,454 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
Coty, Inc., Class A (a) | 58 | 653 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 44 | 9,032 | ||||||
|
| |||||||
| 9,685 | ||||||||
|
| |||||||
Pharmaceuticals — 4.6% |
| |||||||
Allergan plc | 64 | 12,330 | ||||||
Bristol-Myers Squibb Co. | 461 | 29,565 | ||||||
Eli Lilly & Co. | 166 | 21,818 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Johnson & Johnson | 517 | 75,430 | ||||||
Merck & Co., Inc. | 500 | 45,496 | ||||||
Mylan NV * (a) | 101 | 2,038 | ||||||
Perrigo Co. plc | 27 | 1,382 | ||||||
Pfizer, Inc. | 1,087 | 42,602 | ||||||
Zoetis, Inc. | 94 | 12,386 | ||||||
|
| |||||||
| 243,047 | ||||||||
|
| |||||||
Professional Services — 0.3% | ||||||||
Equifax, Inc. | 24 | 3,333 | ||||||
IHS Markit Ltd. * | 79 | 5,937 | ||||||
Nielsen Holdings plc | 70 | 1,419 | ||||||
Robert Half International, Inc. | 23 | 1,459 | ||||||
Verisk Analytics, Inc. | 32 | 4,808 | ||||||
|
| |||||||
| 16,956 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% | ||||||||
CBRE Group, Inc., Class A * | 66 | 4,031 | ||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
CSX Corp. | 153 | 11,056 | ||||||
JB Hunt Transport Services, Inc. | 17 | 1,956 | ||||||
Kansas City Southern | 19 | 2,983 | ||||||
Norfolk Southern Corp. | 51 | 9,946 | ||||||
Old Dominion Freight Line, Inc. | 13 | 2,381 | ||||||
Union Pacific Corp. | 136 | 24,659 | ||||||
|
| |||||||
| 52,981 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.2% |
| |||||||
Advanced Micro Devices, Inc. * | 219 | 10,034 | ||||||
Analog Devices, Inc. | 72 | 8,600 | ||||||
Applied Materials, Inc. | 181 | 11,079 | ||||||
Broadcom, Inc. | 78 | 24,630 | ||||||
Intel Corp. | 855 | 51,153 | ||||||
KLA Corp. | 31 | 5,524 | ||||||
Lam Research Corp. | 29 | 8,335 | ||||||
Maxim Integrated Products, Inc. | 53 | 3,270 | ||||||
Microchip Technology, Inc. (a) | 47 | 4,917 | ||||||
Micron Technology, Inc. * | 218 | 11,698 | ||||||
NVIDIA Corp. | 120 | 28,294 | ||||||
Qorvo, Inc. * | 23 | 2,653 | ||||||
QUALCOMM, Inc. | 224 | 19,794 | ||||||
Skyworks Solutions, Inc. | 33 | 4,046 | ||||||
Texas Instruments, Inc. | 184 | 23,562 | ||||||
Xilinx, Inc. | 49 | 4,830 | ||||||
|
| |||||||
| 222,419 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — 7.0% | ||||||||
Adobe, Inc. * | 95 | 31,369 | ||||||
ANSYS, Inc. * | 17 | 4,328 | ||||||
Autodesk, Inc. * | 43 | 7,931 | ||||||
Cadence Design Systems, Inc. * | 55 | 3,824 | ||||||
Citrix Systems, Inc. (a) | 24 | 2,667 | ||||||
Fortinet, Inc. * | 28 | 2,978 | ||||||
Intuit, Inc. | 51 | 13,396 | ||||||
Microsoft Corp. | 1,499 | 236,376 | ||||||
NortonLifeLock, Inc. | 113 | 2,875 | ||||||
Oracle Corp. | 426 | 22,552 | ||||||
salesforce.com, Inc. * | 174 | 28,344 | ||||||
ServiceNow, Inc. * | 37 | 10,462 | ||||||
Synopsys, Inc. * | 30 | 4,112 | ||||||
|
| |||||||
| 371,214 | ||||||||
|
| |||||||
Specialty Retail — 2.2% |
| |||||||
Advance Auto Parts, Inc. | 14 | 2,180 | ||||||
AutoZone, Inc. * | 5 | 5,578 | ||||||
Best Buy Co., Inc. | 45 | 3,929 | ||||||
CarMax, Inc. * (a) | 32 | 2,832 | ||||||
Gap, Inc. (The) | 42 | 739 | ||||||
Home Depot, Inc. (The) | 214 | 46,804 | ||||||
L Brands, Inc. (a) | 46 | 827 | ||||||
Lowe’s Cos., Inc. | 151 | 18,035 | ||||||
O’Reilly Automotive, Inc. * | 15 | 6,515 | ||||||
Ross Stores, Inc. | 71 | 8,274 | ||||||
Tiffany & Co. | 21 | 2,835 | ||||||
TJX Cos., Inc. (The) | 238 | 14,548 | ||||||
Tractor Supply Co. | 23 | 2,173 | ||||||
Ulta Beauty, Inc. * | 11 | 2,843 | ||||||
|
| |||||||
| 118,112 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.0% |
| |||||||
Apple, Inc. | 821 | 240,977 | ||||||
Hewlett Packard Enterprise Co. | 254 | 4,032 | ||||||
HP, Inc. | 291 | 5,984 | ||||||
NetApp, Inc. | 45 | 2,791 | ||||||
Seagate Technology plc (a) | 45 | 2,703 | ||||||
Western Digital Corp. (a) | 58 | 3,709 | ||||||
Xerox Holdings Corp. | 37 | 1,347 | ||||||
|
| |||||||
| 261,543 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Capri Holdings Ltd. * | 30 | 1,137 | ||||||
Hanesbrands, Inc. | 71 | 1,055 | ||||||
NIKE, Inc., Class B | 245 | 24,802 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Textiles, Apparel & Luxury Goods — continued |
| |||||||
PVH Corp. | 15 | 1,532 | ||||||
Ralph Lauren Corp. | 10 | 1,145 | ||||||
Tapestry, Inc. | 54 | 1,462 | ||||||
Under Armour, Inc., Class A * (a) | 37 | 799 | ||||||
Under Armour, Inc., Class C * | 38 | 733 | ||||||
VF Corp. | 64 | 6,413 | ||||||
|
| |||||||
| 39,078 | ||||||||
|
| |||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 367 | 18,319 | ||||||
Philip Morris International, Inc. | 306 | 26,012 | ||||||
|
| |||||||
| 44,331 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. (a) | 113 | 4,164 | ||||||
United Rentals, Inc. * | 15 | 2,463 | ||||||
WW Grainger, Inc. | 9 | 2,902 | ||||||
|
| |||||||
| 9,529 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Works Co., Inc. (a) | 36 | 4,363 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
T-Mobile US, Inc. * | 62 | 4,878 | ||||||
|
| |||||||
Total Common Stocks |
| 5,257,700 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 1.2% |
| |||||||
Investment Companies — 0.5% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (d) (e) | 27,955 | 27,955 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.7% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e) | 26,011 | 26,014 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e) | 11,360 | 11,360 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 37,374 | |||||||
|
| |||||||
Total Short-Term Investments | 65,329 | |||||||
|
| |||||||
Total Investments — 100.8% |
| 5,323,029 | ||||||
Liabilities in Excess of |
| (44,147 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 5,278,882 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $36,535,000. | |
| (b) | Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500E-Mini Index | 184 | 03/2020 | USD | 29,734 | 736 | |||||||||||||
|
| |||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.6% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
Aerojet Rocketdyne Holdings, Inc. * | 25 | 1,141 | ||||||
Axon Enterprise, Inc. * | 20 | 1,429 | ||||||
Curtiss-Wright Corp. | 32 | 4,480 | ||||||
Moog, Inc., Class A (a) | 19 | 1,586 | ||||||
Teledyne Technologies, Inc. * | 12 | 4,124 | ||||||
Triumph Group, Inc. | 15 | 379 | ||||||
|
| |||||||
| 13,139 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
Echo Global Logistics, Inc. * | 9 | 193 | ||||||
Forward Air Corp. | 10 | 720 | ||||||
Hub Group, Inc., Class A * | 58 | 2,957 | ||||||
XPO Logistics, Inc. * (a) | 33 | 2,662 | ||||||
|
| |||||||
| 6,532 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
Allegiant Travel Co. | 4 | 714 | ||||||
Hawaiian Holdings, Inc. | 18 | 521 | ||||||
JetBlue Airways Corp. * | 170 | 3,188 | ||||||
SkyWest, Inc. | 28 | 1,797 | ||||||
|
| |||||||
| 6,220 | ||||||||
|
| |||||||
Auto Components — 0.9% |
| |||||||
Adient plc * (a) | 32 | 672 | ||||||
American Axle & Manufacturing Holdings, Inc. * | 46 | 495 | ||||||
Cooper Tire & Rubber Co. (a) | 17 | 494 | ||||||
Dana, Inc. | 134 | 2,446 | ||||||
Delphi Technologies plc * | 33 | 427 | ||||||
Garrett Motion, Inc. (Switzerland) * | 28 | 280 | ||||||
Gentex Corp. | 89 | 2,568 | ||||||
Goodyear Tire & Rubber Co. (The) | 85 | 1,322 | ||||||
|
| |||||||
| 8,704 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
Thor Industries, Inc. (a) | 30 | 2,232 | ||||||
Winnebago Industries, Inc. (a) | 10 | 519 | ||||||
|
| |||||||
| 2,751 | ||||||||
|
| |||||||
Banks — 7.8% |
| |||||||
Ameris Bancorp | 11 | 447 | ||||||
Associated Banc-Corp. | 118 | 2,596 | ||||||
BancorpSouth Bank | 35 | 1,088 | ||||||
Bank OZK (a) | 41 | 1,242 | ||||||
Banner Corp. | 47 | 2,661 | ||||||
Berkshire Hills Bancorp, Inc. | 48 | 1,591 | ||||||
Boston Private Financial Holdings, Inc. | 25 | 297 | ||||||
Brookline Bancorp, Inc. | 23 | 384 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
Cathay General Bancorp | 25 | 968 | ||||||
Columbia Banking System, Inc. (a) | 20 | 820 | ||||||
Commerce Bancshares, Inc. (a) | 37 | 2,481 | ||||||
Cullen/Frost Bankers, Inc. (a) | 20 | 1,995 | ||||||
Customers Bancorp, Inc. * | 102 | 2,424 | ||||||
Dime Community Bancshares, Inc. | 24 | 499 | ||||||
East West Bancorp, Inc. | 96 | 4,673 | ||||||
First BanCorp (Puerto Rico) | 242 | 2,560 | ||||||
First Commonwealth Financial Corp. | 35 | 511 | ||||||
First Financial Bancorp (a) | 16 | 395 | ||||||
First Horizon National Corp. (a) | 248 | 4,114 | ||||||
First Midwest Bancorp, Inc. | 119 | 2,740 | ||||||
FNB Corp. | 106 | 1,347 | ||||||
Fulton Financial Corp. (a) | 66 | 1,155 | ||||||
Hancock Whitney Corp. | 69 | 3,045 | ||||||
Hanmi Financial Corp. | 45 | 897 | ||||||
International Bancshares Corp. | 18 | 754 | ||||||
NBT Bancorp, Inc. (a) | 11 | 447 | ||||||
OFG Bancorp (Puerto Rico) | 17 | 401 | ||||||
Opus Bank | 6 | 166 | ||||||
Pacific Premier Bancorp, Inc. (a) | 74 | 2,400 | ||||||
PacWest Bancorp | 40 | 1,527 | ||||||
Pinnacle Financial Partners, Inc. | 24 | 1,539 | ||||||
Prosperity Bancshares, Inc. | 6 | 452 | ||||||
Signature Bank | 34 | 4,576 | ||||||
Sterling Bancorp | 72 | 1,507 | ||||||
Synovus Financial Corp. | 54 | 2,129 | ||||||
TCF Financial Corp. | 95 | 4,434 | ||||||
Texas Capital Bancshares, Inc. * | 17 | 948 | ||||||
Trustmark Corp. (a) | 21 | 715 | ||||||
UMB Financial Corp. (a) | 12 | 803 | ||||||
Umpqua Holdings Corp. | 75 | 1,324 | ||||||
United Community Banks, Inc. | 89 | 2,763 | ||||||
Valley National Bancorp (a) | 108 | 1,235 | ||||||
Veritex Holdings, Inc. | 6 | 181 | ||||||
Webster Financial Corp. | 31 | 1,633 | ||||||
Wintrust Financial Corp. | 44 | 3,121 | ||||||
|
| |||||||
| 73,985 | ||||||||
|
| |||||||
Beverages — 0.3% |
| |||||||
Boston Beer Co., Inc. (The), Class A * (a) | 3 | 1,209 | ||||||
Coca-Cola Consolidated, Inc.(a) | 7 | 1,988 | ||||||
|
| |||||||
| 3,197 | ||||||||
|
| |||||||
Biotechnology — 1.9% |
| |||||||
Acorda Therapeutics, Inc. * | 45 | 91 | ||||||
Arrowhead Pharmaceuticals, Inc. * (a) | 62 | 3,926 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Biotechnology — continued |
| |||||||
Eagle Pharmaceuticals, Inc. * | 43 | 2,589 | ||||||
Emergent BioSolutions, Inc. * | 6 | 308 | ||||||
Medicines Co. (The) * | 11 | 917 | ||||||
Momenta Pharmaceuticals, Inc. * | 153 | 3,027 | ||||||
Myriad Genetics, Inc. * | 22 | 594 | ||||||
REGENXBIO, Inc. * | 64 | 2,638 | ||||||
Spectrum Pharmaceuticals, Inc. * | 123 | 449 | ||||||
United Therapeutics Corp. * | 39 | 3,450 | ||||||
|
| |||||||
| 17,989 | ||||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
American Woodmark Corp. * | 5 | 544 | ||||||
Apogee Enterprises, Inc. | 9 | 299 | ||||||
Gibraltar Industries, Inc. * | 21 | 1,039 | ||||||
Insteel Industries, Inc. | 7 | 144 | ||||||
Lennox International, Inc. | 8 | 1,966 | ||||||
Owens Corning | 37 | 2,383 | ||||||
Patrick Industries, Inc. | 9 | 461 | ||||||
PGT Innovations, Inc. * | 15 | 216 | ||||||
Quanex Building Products Corp. | 33 | 562 | ||||||
Universal Forest Products, Inc. | 49 | 2,316 | ||||||
|
| |||||||
| 9,930 | ||||||||
|
| |||||||
Capital Markets — 2.1% |
| |||||||
Blucora, Inc. * | 40 | 1,053 | ||||||
Donnelley Financial Solutions, Inc. * | 8 | 88 | ||||||
Eaton Vance Corp. | 40 | 1,849 | ||||||
Evercore, Inc., Class A | 14 | 1,017 | ||||||
FactSet Research Systems, Inc. | 13 | 3,461 | ||||||
Federated Investors, Inc., Class B | 33 | 1,072 | ||||||
INTL. FCStone, Inc. * | 5 | 259 | ||||||
Janus Henderson Group plc (United Kingdom) | 53 | 1,295 | ||||||
Legg Mason, Inc. | 89 | 3,182 | ||||||
Piper Jaffray Cos. | 5 | 408 | ||||||
SEI Investments Co. | 44 | 2,904 | ||||||
Stifel Financial Corp. | 49 | 2,998 | ||||||
|
| |||||||
| 19,586 | ||||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
AdvanSix, Inc. * | 8 | 160 | ||||||
Ashland Global Holdings, Inc. | 21 | 1,621 | ||||||
Cabot Corp. | 29 | 1,385 | ||||||
FutureFuel Corp. | 109 | 1,352 | ||||||
Hawkins, Inc. | 3 | 147 | ||||||
HB Fuller Co. (a) | 17 | 897 | ||||||
Ingevity Corp. * | 14 | 1,197 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued |
| |||||||
Innophos Holdings, Inc. | 7 | 217 | ||||||
Innospec, Inc. | 14 | 1,396 | ||||||
Koppers Holdings, Inc. * | 40 | 1,510 | ||||||
Kraton Corp. * | 20 | 514 | ||||||
Minerals Technologies, Inc. | 12 | 700 | ||||||
NewMarket Corp. | 2 | 1,070 | ||||||
PolyOne Corp. | 27 | 1,001 | ||||||
RPM International, Inc. | 52 | 4,006 | ||||||
ScottsMiracle-Gro Co. (The) | 14 | 1,455 | ||||||
Stepan Co. | 22 | 2,261 | ||||||
Trinseo SA | 14 | 506 | ||||||
Valvoline, Inc. | 65 | 1,396 | ||||||
|
| |||||||
| 22,791 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.3% |
| |||||||
ABM Industries, Inc. | 23 | 852 | ||||||
Brady Corp., Class A | 18 | 1,013 | ||||||
Brink’s Co. (The) | 16 | 1,487 | ||||||
Clean Harbors, Inc. * | 18 | 1,509 | ||||||
Herman Miller, Inc. | 33 | 1,356 | ||||||
HNI Corp. | 18 | 673 | ||||||
Interface, Inc. | 21 | 347 | ||||||
MSA Safety, Inc. | 10 | 1,251 | ||||||
Pitney Bowes, Inc. | 58 | 234 | ||||||
RR Donnelley & Sons Co. | 62 | 244 | ||||||
Tetra Tech, Inc. | 19 | 1,635 | ||||||
UniFirst Corp. | 6 | 1,111 | ||||||
Viad Corp. | 17 | 1,124 | ||||||
|
| |||||||
| 12,836 | ||||||||
|
| |||||||
Communications Equipment — 0.9% |
| |||||||
ADTRAN, Inc. | 75 | 743 | ||||||
Ciena Corp. * | 33 | 1,404 | ||||||
Digi International, Inc. * | 44 | 785 | ||||||
Extreme Networks, Inc. * | 152 | 1,123 | ||||||
InterDigital, Inc. (a) | 11 | 578 | ||||||
Lumentum Holdings, Inc. * | 40 | 3,140 | ||||||
Viavi Solutions, Inc. * | 73 | 1,089 | ||||||
|
| |||||||
| 8,862 | ||||||||
|
| |||||||
Construction & Engineering — 1.6% |
| |||||||
AECOM * | 97 | 4,199 | ||||||
Aegion Corp. * | 9 | 193 | ||||||
Arcosa, Inc. | 17 | 771 | ||||||
Comfort Systems USA, Inc. | 32 | 1,607 | ||||||
EMCOR Group, Inc. | 48 | 4,105 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Construction & Engineering — continued |
| |||||||
MasTec, Inc. * | 57 | 3,683 | ||||||
Valmont Industries, Inc. | 7 | 1,048 | ||||||
|
| |||||||
| 15,606 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
Eagle Materials, Inc. | 15 | 1,314 | ||||||
US Concrete, Inc. * | 15 | 621 | ||||||
|
| |||||||
| 1,935 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
Enova International, Inc. * | 11 | 275 | ||||||
FirstCash, Inc. | 15 | 1,218 | ||||||
Navient Corp. | 79 | 1,086 | ||||||
SLM Corp. | 142 | 1,265 | ||||||
|
| |||||||
| 3,844 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
AptarGroup, Inc. | 6 | 670 | ||||||
Greif, Inc., Class A | 17 | 765 | ||||||
Silgan Holdings, Inc. | 72 | 2,238 | ||||||
Sonoco Products Co. (a) | 20 | 1,209 | ||||||
|
| |||||||
| 4,882 | ||||||||
|
| |||||||
Distributors — 0.2% |
| |||||||
Core-Mark Holding Co., Inc. | 14 | 380 | ||||||
Pool Corp. | 8 | 1,678 | ||||||
|
| |||||||
| 2,058 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
American Public Education, Inc. * | 27 | 728 | ||||||
Career Education Corp. * | 27 | 495 | ||||||
Graham Holdings Co., Class B | 2 | 1,086 | ||||||
Service Corp. International | 8 | 382 | ||||||
Strategic Education, Inc. | 7 | 1,160 | ||||||
WW International, Inc. * | 18 | 669 | ||||||
|
| |||||||
| 4,520 | ||||||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
Jefferies Financial Group, Inc. | 88 | 1,872 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
ATN International, Inc. | 3 | 189 | ||||||
Vonage Holdings Corp. * | 208 | 1,544 | ||||||
|
| |||||||
| 1,733 | ||||||||
|
| |||||||
Electric Utilities — 1.6% |
| |||||||
ALLETE, Inc. | 38 | 3,101 | ||||||
Hawaiian Electric Industries, Inc. | 62 | 2,901 | ||||||
IDACORP, Inc. | 40 | 4,279 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — continued |
| |||||||
OGE Energy Corp. | 80 | 3,550 | ||||||
PNM Resources, Inc. | 27 | 1,384 | ||||||
|
| |||||||
| 15,215 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
Acuity Brands, Inc. | 13 | 1,780 | ||||||
Encore Wire Corp. (a) | 43 | 2,491 | ||||||
EnerSys | 15 | 1,125 | ||||||
Hubbell, Inc. | 18 | 2,688 | ||||||
nVent Electric plc | 55 | 1,412 | ||||||
Regal Beloit Corp. | 43 | 3,702 | ||||||
|
| |||||||
| 13,198 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 5.2% |
| |||||||
Anixter International, Inc. * | 10 | 893 | ||||||
Arrow Electronics, Inc. * | 67 | 5,648 | ||||||
Avnet, Inc. | 65 | 2,752 | ||||||
Bel Fuse, Inc., Class B | 24 | 490 | ||||||
Belden, Inc. | 13 | 694 | ||||||
Benchmark Electronics, Inc. | 12 | 423 | ||||||
Cognex Corp. (a) | 33 | 1,821 | ||||||
Coherent, Inc. * | 7 | 1,230 | ||||||
ePlus, Inc. * | 14 | 1,172 | ||||||
Fabrinet (Thailand) * | 41 | 2,678 | ||||||
Insight Enterprises, Inc. * | 23 | 1,582 | ||||||
Itron, Inc. * | 22 | 1,864 | ||||||
Jabil, Inc. | 87 | 3,608 | ||||||
KEMET Corp. | 24 | 636 | ||||||
Littelfuse, Inc. (a) | 7 | 1,321 | ||||||
Methode Electronics, Inc. | 54 | 2,107 | ||||||
National Instruments Corp. | 39 | 1,651 | ||||||
OSI Systems, Inc. * | 6 | 574 | ||||||
Sanmina Corp. * (a) | 56 | 1,914 | ||||||
ScanSource, Inc. * | 30 | 1,097 | ||||||
SYNNEX Corp. | 29 | 3,774 | ||||||
Tech Data Corp. * | 13 | 1,838 | ||||||
Trimble, Inc. * | 66 | 2,733 | ||||||
TTM Technologies, Inc. * | 28 | 424 | ||||||
Vishay Intertechnology, Inc. (a) | 88 | 1,873 | ||||||
Zebra Technologies Corp., Class A * | 18 | 4,700 | ||||||
|
| |||||||
| 49,497 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.7% |
| |||||||
Apergy Corp. * | 27 | 899 | ||||||
Archrock, Inc. | 45 | 448 | ||||||
Era Group, Inc. * | 29 | 290 | ||||||
Exterran Corp. * | 10 | 75 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Energy Equipment & Services — continued |
| |||||||
Helix Energy Solutions Group, Inc. * | 28 | 270 | ||||||
Matrix Service Co. * | 20 | 462 | ||||||
Newpark Resources, Inc. * (a) | 30 | 186 | ||||||
Oceaneering International, Inc. * | 35 | 523 | ||||||
Oil States International, Inc. * | 21 | 342 | ||||||
Patterson-UTI Energy, Inc. | 73 | 763 | ||||||
ProPetro Holding Corp. * | 86 | 969 | ||||||
SEACOR Holdings, Inc. * | 5 | 233 | ||||||
TETRA Technologies, Inc. * | 44 | 85 | ||||||
Transocean Ltd. * (a) | 169 | 1,161 | ||||||
|
| |||||||
| 6,706 | ||||||||
|
| |||||||
Entertainment — 0.7% |
| |||||||
Cinemark Holdings, Inc. (a) | 36 | 1,205 | ||||||
Live Nation Entertainment, Inc. * | 58 | 4,179 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 13 | 869 | ||||||
|
| |||||||
| 6,253 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.5% |
| |||||||
Agree Realty Corp. | 18 | 1,235 | ||||||
Alexander & Baldwin, Inc. | 25 | 516 | ||||||
American Assets Trust, Inc. | 49 | 2,258 | ||||||
American Campus Communities, Inc. | 68 | 3,177 | ||||||
Armada Hoffler Properties, Inc. | 165 | 3,028 | ||||||
Brixmor Property Group, Inc. | 128 | 2,775 | ||||||
Camden Property Trust | 45 | 4,802 | ||||||
CareTrust REIT, Inc. | 49 | 1,019 | ||||||
Chatham Lodging Trust (a) | 14 | 249 | ||||||
CoreCivic, Inc. | 39 | 683 | ||||||
CoreSite Realty Corp. | 13 | 1,402 | ||||||
Corporate Office Properties Trust | 88 | 2,575 | ||||||
Cousins Properties, Inc. | 94 | 3,867 | ||||||
CyrusOne, Inc. (a) | 47 | 3,042 | ||||||
DiamondRock Hospitality Co. | 192 | 2,123 | ||||||
Douglas Emmett, Inc. | 106 | 4,645 | ||||||
Easterly Government Properties, Inc. | 23 | 551 | ||||||
EastGroup Properties, Inc. | 17 | 2,216 | ||||||
EPR Properties | 26 | 1,824 | ||||||
First Industrial Realty Trust, Inc. | 42 | 1,743 | ||||||
Four Corners Property Trust, Inc. | 58 | 1,629 | ||||||
GEO Group, Inc. (The) | 42 | 700 | ||||||
Getty Realty Corp. | 84 | 2,750 | ||||||
Healthcare Realty Trust, Inc. (a) | 60 | 2,006 | ||||||
Highwoods Properties, Inc. | 62 | 3,018 | ||||||
Independence Realty Trust, Inc. | 31 | 438 | ||||||
Innovative Industrial Properties, Inc. (a) | 4 | 288 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
JBG SMITH Properties | 18 | 730 | ||||||
Kilroy Realty Corp. | 30 | 2,488 | ||||||
Kite Realty Group Trust | 30 | 582 | ||||||
Liberty Property Trust | 70 | 4,209 | ||||||
Life Storage, Inc. | 17 | 1,787 | ||||||
Medical Properties Trust, Inc. | 124 | 2,622 | ||||||
National Retail Properties, Inc. | 36 | 1,909 | ||||||
National Storage Affiliates Trust | 35 | 1,173 | ||||||
Omega Healthcare Investors, Inc. | 69 | 2,901 | ||||||
Park Hotels & Resorts, Inc. | 84 | 2,184 | ||||||
Pebblebrook Hotel Trust (a) | 18 | 487 | ||||||
PotlatchDeltic Corp. | 21 | 911 | ||||||
PS Business Parks, Inc. | 7 | 1,138 | ||||||
Rayonier, Inc. | 29 | 950 | ||||||
Sabra Health Care REIT, Inc. | 68 | 1,442 | ||||||
Saul Centers, Inc. | 4 | 200 | ||||||
Senior Housing Properties Trust | 35 | 295 | ||||||
Service Properties Trust | 57 | 1,383 | ||||||
Spirit Realty Capital, Inc. (a) | 70 | 3,452 | ||||||
Summit Hotel Properties, Inc. | 35 | 429 | ||||||
Uniti Group, Inc. (a) | 17 | 143 | ||||||
Urban Edge Properties | 56 | 1,072 | ||||||
Urstadt Biddle Properties, Inc., Class A | 11 | 261 | ||||||
Weingarten Realty Investors | 59 | 1,855 | ||||||
Xenia Hotels & Resorts, Inc. (a) | 38 | 823 | ||||||
|
| |||||||
| 89,985 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
BJ’s Wholesale Club Holdings, Inc. * (a) | 44 | 1,010 | ||||||
Casey’s General Stores, Inc. | 12 | 1,885 | ||||||
SpartanNash Co. | 54 | 768 | ||||||
Sprouts Farmers Market, Inc. * | 43 | 840 | ||||||
United Natural Foods, Inc. * | 17 | 149 | ||||||
|
| |||||||
| 4,652 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
Darling Ingredients, Inc. * | 51 | 1,443 | ||||||
Flowers Foods, Inc. | 83 | 1,802 | ||||||
Fresh Del Monte Produce, Inc. | 12 | 402 | ||||||
Ingredion, Inc. | 24 | 2,200 | ||||||
John B Sanfilippo & Son, Inc. | 4 | 320 | ||||||
Pilgrim’s Pride Corp. * | 20 | 645 | ||||||
Post Holdings, Inc. * | 37 | 4,004 | ||||||
Sanderson Farms, Inc. | 11 | 1,889 | ||||||
Seneca Foods Corp., Class A * | 10 | 398 | ||||||
TreeHouse Foods, Inc. * | 19 | 931 | ||||||
|
| |||||||
| 14,034 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Gas Utilities — 1.1% |
| |||||||
National Fuel Gas Co. (a) | 34 | 1,593 | ||||||
New Jersey Resources Corp. | 30 | 1,338 | ||||||
Southwest Gas Holdings, Inc. | 27 | 2,056 | ||||||
UGI Corp. | 127 | 5,720 | ||||||
|
| |||||||
| 10,707 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
CONMED Corp. | 8 | 906 | ||||||
Cutera, Inc. * | 28 | 1,010 | ||||||
Globus Medical, Inc., Class A * | 25 | 1,478 | ||||||
Haemonetics Corp. * | 20 | 2,252 | ||||||
Hill-Rom Holdings, Inc. | 30 | 3,451 | ||||||
ICU Medical, Inc. * | 5 | 973 | ||||||
Integer Holdings Corp. * | 28 | 2,268 | ||||||
Integra LifeSciences Holdings Corp. * | 23 | 1,340 | ||||||
Lantheus Holdings, Inc. * | 51 | 1,040 | ||||||
LivaNova plc * (a) | 14 | 1,086 | ||||||
Masimo Corp. * | 25 | 3,999 | ||||||
NuVasive, Inc. * | 16 | 1,222 | ||||||
OraSure Technologies, Inc. * (a) | 18 | 144 | ||||||
Orthofix Medical, Inc. * | 16 | 739 | ||||||
STERIS plc | 28 | 4,329 | ||||||
Varex Imaging Corp. * | 12 | 370 | ||||||
West Pharmaceutical Services, Inc. | 30 | 4,570 | ||||||
|
| |||||||
| 31,177 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
Acadia Healthcare Co., Inc. * (a) | 15 | 502 | ||||||
Amedisys, Inc. * | 10 | 1,636 | ||||||
AMN Healthcare Services, Inc. * | 16 | 988 | ||||||
BioTelemetry, Inc. * (a) | 23 | 1,083 | ||||||
Chemed Corp. | 10 | 4,173 | ||||||
Cross Country Healthcare, Inc. * | 83 | 962 | ||||||
Diplomat Pharmacy, Inc. * | 162 | 648 | ||||||
Encompass Health Corp. | 22 | 1,496 | ||||||
Ensign Group, Inc. (The) | 54 | 2,427 | ||||||
HealthEquity, Inc. * | 15 | 1,074 | ||||||
LHC Group, Inc. * | 17 | 2,301 | ||||||
Magellan Health, Inc. * | 49 | 3,847 | ||||||
MEDNAX, Inc. * | 68 | 1,886 | ||||||
Molina Healthcare, Inc. * | 42 | 5,766 | ||||||
Owens & Minor, Inc. | 174 | 898 | ||||||
Patterson Cos., Inc. | 66 | 1,360 | ||||||
Pennant Group, Inc. (The) * (a) | 27 | 883 | ||||||
Select Medical Holdings Corp. * | 67 | 1,559 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — continued |
| |||||||
Tenet Healthcare Corp. * | 43 | 1,620 | ||||||
Tivity Health, Inc. * | 98 | 1,992 | ||||||
|
| |||||||
| 37,101 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
Allscripts Healthcare Solutions, Inc.* (a) | 63 | 621 | ||||||
HealthStream, Inc. * | 10 | 267 | ||||||
HMS Holdings Corp. * | 53 | 1,581 | ||||||
NextGen Healthcare, Inc. * | 17 | 265 | ||||||
Omnicell, Inc. * | 14 | 1,111 | ||||||
|
| |||||||
| 3,845 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.3% |
| |||||||
BJ’s Restaurants, Inc. (a) | 8 | 296 | ||||||
Bloomin’ Brands, Inc. | 32 | 713 | ||||||
Boyd Gaming Corp. (a) | 29 | 859 | ||||||
Brinker International, Inc. (a) | 12 | 520 | ||||||
Cheesecake Factory, Inc. (The) (a) | 16 | 622 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 5 | 819 | ||||||
Dine Brands Global, Inc. (a) | 6 | 484 | ||||||
Domino’s Pizza, Inc. (a) | 14 | 4,172 | ||||||
Dunkin’ Brands Group, Inc. | 27 | 2,062 | ||||||
Marriott Vacations Worldwide Corp. | 18 | 2,369 | ||||||
Penn National Gaming, Inc. * | 28 | 713 | ||||||
Red Robin Gourmet Burgers, Inc. * (a) | 4 | 145 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 7 | 161 | ||||||
Six Flags Entertainment Corp. | 27 | 1,209 | ||||||
Texas Roadhouse, Inc. | 22 | 1,225 | ||||||
Wendy’s Co. (The) (a) | 63 | 1,388 | ||||||
Wyndham Destinations, Inc. | 81 | 4,208 | ||||||
|
| |||||||
| 21,965 | ||||||||
|
| |||||||
Household Durables — 2.0% |
| |||||||
Helen of Troy Ltd. * | 12 | 2,083 | ||||||
Installed Building Products, Inc. * | 7 | 496 | ||||||
KB Home | 87 | 2,975 | ||||||
La-Z-Boy, Inc. (a) | 15 | 472 | ||||||
M/I Homes, Inc. * | 9 | 346 | ||||||
MDC Holdings, Inc. | 17 | 645 | ||||||
Meritage Homes Corp. * | 53 | 3,251 | ||||||
Tempur Sealy International, Inc. * | 16 | 1,375 | ||||||
Toll Brothers, Inc. | 101 | 4,006 | ||||||
TopBuild Corp. * | 12 | 1,268 | ||||||
TRI Pointe Group, Inc. * | 49 | 770 | ||||||
Tupperware Brands Corp. | 50 | 426 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Household Durables — continued |
| |||||||
Universal Electronics, Inc. * | 5 | 251 | ||||||
William Lyon Homes, Class A * | 9 | 182 | ||||||
|
| |||||||
| 18,546 | ||||||||
|
| |||||||
Household Products — 0.1% |
| |||||||
Central Garden & Pet Co. * | 3 | 90 | ||||||
Central Garden & Pet Co., Class A * | 15 | 441 | ||||||
|
| |||||||
| 531 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.3% |
| |||||||
Carlisle Cos., Inc. | 20 | 3,177 | ||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
Alleghany Corp. * | 6 | 4,848 | ||||||
American Equity Investment Life Holding Co. | 29 | 868 | ||||||
American Financial Group, Inc. | 45 | 4,975 | ||||||
Brighthouse Financial, Inc. * | 19 | 726 | ||||||
Brown & Brown, Inc. | 80 | 3,156 | ||||||
CNO Financial Group, Inc. | 30 | 546 | ||||||
First American Financial Corp. | 66 | 3,837 | ||||||
Hanover Insurance Group, Inc. (The) | 30 | 4,159 | ||||||
HCI Group, Inc. (a) | 2 | 100 | ||||||
Kemper Corp. | 21 | 1,596 | ||||||
Mercury General Corp. | 10 | 478 | ||||||
Old Republic International Corp. | 181 | 4,044 | ||||||
Primerica, Inc. | 14 | 1,867 | ||||||
Reinsurance Group of America, Inc. | 21 | 3,457 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 14 | 2,705 | ||||||
Selective Insurance Group, Inc. | 17 | 1,127 | ||||||
Stewart Information Services Corp. | 8 | 322 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 26 | 278 | ||||||
|
| |||||||
| 39,089 | ||||||||
|
| |||||||
Interactive Media & Services — 0.2% |
| |||||||
QuinStreet, Inc. * (a) | 44 | 668 | ||||||
Yelp, Inc. * | 25 | 874 | ||||||
|
| |||||||
| 1,542 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.1% |
| |||||||
Grubhub, Inc. * (a) | 7 | 336 | ||||||
PetMed Express, Inc. (a) | 8 | 188 | ||||||
Stamps.com, Inc. * | 5 | 401 | ||||||
|
| |||||||
| 925 | ||||||||
|
| |||||||
IT Services — 3.9% |
| |||||||
CACI International, Inc., Class A * | 18 | 4,528 | ||||||
Cardtronics plc, Class A * | 15 | 655 | ||||||
CoreLogic, Inc. * | 28 | 1,206 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
IT Services — continued |
| |||||||
EVERTEC, Inc. (Puerto Rico) | 73 | 2,475 | ||||||
ExlService Holdings, Inc. * | 11 | 796 | ||||||
KBR, Inc. | 151 | 4,603 | ||||||
ManTech International Corp., Class A | 10 | 831 | ||||||
MAXIMUS, Inc. | 21 | 1,577 | ||||||
NIC, Inc. | 23 | 505 | ||||||
Perficient, Inc. * | 51 | 2,368 | ||||||
Perspecta, Inc. | 191 | 5,045 | ||||||
Sabre Corp. | 170 | 3,819 | ||||||
Science Applications International Corp. | 16 | 1,435 | ||||||
Sykes Enterprises, Inc. * | 66 | 2,436 | ||||||
Unisys Corp. * | 102 | 1,205 | ||||||
Virtusa Corp. * | 9 | 399 | ||||||
WEX, Inc. * | 14 | 2,870 | ||||||
|
| |||||||
| 36,753 | ||||||||
|
| |||||||
Leisure Products — 0.5% |
| |||||||
Brunswick Corp. | 29 | 1,758 | ||||||
Callaway Golf Co. | 29 | 611 | ||||||
Mattel, Inc. * (a) | 8 | 104 | ||||||
Polaris, Inc. | 21 | 2,123 | ||||||
|
| |||||||
| 4,596 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
Bio-Rad Laboratories, Inc., Class A * | 7 | 2,590 | ||||||
Bio-Techne Corp. | 13 | 2,766 | ||||||
Charles River Laboratories International, Inc. * | 18 | 2,704 | ||||||
Medpace Holdings, Inc. * | 18 | 1,530 | ||||||
PRA Health Sciences, Inc. * | 20 | 2,167 | ||||||
Syneos Health, Inc. * | 37 | 2,195 | ||||||
|
| |||||||
| 13,952 | ||||||||
|
| |||||||
Machinery — 4.2% |
| |||||||
AGCO Corp. | 23 | 1,771 | ||||||
Albany International Corp., Class A | 9 | 706 | ||||||
Barnes Group, Inc. | 16 | 998 | ||||||
Chart Industries, Inc. * | 11 | 722 | ||||||
Colfax Corp. * (a) | 30 | 1,073 | ||||||
Crane Co. | 50 | 4,286 | ||||||
Federal Signal Corp. | 19 | 613 | ||||||
Greenbrier Cos., Inc. (The) | 46 | 1,498 | ||||||
Harsco Corp. * | 28 | 635 | ||||||
Hillenbrand, Inc. | 35 | 1,149 | ||||||
ITT, Inc. | 66 | 4,857 | ||||||
John Bean Technologies Corp. | 11 | 1,262 | ||||||
Lydall, Inc. * | 7 | 146 | ||||||
Mueller Industries, Inc. | 34 | 1,080 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Machinery — continued |
| |||||||
Oshkosh Corp. | 49 | 4,666 | ||||||
SPX Corp. * | 16 | 829 | ||||||
SPX FLOW, Inc. * | 14 | 694 | ||||||
Standex International Corp. | 4 | 333 | ||||||
Terex Corp. | 59 | 1,753 | ||||||
Timken Co. (The) | 68 | 3,827 | ||||||
Toro Co. (The) | 26 | 2,055 | ||||||
Wabash National Corp. (a) | 126 | 1,857 | ||||||
Watts Water Technologies, Inc., Class A | 9 | 898 | ||||||
Woodward, Inc. | 19 | 2,274 | ||||||
|
| |||||||
| 39,982 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
Matson, Inc. | 15 | 612 | ||||||
|
| |||||||
Media — 0.7% |
| |||||||
AMC Networks, Inc., Class A * | 27 | 1,067 | ||||||
EW Scripps Co. (The), Class A (a) | 19 | 305 | ||||||
Gannett Co., Inc. (a) | 85 | 545 | ||||||
Meredith Corp. (a) | 50 | 1,625 | ||||||
New York Times Co. (The), Class A (a) | 15 | 479 | ||||||
TEGNA, Inc. | 186 | 3,101 | ||||||
|
| |||||||
| 7,122 | ||||||||
|
| |||||||
Metals & Mining — 1.9% |
| |||||||
AK Steel Holding Corp. * (a) | 105 | 346 | ||||||
Allegheny Technologies, Inc. * (a) | 42 | 874 | ||||||
Carpenter Technology Corp. | 6 | 304 | ||||||
Commercial Metals Co. | 61 | 1,351 | ||||||
Kaiser Aluminum Corp. | 6 | 650 | ||||||
Materion Corp. | 7 | 386 | ||||||
Reliance Steel & Aluminum Co. | 46 | 5,519 | ||||||
Royal Gold, Inc. | 12 | 1,406 | ||||||
Steel Dynamics, Inc. | 104 | 3,552 | ||||||
SunCoke Energy, Inc. | 22 | 135 | ||||||
Warrior Met Coal, Inc. | 84 | 1,783 | ||||||
Worthington Industries, Inc. | 38 | 1,600 | ||||||
|
| |||||||
| 17,906 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
ARMOUR Residential REIT, Inc. | 21 | 375 | ||||||
Invesco Mortgage Capital, Inc. | 42 | 698 | ||||||
PennyMac Mortgage Investment Trust (a) | 26 | 588 | ||||||
|
| |||||||
| 1,661 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multiline Retail — 0.1% |
| |||||||
Big Lots, Inc. (a) | 18 | 523 | ||||||
Dillard’s, Inc., Class A (a) | 7 | 485 | ||||||
|
| |||||||
| 1,008 | ||||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
Avista Corp. | 7 | 337 | ||||||
Black Hills Corp. | 21 | 1,634 | ||||||
MDU Resources Group, Inc. | 144 | 4,275 | ||||||
NorthWestern Corp. | 14 | 1,014 | ||||||
|
| |||||||
| 7,260 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.1% | ||||||||
Callon Petroleum Co. * | 49 | 235 | ||||||
CNX Resources Corp. * (a) | 67 | 591 | ||||||
Denbury Resources, Inc. * (a) | 743 | 1,047 | ||||||
EQT Corp. | 215 | 2,341 | ||||||
Equitrans Midstream Corp. (a) | 69 | 923 | ||||||
Gulfport Energy Corp. * | 49 | 148 | ||||||
Matador Resources Co. * | 17 | 309 | ||||||
Murphy Oil Corp. | 62 | 1,670 | ||||||
Par Pacific Holdings, Inc. * (a) | 95 | 2,208 | ||||||
PBF Energy, Inc., Class A | 87 | 2,726 | ||||||
PDC Energy, Inc. * (a) | 21 | 539 | ||||||
QEP Resources, Inc. | 74 | 332 | ||||||
REX American Resources Corp. * | 2 | 180 | ||||||
Southwestern Energy Co. * (a) | 164 | 396 | ||||||
SRC Energy, Inc. * | 84 | 346 | ||||||
World Fuel Services Corp. | 75 | 3,251 | ||||||
WPX Energy, Inc. * | 170 | 2,339 | ||||||
|
| |||||||
| 19,581 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
Boise Cascade Co. | 49 | 1,779 | ||||||
Domtar Corp. | 56 | 2,129 | ||||||
Louisiana-Pacific Corp. | 44 | 1,300 | ||||||
Mercer International, Inc. (Germany) | 16 | 199 | ||||||
PH Glatfelter Co. | 15 | 278 | ||||||
Schweitzer-Mauduit International, Inc. | 57 | 2,386 | ||||||
|
| |||||||
| 8,071 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
Edgewell Personal Care Co. * | 19 | 585 | ||||||
Medifast, Inc. | 4 | 475 | ||||||
Nu Skin Enterprises, Inc., Class A | 19 | 795 | ||||||
USANA Health Sciences, Inc. * | 4 | 299 | ||||||
|
| |||||||
| 2,154 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Pharmaceuticals — 0.9% |
| |||||||
Catalent, Inc. * | 70 | 3,924 | ||||||
Endo International plc * (a) | 375 | 1,760 | ||||||
Lannett Co., Inc. * (a) | 277 | 2,441 | ||||||
Supernus Pharmaceuticals, Inc. * | 19 | 460 | ||||||
|
| |||||||
| 8,585 | ||||||||
|
| |||||||
Professional Services — 1.7% |
| |||||||
ASGN, Inc. * | 16 | 1,143 | ||||||
Forrester Research, Inc. * | 3 | 134 | ||||||
FTI Consulting, Inc. * | 15 | 1,612 | ||||||
Heidrick & Struggles International, Inc. | 41 | 1,336 | ||||||
Insperity, Inc. | 13 | 1,144 | ||||||
Kelly Services, Inc., Class A (a) | 83 | 1,874 | ||||||
Korn Ferry | 48 | 2,040 | ||||||
ManpowerGroup, Inc. | 44 | 4,261 | ||||||
Resources Connection, Inc. | 38 | 624 | ||||||
TrueBlue, Inc. * | 72 | 1,741 | ||||||
|
| |||||||
| 15,909 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
Jones Lang LaSalle, Inc. | 18 | 3,062 | ||||||
Realogy Holdings Corp. (a) | 45 | 439 | ||||||
|
| |||||||
| 3,501 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
ArcBest Corp. | 76 | 2,087 | ||||||
Avis Budget Group, Inc. * (a) | 23 | 754 | ||||||
Landstar System, Inc. | 26 | 2,957 | ||||||
|
| |||||||
| 5,798 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
Advanced Energy Industries, Inc. * (a) | 14 | 989 | ||||||
Axcelis Technologies, Inc. * | 95 | 2,287 | ||||||
Cabot Microelectronics Corp. | 7 | 1,046 | ||||||
Cirrus Logic, Inc. * | 20 | 1,643 | ||||||
Cohu, Inc. | 54 | 1,232 | ||||||
Cree, Inc. * | 22 | 1,011 | ||||||
Cypress Semiconductor Corp. (a) | 122 | 2,851 | ||||||
First Solar, Inc. * (a) | 40 | 2,238 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore) | 76 | 2,068 | ||||||
MKS Instruments, Inc. | 25 | 2,791 | ||||||
Onto Innovation, Inc. * | 58 | 2,130 | ||||||
Photronics, Inc. * | 19 | 304 | ||||||
Rambus, Inc. * | 110 | 1,521 | ||||||
Semtech Corp. * | 22 | 1,185 | ||||||
SMART Global Holdings, Inc. * | 43 | 1,643 | ||||||
Synaptics, Inc. * | 11 | 743 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Teradyne, Inc. | 68 | 4,664 | ||||||
Ultra Clean Holdings, Inc. * | 26 | 616 | ||||||
Universal Display Corp. | 11 | 2,226 | ||||||
Veeco Instruments, Inc. * | 2 | 33 | ||||||
|
| |||||||
| 33,221 | ||||||||
|
| |||||||
Software — 2.6% |
| |||||||
8x8, Inc. * (a) | 35 | 633 | ||||||
ACI Worldwide, Inc. * | 41 | 1,546 | ||||||
Bottomline Technologies DE, Inc. * | 12 | 616 | ||||||
CDK Global, Inc. | 62 | 3,401 | ||||||
CommVault Systems, Inc. * | 17 | 737 | ||||||
Fair Isaac Corp. * | 10 | 3,767 | ||||||
j2 Global, Inc. | 16 | 1,490 | ||||||
LogMeIn, Inc. | 15 | 1,295 | ||||||
Manhattan Associates, Inc. * | 32 | 2,520 | ||||||
Progress Software Corp. | 16 | 656 | ||||||
PTC, Inc. * (a) | 13 | 982 | ||||||
Qualys, Inc. * | 11 | 892 | ||||||
SPS Commerce, Inc. * | 13 | 698 | ||||||
TiVo Corp. | 63 | 535 | ||||||
Tyler Technologies, Inc. * | 16 | 4,860 | ||||||
|
| |||||||
| 24,628 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
Aaron’s, Inc. | 22 | 1,265 | ||||||
Abercrombie & Fitch Co., Class A | 23 | 398 | ||||||
American Eagle Outfitters, Inc. | 93 | 1,363 | ||||||
Asbury Automotive Group, Inc. * | 7 | 738 | ||||||
AutoNation, Inc. * | 21 | 1,026 | ||||||
Bed Bath & Beyond, Inc. (a) | 45 | 775 | ||||||
Boot Barn Holdings, Inc. * (a) | 10 | 423 | ||||||
Cato Corp. (The), Class A | 38 | 661 | ||||||
Children’s Place, Inc. (The) (a) | 6 | 371 | ||||||
Designer Brands, Inc., Class A | 28 | 433 | ||||||
Dick’s Sporting Goods, Inc. | 28 | 1,367 | ||||||
Express, Inc. * | 23 | 112 | ||||||
Five Below, Inc. * | 19 | 2,417 | ||||||
Foot Locker, Inc. (a) | 40 | 1,552 | ||||||
GameStop Corp., Class A (a) | 40 | 244 | ||||||
Genesco, Inc. * | 4 | 196 | ||||||
Group 1 Automotive, Inc. | 7 | 695 | ||||||
Haverty Furniture Cos., Inc. (a) | 5 | 110 | ||||||
Hibbett Sports, Inc. * | 56 | 1,570 | ||||||
Lithia Motors, Inc., Class A (a) | 18 | 2,675 | ||||||
MarineMax, Inc. * | 8 | 135 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Specialty Retail — continued |
| |||||||
Michaels Cos., Inc. (The) * | 34 | 276 | ||||||
Murphy USA, Inc. * | 10 | 1,217 | ||||||
Office Depot, Inc. | 480 | 1,315 | ||||||
Rent-A-Center, Inc. | 83 | 2,394 | ||||||
RH * (a) | 7 | 1,430 | ||||||
Sally Beauty Holdings, Inc. * (a) | 43 | 788 | ||||||
Signet Jewelers Ltd. | 21 | 454 | ||||||
Tailored Brands, Inc. (a) | 15 | 62 | ||||||
Urban Outfitters, Inc. * (a) | 49 | 1,366 | ||||||
Williams-Sonoma, Inc. (a) | 25 | 1,843 | ||||||
Zumiez, Inc. * | 28 | 960 | ||||||
|
| |||||||
| 30,631 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
Diebold Nixdorf, Inc. * | 29 | 304 | ||||||
NCR Corp. * | 46 | 1,628 | ||||||
|
| |||||||
| 1,932 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
Carter’s, Inc. | 16 | 1,695 | ||||||
Crocs, Inc. * | 25 | 1,043 | ||||||
Deckers Outdoor Corp. * | 20 | 3,428 | ||||||
Fossil Group, Inc. * (a) | 18 | 141 | ||||||
G-III Apparel Group Ltd. * | 14 | 476 | ||||||
Kontoor Brands, Inc. (a) | 14 | 605 | ||||||
Movado Group, Inc. | 5 | 117 | ||||||
Skechers U.S.A., Inc., Class A * | 44 | 1,919 | ||||||
Steven Madden Ltd. | 27 | 1,159 | ||||||
|
| |||||||
| 10,583 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.6% |
| |||||||
HomeStreet, Inc. * | 9 | 292 | ||||||
LendingTree, Inc. * | 2 | 698 | ||||||
Meta Financial Group, Inc. | 11 | 398 | ||||||
New York Community Bancorp, Inc. (a) | 87 | 1,045 | ||||||
NMI Holdings, Inc., Class A * (a) | 22 | 727 | ||||||
TrustCo Bank Corp. (a) | 138 | 1,200 | ||||||
Walker & Dunlop, Inc. | 24 | 1,552 | ||||||
|
| |||||||
| 5,912 | ||||||||
|
| |||||||
Tobacco — 0.1% |
| |||||||
Universal Corp. | 9 | 508 | ||||||
Vector Group Ltd. | 38 | 503 | ||||||
|
| |||||||
| 1,011 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
Applied Industrial Technologies, Inc. | 13 | 860 | ||||||
DXP Enterprises, Inc. * | 4 | 167 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Trading Companies & Distributors — continued |
| |||||||
GMS, Inc. * | 59 | 1,584 | ||||||
Kaman Corp. | 33 | 2,169 | ||||||
MSC Industrial Direct Co., Inc., Class A | 15 | 1,193 | ||||||
NOW, Inc. * | 108 | 1,208 | ||||||
Veritiv Corp. * (a) | 22 | 441 | ||||||
Watsco, Inc. (a) | 11 | 1,982 | ||||||
|
| |||||||
| 9,604 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American States Water Co. | 12 | 1,026 | ||||||
Aqua America, Inc. | 4 | 169 | ||||||
|
| |||||||
| 1,195 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
Spok Holdings, Inc. | 29 | 349 | ||||||
Telephone & Data Systems, Inc. | 69 | 1,747 | ||||||
|
| |||||||
| 2,096 | ||||||||
|
| |||||||
Total Common Stocks | 926,381 | |||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) |
| |||||||
Chemicals — 0.0%(b) |
| |||||||
Schulman, Inc., CVR * ‡ | 28 | — | (c) | |||||
|
| |||||||
| SHARES (000) | ||||||||
Short-Term Investments — 6.5% |
| |||||||
Investment Companies — 2.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e) | 21,158 | 21,165 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 4.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e) | 36,008 | 36,011 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e) | 4,123 | 4,123 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 40,134 | |||||||
|
| |||||||
Total Short-Term Investments | 61,299 | |||||||
|
| |||||||
Total Investments — 104.1% | 987,680 | |||||||
Liabilities in Excess of | (38,626 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 949,054 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Abbreviations
| CVR | Contingent Value Rights | |
| REIT | Real Estate Investment Trust | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $39,206,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Amount rounds to less than one thousand. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Russell 2000E-Mini Index | 60 | 03/2020 | USD | 5,010 | 49 | |||||||||||||||
S&P Midcap 400E-Mini Index | 72 | 03/2020 | USD | 14,863 | 142 | |||||||||||||||
|
| |||||||||||||||||||
| 191 | ||||||||||||||||||||
|
| |||||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 5,171,794 | $ | 926,381 | ||||
Investments in affiliates, at value | 113,861 | 21,165 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | 37,374 | 40,134 | ||||||
Cash | 3 | 29 | ||||||
Deposits at broker for futures contracts | 1,328 | 790 | ||||||
Receivables: | ||||||||
Investment securities sold | 21,071 | — | ||||||
Fund shares sold | 4,254 | 488 | ||||||
Dividends from non-affiliates | 5,335 | 1,111 | ||||||
Dividends from affiliates | 52 | 1 | ||||||
Securities lending income (See Note 2.C.) | 8 | 20 | ||||||
Variation margin on futures contracts | 86 | 16 | ||||||
Due from adviser | 12 | — | ||||||
|
|
|
| |||||
Total Assets | 5,355,178 | 990,135 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Collateral received on securities loaned (See Note 2.C.) | 37,374 | 40,134 | ||||||
Fund shares redeemed | 38,226 | 620 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | — | 144 | ||||||
Administration fees | 156 | 26 | ||||||
Distribution fees | 234 | 50 | ||||||
Service fees | 211 | 31 | ||||||
Custodian and accounting fees | 24 | 9 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | ||||||
Other | 70 | 67 | ||||||
|
|
|
| |||||
Total Liabilities | 76,296 | 41,081 | ||||||
|
|
|
| |||||
Net Assets | $ | 5,278,882 | $ | 949,054 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Equity Index Fund | JPMorgan | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 3,149,092 | $ | 697,782 | ||||
Total distributable earnings (loss) | 2,129,790 | 251,272 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 5,278,882 | $ | 949,054 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 774,366 | $ | 127,514 | ||||
Class C | 109,851 | 27,928 | ||||||
Class I | 845,764 | 246,282 | ||||||
Class R2 | — | 12,518 | ||||||
Class R6 | 3,548,901 | 534,812 | ||||||
|
|
|
| |||||
Total | $ | 5,278,882 | $ | 949,054 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 15,766 | 12,724 | ||||||
Class C | 2,260 | 3,475 | ||||||
Class I | 17,195 | 24,116 | ||||||
Class R2 | — | 1,272 | ||||||
Class R6 | 72,126 | 52,726 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 49.11 | $ | 10.02 | ||||
Class C — Offering price per share (b) | 48.60 | 8.04 | ||||||
Class I — Offering and redemption price per share | 49.19 | 10.21 | ||||||
Class R2 — Offering and redemption price per share | — | 9.84 | ||||||
Class R6 — Offering and redemption price per share | 49.20 | 10.14 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 51.83 | $ | 10.58 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 3,029,065 | $ | 675,831 | ||||
Cost of investments in affiliates | 69,731 | 21,164 | ||||||
Investment securities on loan, at value (See Note 2.C.) | 36,535 | 39,206 | ||||||
Cost of investment of cash collateral (See Note 2.C.) | 37,374 | 40,131 | ||||||
| (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, 2019 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
| JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income from non-affiliates | $ | 14 | $ | 7 | ||||
Interest income from affiliates | — | (a) | — | |||||
Dividend income from non-affiliates | 53,890 | 7,313 | ||||||
Dividend income from affiliates | 1,318 | 190 | ||||||
Income from securities lending (net) (See Note 2.C.) | 52 | 128 | ||||||
|
|
|
| |||||
Total investment income | 55,274 | 7,638 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 977 | 1,161 | ||||||
Administration fees | 1,832 | 348 | ||||||
Distribution fees: | ||||||||
Class A | 927 | 157 | ||||||
Class C | 381 | 107 | ||||||
Class R2 | — | 31 | ||||||
Service fees: | ||||||||
Class A | 927 | 157 | ||||||
Class C | 127 | 36 | ||||||
Class I | 984 | 309 | ||||||
Class R2 | — | 15 | ||||||
Custodian and accounting fees | 62 | 20 | ||||||
Interest expense to affiliates | — | (a) | — | (a) | ||||
Professional fees | 50 | 32 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 22 | 14 | ||||||
Printing and mailing costs | 44 | 36 | ||||||
Registration and filing fees | 50 | 49 | ||||||
Transfer agency fees (See Note 2.F.) | 147 | 40 | ||||||
Other | 30 | 10 | ||||||
|
|
|
| |||||
Total expenses | 6,560 | 2,522 | ||||||
|
|
|
| |||||
Less fees waived | (2,863 | ) | (863 | ) | ||||
Less expense reimbursements | (11 | ) | (1 | ) | ||||
|
|
|
| |||||
Net expenses | 3,686 | 1,658 | ||||||
|
|
|
| |||||
Net investment income (loss) | 51,588 | 5,980 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | (16,377 | ) | 14,940 | |||||
Investments in affiliates | (65 | ) | (2 | ) | ||||
Futures contracts | 3,661 | 568 | ||||||
|
|
|
| |||||
Net realized gain (loss) | (12,781 | ) | 15,506 | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | 451,316 | 47,673 | ||||||
Investments in affiliates | 16,987 | (5 | ) | |||||
Futures contracts | 275 | 36 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 468,578 | 47,704 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 455,797 | 63,210 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 507,385 | $ | 69,190 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 51,588 | $ | 79,171 | $ | 5,980 | $ | 11,988 | ||||||||
Net realized gain (loss) | (12,781 | ) | (697 | ) | 15,506 | 60,062 | ||||||||||
Change in net unrealized appreciation/depreciation | 468,578 | 296,868 | 47,704 | (113,928 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 507,385 | 375,342 | 69,190 | (41,878 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (8,873 | ) | (10,894 | ) | (7,463 | ) | (17,379 | ) | ||||||||
Class C | (941 | ) | (1,200 | ) | (1,930 | ) | (4,564 | ) | ||||||||
Class I | (10,628 | ) | (15,256 | ) | (14,281 | ) | (38,817 | ) | ||||||||
Class R2 | — | — | (683 | ) | (1,606 | ) | ||||||||||
Class R6 (a) | (46,298 | ) | (59,940 | ) | (32,417 | ) | (57,201 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (66,740 | ) | (87,290 | ) | (56,774 | ) | (119,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 327,831 | 856,598 | (12,433 | ) | 24,718 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 768,476 | 1,144,650 | (17 | ) | (136,727 | ) | ||||||||||
Beginning of period | 4,510,406 | 3,365,756 | 949,071 | 1,085,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,278,882 | $ | 4,510,406 | $ | 949,054 | $ | 949,071 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 253,465 | $ | 104,926 | $ | 7,483 | $ | 28,741 | ||||||||
Distributions reinvested | 8,744 | 10,738 | 7,071 | 15,789 | ||||||||||||
Cost of shares redeemed | (154,623 | ) | (150,518 | ) | (18,168 | ) | (62,068 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 107,586 | $ | (34,854 | ) | $ | (3,614 | ) | $ | (17,538 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 12,882 | $ | 39,258 | $ | 1,524 | $ | 9,837 | ||||||||
Distributions reinvested | 686 | 886 | 1,874 | 4,419 | ||||||||||||
Cost of shares redeemed | (9,494 | ) | (30,024 | ) | (5,462 | ) | (14,664 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 4,074 | $ | 10,120 | $ | (2,064 | ) | $ | (408 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 203,534 | $ | 373,010 | $ | 33,323 | $ | 135,987 | ||||||||
Distributions reinvested | 10,105 | 14,608 | 12,652 | 34,494 | ||||||||||||
Cost of shares redeemed | �� | (230,743 | ) | (340,701 | ) | (67,201 | ) | (683,948 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (17,104 | ) | $ | 46,917 | $ | (21,226 | ) | $ | (513,467 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,478 | $ | 5,659 | ||||||||
Distributions reinvested | — | — | 683 | 1,476 | ||||||||||||
Cost of shares redeemed | — | — | (2,616 | ) | (5,678 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (455 | ) | $ | 1,457 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6(a) | ||||||||||||||||
Proceeds from shares issued | $ | 568,263 | $ | 1,219,905 | $ | 11,845 | $ | 516,387 | ||||||||
Distributions reinvested | 45,689 | 59,271 | 32,417 | 57,201 | ||||||||||||
Cost of shares redeemed | (380,677 | ) | (444,761 | ) | (29,336 | ) | (18,914 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 233,275 | $ | 834,415 | $ | 14,926 | $ | 554,674 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 327,831 | $ | 856,598 | $ | (12,433 | ) | $ | 24,718 | |||||||
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| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,525 | 2,516 | 754 | 2,791 | ||||||||||||
Reinvested | 185 | 257 | 706 | 1,719 | ||||||||||||
Redeemed | (3,355 | ) | (3,539 | ) | (1,839 | ) | (5,982 | ) | ||||||||
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Change in Class A Shares | 2,355 | (766 | ) | (379 | ) | (1,472 | ) | |||||||||
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Class C | ||||||||||||||||
Issued | 282 | 964 | 190 | 1,183 | ||||||||||||
Reinvested | 14 | 22 | 234 | 591 | ||||||||||||
Redeemed | (209 | ) | (718 | ) | (684 | ) | (1,763 | ) | ||||||||
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Change in Class C Shares | 87 | 268 | (260 | ) | 11 | |||||||||||
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Class I | ||||||||||||||||
Issued | 4,367 | 8,890 | 3,299 | 13,208 | ||||||||||||
Reinvested | 213 | 349 | 1,238 | 3,691 | ||||||||||||
Redeemed | (4,994 | ) | (8,135 | ) | (6,697 | ) | (63,152 | ) | ||||||||
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Change in Class I Shares | (414 | ) | 1,104 | (2,160 | ) | (46,253 | ) | |||||||||
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Class R2 | ||||||||||||||||
Issued | — | — | 154 | 530 | ||||||||||||
Reinvested | — | — | 69 | 164 | ||||||||||||
Redeemed | — | — | (270 | ) | (548 | ) | ||||||||||
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Change in Class R2 Shares | — | — | (47 | ) | 146 | |||||||||||
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Class R6(a) | ||||||||||||||||
Issued | 12,333 | 27,981 | 1,240 | 47,015 | ||||||||||||
Reinvested | 964 | 1,409 | 3,191 | 6,146 | ||||||||||||
Redeemed | (8,301 | ) | (10,460 | ) | (2,933 | ) | (1,933 | ) | ||||||||
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Change in Class R6 Shares | 4,996 | 18,930 | 1,498 | 51,228 | ||||||||||||
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| |||||||||
| (a) | Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 31 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 44.90 | $ | 0.42 | $ | 4.35 | $ | 4.77 | $ | (0.47 | ) | $ | (0.09 | ) | $ | (0.56 | ) | |||||||||||
Year Ended June 30, 2019 | 41.64 | 0.72 | 3.33 | 4.05 | (0.65 | ) | (0.14 | ) | (0.79 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.41 | 0.61 | 4.54 | 5.15 | (0.54 | ) | (0.38 | ) | (0.92 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 44.45 | 0.28 | 4.30 | 4.58 | (0.34 | ) | (0.09 | ) | (0.43 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 41.27 | 0.46 | 3.30 | 3.76 | (0.44 | ) | (0.14 | ) | (0.58 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.08 | 0.37 | 4.50 | 4.87 | (0.30 | ) | (0.38 | ) | (0.68 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 44.97 | 0.48 | 4.36 | 4.84 | (0.53 | ) | (0.09 | ) | (0.62 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 41.68 | 0.83 | 3.34 | 4.17 | (0.74 | ) | (0.14 | ) | (0.88 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.44 | 0.72 | 4.54 | 5.26 | (0.64 | ) | (0.38 | ) | (1.02 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 44.98 | 0.52 | 4.36 | 4.88 | (0.57 | ) | (0.09 | ) | (0.66 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 41.68 | 0.90 | 3.33 | 4.23 | (0.79 | ) | (0.14 | ) | (0.93 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.44 | 0.76 | 4.57 | 5.33 | (0.71 | ) | (0.38 | ) | (1.09 | ) | ||||||||||||||||||
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, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, period (000’s) | Net expenses (e) | Net income | Expenses | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 49.11 | 10.67 | % | $ 774,366 | 0.45 | % | 1.81 | % | 0.66 | % | 5 | % | ||||||||||||||
| 44.90 | 9.87 | 602,186 | 0.45 | 1.68 | 0.66 | 6 | ||||||||||||||||||||
| 41.64 | 13.88 | 590,286 | 0.45 | 1.52 | 0.69 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 48.60 | 10.33 | 109,851 | 1.05 | 1.22 | 1.13 | 5 | ||||||||||||||||||||
| 44.45 | 9.23 | 96,605 | 1.05 | 1.10 | 1.13 | 6 | ||||||||||||||||||||
| 41.27 | 13.20 | 78,613 | 1.05 | 0.92 | 1.15 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 49.19 | 10.82 | 845,764 | 0.20 | 2.05 | 0.38 | 5 | ||||||||||||||||||||
| 44.97 | 10.16 | 791,881 | 0.20 | 1.94 | 0.38 | 6 | ||||||||||||||||||||
| 41.68 | 14.18 | 687,941 | 0.20 | 1.78 | 0.40 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 49.20 | 10.90 | 3,548,901 | 0.044 | 2.23 | 0.13 | 5 | ||||||||||||||||||||
| 44.98 | 10.33 | 3,019,734 | 0.043 | 2.11 | 0.13 | 6 | ||||||||||||||||||||
| 41.68 | 14.36 | 2,008,916 | 0.042 | 1.85 | 0.14 | 14 | ||||||||||||||||||||
| 37.44 | 13.49 | 338,764 | 0.045 | 1.93 | 0.15 | 21 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 33 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 9.88 | $ | 0.05 | $ | 0.71 | $ | 0.76 | $ | (0.11 | ) | $ | (0.51 | ) | $ | (0.62 | ) | |||||||||||
Year Ended June 30, 2019 | 11.75 | 0.10 | (0.65 | ) | (0.55 | ) | (0.09 | ) | (1.23 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.52 | 0.10 | 1.46 | 1.56 | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 8.02 | 0.02 | 0.58 | 0.60 | (0.07 | ) | (0.51 | ) | (0.58 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 9.83 | 0.04 | (0.56 | ) | (0.52 | ) | (0.06 | ) | (1.23 | ) | (1.29 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 9.85 | 0.03 | 1.24 | 1.27 | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 10.06 | 0.07 | 0.72 | 0.79 | (0.13 | ) | (0.51 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 11.92 | 0.13 | (0.67 | ) | (0.54 | ) | (0.09 | ) | (1.23 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.66 | 0.13 | 1.48 | 1.61 | (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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 9.69 | 0.03 | 0.69 | 0.72 | (0.06 | ) | (0.51 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 11.56 | 0.07 | (0.65 | ) | (0.58 | ) | (0.06 | ) | (1.23 | ) | (1.29 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.36 | 0.07 | 1.44 | 1.51 | (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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 10.00 | 0.07 | 0.72 | 0.79 | (0.14 | ) | (0.51 | ) | (0.65 | ) | ||||||||||||||||||
October 1, 2018 (f) through June 30, 2019 | 12.08 | 0.11 | (0.82 | ) | (0.71 | ) | (0.14 | ) | (1.23 | ) | (1.37 | ) | ||||||||||||||||
| (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.
| 34 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 10.02 | 7.65 | % | $ | 127,514 | 0.60 | % | 1.05 | % | 0.88 | % | 14 | % | |||||||||||||
| 9.88 | (3.69 | ) | 129,406 | 0.60 | 0.98 | 0.88 | 36 | |||||||||||||||||||
| 11.75 | 14.02 | 171,304 | 0.60 | 0.85 | 0.88 | 33 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 8.04 | 7.48 | 27,928 | 1.10 | 0.54 | 1.40 | 14 | ||||||||||||||||||||
| 8.02 | (4.21 | ) | 29,952 | 1.10 | 0.49 | 1.38 | 36 | |||||||||||||||||||
| 9.83 | 13.46 | 36,618 | 1.10 | 0.34 | 1.38 | 33 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 10.21 | 7.85 | 246,282 | 0.35 | 1.29 | 0.62 | 14 | ||||||||||||||||||||
| 10.06 | (3.56 | ) | 264,415 | 0.34 | 1.14 | 0.61 | 36 | |||||||||||||||||||
| 11.92 | 14.31 | 864,316 | 0.35 | 1.10 | 0.61 | 33 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 9.84 | 7.49 | 12,518 | 1.00 | 0.65 | 1.35 | 14 | ||||||||||||||||||||
| 9.69 | (4.11 | ) | 12,786 | 0.93 | 0.66 | 1.35 | 36 | |||||||||||||||||||
| 11.56 | 13.79 | 13,560 | 0.83 | 0.61 | 1.35 | 33 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 10.14 | 7.91 | 534,812 | 0.25 | 1.41 | 0.36 | 14 | ||||||||||||||||||||
| 10.00 | (4.81 | ) | 512,512 | 0.25 | 1.51 | 0.37 | 36 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
Table of Contents
AS OF DECEMBER 31, 2019 (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 anopen-end management investment company.
The following are 2 separate funds of the Trust (each a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Diversification Classification | |||
| JPMorgan Equity Index Fund | Class A, Class C, Class I and Class R6 | Diversified | ||
| JPMorgan Market Expansion Enhanced Index Fund | Class A, Class C, Class I, Class R2 and Class R6 | Diversified |
The investment objective of the JPMorgan Equity Index Fund (“Equity Index Fund”) is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index.
The investment objective of the JPMorgan Market Expansion Enhanced Index Fund (“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- andmid-capitalization equity markets.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
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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 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 5,323,029 | $ | — | $ | — | $ | 5,323,029 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 736 | $ | — | $ | — | $ | 736 | ||||||||
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Market Expansion Enhanced Index Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(b) | $ | 987,680 | $ | — | $ | — | (c) | $ | 987,680 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 191 | $ | — | $ | — | $ | 191 | ||||||||
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| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. |
| (b) | All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOI. Level 3 consists of rights. Please refer to the SOI for industry specifics of portfolio holdings. |
| (c) | Amount rounds to less than one thousand. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
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, while cash deposited, which is considered restricted, 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, 2019 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
The table below discloses the volume of the Funds’ futures contracts activity during the six months ended December 31, 2019 (amounts in thousands):
Equity Index Fund | Market Enhanced | |||||||
Futures Contracts — Equity: | ||||||||
Average Notional Balance Long | $ | 36,087 | $ | 16,559 | ||||
Ending Notional Balance Long | 29,734 | 19,873 | ||||||
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. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).
Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Equity Index Fund | $ | 36,535 | $ | (36,535 | ) | $ | — | |||||
Market Expansion Enhanced Index Fund | 39,206 | (39,206 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security. JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Equity Index Fund | $ | 5 | ||
Market Expansion Enhanced Index Fund | 5 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
| 38 | J.P. MORGAN EQUITY FUNDS | DECEMBER 31, 2019 | ||||
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D. 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 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 tables below. Amounts in the tables below are in thousands.
Equity Index Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Chase & Co. (a) | $ | 66,537 | $ | 7,150 | $ | 4,706 | $ | (65 | ) | $ | 16,990 | $ | 85,906 | 616 | $ | 1,026 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 30,018 | 155,000 | 159,000 | (1 | )* | (3 | ) | 26,014 | 26,011 | 340 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 8,648 | 123,137 | 120,425 | — | — | 11,360 | 11,360 | 93 | * | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (b) (c) | 24,731 | 696,809 | 693,585 | — | — | 27,955 | 27,955 | 292 | — | |||||||||||||||||||||||||||
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Total | $ | 129,934 | $ | 982,096 | $ | 977,716 | $ | (66 | ) | $ | 16,987 | $ | 151,235 | $ | 1,751 | $ | — | |||||||||||||||||||
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Market Expansion Enhanced Index Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | $ | 9,338 | $ | 143,154 | $ | 131,324 | $ | (2 | ) | $ | (1 | ) | $ | 21,165 | 21,158 | $ | 190 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 58,018 | 24,998 | 47,000 | (1 | )* | (4 | ) | 36,011 | 36,008 | 488 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 14,456 | 110,523 | 120,856 | — | — | 4,123 | 4,123 | 113 | * | — | ||||||||||||||||||||||||||
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Total | $ | 81,812 | $ | 278,675 | $ | 299,180 | $ | (3 | ) | $ | (5 | ) | $ | 61,299 | $ | 791 | $ | — | ||||||||||||||||||
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| (a) | Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (c) | The rate shown is the current yield as of December 31, 2019. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on theex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. 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, 2019 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):
| Class A | Class C | Class I | Class R2 | Class R6 | Total | |||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||
Transfer agency fees | $ | 123 | $ | 3 | $ | 11 | n/a | $ | 10 | $ | 147 | |||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||
Transfer agency fees | 14 | 5 | 4 | $ | 15 | 2 | 40 | |||||||||||||||||
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (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, 2019, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Equity Index Fund generally declares and pays distributions from net investment income quarterly. Market Expansion Enhanced Index Fund generally declares and pays distributions from net investment income annually. 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 manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, 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 asSub-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 Funds’ 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, pursuant to Rule12b-1 under the 1940 Act. The Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following amounts (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 18 | $ | — | (a) | |||
Market Expansion Enhanced Index Fund | 5 | — | (a) | |||||
| (a) | Amount rounds to less than one thousand. |
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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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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. Pursuant to such contracts, 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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates 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, expenses related to trustee elections 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 | % | n/a | (1) | 0.20 | % | n/a | 0.045 | % | |||||||||||
Market Expansion Enhanced Index Fund | 0.60 | 1.10 | % | 0.35 | 1.00 | % | 0.25 | |||||||||||||
| (1) | Effective November 1, 2019, the contractual expense limitation for Class C Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.20% for Class C Shares. |
The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.
For the six months ended December 31, 2019, 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 Index Fund | $ | 977 | $ | 990 | $ | 861 | $ | 2,828 | $ | 11 | ||||||||||
Market Expansion Enhanced Index Fund | 309 | 206 | 336 | 851 | 1 | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):
Equity Index Fund | $ | 35 | ||
Market Expansion Enhanced Index Fund | 12 |
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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-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.
| DECEMBER 31, 2019 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended December 31, 2019, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. | Sales (excluding U.S. | |||||||
Equity Index Fund | $ | 569,025 | $ | 252,600 | ||||
Market Expansion Enhanced Index Fund | 129,815 | 204,152 | ||||||
During the six months ended December 31, 2019, 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, 2019 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 3,136,170 | $ | 2,217,982 | $ | 30,387 | $ | 2,187,595 | ||||||||
Market Expansion Enhanced Index Fund | 737,126 | 288,892 | 38,147 | 250,745 | ||||||||||||
As of June 30, 2019, the Funds did not have any net capital loss carryforwards.
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2019, the Funds deferred to July 1, 2019 the following net capital losses of (amounts in thousands):
| Net Capital Losses | ||||||||
| Short-Term | Long-Term | |||||||
Equity Index Fund | $ | 1,986 | $ | — | ||||
Market Expansion Enhanced Index Fund | 9,985 | — | ||||||
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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.
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 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
The Trust, along with certain other trusts for the J.P. Morgan Funds (“Borrowers”), has 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the
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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 13, 2019, 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, 2019.
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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts, which owned more than 10% of the respective Fund’s outstanding shares as follows:
| Number of individual shareholder and/or Affiliated Omnibus Accounts | % of the Fund | |||||||
Market Expansion Enhanced Index Fund | 3 | 46.4 | % | |||||
As of December 31, 2019, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Blend 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 | |||||||
Equity Index Fund | — | 47.3 | % | |||||
Market Expansion Enhanced Index Fund | 51.7 | % | — | |||||
Significant shareholder transactions by these shareholders may impact each Fund’s performance.
Because the Funds may invest a portion of their assets in Real Estate Investment Trusts (“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. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.70 | $ | 2.38 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.29 | 0.45 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,103.30 | 5.55 | 1.05 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.86 | 5.33 | 1.05 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,108.20 | 1.06 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.13 | 1.02 | 0.20 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,109.00 | 0.21 | 0.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.94 | 0.20 | 0.04 | ||||||||||||
JPMorgan Market Expansion Enhanced Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.50 | $ | 3.13 | 0.60 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.12 | 3.05 | 0.60 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,074.80 | 5.74 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.61 | 5.58 | 1.10 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,078.50 | 1.83 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.38 | 1.78 | 0.35 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,074.90 | 5.22 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.11 | 5.08 | 1.00 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,079.10 | 1.31 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.88 | 1.27 | 0.25 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
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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 2019, at which the Trustees considered the continuation of the investment advisory agreement for each Fund 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 14, 2019.
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 as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive session with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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 theday-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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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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 information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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 Rule12b-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.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.
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 the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
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
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separate accounts and/or fundssub-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 asub-adviser and observed thatsub-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 thesub-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 applicableone-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. 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 third, first and first quintiles based upon the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for theone-, three-, five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for each of theone-, three- and
five-year periods ended December 31, 2018, and in the third, second and second quintiles based upon the Universe for theone-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, for theone-year period ended December 31, 2018. 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 under the circumstances.
The Trustees noted that the Market Expansion Enhanced Index Fund’s performance for Class A shares was in fifth, fifth and second quintiles based upon the Peer Group, and in the third, third and first quintiles based upon Universe, for theone-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fifth, fifth and second quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for theone-, three- and five-year periods ended December 31, 2018, 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 under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
deemed appropriate by the Trustees, additional 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. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Market Expansion Enhanced Index Fund’s net advisory fee for Class A shares was in the third and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fourth 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 first 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. The Trustees noted that the net advisory fee for Class R6 shares was in the fifth and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the fourth and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December 2019. | SAN-INDEX-1219 |
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Semi-Annual Report
J.P. Morgan Investor Funds
December 31, 2019 (Unaudited)
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 1 | ||||||
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J.P. Morgan Investor Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (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) | MSCI EAFE Index (net of foreign withholding taxes) | Fund Net Assets as of December 31, 2019 (in thousands) | ||||||||||||||||||
| JPMorgan Investor Balanced Fund, Class A | 0.53 | % | 5.29 | % | 1.85 | % | 10.37 | % | 7.01 | % | $ | 4,830,247 | ||||||||||||
| JPMorgan Investor Conservative Growth Fund, Class A | (0.73 | ) | 3.92 | 1.85 | 10.37 | 7.01 | 3,592,453 | |||||||||||||||||
| JPMorgan Investor Growth Fund, Class A | 2.93 | 7.78 | 1.85 | 10.37 | 7.01 | 2,964,942 | ||||||||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A | 1.70 | 6.50 | 1.85 | 10.37 | 7.01 | 3,108,823 | ||||||||||||||||||
Portfolio Composition by Asset Class**
Investor Balanced Fund | ||||
| Fixed Income | 47.5 | % | ||
| U.S. Equity | 33.7 | |||
| International Equity | 15.3 | |||
| Short-Term Investments | 2.0 | |||
| Alternative Assets | 1.5 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 67.1 | % | ||
| U.S. Equity | 19.8 | |||
| International Equity | 9.1 | |||
| Short-Term Investments | 2.1 | |||
| Alternative Assets | 1.9 | |||
Investor Growth Fund | ||||
| U.S. Equity | 60.1 | % | ||
| International Equity | 25.3 | |||
| Fixed Income | 11.6 | |||
| Short-Term Investments | 2.5 | |||
| Alternative Assets | 0.5 | |||
Investor Growth & Income Fund | ||||
| U.S. Equity | 46.3 | % | ||
| Fixed Income | 31.5 | |||
| International Equity | 19.0 | |||
| Short-Term Investments | 2.2 | |||
| Alternative Assets | 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. |
| ** | Percentages indicated are based on total investments as of December 31, 2019. The Funds’ portfolio composition is subject to change. |
| 2 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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J.P. Morgan Investor Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
INVESTMENT OBJECTIVES*
TheJPMorgan 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.
TheJPMorgan 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.
TheJPMorgan 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.
TheJPMorgan 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?
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Globally, U.S. equity generally outperformed other equity markets, as well as bond markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and, by the end of October, leading equity U.S. indexes had reached record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value stocks generally outperformed growth stocks. Equity prices in other developed markets also rose during the reporting period and largely performed in line with emerging markets equity.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period.
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, 2019, each of the Investor Funds’ Class A shares outperformed the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark, mainly due to the Investor Funds’ exposure to global equity, which largely outperformed U.S. fixed income markets.
Each of the Investor Funds’ Class A shares underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to the Investor Funds’ allocation to international equity, which underperformed U.S. equity.
The JPMorgan Investor Growth Fund’s Class A Shares outperformed the MSCI EAFE Index, largely due to strong returns from emerging markets and U.S. equity. The remaining three Investor Funds underperformed the MSCI EAFE Index, largely due to their exposure to fixed income markets.
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 maintained their relative overweight positions in international equities.
| * | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 3 | ||||||
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JPMorgan Investor Balanced Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||||
With Sales Charge** | 0.53 | % | 11.61 | % | 4.78 | % | 6.50 | % | ||||||||||
Without Sales Charge | 5.29 | 16.86 | 5.75 | 6.99 | ||||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||||
With CDSC*** | 4.10 | 15.30 | 5.17 | 6.42 | ||||||||||||||
Without CDSC | 5.10 | 16.30 | 5.17 | 6.42 | ||||||||||||||
CLASS I SHARES | December 10, 1996 | 5.44 | 17.16 | 6.02 | 7.25 | |||||||||||||
CLASS R6 SHARES | July 31, 2017 | 5.58 | 17.52 | 6.11 | 7.30 | |||||||||||||
| * | Not annualized. |
| ** | 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. |
TEN YEAR PERFORMANCE(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information pleasecall 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.
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 MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||||
With Sales Charge** | (0.73 | )% | 7.69 | % | 3.46 | % | 4.91 | % | ||||||||||
Without Sales Charge | 3.92 | 12.75 | 4.42 | 5.40 | ||||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||||
With CDSC*** | 2.58 | 11.12 | 3.82 | 4.83 | ||||||||||||||
Without CDSC | 3.58 | 12.12 | 3.82 | 4.83 | ||||||||||||||
CLASS I SHARES | December 10, 1996 | 4.02 | 13.04 | 4.67 | 5.67 | |||||||||||||
CLASS R6 SHARES | July 31, 2017 | 4.13 | 13.26 | 4.73 | 5.70 | |||||||||||||
| * | Not annualized. |
| ** | 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. |
TEN YEAR PERFORMANCE(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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.
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 MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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. 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, 2019 | J.P. MORGAN INVESTOR FUNDS | 5 | ||||||
Table of Contents
JPMorgan Investor Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||||
With Sales Charge** | 2.93 | % | 19.26 | % | 7.11 | % | 9.42 | % | ||||||||||
Without Sales Charge | 7.78 | 24.88 | 8.10 | 9.92 | ||||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||||
With CDSC*** | 6.52 | 23.14 | 7.50 | 9.32 | ||||||||||||||
Without CDSC | 7.52 | 24.14 | 7.50 | 9.32 | ||||||||||||||
CLASS I SHARES | December 10, 1996 | 7.96 | 25.21 | 8.39 | 10.21 | |||||||||||||
CLASS R6 SHARES | July 31, 2017 | 8.06 | 25.38 | 8.45 | 10.24 | |||||||||||||
| * | Not annualized. |
| ** | 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. |
TEN YEAR PERFORMANCE(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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. 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, 2019 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||||||
With Sales Charge** | 1.70 | % | 15.16 | % | 5.94 | % | 7.88 | % | ||||||||||
Without Sales Charge | 6.50 | 20.60 | 6.92 | 8.38 | ||||||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||||||
With CDSC*** | 5.24 | 19.00 | 6.32 | 7.80 | ||||||||||||||
Without CDSC | 6.24 | 20.00 | 6.32 | 7.80 | ||||||||||||||
CLASS I SHARES | December 10, 1996 | 6.63 | 20.86 | 7.18 | 8.65 | |||||||||||||
CLASS R6 SHARES | July 31, 2017 | 6.74 | 21.10 | 7.26 | 8.68 | |||||||||||||
| * | Not annualized. |
| ** | 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. |
TEN YEAR PERFORMANCE(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth & Income Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Growth Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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. 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, 2019 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
Table of Contents
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 98.0% |
| |||||||
Alternative Assets — 1.4% | ||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 5,153 | 71,680 | ||||||
|
| |||||||
Fixed Income — 47.6% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 86,993 | 1,030,002 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 57,337 | 484,499 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 5,706 | 46,792 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 10,318 | 93,891 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 19,803 | 143,970 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 9,770 | 94,090 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 6,907 | 71,353 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 20,330 | 205,334 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 7,503 | 86,208 | ||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 4,351 | 42,860 | ||||||
|
| |||||||
Total Fixed Income | 2,298,999 | |||||||
|
| |||||||
International Equity — 15.3% |
| |||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 3,323 | 108,549 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 4,274 | 76,626 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 3,217 | 82,160 | ||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 7,481 | 159,937 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 3,270 | 58,557 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 13,748 | 252,684 | ||||||
|
| |||||||
Total International Equity | 738,513 | |||||||
|
| |||||||
U.S. Equity — 33.7% |
| |||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 7,422 | 144,292 | ||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 3,009 | 165,137 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 6,166 | 259,150 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 8,285 | 126,592 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 16,412 | 166,413 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 1,108 | 43,648 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 2,192 | 56,219 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 26,610 | 430,555 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 3,400 | 93,366 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 3,835 | 142,966 | ||||||
|
| |||||||
Total U.S. Equity | 1,628,338 | |||||||
|
| |||||||
Total Investment Companies | 4,737,530 | |||||||
|
| |||||||
Short-Term Investments — 2.0% | ||||||||
Investment Companies — 2.0% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 94,417 | 94,417 | ||||||
|
| |||||||
Total Investments — 100.0% | 4,831,947 | |||||||
Liabilities in Excess of | (1,700 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 4,830,247 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| * | Non-income producing security. |
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 FormN-CSR and in portfolio holdings filed quarterly on FormN-PORT, 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 calling1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 98.0% |
| |||||||
Alternative Assets — 2.0% | ||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 5,001 | 69,569 | ||||||
|
| |||||||
Fixed Income — 67.1% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 93,501 | 1,107,057 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 54,640 | 461,704 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 4,275 | 35,058 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 8,778 | 79,876 | ||||||
JPMorgan Government Bond Fund Class R6 Shares (a) | 3,968 | 42,578 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 15,006 | 109,094 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 11,204 | 107,892 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 6,187 | 63,907 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 29,996 | 302,961 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 5,707 | 65,572 | ||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 3,491 | 34,388 | ||||||
|
| |||||||
Total Fixed Income | 2,410,087 | |||||||
|
| |||||||
International Equity — 9.1% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 1,741 | 56,877 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 2,395 | 42,946 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 997 | 25,463 | ||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 2,114 | 45,189 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 1,559 | 27,919 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 7,051 | 129,599 | ||||||
|
| |||||||
Total International Equity | 327,993 | |||||||
|
| |||||||
U.S. Equity — 19.8% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 4,092 | 79,548 | ||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 1,561 | 85,668 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 2,410 | 101,282 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 2,349 | 35,890 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 4,991 | 50,605 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 857 | 33,747 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 1,244 | 31,910 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 9,956 | 161,089 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 2,006 | 55,085 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 2,038 | 75,991 | ||||||
|
| |||||||
Total U.S. Equity |
| 710,815 | ||||||
|
| |||||||
Total Investment Companies | 3,518,464 | |||||||
|
| |||||||
Short-Term Investments — 2.1% | ||||||||
Investment Companies — 2.1% | ||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 76,260 | 76,260 | ||||||
|
| |||||||
Total Investments — 100.1% | 3,594,724 | |||||||
Liabilities in Excess of | (2,271 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 3,592,453 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
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 FormN-CSR and in portfolio holdings filed quarterly on FormN-PORT, 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 calling1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 9 | ||||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 97.5% | ||||||||
Alternative Assets — 0.5% | ||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 1,019 | 14,176 | ||||||
|
| |||||||
Fixed Income — 11.6% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 19,193 | 227,242 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 4,311 | 36,425 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 1,626 | 13,336 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 1,509 | 13,730 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 7,213 | 52,437 | ||||||
|
| |||||||
Total Fixed Income | 343,170 | |||||||
|
| |||||||
International Equity — 25.3% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 2,490 | 81,342 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 3,528 | 63,259 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 3,541 | 90,447 | ||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 4,482 | 95,822 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 6,497 | 116,360 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 11,370 | 208,974 | ||||||
JPMorgan International Unconstrained Equity Fund Class R6 Shares (a) | 4,146 | 94,570 | ||||||
|
| |||||||
Total International Equity | 750,774 | |||||||
|
| |||||||
U.S. Equity — 60.1% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 4,848 | 94,239 | ||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 2,787 | 152,952 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 8,036 | 337,756 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 18,577 | 283,859 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 15,338 | 155,529 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 1,150 | 45,303 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 2,289 | 58,724 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 25,554 | 413,460 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 5,390 | 148,009 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 2,522 | 94,009 | ||||||
|
| |||||||
Total U.S. Equity | 1,783,840 | |||||||
|
| |||||||
Total Investment Companies | 2,891,960 | |||||||
|
| |||||||
Short-Term Investments — 2.5% | ||||||||
Investment Companies — 2.5% | ||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 73,469 | 73,469 | ||||||
|
| |||||||
Total Investments — 100.0% | 2,965,429 | |||||||
Liabilities in Excess of | (487 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 2,964,942 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| * | Non-income producing security. |
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 FormN-CSR and in portfolio holdings filed quarterly on FormN-PORT, 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 calling1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 97.9% |
| |||||||
Alternative Assets — 1.0% | ||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 2,247 | 31,250 | ||||||
|
| |||||||
Fixed Income — 31.5% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 42,310 | 500,949 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 22,879 | 193,331 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 1,783 | 14,620 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 5,024 | 45,720 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 11,782 | 85,657 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 3,160 | 30,429 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 3,809 | 39,350 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 4,341 | 43,841 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 2,322 | 26,680 | ||||||
|
| |||||||
Total Fixed Income | 980,577 | |||||||
|
| |||||||
International Equity — 19.0% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 2,247 | 73,404 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 3,049 | 54,671 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 2,715 | 69,333 | ||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 5,630 | 120,368 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 3,455 | 61,883 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 8,942 | 164,348 | ||||||
JPMorgan International Unconstrained Equity Fund Class R6 Shares (a) | 1,990 | 45,400 | ||||||
|
| |||||||
Total International Equity | 589,407 | |||||||
|
| |||||||
U.S. Equity — 46.4% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 5,472 | 106,366 | ||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 1,798 | 98,714 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 7,018 | 294,978 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 10,893 | 166,449 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 11,652 | 118,149 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 1,030 | 40,558 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 2,228 | 57,159 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 19,979 | 323,260 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 4,758 | 130,644 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 2,804 | 104,550 | ||||||
|
| |||||||
Total U.S. Equity | 1,440,827 | |||||||
|
| |||||||
Total Investment Companies |
| 3,042,061 | ||||||
|
| |||||||
Short-Term Investments — 2.2% |
| |||||||
Investment Companies — 2.2% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 69,529 | 69,529 | ||||||
|
| |||||||
Total Investments — 100.1% |
| 3,111,590 | ||||||
Liabilities in Excess of |
| (2,767 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 3,108,823 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (b) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
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 FormN-CSR and in portfolio holdings filed quarterly on FormN-PORT, 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 calling1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Investor Conservative Growth Fund | JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in affiliates, at value | $ | 4,831,947 | $ | 3,594,724 | $ | 2,965,429 | $ | 3,111,590 | ||||||||
Cash | — | — | 81 | — | ||||||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 7,530 | 3,435 | 4,317 | 3,615 | ||||||||||||
Dividends from affiliates | 1,947 | 1,957 | 312 | 807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 4,841,424 | 3,600,116 | 2,970,139 | 3,116,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Due to custodian | 259 | 348 | — | 36 | ||||||||||||
Distributions | 207 | 78 | 278 | 207 | ||||||||||||
Investment securities purchased | 1,563 | 1,517 | 309 | 682 | ||||||||||||
Fund shares redeemed | 6,586 | 3,531 | 3,123 | 4,687 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 192 | 143 | 117 | 123 | ||||||||||||
Distribution fees | 1,250 | 1,186 | 612 | 699 | ||||||||||||
Service fees | 925 | 711 | 509 | 565 | ||||||||||||
Custodian and accounting fees | 4 | 5 | 4 | 4 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | — | (a) | — | (a) | ||||||||||
Other | 191 | 144 | 245 | 186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 11,177 | 7,663 | 5,197 | 7,189 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 4,830,247 | $ | 3,592,453 | $ | 2,964,942 | $ | 3,108,823 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan | JPMorgan Investor Conservative Growth Fund | JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 3,959,531 | $ | 3,138,911 | $ | 2,175,902 | $ | 2,404,114 | ||||||||
Total distributable earnings (loss) | 870,716 | 453,542 | 789,040 | 704,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 4,830,247 | $ | 3,592,453 | $ | 2,964,942 | $ | 3,108,823 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 3,711,641 | $ | 2,368,179 | $ | 2,361,824 | $ | 2,638,469 | ||||||||
Class C | 739,141 | 1,081,598 | 190,134 | 230,118 | ||||||||||||
Class I | 312,538 | 141,345 | 401,027 | 225,488 | ||||||||||||
Class R6 | 66,927 | 1,331 | 11,957 | 14,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,830,247 | $ | 3,592,453 | $ | 2,964,942 | $ | 3,108,823 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 248,914 | 188,145 | 117,360 | 156,319 | ||||||||||||
Class C | 50,468 | 86,374 | 10,271 | 14,103 | ||||||||||||
Class I | 20,914 | 11,158 | 19,440 | 13,612 | ||||||||||||
Class R6 | 4,481 | 105 | 580 | 890 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 14.91 | $ | 12.59 | $ | 20.12 | $ | 16.88 | ||||||||
Class C — Offering price per share (b) | 14.65 | 12.52 | 18.51 | 16.32 | ||||||||||||
Class I — Offering and redemption price per share | 14.94 | 12.67 | 20.63 | 16.56 | ||||||||||||
Class R6 — Offering and redemption price per share | 14.94 | 12.66 | 20.62 | 16.56 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 15.61 | $ | 13.18 | $ | 21.07 | $ | 17.68 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | $ | 4,085,937 | $ | 3,213,936 | $ | 2,300,732 | $ | 2,498,986 | ||||||||
| (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, 2019 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
JPMorgan | JPMorgan Investor Conservative Growth Fund | JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from affiliates | $ | — | $ | — | (a) | $ | — | (a) | $ | — | (a) | |||||
Dividend income from affiliates | 70,926 | 53,633 | 36,417 | 41,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 70,926 | 53,633 | 36,417 | 41,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,195 | 879 | 706 | 745 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 4,465 | 2,846 | 2,757 | 3,137 | ||||||||||||
Class C | 2,794 | 4,117 | 706 | 867 | ||||||||||||
Service fees: | ||||||||||||||||
Class A | 4,465 | 2,846 | 2,757 | 3,137 | ||||||||||||
Class C | 931 | 1,372 | 235 | 289 | ||||||||||||
Class I | 482 | 176 | 522 | 282 | ||||||||||||
Custodian and accounting fees | 10 | 11 | 11 | 11 | ||||||||||||
Interest expense to affiliates | 19 | — | 5 | — | ||||||||||||
Professional fees | 39 | 33 | 29 | 31 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 21 | 19 | 18 | 18 | ||||||||||||
Printing and mailing costs | 166 | 120 | 126 | 121 | ||||||||||||
Registration and filing fees | 93 | 76 | 82 | 64 | ||||||||||||
Transfer agency fees (See Note 2.D.) | 197 | 124 | 264 | 202 | ||||||||||||
Other | 29 | 22 | 19 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 14,906 | 12,641 | 8,237 | 8,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (919 | ) | (575 | ) | (803 | ) | (739 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 13,987 | 12,066 | 7,434 | 8,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 56,939 | 41,567 | 28,983 | 32,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | 148,532 | 78,992 | 125,852 | 134,128 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 119,158 | 52,549 | 112,377 | 97,301 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (79,342 | ) | (42,507 | ) | (52,591 | ) | (75,233 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 188,348 | 89,034 | 185,638 | 156,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 245,287 | $ | 130,601 | $ | 214,621 | $ | 189,019 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Investor Balanced Fund | JPMorgan Investor Conservative Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 56,939 | $ | 89,737 | $ | 41,567 | $ | 69,987 | ||||||||
Net realized gain (loss) on investments in affiliates | 148,532 | 37,713 | 78,992 | 10,717 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 119,158 | 173,212 | 52,549 | 72,093 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (79,342 | ) | (54,707 | ) | (42,507 | ) | 28,942 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 245,287 | 245,955 | 130,601 | 181,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (208,107 | ) | (232,243 | ) | (87,188 | ) | (119,285 | ) | ||||||||
Class C | (40,427 | ) | (50,570 | ) | (37,601 | ) | (58,906 | ) | ||||||||
Class I | (18,037 | ) | (34,408 | ) | (5,387 | ) | (8,011 | ) | ||||||||
Class R6 | (4,069 | ) | (6,281 | ) | (50 | ) | (56 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (270,640 | ) | (323,502 | ) | (130,226 | ) | (186,258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 74,359 | 74,192 | 167,742 | (70,867 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 49,006 | (3,355 | ) | 168,117 | (75,386 | ) | ||||||||||
Beginning of period | 4,781,241 | 4,784,596 | 3,424,336 | 3,499,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,830,247 | $ | 4,781,241 | $ | 3,592,453 | $ | 3,424,336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 28,983 | $ | 35,452 | $ | 32,823 | $ | 46,287 | ||||||||
Net realized gain (loss) on investments in affiliates | 125,852 | 14,651 | 134,128 | 18,602 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 112,377 | 164,537 | 97,301 | 139,926 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | (52,591 | ) | (85,789 | ) | (75,233 | ) | (58,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 214,621 | 128,851 | 189,019 | 146,420 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (174,017 | ) | (144,207 | ) | (169,732 | ) | (172,898 | ) | ||||||||
Class C | (14,895 | ) | (14,542 | ) | (14,778 | ) | (17,650 | ) | ||||||||
Class I | (29,461 | ) | (31,959 | ) | (15,244 | ) | (18,084 | ) | ||||||||
Class R6 | (896 | ) | (635 | ) | (999 | ) | (131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (219,269 | ) | (191,343 | ) | (200,753 | ) | (208,763 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 183,516 | 146,730 | 214,773 | 78,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 178,868 | 84,238 | 203,039 | 16,071 | ||||||||||||
Beginning of period | 2,786,074 | 2,701,836 | 2,905,784 | 2,889,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,964,942 | $ | 2,786,074 | $ | 3,108,823 | $ | 2,905,784 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Investor Balanced Fund | JPMorgan Investor Conservative Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 410,963 | $ | 419,952 | $ | 351,984 | $ | 294,066 | ||||||||
Distributions reinvested | 207,304 | 231,262 | 86,879 | 118,802 | ||||||||||||
Cost of shares redeemed | (343,591 | ) | (575,307 | ) | (241,218 | ) | (414,742 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 274,676 | $ | 75,907 | $ | 197,645 | $ | (1,874 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 44,793 | $ | 129,028 | $ | 78,674 | $ | 143,401 | ||||||||
Distributions reinvested | 40,179 | 50,322 | 37,451 | 58,642 | ||||||||||||
Cost of shares redeemed | (99,736 | ) | (197,314 | ) | (148,955 | ) | (273,784 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (14,764 | ) | $ | (17,964 | ) | $ | (32,830 | ) | $ | (71,741 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 29,989 | $ | 106,093 | $ | 12,525 | $ | 31,399 | ||||||||
Distributions reinvested | 17,742 | 34,018 | 5,255 | 7,805 | ||||||||||||
Cost of shares redeemed | (213,881 | ) | (126,231 | ) | (15,189 | ) | (37,283 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (166,150 | ) | $ | 13,880 | $ | 2,591 | $ | 1,921 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 348 | $ | 434 | $ | 297 | $ | 825 | ||||||||
Distributions reinvested | 4,068 | 6,281 | 50 | 56 | ||||||||||||
Cost of shares redeemed | (23,819 | ) | (4,346 | ) | (11 | ) | (54 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | (19,403 | ) | $ | 2,369 | $ | 336 | $ | 827 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 74,359 | $ | 74,192 | $ | 167,742 | $ | (70,867 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 27,155 | 28,470 | 27,731 | 23,834 | ||||||||||||
Reinvested | 13,858 | 16,469 | 6,880 | 9,899 | ||||||||||||
Redeemed | (22,713 | ) | (38,906 | ) | (19,005 | ) | (33,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 18,300 | 6,033 | 15,606 | 176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 3,012 | 8,765 | 6,231 | 11,611 | ||||||||||||
Reinvested | 2,737 | 3,662 | 2,984 | 4,929 | ||||||||||||
Redeemed | (6,716 | ) | (13,554 | ) | (11,804 | ) | (22,262 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (967 | ) | (1,127 | ) | (2,589 | ) | (5,722 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 1,982 | 7,190 | 981 | 2,514 | ||||||||||||
Reinvested | 1,183 | 2,415 | 413 | 645 | ||||||||||||
Redeemed | (14,085 | ) | (8,512 | ) | (1,189 | ) | (2,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (10,920 | ) | 1,093 | 205 | 160 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 23 | 29 | 24 | 63 | ||||||||||||
Reinvested | 271 | 446 | 4 | 5 | ||||||||||||
Redeemed | (1,574 | ) | (303 | ) | (1 | ) | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (1,280 | ) | 172 | 27 | 64 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 17 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 253,276 | $ | 295,028 | $ | 279,861 | $ | 294,835 | ||||||||
Distributions reinvested | 172,675 | 143,072 | 168,717 | 171,732 | ||||||||||||
Cost of shares redeemed | (189,632 | ) | (311,300 | ) | (230,825 | ) | (373,201 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 236,319 | $ | 126,800 | $ | 217,753 | $ | 93,366 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 11,307 | $ | 34,224 | $ | 12,381 | $ | 35,286 | ||||||||
Distributions reinvested | 14,722 | 14,397 | 14,649 | 17,483 | ||||||||||||
Cost of shares redeemed | (26,420 | ) | (55,653 | ) | (33,163 | ) | (68,604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (391 | ) | $ | (7,032 | ) | $ | (6,133 | ) | $ | (15,835 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 33,334 | $ | 82,376 | $ | 14,381 | $ | 35,550 | ||||||||
Distributions reinvested | 28,659 | 31,144 | 14,774 | 17,565 | ||||||||||||
Cost of shares redeemed | (116,064 | ) | (88,944 | ) | (26,867 | ) | (64,882 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (54,071 | ) | $ | 24,576 | $ | 2,288 | $ | (11,767 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 1,861 | $ | 3,044 | $ | 93 | $ | 12,753 | ||||||||
Distributions reinvested | 895 | 634 | 999 | 131 | ||||||||||||
Cost of shares redeemed | (1,097 | ) | (1,292 | ) | (227 | ) | (234 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 1,659 | $ | 2,386 | $ | 865 | $ | 12,650 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 183,516 | $ | 146,730 | $ | 214,773 | $ | 78,414 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 12,455 | 15,030 | 16,349 | 17,769 | ||||||||||||
Reinvested | 8,582 | 7,926 | 9,983 | 11,040 | ||||||||||||
Redeemed | (9,347 | ) | (15,769 | ) | (13,506 | ) | (22,350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 11,690 | 7,187 | 12,826 | 6,459 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 601 | 1,838 | 746 | 2,154 | ||||||||||||
Reinvested | 796 | 861 | 898 | 1,166 | ||||||||||||
Redeemed | (1,407 | ) | (3,007 | ) | (2,005 | ) | (4,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (10 | ) | (308 | ) | (361 | ) | (910 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 1,604 | 4,074 | 856 | 2,158 | ||||||||||||
Reinvested | 1,389 | 1,682 | 891 | 1,147 | ||||||||||||
Redeemed | (5,575 | ) | (4,427 | ) | (1,598 | ) | (4,001 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (2,582 | ) | 1,329 | 149 | (696 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 89 | 152 | 6 | 808 | ||||||||||||
Reinvested | 44 | 34 | 60 | 8 | ||||||||||||
Redeemed | (53 | ) | (66 | ) | (14 | ) | (14 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 80 | 120 | 52 | 802 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 19 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Balanced Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 15.00 | $ | 0.19 | (g) | $ | 0.59 | $ | 0.78 | $ | (0.18 | ) | $ | (0.69 | ) | $ | (0.87 | ) | ||||||||||
Year Ended June 30, 2019 | 15.30 | 0.29 | (g) | 0.46 | 0.75 | (0.37 | ) | (0.68 | ) | (1.05 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.24 | (g) | 0.72 | 0.96 | (0.29 | ) | (0.74 | ) | (1.03 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.74 | 0.14 | (g) | 0.60 | 0.74 | (0.14 | ) | (0.69 | ) | (0.83 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 15.06 | 0.21 | (g) | 0.44 | 0.65 | (0.29 | ) | (0.68 | ) | (0.97 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.14 | 0.14 | (g) | 0.73 | 0.87 | (0.21 | ) | (0.74 | ) | (0.95 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.02 | 0.18 | (g) | 0.63 | 0.81 | (0.20 | ) | (0.69 | ) | (0.89 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 15.33 | 0.33 | (g) | 0.45 | 0.78 | (0.41 | ) | (0.68 | ) | (1.09 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.39 | 0.28 | (g) | 0.73 | 1.01 | (0.33 | ) | (0.74 | ) | (1.07 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 15.02 | 0.21 | (g) | 0.62 | 0.83 | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 15.32 | 0.36 | (g) | 0.45 | 0.81 | (0.43 | ) | (0.68 | ) | (1.11 | ) | |||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 15.63 | 0.29 | (g) | 0.50 | 0.79 | (0.36 | ) | (0.74 | ) | (1.10 | ) | |||||||||||||||||
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (e) | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 14.91 | 5.29 | % | $ | 3,711,641 | 0.53 | % | 2.49 | % | 0.58 | % | 13 | % | |||||||||||||
| 15.00 | 5.52 | 3,458,135 | 0.52 | 1.98 | 0.60 | 12 | ||||||||||||||||||||
| 15.30 | 6.30 | 3,436,111 | 0.52 | 1.54 | 0.63 | 9 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.65 | 5.10 | 739,141 | 1.07 | 1.88 | 1.07 | 13 | ||||||||||||||||||||
| 14.74 | 4.89 | 758,346 | 1.08 | 1.42 | 1.10 | 12 | ||||||||||||||||||||
| 15.06 | 5.71 | 791,718 | 1.09 | 0.89 | 1.13 | 9 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.94 | 5.44 | 312,538 | 0.28 | 2.38 | 0.32 | 13 | ||||||||||||||||||||
| 15.02 | 5.71 | 478,250 | 0.27 | 2.24 | 0.35 | 12 | ||||||||||||||||||||
| 15.33 | 6.62 | 471,153 | 0.27 | 1.76 | 0.37 | 9 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.94 | 5.58 | 66,927 | 0.06 | 2.76 | 0.07 | 13 | ||||||||||||||||||||
| 15.02 | 5.96 | 86,510 | 0.09 | 2.40 | 0.10 | 12 | ||||||||||||||||||||
| 15.32 | 5.07 | 85,614 | 0.12 | 2.03 | 0.12 | 9 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 21 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 12.58 | $ | 0.16 | (g) | $ | 0.33 | $ | 0.49 | $ | (0.16 | ) | $ | (0.32 | ) | $ | (0.48 | ) | ||||||||||
Year Ended June 30, 2019 | 12.61 | 0.28 | (g) | 0.41 | 0.69 | (0.32 | ) | (0.40 | ) | (0.72 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 12.80 | 0.24 | (g) | 0.24 | 0.48 | (0.26 | ) | (0.41 | ) | (0.67 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 12.52 | 0.12 | (g) | 0.32 | 0.44 | (0.12 | ) | (0.32 | ) | (0.44 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 12.55 | 0.21 | (g) | 0.41 | 0.62 | (0.25 | ) | (0.40 | ) | (0.65 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 12.75 | 0.16 | (g) | 0.24 | 0.40 | (0.19 | ) | (0.41 | ) | (0.60 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 12.66 | 0.18 | (g) | 0.32 | 0.50 | (0.17 | ) | (0.32 | ) | (0.49 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 12.69 | 0.31 | (g) | 0.41 | 0.72 | (0.35 | ) | (0.40 | ) | (0.75 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 12.87 | 0.27 | (g) | 0.25 | 0.52 | (0.29 | ) | (0.41 | ) | (0.70 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 12.65 | 0.20 | (g) | 0.32 | 0.52 | (0.19 | ) | (0.32 | ) | (0.51 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 12.68 | 0.35 | (g) | 0.38 | 0.73 | (0.36 | ) | (0.40 | ) | (0.76 | ) | |||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 13.00 | 0.24 | (g) | 0.14 | 0.38 | (0.29 | ) | (0.41 | ) | (0.70 | ) | |||||||||||||||||
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income | Expenses without waivers, | Portfolio rate (c) | ||||||||||||||||||||
| $ | 12.59 | 3.92 | % | $ | 2,368,179 | 0.53 | % | 2.55 | % | 0.58 | % | 8 | % | |||||||||||||
| 12.58 | 5.80 | 2,170,888 | 0.52 | 2.25 | 0.60 | 10 | ||||||||||||||||||||
| 12.61 | 3.76 | 2,173,957 | 0.52 | 1.85 | 0.64 | 6 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 12.52 | 3.58 | 1,081,598 | 1.07 | 1.95 | 1.07 | 8 | ||||||||||||||||||||
| 12.52 | 5.24 | 1,113,797 | 1.08 | 1.69 | 1.10 | 10 | ||||||||||||||||||||
| 12.55 | 3.09 | 1,188,675 | 1.10 | 1.21 | 1.13 | 6 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 12.67 | 4.02 | 141,345 | 0.28 | 2.77 | 0.33 | 8 | ||||||||||||||||||||
| 12.66 | 6.03 | 138,655 | 0.27 | 2.51 | 0.36 | 10 | ||||||||||||||||||||
| 12.69 | 4.08 | 136,915 | 0.27 | 2.09 | 0.39 | 6 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 12.66 | 4.13 | 1,331 | 0.08 | 3.12 | 0.08 | 8 | ||||||||||||||||||||
| 12.65 | 6.19 | 996 | 0.12 | 2.78 | 0.12 | 10 | ||||||||||||||||||||
| 12.68 | 2.95 | 175 | 0.14 | 2.09 | 0.15 | 6 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 23 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 20.15 | $ | 0.21 | $ | 1.35 | $ | 1.56 | $ | (0.20 | ) | $ | (1.39 | ) | $ | (1.59 | ) | |||||||||||
Year Ended June 30, 2019 | 20.80 | 0.27 | 0.55 | 0.82 | (0.46 | ) | (1.01 | ) | (1.47 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 20.38 | 0.19 | 2.04 | 2.23 | (0.37 | ) | (1.44 | ) | (1.81 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.67 | 0.14 | 1.25 | 1.39 | (0.16 | ) | (1.39 | ) | (1.55 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 19.43 | 0.14 | 0.51 | 0.65 | (0.40 | ) | (1.01 | ) | (1.41 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 19.20 | 0.04 | 1.95 | 1.99 | (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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.62 | 0.22 | 1.40 | 1.62 | (0.22 | ) | (1.39 | ) | (1.61 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 21.24 | 0.32 | 0.58 | 0.90 | (0.51 | ) | (1.01 | ) | (1.52 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 20.77 | 0.24 | 2.09 | 2.33 | (0.42 | ) | (1.44 | ) | (1.86 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 20.61 | 0.27 | 1.37 | 1.64 | (0.24 | ) | (1.39 | ) | (1.63 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 21.23 | 0.36 | 0.57 | 0.93 | (0.54 | ) | (1.01 | ) | (1.55 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 21.25 | 0.29 | 1.58 | 1.87 | (0.45 | ) | (1.44 | ) | (1.89 | ) | ||||||||||||||||||
| (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) | Calculated based upon average shares outstanding. |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| 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) (b) | Expenses | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 20.12 | 7.83 | % | $ | 2,361,824 | 0.53 | % | 2.10 | % | 0.59 | % | 15 | % | |||||||||||||
| 20.15 | 4.89 | 2,129,765 | 0.52 | 1.33 | 0.62 | 7 | ||||||||||||||||||||
| 20.80 | 11.02 | 2,048,525 | 0.52 | 0.88 | 0.67 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 18.51 | 7.52 | 190,134 | 1.09 | 1.44 | 1.09 | 15 | ||||||||||||||||||||
| 18.67 | 4.31 | 191,971 | 1.09 | 0.77 | 1.12 | 7 | ||||||||||||||||||||
| 19.43 | 10.41 | 205,740 | 1.10 | 0.20 | 1.16 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 20.63 | 7.96 | 401,027 | 0.28 | 2.13 | 0.33 | 15 | ||||||||||||||||||||
| 20.62 | 5.18 | 454,039 | 0.27 | 1.59 | 0.36 | 7 | ||||||||||||||||||||
| 21.24 | 11.33 | 439,498 | 0.27 | 1.11 | 0.39 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 20.62 | 8.06 | 11,957 | 0.11 | 2.56 | 0.11 | 15 | ||||||||||||||||||||
| 20.61 | 5.35 | 10,299 | 0.11 | 1.77 | 0.12 | 7 | ||||||||||||||||||||
| 21.23 | 8.90 | 8,073 | 0.14 | 1.45 | 0.27 | 11 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 25 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 16.94 | $ | 0.19 | $ | 0.90 | $ | 1.09 | $ | (0.18 | ) | $ | (0.97 | ) | $ | (1.15 | ) | |||||||||||
Year Ended June 30, 2019 | 17.41 | 0.28 | 0.52 | 0.80 | (0.40 | ) | (0.87 | ) | (1.27 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.37 | 0.22 | 1.27 | 1.49 | (0.33 | ) | (1.12 | ) | (1.45 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.41 | 0.13 | 0.89 | 1.02 | (0.14 | ) | (0.97 | ) | (1.11 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 16.92 | 0.18 | 0.49 | 0.67 | (0.31 | ) | (0.87 | ) | (1.18 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.91 | 0.10 | 1.26 | 1.36 | (0.23 | ) | (1.12 | ) | (1.35 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.64 | 0.21 | 0.88 | 1.09 | (0.20 | ) | (0.97 | ) | (1.17 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 17.14 | 0.32 | 0.50 | 0.82 | (0.45 | ) | (0.87 | ) | (1.32 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.11 | 0.26 | 1.26 | 1.52 | (0.37 | ) | (1.12 | ) | (1.49 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 16.64 | 0.23 | 0.88 | 1.11 | (0.22 | ) | (0.97 | ) | (1.19 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 17.13 | 0.26 | 0.59 | 0.85 | (0.47 | ) | (0.87 | ) | (1.34 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 17.44 | 0.22 | 0.99 | 1.21 | (0.40 | ) | (1.12 | ) | (1.52 | ) | ||||||||||||||||||
| (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) | Calculated based upon average shares outstanding. |
| (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) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| 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 income | Expenses without waivers, reimbursements and | Portfolio turnover rate (d) | ||||||||||||||||||||
| $ | 16.88 | 6.50 | % | $ | 2,638,469 | 0.53 | % | 2.24 | % | 0.58 | % | 14 | % | |||||||||||||
| 16.94 | 5.45 | 2,430,409 | 0.52 | 1.67 | 0.61 | 12 | ||||||||||||||||||||
| 17.41 | 8.67 | 2,386,397 | 0.52 | 1.25 | 0.66 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.32 | 6.24 | 230,118 | 1.08 | 1.61 | 1.08 | 14 | ||||||||||||||||||||
| 16.41 | 4.78 | 237,376 | 1.09 | 1.11 | 1.11 | 12 | ||||||||||||||||||||
| 16.92 | 8.10 | 260,085 | 1.10 | 0.57 | 1.14 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.56 | 6.63 | 225,488 | 0.28 | 2.43 | 0.32 | 14 | ||||||||||||||||||||
| 16.64 | 5.62 | 224,050 | 0.27 | 1.93 | 0.36 | 12 | ||||||||||||||||||||
| 17.14 | 9.02 | 242,612 | 0.27 | 1.49 | 0.39 | 11 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.56 | 6.74 | 14,748 | 0.07 | 2.68 | 0.07 | 14 | ||||||||||||||||||||
| 16.64 | 5.85 | 13,949 | 0.08 | 1.60 | 0.09 | 12 | ||||||||||||||||||||
| 17.13 | 7.04 | 619 | 0.13 | 1.42 | 0.14 | 11 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 27 | ||||||
Table of Contents
AS OF DECEMBER 31, 2019 (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 anopen-end management investment company.
The following are 4 separate funds of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Diversification Classification | |||
| JPMorgan Investor Balanced Fund | Class A, Class C, Class I, Class R6 and Class T(1) | Diversified | ||
| JPMorgan Investor Conservative Growth Fund | Class A, Class C, Class I, Class R6 and Class T(1) | Diversified | ||
| JPMorgan Investor Growth Fund | Class A, Class C, Class I, Class R6 and Class T(1) | Diversified | ||
| JPMorgan Investor Growth & Income Fund | Class A, Class C, Class I, Class R6 and Class T(1) | Diversified |
| (1) | Class T Shares had no assets from the close of business on June 5, 2018 and are not offered to the public. |
The investment objective of the JPMorgan Investor Balanced Fund (“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 JPMorgan Investor Conservative Growth Fund (“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 JPMorgan Investor Growth Fund (“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 JPMorgan Investor Growth & Income Fund (“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 afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.
| 28 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but 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):
Investor Balanced Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 4,831,947 | $ | — | $ | — | $ | 4,831,947 | ||||||||
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| Investor Conservative Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 3,594,724 | $ | — | $ | — | $ | 3,594,724 | ||||||||
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| Investor Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 2,965,429 | $ | — | $ | — | $ | 2,965,429 | ||||||||
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| Investor Growth & Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 3,111,590 | $ | — | $ | — | $ | 3,111,590 | ||||||||
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| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for asset class specifics of portfolio holdings. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
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 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 tables below. Amounts in the tables below are in thousands.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Investor Balanced Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 1,022,269 | $ | 74,100 | $ | 71,576 | $ | 1,973 | $ | 3,236 | $ | 1,030,002 | 86,993 | $ | 14,472 | $ | 4,772 | |||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 494,130 | 15,637 | 27,844 | 695 | 1,881 | 484,499 | 57,337 | 7,975 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Economies Fund Class R6 Shares (a) | 72,339 | — | 70,683 | 12 | (1,668 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 48,363 | 1,209 | 2,866 | 48 | 38 | 46,792 | 5,706 | 1,209 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 103,229 | 985 | 3,850 | 234 | 7,951 | 108,549 | 3,323 | 985 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | — | 70,650 | — | — | 5,976 | 76,626 | 4,274 | 559 | 154 | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 102,579 | 33,034 | — | — | 8,679 | 144,292 | 7,422 | 1,315 | 1,427 | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 83,133 | 2,561 | 6,257 | (452 | ) | 3,175 | 82,160 | 3,217 | 2,561 | — | ||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 99,110 | 2,366 | 7,171 | (576 | ) | 162 | 93,891 | 10,318 | 2,366 | — | ||||||||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 165,104 | 16,006 | 20,179 | 707 | (1,701 | ) | 159,937 | 7,481 | 3,956 | 12,050 | ||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 144,086 | 4,329 | 5,275 | 2 | 828 | 143,970 | 19,803 | 4,330 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 86,074 | 11,997 | 4,796 | 46 | 769 | 94,090 | 9,770 | 2,372 | 23 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 69,859 | 875 | — | — | 619 | 71,353 | 6,907 | 875 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 57,620 | 1,876 | 2,848 | 411 | 1,498 | 58,557 | 3,270 | 1,816 | 60 | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 250,550 | 7,448 | 14,307 | (313 | ) | 9,306 | 252,684 | 13,748 | 7,448 | — | ||||||||||||||||||||||||||
JPMorgan Intrepid America Fund Class R6 Shares (a) | 305,956 | — | 313,643 | 135,098 | (127,411 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 162,805 | 19,929 | 12,963 | 2,352 | (6,986 | ) | 165,137 | 3,009 | 1,826 | 18,103 | ||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 156,297 | 119,812 | 8,195 | 1,884 | (10,648 | ) | 259,150 | 6,166 | 681 | 28,563 | ||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 110,175 | 7,036 | 1,916 | 60 | 11,237 | 126,592 | 8,285 | 1,114 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 204,605 | 7,436 | 6,714 | 52 | (45 | ) | 205,334 | 20,330 | 2,646 | — | ||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 157,807 | 14,760 | 8,633 | (908 | ) | 3,387 | 166,413 | 16,412 | 2,268 | 7,791 | ||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 41,715 | 2,999 | 1,452 | 30 | 356 | 43,648 | 1,108 | — | 2,998 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 48,829 | 7,918 | 1,439 | (300 | ) | 1,211 | 56,219 | 2,192 | 459 | 2,759 | ||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 88,125 | 1,186 | 2,878 | (113 | ) | (112 | ) | 86,208 | 7,503 | 1,185 | — | |||||||||||||||||||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 72,859 | 1,564 | 1,429 | (128 | ) | (1,186 | ) | 71,680 | 5,153 | 1,563 | — | (b) | ||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 419,721 | 53,430 | 50,519 | 7,487 | 436 | 430,555 | 26,610 | 2,596 | 36,733 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c) | 75,914 | 193,590 | 175,087 | — | — | 94,417 | 94,417 | 734 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | — | 88,302 | — | — | 5,064 | 93,366 | 3,400 | 409 | 314 | |||||||||||||||||||||||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 42,039 | 823 | — | — | (2 | ) | 42,860 | 4,351 | 823 | — | ||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 98,936 | 43,032 | 3,841 | 231 | 4,608 | 142,966 | 3,835 | 2,383 | 3,411 | |||||||||||||||||||||||||||
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Total | $ | 4,784,228 | $ | 804,890 | $ | 826,361 | $ | 148,532 | $ | (79,342 | ) | $ | 4,831,947 | $ | 70,926 | $ | 119,158 | |||||||||||||||||||
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| 30 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
Investor Conservative Growth Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 1,063,660 | $ | 51,919 | $ | 13,013 | $ | 370 | $ | 4,121 | $ | 1,107,057 | 93,501 | $ | 15,506 | $ | 5,178 | |||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 449,252 | 10,363 | — | — | 2,089 | 461,704 | 54,640 | 7,517 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Economies Fund Class R6 Shares (a) | 40,505 | — | 39,576 | 566 | (1,495 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 35,823 | 900 | 1,722 | 27 | 30 | 35,058 | 4,275 | 900 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 52,237 | 499 | — | — | 4,141 | 56,877 | 1,741 | 498 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | — | 39,598 | — | — | 3,348 | 42,946 | 2,395 | 313 | 87 | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 56,914 | 21,320 | 3,527 | 384 | 4,457 | 79,548 | 4,092 | 729 | 801 | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 25,239 | 794 | 1,380 | (55 | ) | 865 | 25,463 | 997 | 794 | — | ||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 79,278 | 1,973 | 1,033 | (108 | ) | (234 | ) | 79,876 | 8,778 | 1,973 | — | |||||||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 46,301 | 4,377 | 5,234 | 328 | (583 | ) | 45,189 | 2,114 | 1,096 | 3,282 | ||||||||||||||||||||||||||
JPMorgan Government Bond Fund Class R6 Shares (a) | 37,739 | 4,704 | — | — | 135 | 42,578 | 3,968 | 496 | — | |||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 100,446 | 8,048 | — | — | 600 | 109,094 | 15,006 | 3,243 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 104,309 | 2,705 | — | — | 878 | 107,892 | 11,204 | 2,677 | 26 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 62,568 | 784 | — | — | 555 | 63,907 | 6,187 | 784 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 27,175 | 892 | 1,035 | 125 | 762 | 27,919 | 1,559 | 866 | 28 | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 125,255 | 5,576 | 5,929 | (49 | ) | 4,746 | 129,599 | 7,051 | 3,841 | — | ||||||||||||||||||||||||||
JPMorgan Intrepid America Fund Class R6 Shares (a) | 156,000 | — | 160,464 | 74,295 | (69,831 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 81,748 | 10,439 | 3,897 | 192 | (2,814 | ) | 85,668 | 1,561 | 955 | 9,484 | ||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 43,152 | 68,989 | 7,425 | 364 | (3,798 | ) | 101,282 | 2,410 | 271 | 11,456 | ||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 20,665 | 14,517 | 2,103 | 208 | 2,603 | 35,890 | 2,349 | 268 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 289,258 | 13,724 | — | — | (21 | ) | 302,961 | 29,996 | 3,859 | — | ||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 44,919 | 6,565 | 1,780 | (12 | ) | 913 | 50,605 | 4,991 | 690 | 2,454 | ||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 34,234 | 2,460 | 3,207 | 170 | 90 | 33,747 | 857 | — | 2,461 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 27,792 | 5,343 | 1,780 | (211 | ) | 766 | 31,910 | 1,244 | 266 | 1,655 | ||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 64,851 | 889 | — | — | (168 | ) | 65,572 | 5,707 | 890 | — | ||||||||||||||||||||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 71,049 | 1,517 | 1,721 | (154 | ) | (1,122 | ) | 69,569 | 5,001 | 1,517 | — | (b) | ||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 153,308 | 24,865 | 20,465 | 2,071 | 1,310 | 161,089 | 9,956 | 981 | 13,621 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c) | 43,626 | 104,612 | 71,978 | — | — | 76,260 | 76,260 | 531 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | — | 52,781 | 716 | 18 | 3,002 | 55,085 | 2,006 | 244 | 188 | |||||||||||||||||||||||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 33,730 | 660 | — | — | (2 | ) | 34,388 | 3,491 | 660 | — | ||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 53,069 | 23,117 | 2,808 | 463 | 2,150 | 75,991 | 2,038 | 1,268 | 1,828 | |||||||||||||||||||||||||||
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Total | $ | 3,424,102 | $ | 484,930 | $ | 350,793 | $ | 78,992 | $ | (42,507 | ) | $ | 3,594,724 | $ | 53,633 | $ | 52,549 | |||||||||||||||||||
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| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Investor Growth Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 223,027 | $ | 7,444 | $ | 4,222 | $ | 65 | $ | 928 | $ | 227,242 | 19,193 | $ | 3,270 | $ | 1,073 | |||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 35,663 | 595 | — | — | 167 | 36,425 | 4,311 | 596 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Economies Fund Class R6 Shares (a) | 59,679 | — | 58,313 | (1,353 | ) | (13 | ) | — | — | — | — | |||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 12,981 | 339 | — | — | 16 | 13,336 | 1,626 | 339 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 74,707 | 712 | — | — | 5,923 | 81,342 | 2,490 | 713 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | — | 58,326 | — | — | 4,933 | 63,259 | 3,528 | 461 | 127 | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 55,107 | 33,834 | — | — | 5,298 | 94,239 | 4,848 | 790 | 932 | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 84,747 | 2,819 | — | — | 2,881 | 90,447 | 3,541 | 2,819 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 13,449 | 340 | — | — | (59 | ) | 13,730 | 1,509 | 338 | — | ||||||||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 88,852 | 8,978 | 1,407 | (76 | ) | (525 | ) | 95,822 | 4,482 | 2,287 | 6,692 | |||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 49,717 | 4,112 | 1,689 | 7 | 290 | 52,437 | 7,213 | 1,575 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 120,554 | 3,723 | 11,568 | 483 | 3,168 | 116,360 | 6,497 | 3,609 | 116 | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 195,505 | 6,160 | — | — | 7,309 | 208,974 | 11,370 | 6,159 | — | |||||||||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund Class R6 Shares (a) | 87,466 | 369 | — | — | 6,735 | 94,570 | 4,146 | 369 | — | |||||||||||||||||||||||||||
JPMorgan Intrepid America Fund Class R6 Shares (a) | 305,094 | — | 313,003 | 128,036 | (120,127 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 139,445 | 18,059 | — | — | (4,552 | ) | 152,952 | 2,787 | 1,677 | 16,381 | ||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 248,829 | 100,534 | — | — | (11,607 | ) | 337,756 | 8,036 | 883 | 37,021 | ||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 255,817 | 2,534 | — | — | 25,508 | 283,859 | 18,577 | 2,534 | — | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 151,149 | 9,401 | 7,036 | (1,046 | ) | 3,061 | 155,529 | 15,338 | 2,120 | 7,282 | ||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 43,329 | 3,011 | 1,407 | 191 | 179 | 45,303 | 1,150 | — | 3,012 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 43,641 | 13,830 | — | — | 1,253 | 58,724 | 2,289 | 475 | 2,882 | |||||||||||||||||||||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 19,762 | 309 | 5,636 | (455 | ) | 196 | 14,176 | 1,019 | 309 | — | (b) | |||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 371,400 | 36,490 | — | — | 5,570 | 413,460 | 25,554 | 2,371 | 34,119 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c) | 51,367 | 131,655 | 109,553 | — | — | 73,469 | 73,469 | 506 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | — | 139,993 | — | — | 8,016 | 148,009 | 5,390 | 648 | 498 | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 54,788 | 36,360 | — | — | 2,861 | 94,009 | 2,522 | 1,569 | 2,242 | |||||||||||||||||||||||||||
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Total | $ | 2,786,075 | $ | 619,927 | $ | 513,834 | $ | 125,852 | $ | (52,591 | ) | $ | 2,965,429 | $ | 36,417 | $ | 112,377 | |||||||||||||||||||
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| 32 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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Investor Growth & Income Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 463,773 | $ | 47,975 | $ | 12,865 | $ | 308 | $ | 1,758 | $ | 500,949 | 42,310 | $ | 6,820 | $ | 2,254 | |||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 189,282 | 3,164 | — | — | 885 | 193,331 | 22,879 | 3,164 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Economies Fund Class R6 Shares (a) | 51,555 | — | 50,373 | 310 | (1,492 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 14,230 | 372 | — | — | 18 | 14,620 | 1,783 | 372 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 67,416 | 643 | — | — | 5,345 | 73,404 | 2,247 | 643 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | — | 50,408 | — | — | 4,263 | 54,671 | 3,049 | 399 | 110 | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 60,205 | 40,243 | — | — | 5,918 | 106,366 | 5,472 | 880 | 1,052 | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 67,904 | 2,160 | 2,938 | (351 | ) | 2,558 | 69,333 | 2,715 | 2,161 | — | ||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 44,786 | 1,127 | — | — | (193 | ) | 45,720 | 5,024 | 1,127 | — | ||||||||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a) | 114,167 | 11,483 | 4,514 | 198 | (966 | ) | 120,368 | 5,630 | 2,925 | 8,557 | ||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 82,635 | 2,546 | — | — | 476 | 85,657 | 11,782 | 2,546 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 29,419 | 762 | — | — | 248 | 30,429 | 3,160 | 755 | 7 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 38,526 | 483 | — | — | 341 | 39,350 | 3,809 | 483 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 59,410 | 1,979 | 1,469 | 178 | 1,785 | 61,883 | 3,455 | 1,919 | 61 | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 152,749 | 9,131 | 3,589 | (186 | ) | 6,243 | 164,348 | 8,942 | 4,844 | — | ||||||||||||||||||||||||||
JPMorgan International Unconstrained Equity Fund Class R6 Shares (a) | 41,989 | 178 | — | — | 3,233 | 45,400 | 1,990 | 177 | — | |||||||||||||||||||||||||||
JPMorgan Intrepid America Fund Class R6 Shares (a) | 281,749 | — | 289,814 | 130,120 | (122,055 | ) | — | — | — | — | ||||||||||||||||||||||||||
JPMorgan Intrepid Growth Fund Class R6 Shares (a) | 89,987 | 12,509 | 878 | 109 | (3,013 | ) | 98,714 | 1,798 | 1,082 | 10,572 | ||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 201,436 | 124,490 | 20,729 | 1,795 | (12,014 | ) | 294,978 | 7,018 | 787 | 33,354 | ||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 152,478 | 4,346 | 5,734 | 505 | 14,854 | 166,449 | 10,893 | 1,500 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 43,271 | 570 | — | — | — | 43,841 | 4,341 | 570 | — | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 109,487 | 7,142 | — | — | 1,520 | 118,149 | 11,652 | 1,610 | 5,532 | |||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) | 39,253 | 2,821 | 1,837 | 1 | 320 | 40,558 | 1,030 | — | 2,821 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 47,232 | 8,950 | — | — | 977 | 57,159 | 2,228 | 467 | 2,805 | |||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 26,387 | 361 | — | — | (68 | ) | 26,680 | 2,322 | 362 | — | ||||||||||||||||||||||||||
JPMorgan Systematic Alpha Fund Class R6 Shares (a) | 33,150 | 682 | 2,025 | (156 | ) | (401 | ) | 31,250 | 2,247 | 682 | — | (b) | ||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 302,258 | 37,673 | 21,948 | 1,297 | 3,980 | 323,260 | 19,979 | 1,913 | 27,242 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c) | 42,608 | 96,053 | 69,132 | — | — | 69,529 | 69,529 | 503 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | — | 123,564 | — | — | 7,080 | 130,644 | 4,758 | 572 | 439 | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 58,138 | 43,245 | — | — | 3,167 | 104,550 | 2,804 | 1,744 | 2,495 | |||||||||||||||||||||||||||
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Total | $ | 2,905,480 | $ | 635,060 | $ | 487,845 | $ | 134,128 | $ | (75,233 | ) | $ | 3,111,590 | $ | 41,007 | $ | 97,301 | |||||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | Amount rounds to less than one thousand. |
| (c) | The rate shown is the current yield as of December 31, 2019. |
| * | Non-income producing security. |
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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 theex-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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):
| Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||
Transfer agency fees | $ | 169 | $ | 20 | $ | 8 | $ | — | (a) | $ | 197 | |||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||
Transfer agency fees | 97 | 17 | 10 | — | (a) | 124 | ||||||||||||||
Investor Growth Fund | ||||||||||||||||||||
Transfer agency fees | 230 | 19 | 13 | 2 | 264 | |||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||
Transfer agency fees | 186 | 10 | 6 | — | (a) | 202 | ||||||||||||||
| (a) | Amount rounds to less than one thousand. |
The Funds invest in other J.P. Morgan Funds and, as a result, bore 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 (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, 2019, no liability for Federal 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, if any, 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 manages the investments of each Fund and for such services is paid a fee. The investment advisory 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. The Administrator does not receive a fee for these services.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-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 Funds’ 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, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each
| 34 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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Fund shall pay, with respect to the applicable share classes, 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 | % | ||||||
In addition, JPMDS is entitled to receive thefront-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 whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 167 | $ | — | (a) | |||
Investor Conservative Growth Fund | 114 | — | (a) | |||||
Investor Growth Fund | 86 | — | (a) | |||||
Investor Growth & Income Fund | 86 | — | (a) | |||||
| (a) | Amount rounds to less than one thousand. |
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service 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.
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. Pursuant to such contracts, 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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates 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, expenses related to trustee elections 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 | 0.55 | %(1) | 1.10 | % | 0.30 | %(1) | 0.15 | % | 0.55 | %(1) | ||||||||||
Investor Conservative Growth Fund | 0.55 | (1) | 1.10 | 0.30 | (1) | 0.15 | 0.55 | (1) | ||||||||||||
Investor Growth Fund | 0.55 | (1) | 1.10 | 0.30 | (1) | 0.15 | 0.55 | (1) | ||||||||||||
Investor Growth & Income Fund | 0.55 | (1) | 1.10 | 0.30 | (1) | 0.15 | 0.55 | (1) | ||||||||||||
| (1) | Prior to November 1, 2019, the contractual expense limitation for Class A, Class I, and Class T Shares was 0.52%, 0.27% and 0.52%, respectively. |
The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.
The Underlying Funds may impose separate advisory and service fees. To avoid charging a service fee at an effective rate above 0.25% for Class A, Class C, Class I and Class T Shares, JPMDS will waive service fees with respect to the Funds in an amount equal to the weighted averagepro-rata amount of service fees charged by the Underlying Funds up to 0.25% for Class A, Class C, Class I and Class T Shares. 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.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
For the six months ended December 31, 2019, 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 | Service Fees | Total | ||||||||||
Investor Balanced Fund | $ | 2 | $ | 867 | $ | 869 | ||||||
Investor Conservative Growth Fund | 1 | 538 | 539 | |||||||||
Investor Growth Fund | 1 | 766 | 767 | |||||||||
Investor Growth & Income Fund | 1 | 703 | 704 | |||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund.
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2019 were as follows (amounts in thousands):
Investor Balanced Fund | $ | 50 | ||
Investor Conservative Growth Fund | 36 | |||
Investor Growth Fund | 36 | |||
Investor Growth & Income Fund | 35 |
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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule381-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-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, 2019, 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 | $ | 611,300 | $ | 651,274 | ||||
Investor Conservative Growth Fund | 380,318 | 278,814 | ||||||
Investor Growth Fund | 488,272 | 404,282 | ||||||
Investor Growth & Income Fund | 539,007 | 418,714 | ||||||
During the six months ended December 31, 2019, 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, 2019 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 4,085,937 | $ | 760,371 | $ | 14,361 | $ | 746,010 | ||||||||
Investor Conservative Growth Fund | 3,213,936 | 393,631 | 12,843 | 380,788 | ||||||||||||
Investor Growth Fund | 2,300,732 | 665,995 | 1,298 | 664,697 | ||||||||||||
Investor Growth & Income Fund | 2,498,986 | 617,571 | 4,967 | 612,604 | ||||||||||||
As of June 30, 2019, the Funds did not have any net capital loss carryforwards.
| 36 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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6. Borrowings
The Funds rely upon an exemptive order granted by the Securities and Exchange Commission (“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 Funds had no borrowings outstanding from another fund at December 31, 2019. Average borrowings from the Facility during the six month ended December 31, 2019, were as follows (amounts in thousands, except number of days outstanding):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Investor Balanced Fund | $ | 90,299 | 2.59 | % | 3 | $ | 19 | |||||||||
Investor Growth Fund | 25,311 | 2.59 | 3 | 5 | ||||||||||||
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 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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 London InterBank Offered Rate (“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 13, 2019, 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, 2019.
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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts, which owned more than 10% of the respective Fund’s outstanding shares as follows:
Number of individual shareholder Affiliated Omnibus Accounts | % of the Fund | Number of Non-Affiliated Accounts | % of the Fund | |||||||||||||
Investor Balanced Fund | 1 | 78.7 | % | — | — | |||||||||||
Investor Conservative Growth Fund | 1 | 82.4 | — | — | ||||||||||||
Investor Growth Fund | 1 | 62.0 | — | — | ||||||||||||
Investor Growth & Income Fund | 1 | 68.1 | 1 | 10.6 | % | |||||||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
As of December 31, 2019, the Funds owned, in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:
| % of Net Assets | ||||
JPMorgan Market Expansion Enhanced Index Fund | 51.7 | % | ||
JPMorgan Systematic Alpha Fund | 51.7 | |||
JPMorgan Europe Dynamic Fund | 47.8 | |||
JPMorgan Limited Duration Bond Fund | 45.0 | |||
JPMorgan Intrepid Growth Fund | 43.4 | |||
JPMorgan Large Cap Value Fund | 37.9 | |||
JPMorgan Floating Rate Income Fund | 20.4 | |||
JPMorgan Inflation Managed Bond Fund | 17.2 | |||
JPMorgan Small Cap Value Fund | 15.3 | |||
JPMorgan International Research Enhanced Equity Fund | 14.3 | |||
JPMorgan Global Research Enhanced Index Fund | 10.6 | |||
Because of the Funds’ investments in Underlying Funds, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Funds may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Funds are also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures contracts, 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.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
| 38 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019 and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.90 | $ | 2.73 | 0.53 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.47 | 2.69 | 0.53 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,051.00 | 5.52 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.76 | 5.43 | 1.07 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,054.40 | 1.45 | 0.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.73 | 1.42 | 0.28 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,055.80 | 0.31 | 0.06 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.83 | 0.31 | 0.06 | ||||||||||||
JPMorgan Investor Conservative Growth Fund |
| |||||||||||||||
Class A | 1,000.00 | 1,039.20 | 2.72 | 0.53 | ||||||||||||
Actual | 1,000.00 | 1,022.47 | 2.69 | 0.53 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 1,035.80 | 5.48 | 1.07 | ||||||||||||
Actual | 1,000.00 | 1,019.76 | 5.43 | 1.07 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 1,040.20 | 1.44 | 0.28 | ||||||||||||
Actual | 1,000.00 | 1,023.73 | 1.42 | 0.28 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 1,041.30 | 0.41 | 0.08 | ||||||||||||
Actual | 1,000.00 | 1,024.73 | 0.41 | 0.08 | ||||||||||||
Hypothetical | ||||||||||||||||
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Investor Growth Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.30 | $ | 2.77 | $ | 0.53 | ||||||||
Hypothetical | 1,000.00 | 1,022.47 | 2.69 | 0.53 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,075.20 | 5.69 | 1.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.66 | 5.53 | 1.09 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,079.60 | 1.46 | 0.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.73 | 1.42 | 0.28 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,080.60 | 0.58 | 0.11 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.58 | 0.56 | 0.11 | ||||||||||||
JPMorgan Investor Growth & Income Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,065.00 | 2.75 | 0.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.47 | 2.69 | 0.53 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,062.40 | 5.60 | 1.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.71 | 5.48 | 1.08 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,066.30 | 1.45 | 0.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.73 | 1.42 | 0.28 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,067.40 | 0.36 | 0.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.78 | 0.36 | 0.07 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect theone-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 2019, at which the Trustees considered the continuation of the investment advisory agreement for each Fund 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 other J.P. Morgan Funds in which each Fund 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 14, 2019.
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 and /or Underlying Funds as compared to the Funds’ and /or Underlying Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds and Underlying Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 41 | ||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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 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 information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund and Underlying Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, 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.
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 the extent to which each Fund was priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with 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, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
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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 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 the 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 Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as
applicable. 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 second, third, and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group, and in the second quintile based upon the Universe, for the one-year period ended December 31, 2018. 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 second, fourth and third quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for the Class I shares was in the second, second and first quintiles based upon the Peer Group, and in the first, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group, and in the first quintile based upon the Universe, for the one-year period ended December 31, 2018. 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 second, second 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, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, first and first quintiles based upon both the Peer Group and Universe for the one-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, for the
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
one-year period ended December 31, 2018. 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 second, third 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, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and first 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, 2018, respectively. The Trustees noted that the performance for the Class R6 shares was in the third quintile based upon the Universe for the one-year period ended December 31, 2018. 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 and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and/or Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional 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 first and third 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 for Class I shares was in the second 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 quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund 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 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 first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares were in the second and third quintiles based upon the Peer Group, 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 noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expense were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund 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 first quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Class I shares were in the third 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 noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After
| 44 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund 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 second 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 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 R6 shares were in the third and first quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund 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.
| DECEMBER 31, 2019 | J.P. MORGAN INVESTOR FUNDS | 45 | ||||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2019. 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, 2019. The information necessary to complete your income tax returns for the calendar year ending December 31, 2019 will be provided under separate cover.
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2019, the Funds elected to pass through to shareholders taxes paid to foreign countries. Income and foreign tax expenses were as follows or amounts as finally determined (amounts in thousands):
Total Foreign | Total Foreign | |||||||
JPMorgan Investor Balanced Fund | $ | 11,944 | $ | 1,840 | ||||
JPMorgan Investor Conservative Growth Fund | 5,782 | 881 | ||||||
JPMorgan Investor Growth Fund | 11,439 | 1,795 | ||||||
JPMorgan Investor Growth & Income Fund | 8,809 | 1,379 | ||||||
| 46 | J.P. MORGAN INVESTOR FUNDS | DECEMBER 31, 2019 | ||||
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December 2019. | SAN-INV-1219 |
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Semi-Annual Report
J.P. Morgan Intrepid Funds
December 31, 2019 (Unaudited)
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Sustainable Equity Fund
JPMorgan Intrepid Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
 |
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| Letter to Shareholders | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| Schedules of Portfolio Investments | 11 | |||
| Financial Statements | 24 | |||
| Financial Highlights | 36 | |||
| Notes to Financial Statements | 44 | |||
| Schedule of Shareholder Expenses | 53 | |||
| Board Approval of Investment Advisory Agreements | 55 | |||
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.
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February 10, 2020 (Unaudited)
Dear Shareholders,
We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.
 |
“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher |
At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.
While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.
Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
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J.P. Morgan Intrepid Funds
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.
In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.
Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period.
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 identified 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.
| 2 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 9.53% | |||
| Russell 1000 Growth Index | 12.27% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 1,156,829 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Growth Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the information technology and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and real estate sectors was a leading contributor to relative performance.
Leading individual detractors from the Fund’s relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Oracle Corp. and Sinclair Broadcast Group Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019.
Leading individual contributors to relative performance included the Fund’s overweight position in Lam Research Corp. and Amgen Inc. and its out-of-Benchmark position in NXP Semiconductors NV. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of NXP Semiconductors, a Netherlands semiconductor manufacturer, rose after the company reported better-than-expected revenue for the third quarter of 2019.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 9.7 | % | |||||
| 2. | Apple, Inc. | 7.8 | ||||||
| 3. | Visa, Inc., Class A | 3.7 | ||||||
| 4. | Amazon.com, Inc. | 3.5 | ||||||
| 5. | Oracle Corp. | 2.8 | ||||||
| 6. | Accenture plc, Class A | 2.7 | ||||||
| 7. | Amgen, Inc. | 2.5 | ||||||
| 8. | Alphabet, Inc., Class A | 2.4 | ||||||
| 9. | Facebook, Inc., Class A | 2.4 | ||||||
| 10. | Alphabet, Inc., Class C | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 41.3 | % | ||
| Health Care | 14.7 | |||
| Consumer Discretionary | 13.7 | |||
| Communication Services | 11.6 | |||
| Industrials | 6.4 | |||
| Consumer Staples | 4.0 | |||
| Real Estate | 2.6 | |||
| Financials | 1.5 | |||
| Materials | 1.2 | |||
| Others (each less than 1.0%) | 1.2 | |||
| Short-Term Investments | 1.8 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
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JPMorgan Intrepid Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||||||||
With Sales Charge** | 3.65% | 22.06 | % | 10.66 | % | 13.32 | % | |||||||||||||
Without Sales Charge | 9.40 | 28.81 | 11.86 | 13.93 | ||||||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||||||
With CDSC*** | 8.13 | 27.18 | 11.31 | 13.36 | ||||||||||||||||
Without CDSC | 9.13 | 28.18 | 11.31 | 13.36 | ||||||||||||||||
CLASS I SHARES | February 28, 2003 | 9.53 | 29.12 | 12.15 | 14.21 | |||||||||||||||
CLASS R2 SHARES | November 3, 2008 | 9.27 | 28.47 | 11.59 | 13.65 | |||||||||||||||
CLASS R5 SHARES | May 15, 2006 | 9.62 | 29.33 | 12.34 | 14.43 | |||||||||||||||
CLASS R6 SHARES | November 2, 2015 | 9.69 | 29.44 | 12.41 | 14.46 | |||||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 LipperMulti-Cap Growth Funds Index from December 31, 2009 to December 31, 2019. 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 LipperMulti-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 higherprice-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index and the LipperMulti-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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 9.22% | |||
| Russell Midcap Index | 7.58% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 496,870 | ||
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, 2019. The Fund’s security selection in the consumer discretionary and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the communication services and industrials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Lam Research Corp., Timken Co. and Best Buy Inc. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of Timken, a manufacturer of ball bearings and power transmission products, rose after the company issued an upbeat forecast for the full year 2019. Shares of Best Buy, a consumer electronics retail chain, rose after the company reported better-than-expected sales for the third quarter of 2019 and forecast fourth quarter 2019 earnings that were at the high end of financial analysts’ expectations.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc., L3Harris Technologies Inc. and Berry Global Group Inc. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of L3Harris Technologies, an aerospace and defense technology company, fell after the company lowered its earnings forecast for the full year 2019 amid a reduction in flight simulator orders from Boeing Co. Shares of Berry Global Group, a maker of engineered materials and consumer product packaging, fell after the company reported lower-than-expected revenue for its fiscal fourth quarter.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Timken Co. (The) | 2.0 | % | |||||
| 2. | Wyndham Destinations, Inc. | 1.8 | ||||||
| 3. | Ingersoll-Rand plc | 1.8 | ||||||
| 4. | PulteGroup, Inc. | 1.7 | ||||||
| 5. | NRG Energy, Inc. | 1.7 | ||||||
| 6. | AES Corp. | 1.6 | ||||||
| 7. | Vistra Energy Corp. | 1.6 | ||||||
| 8. | Centene Corp. | 1.5 | ||||||
| 9. | O’Reilly Automotive, Inc. | 1.5 | ||||||
| 10. | Zimmer Biomet Holdings, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 18.3 | % | ||
| Industrials | 14.0 | |||
| Consumer Discretionary | 12.5 | |||
| Health Care | 10.9 | |||
| Financials | 10.2 | |||
| Real Estate | 9.4 | |||
| Utilities | 6.1 | |||
| Materials | 5.4 | |||
| Communication Services | 5.2 | |||
| Energy | 3.3 | |||
| Consumer Staples | 2.8 | |||
| Short-Term Investments | 1.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
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JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OFDECEMBER 31, 2019 | ||||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | May 1, 1992 | |||||||||||||||||||
With Sales Charge** | 3.35 | % | 19.22 | % | 5.17 | % | 10.91 | % | ||||||||||||
Without Sales Charge | 9.08 | 25.86 | 6.32 | 11.51 | ||||||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||||||
With CDSC*** | 7.77 | 24.18 | 5.72 | 10.84 | ||||||||||||||||
Without CDSC | 8.77 | 25.18 | 5.72 | 10.84 | ||||||||||||||||
CLASS I SHARES | June 1, 1991 | 9.22 | 26.12 | 6.58 | 11.78 | |||||||||||||||
CLASS R3 SHARES | September 9, 2016 | 9.10 | 25.92 | 6.32 | 11.51 | |||||||||||||||
CLASS R4 SHARES | September 9, 2016 | 9.24 | 26.15 | 6.58 | 11.78 | |||||||||||||||
CLASS R6 SHARES | November 2, 2015 | 9.33 | 26.46 | 6.81 | 11.90 | |||||||||||||||
| * | Not annualized. |
| ** | 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 (12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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 to those shown because Class R3 Shares have similar expenses to those of Class A Shares.
Returns for Class R4 and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown for Class I Shares because Class R4 Shares have similar expenses to 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 LipperMid-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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 LipperMid-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 LipperMid-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. 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, 2019 | ||||
Table of Contents
JPMorgan Intrepid Sustainable Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 10.73% | |||
| S&P 500 Index | 10.92% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $36,884 | |||
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 S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the financials and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and consumer discretionary sectors was a leading contributor to relative performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight position in Apple Inc. and its overweight positions in Cisco Systems Inc. and Travelers Co. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Cisco Systems, a network and information technology provider, fell following two consecutive quarters of weak revenue growth. Shares of Travelers, a property and casualty insurance provider, fell after the company reported lower-than-expected earnings for the third quarter of 2019.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions Target Corp., Amgen Inc. and Lam Research Corp. Shares of Target, a retail merchandise chain, rose after the company reported better-than-expected earnings and sales for the third quarter of 2019 and raised its earnings forecast for the full-year 2019. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 6.4 | % | |||||
| 2. | Verizon Communications, Inc. | 3.0 | ||||||
| 3. | Bank of America Corp. | 3.0 | ||||||
| 4. | Cisco Systems, Inc. | 2.7 | ||||||
| 5. | Citigroup, Inc. | 2.6 | ||||||
| 6. | Mastercard, Inc., Class A | 2.3 | ||||||
| 7. | American Express Co. | 2.3 | ||||||
| 8. | American Tower Corp. | 2.3 | ||||||
| 9. | Apple, Inc. | 2.3 | ||||||
| 10. | Amgen, Inc. | 2.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 23.9 | % | ||
| Health Care | 13.4 | |||
| Financials | 13.2 | |||
| Communication Services | 10.2 | |||
| Consumer Discretionary | 9.3 | |||
| Industrials | 8.4 | |||
| Consumer Staples | 6.1 | |||
| Energy | 4.0 | |||
| Real Estate | 3.2 | |||
| Utilities | 3.0 | |||
| Materials | 2.0 | |||
| Short-Term Investments | 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
Table of Contents
JPMorgan Intrepid Sustainable Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||||||||
With Sales Charge** | 4.79 | % | 22.81 | % | 9.18 | % | 12.47 | % | ||||||||||||
Without Sales Charge | 10.60 | 29.62 | 10.36 | 13.08 | ||||||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||||||
With CDSC*** | 9.30 | 27.97 | 9.81 | 12.52 | ||||||||||||||||
Without CDSC | 10.30 | 28.97 | 9.81 | 12.52 | ||||||||||||||||
CLASS I SHARES | February 28, 2003 | 10.73 | 29.93 | 10.64 | 13.36 | |||||||||||||||
| * | Not annualized. |
| ** | 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(12/31/09 TO 12/31/19)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
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, 2009 to December 31, 2019. 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. 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.
| 8 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 7.10% | |||
| Russell 1000 Value Index | 8.86% | |||
| Net Assets as of 12/31/2019 (In Thousands) | $ | 998,731 | ||
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 underperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the financials and communication services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and consumer staples sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc. and Travelers Cos. and its underweight position in JPMorgan Chase & Co. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Travelers, a property and casualty insurance provider, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period.
Leading individual contributors to relative performance included the Fund’s overweight position in Amgen Inc. and Lam Research Corp. and its out-of-Benchmark position in NXP Semiconductors NV. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of NXP Semiconductors, a Netherlands semiconductor manufacturer, rose after the company reported better-than-expected revenue for the third quarter of 2019.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Bank of America Corp. | 3.9 | % | |||||
| 2. | Chevron Corp. | 3.3 | ||||||
| 3. | Citigroup, Inc. | 3.2 | ||||||
| 4. | Comcast Corp., Class A | 2.8 | ||||||
| 5. | Verizon Communications, Inc. | 2.2 | ||||||
| 6. | Exelon Corp. | 2.1 | ||||||
| 7. | Travelers Cos., Inc. (The) | 1.9 | ||||||
| 8. | Starbucks Corp. | 1.8 | ||||||
| 9. | Procter & Gamble Co. (The) | 1.8 | ||||||
| 10. | NXP Semiconductors NV (Netherlands) | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 21.1 | % | ||
| Health Care | 13.7 | |||
| Information Technology | 8.3 | |||
| Energy | 8.3 | |||
| Communication Services | 8.2 | |||
| Industrials | 8.1 | |||
| Consumer Staples | 7.4 | |||
| Utilities | 6.1 | |||
| Consumer Discretionary | 5.8 | |||
| Real Estate | 5.2 | |||
| Materials | 4.0 | |||
| Short-Term Investments | 3.8 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The 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, 2019. The Fund’s portfolio composition is subject to change. |
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
FUND COMMENTARY
SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2019 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||||
With Sales Charge** | 1.37% | 16.40 | % | 5.38 | % | 10.22 | % | |||||||||
Without Sales Charge | 6.98 | 22.86 | 6.53 | 10.82 | ||||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||||
With CDSC*** | 5.70 | 21.23 | 6.00 | 10.27 | ||||||||||||
Without CDSC | 6.70 | 22.23 | 6.00 | 10.27 | ||||||||||||
CLASS I SHARES | February 28, 2003 | 7.10 | 23.16 | 6.73 | 11.01 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 6.81 | 22.53 | 6.24 | 10.53 | |||||||||||
CLASS R5 SHARES | May 15, 2006 | 7.18 | 23.31 | 6.92 | 11.22 | |||||||||||
CLASS R6 SHARES | November 30, 2010 | 7.23 | 23.44 | 7.00 | 11.29 | |||||||||||
| * | Not annualized. |
| ** | 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 (12/31/09 TO 12/31/19)
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 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, 2009 to December 31, 2019. 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. 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 INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.2% |
| |||||||
Aerospace & Defense — 1.3% | ||||||||
Northrop Grumman Corp. | 43 | 14,722 | ||||||
|
| |||||||
Airlines — 1.9% | ||||||||
Delta Air Lines, Inc. | 106 | 6,176 | ||||||
JetBlue Airways Corp. * | 472 | 8,828 | ||||||
United Airlines Holdings, Inc. * | 79 | 6,968 | ||||||
|
| |||||||
| 21,972 | ||||||||
|
| |||||||
Biotechnology — 6.5% | ||||||||
AbbVie, Inc. | 187 | 16,530 | ||||||
Amgen, Inc. | 121 | 29,084 | ||||||
Gilead Sciences, Inc. | 277 | 17,987 | ||||||
Vertex Pharmaceuticals, Inc. * | 51 | 11,166 | ||||||
|
| |||||||
| 74,767 | ||||||||
|
| |||||||
Capital Markets — 0.8% | ||||||||
MSCI, Inc. | 35 | 8,907 | ||||||
|
| |||||||
Chemicals — 0.8% | ||||||||
CF Industries Holdings, Inc. | 184 | 8,789 | ||||||
|
| |||||||
Communications Equipment — 2.1% | ||||||||
Cisco Systems, Inc. | 505 | 24,205 | ||||||
|
| |||||||
Construction & Engineering — 1.2% | ||||||||
EMCOR Group, Inc. | 50 | 4,289 | ||||||
MasTec, Inc. * | 146 | 9,335 | ||||||
|
| |||||||
| 13,624 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
Crown Holdings, Inc. * | 62 | 4,469 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
Keysight Technologies, Inc. * | 55 | 5,593 | ||||||
|
| |||||||
Entertainment — 1.6% | ||||||||
Live Nation Entertainment, Inc. * | 137 | 9,756 | ||||||
Take-Two Interactive Software, Inc. * | 76 | 9,341 | ||||||
|
| |||||||
| 19,097 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
American Tower Corp. | 55 | 12,594 | ||||||
Invitation Homes, Inc. | 310 | 9,294 | ||||||
SBA Communications Corp. | 35 | 8,410 | ||||||
|
| |||||||
| 30,298 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
Walgreens Boots Alliance, Inc. | 118 | 6,951 | ||||||
|
| |||||||
Food Products — 1.7% | ||||||||
General Mills, Inc. | 203 | 10,878 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food Products — continued | ||||||||
Hershey Co. (The) | 38 | 5,527 | ||||||
Post Holdings, Inc. * | 26 | 2,869 | ||||||
|
| |||||||
| 19,274 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Dentsply Sirona, Inc. | 30 | 1,709 | ||||||
|
| |||||||
Health Care Providers & Services — 3.1% | ||||||||
Anthem, Inc. | 39 | 11,870 | ||||||
Humana, Inc. | 10 | 3,738 | ||||||
McKesson Corp. | 51 | 7,068 | ||||||
UnitedHealth Group, Inc. | 46 | 13,494 | ||||||
|
| |||||||
| 36,170 | ||||||||
|
| |||||||
Health Care Technology — 0.6% | ||||||||
Veeva Systems, Inc., Class A * | 52 | 7,357 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% | ||||||||
Hilton Worldwide Holdings, Inc. | 79 | 8,795 | ||||||
Starbucks Corp. | 277 | 24,337 | ||||||
|
| |||||||
| 33,132 | ||||||||
|
| |||||||
Household Durables — 2.0% | ||||||||
NVR, Inc. * | 2 | 9,369 | ||||||
PulteGroup, Inc. | 245 | 9,494 | ||||||
Whirlpool Corp. | 29 | 4,278 | ||||||
|
| |||||||
| 23,141 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
Procter & Gamble Co. (The) | 93 | 11,653 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.4% |
| |||||||
NRG Energy, Inc. | 130 | 5,148 | ||||||
|
| |||||||
Insurance — 0.7% | ||||||||
Allstate Corp. (The) | 10 | 1,147 | ||||||
Everest Re Group Ltd. | 3 | 830 | ||||||
Lincoln National Corp. | 76 | 4,467 | ||||||
Progressive Corp. (The) | 25 | 1,774 | ||||||
|
| |||||||
| 8,218 | ||||||||
|
| |||||||
Interactive Media & Services — 7.1% | ||||||||
Alphabet, Inc., Class A * | 21 | 28,261 | ||||||
Alphabet, Inc., Class C * | 19 | 25,805 | ||||||
Facebook, Inc., Class A * | 137 | 28,181 | ||||||
|
| |||||||
| 82,247 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.9% | ||||||||
Amazon.com, Inc. * | 22 | 40,560 | ||||||
eBay, Inc. | 235 | 8,497 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Internet & Direct Marketing Retail — continued |
| |||||||
Expedia Group, Inc. | 66 | 7,148 | ||||||
|
| |||||||
| 56,205 | ||||||||
|
| |||||||
IT Services — 11.5% | ||||||||
Accenture plc, Class A | 147 | 31,038 | ||||||
Euronet Worldwide, Inc. * | 58 | 9,186 | ||||||
KBR, Inc. | 300 | 9,144 | ||||||
Leidos Holdings, Inc. | 97 | 9,515 | ||||||
Mastercard, Inc., Class A | 49 | 14,691 | ||||||
Perspecta, Inc. | 328 | 8,680 | ||||||
VeriSign, Inc. * | 43 | 8,324 | ||||||
Visa, Inc., Class A | 226 | 42,465 | ||||||
|
| |||||||
| 133,043 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% | ||||||||
IQVIA Holdings, Inc. * | 61 | 9,456 | ||||||
|
| |||||||
Machinery — 0.2% | ||||||||
Allison Transmission Holdings, Inc. | 45 | 2,174 | ||||||
|
| |||||||
Media — 2.9% | ||||||||
Altice USA, Inc., Class A * | 312 | 8,527 | ||||||
AMC Networks, Inc., Class A * | 51 | 2,003 | ||||||
Comcast Corp., Class A | 162 | 7,290 | ||||||
Nexstar Media Group, Inc., Class A | 46 | 5,393 | ||||||
Omnicom Group, Inc. | 58 | 4,675 | ||||||
Sinclair Broadcast Group, Inc., Class A | 163 | 5,418 | ||||||
|
| |||||||
| 33,306 | ||||||||
|
| |||||||
Multiline Retail — 1.8% | ||||||||
Dollar General Corp. | 36 | 5,537 | ||||||
Target Corp. | 122 | 15,680 | ||||||
|
| |||||||
| 21,217 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.7% | ||||||||
ConocoPhillips | 13 | 832 | ||||||
HollyFrontier Corp. | 139 | 7,054 | ||||||
|
| |||||||
| 7,886 | ||||||||
|
| |||||||
Pharmaceuticals — 3.5% | ||||||||
Allergan plc | 39 | 7,532 | ||||||
Bristol-Myers Squibb Co. | 291 | 18,673 | ||||||
Jazz Pharmaceuticals plc * | 53 | 7,867 | ||||||
Johnson & Johnson | 43 | 6,214 | ||||||
|
| |||||||
| 40,286 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Professional Services — 1.0% | ||||||||
FTI Consulting, Inc. * | 82 | 9,063 | ||||||
ManpowerGroup, Inc. | 25 | 2,447 | ||||||
|
| |||||||
| 11,510 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
Lam Research Corp. | 79 | 22,953 | ||||||
NXP Semiconductors NV (Netherlands) | 190 | 24,205 | ||||||
Universal Display Corp. | 19 | 3,833 | ||||||
|
| |||||||
| 50,991 | ||||||||
|
| |||||||
Software — 14.1% | ||||||||
Atlassian Corp. plc, Class A * | 81 | 9,712 | ||||||
Fortinet, Inc. * | 91 | 9,758 | ||||||
Microsoft Corp. | 709 | 111,738 | ||||||
Oracle Corp. | 604 | 31,984 | ||||||
|
| |||||||
| 163,192 | ||||||||
|
| |||||||
Specialty Retail — 2.1% | ||||||||
AutoZone, Inc. * | 8 | 8,935 | ||||||
RH * | 10 | 2,156 | ||||||
Ross Stores, Inc. | 119 | 13,819 | ||||||
|
| |||||||
| 24,910 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 8.7% |
| |||||||
Apple, Inc. | 306 | 89,784 | ||||||
HP, Inc. | 215 | 4,412 | ||||||
Xerox Holdings Corp. | 188 | 6,946 | ||||||
|
| |||||||
| 101,142 | ||||||||
|
| |||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 178 | 8,864 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.9% | ||||||||
United Rentals, Inc. * | 60 | 9,957 | ||||||
|
| |||||||
Total Common Stocks | 1,135,582 | |||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(a) | ||||||||
Pharmaceuticals — 0.0% (a) | ||||||||
Bristol-Myers Squibb Co., CVR, | 33 | 100 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 1.8% | ||||||||
Investment Companies — 1.8% | ||||||||
JPMorgan Prime Money Market Fund | 20,951 | 20,958 | ||||||
|
| |||||||
Total Investments — 100.0% | 1,156,640 | |||||||
Other Assets Less Liabilities — 0.0%(a) | 189 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 1,156,829 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| CVR | Contingent Value Rights | |
(a) | Amount rounds to less than 0.1% of net assets. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of December 31, 2019. | |
* | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500E-Mini Index | 124 | 03/2020 | USD | 20,038 | 379 | |||||||||||||||
|
| |||||||||||||||||||
| Abbreviations | ||
| USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.4% |
| |||||||
Aerospace & Defense — 4.1% |
| |||||||
Curtiss-Wright Corp. | 42 | 5,917 | ||||||
HEICO Corp., Class A | 41 | 3,653 | ||||||
Huntington Ingalls Industries, Inc. | 9 | 2,137 | ||||||
L3Harris Technologies, Inc. | 32 | 6,233 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 19 | 1,414 | ||||||
Teledyne Technologies, Inc. * | 2 | 797 | ||||||
|
| |||||||
| 20,151 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
XPO Logistics, Inc. * | 17 | 1,379 | ||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
Alaska Air Group, Inc. | 7 | 447 | ||||||
|
| |||||||
Banks — 3.4% |
| |||||||
East West Bancorp, Inc. | 16 | 765 | ||||||
Fifth Third Bancorp | 73 | 2,241 | ||||||
First Horizon National Corp. | 122 | 2,022 | ||||||
KeyCorp | 65 | 1,306 | ||||||
Popular, Inc. (Puerto Rico) | 83 | 4,870 | ||||||
Regions Financial Corp. | 61 | 1,038 | ||||||
Signature Bank | 22 | 3,005 | ||||||
SVB Financial Group * | 6 | 1,406 | ||||||
|
| |||||||
| 16,653 | ||||||||
|
| |||||||
Biotechnology — 1.4% |
| |||||||
BioMarin Pharmaceutical, Inc. * | 12 | 1,032 | ||||||
Bluebird Bio, Inc. * | 18 | 1,544 | ||||||
Incyte Corp. * | 7 | 611 | ||||||
Moderna, Inc. * (a) | 104 | 2,025 | ||||||
Neurocrine Biosciences, Inc. * | 14 | 1,526 | ||||||
Sarepta Therapeutics, Inc. * | 1 | 103 | ||||||
|
| |||||||
| 6,841 | ||||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
Cboe Global Markets, Inc. | 10 | 1,224 | ||||||
E*TRADE Financial Corp. | 6 | 268 | ||||||
Legg Mason, Inc. | 35 | 1,267 | ||||||
LPL Financial Holdings, Inc. | 55 | 5,097 | ||||||
MarketAxess Holdings, Inc. | 3 | 1,137 | ||||||
Morningstar, Inc. | 21 | 3,208 | ||||||
MSCI, Inc. | 5 | 1,162 | ||||||
Raymond James Financial, Inc. | 12 | 1,029 | ||||||
|
| |||||||
| 14,392 | ||||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
Cabot Corp. | 28 | 1,331 | ||||||
CF Industries Holdings, Inc. | 47 | 2,239 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued | ||||||||
Eastman Chemical Co. | 23 | 1,791 | ||||||
Huntsman Corp. | 120 | 2,887 | ||||||
Valvoline, Inc. | 180 | 3,856 | ||||||
|
| |||||||
| 12,104 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Copart, Inc. * | 11 | 973 | ||||||
|
| |||||||
Communications Equipment — 1.2% |
| |||||||
F5 Networks, Inc. * | 41 | 5,754 | ||||||
|
| |||||||
Construction & Engineering — 0.6% |
| |||||||
AECOM * | 71 | 3,071 | ||||||
|
| |||||||
Containers & Packaging — 1.6% |
| |||||||
Ardagh Group SA | 123 | 2,408 | ||||||
Avery Dennison Corp. | 21 | 2,734 | ||||||
Berry Global Group, Inc. * | 54 | 2,584 | ||||||
Graphic Packaging Holding Co. | 17 | 286 | ||||||
|
| |||||||
| 8,012 | ||||||||
|
| |||||||
Distributors — 1.0% |
| |||||||
LKQ Corp. * | 138 | 4,941 | ||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
frontdoor, Inc. * | 21 | 984 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
AXA Equitable Holdings, Inc. | 67 | 1,660 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
CenturyLink, Inc. | 242 | 3,197 | ||||||
|
| |||||||
Electric Utilities — 0.2% |
| |||||||
Evergy, Inc. | 6 | 410 | ||||||
OGE Energy Corp. | 13 | 587 | ||||||
|
| |||||||
| 997 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
GrafTech International Ltd. (a) | 86 | 994 | ||||||
Regal Beloit Corp. | 20 | 1,746 | ||||||
|
| |||||||
| 2,740 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.7% |
| |||||||
Arrow Electronics, Inc. * | 32 | 2,703 | ||||||
Avnet, Inc. | 73 | 3,090 | ||||||
CDW Corp. | 18 | 2,614 | ||||||
|
| |||||||
| 8,407 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Baker Hughes Co. | 29 | 753 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Entertainment — 1.6% |
| |||||||
Activision Blizzard, Inc. | 19 | 1,099 | ||||||
Take-Two Interactive Software, Inc. * | 55 | 6,734 | ||||||
|
| |||||||
| 7,833 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.4% |
| |||||||
American Campus Communities, Inc. | 8 | 376 | ||||||
American Homes 4 Rent, Class A | 58 | 1,515 | ||||||
Brixmor Property Group, Inc. | 39 | 838 | ||||||
Camden Property Trust | 5 | 509 | ||||||
CyrusOne, Inc. | 6 | 412 | ||||||
Douglas Emmett, Inc. | 8 | 338 | ||||||
Duke Realty Corp. | 86 | 2,975 | ||||||
EPR Properties | 7 | 495 | ||||||
Equinix, Inc. | 12 | 6,830 | ||||||
Equity LifeStyle Properties, Inc. | 46 | 3,217 | ||||||
Equity Residential | 23 | 1,845 | ||||||
Gaming and Leisure Properties, Inc. | 79 | 3,414 | ||||||
Hudson Pacific Properties, Inc. | 42 | 1,574 | ||||||
Invitation Homes, Inc. | 100 | 2,982 | ||||||
Liberty Property Trust | 73 | 4,360 | ||||||
Medical Properties Trust, Inc. | 16 | 344 | ||||||
Mid-America Apartment Communities, Inc. | 6 | 747 | ||||||
Realty Income Corp. | 90 | 6,634 | ||||||
Regency Centers Corp. | 3 | 208 | ||||||
Retail Properties of America, Inc., Class A | 71 | 946 | ||||||
SBA Communications Corp. | 3 | 675 | ||||||
SITE Centers Corp. | 10 | 136 | ||||||
Sun Communities, Inc. | 19 | 2,852 | ||||||
VICI Properties, Inc. | 100 | 2,565 | ||||||
|
| |||||||
| 46,787 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
US Foods Holding Corp. * | 102 | 4,264 | ||||||
|
| |||||||
Food Products — 1.9% |
| |||||||
Archer-Daniels-Midland Co. | 60 | 2,762 | ||||||
Hershey Co. (The) | 16 | 2,352 | ||||||
Tyson Foods, Inc., Class A | 49 | 4,434 | ||||||
|
| |||||||
| 9,548 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
National Fuel Gas Co. (a) | 8 | 377 | ||||||
UGI Corp. | 60 | 2,694 | ||||||
|
| |||||||
| 3,071 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Cooper Cos., Inc. (The) | 1 | 193 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — continued | ||||||||
Dentsply Sirona, Inc. | 31 | 1,754 | ||||||
Hill-Rom Holdings, Inc. | 18 | 1,987 | ||||||
Hologic, Inc. * | 34 | 1,796 | ||||||
SmileDirectClub, Inc. * (a) | 101 | 880 | ||||||
Teleflex, Inc. | 3 | 1,205 | ||||||
Zimmer Biomet Holdings, Inc. | 48 | 7,244 | ||||||
|
| |||||||
| 15,059 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.4% |
| |||||||
AmerisourceBergen Corp. | 35 | 3,001 | ||||||
Cardinal Health, Inc. | 43 | 2,160 | ||||||
Centene Corp. * | 121 | 7,588 | ||||||
DaVita, Inc. * | 22 | 1,681 | ||||||
McKesson Corp. | 31 | 4,302 | ||||||
Premier, Inc., Class A * | 82 | 3,095 | ||||||
|
| |||||||
| 21,827 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||||
Aramark | 54 | 2,348 | ||||||
Chipotle Mexican Grill, Inc. * | 3 | 2,511 | ||||||
Hilton Worldwide Holdings, Inc. | 37 | 4,082 | ||||||
Wyndham Destinations, Inc. | 175 | 9,066 | ||||||
|
| |||||||
| 18,007 | ||||||||
|
| |||||||
Household Durables — 3.1% |
| |||||||
Garmin Ltd. | 12 | 1,122 | ||||||
Newell Brands, Inc. | 258 | 4,963 | ||||||
PulteGroup, Inc. | 223 | 8,660 | ||||||
Tempur Sealy International, Inc. * | 6 | 479 | ||||||
|
| |||||||
| 15,224 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 4.9% |
| |||||||
AES Corp. | 397 | 7,898 | ||||||
NRG Energy, Inc. | 214 | 8,511 | ||||||
Vistra Energy Corp. | 338 | 7,775 | ||||||
|
| |||||||
| 24,184 | ||||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
American Financial Group, Inc. | 20 | 2,160 | ||||||
American National Insurance Co. | 2 | 212 | ||||||
Arch Capital Group Ltd. * | 12 | 530 | ||||||
Assurant, Inc. | 2 | 229 | ||||||
Assured Guaranty Ltd. | 13 | 618 | ||||||
Axis Capital Holdings Ltd. | 5 | 285 | ||||||
Everest Re Group Ltd. | 7 | 2,021 | ||||||
Fidelity National Financial, Inc. | 30 | 1,367 | ||||||
First American Financial Corp. | 51 | 2,951 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued |
| |||||||
Hanover Insurance Group, Inc. (The) | 19 | 2,569 | ||||||
Hartford Financial Services Group, Inc. (The) | 24 | 1,465 | ||||||
Lincoln National Corp. | 4 | 224 | ||||||
Mercury General Corp. | 7 | 341 | ||||||
Old Republic International Corp. | 12 | 257 | ||||||
Progressive Corp. (The) | 6 | 405 | ||||||
Willis Towers Watson plc | 12 | 2,343 | ||||||
|
| |||||||
| 17,977 | ||||||||
|
| |||||||
Interactive Media & Services — 0.5% |
| |||||||
Twitter, Inc. * | 77 | 2,471 | ||||||
|
| |||||||
IT Services — 6.9% |
| |||||||
Black Knight, Inc. * | 41 | 2,671 | ||||||
Broadridge Financial Solutions, Inc. | 25 | 3,101 | ||||||
CACI International, Inc., Class A * | 28 | 6,975 | ||||||
DXC Technology Co. | 46 | 1,744 | ||||||
Euronet Worldwide, Inc. * | 5 | 803 | ||||||
Fidelity National Information Services, Inc. | 44 | 6,132 | ||||||
Fiserv, Inc. * | 33 | 3,758 | ||||||
Global Payments, Inc. | 13 | 2,416 | ||||||
Leidos Holdings, Inc. | 44 | 4,327 | ||||||
Sabre Corp. | 116 | 2,610 | ||||||
|
| |||||||
| 34,537 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Peloton Interactive, Inc., Class A * (a) | 10 | 290 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 35 | 2,986 | ||||||
|
| |||||||
Machinery — 4.8% |
| |||||||
Allison Transmission Holdings, Inc. | 41 | 1,996 | ||||||
Crane Co. | 35 | 3,006 | ||||||
Ingersoll-Rand plc | 67 | 8,852 | ||||||
Timken Co. (The) | 175 | 9,871 | ||||||
|
| |||||||
| 23,725 | ||||||||
|
| |||||||
Media — 2.5% |
| |||||||
Altice USA, Inc., Class A * | 45 | 1,217 | ||||||
Discovery, Inc., Class C * | 46 | 1,399 | ||||||
DISH Network Corp., Class A * | 61 | 2,157 | ||||||
Fox Corp., Class B | 58 | 2,104 | ||||||
Nexstar Media Group, Inc., Class A | 12 | 1,348 | ||||||
Sinclair Broadcast Group, Inc., Class A | 113 | 3,767 | ||||||
ViacomCBS, Inc. | 8 | 346 | ||||||
|
| |||||||
| 12,338 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Metals & Mining — 1.4% |
| |||||||
Newmont Goldcorp Corp. | 67 | 2,911 | ||||||
Reliance Steel & Aluminum Co. | 11 | 1,258 | ||||||
Steel Dynamics, Inc. | 76 | 2,580 | ||||||
|
| |||||||
| 6,749 | ||||||||
|
| |||||||
Multiline Retail — 1.3% | ||||||||
Dollar General Corp. | 42 | 6,551 | ||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
CenterPoint Energy, Inc. | 30 | 823 | ||||||
Consolidated Edison, Inc. | 14 | 1,303 | ||||||
|
| |||||||
| 2,126 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.2% | ||||||||
Cabot Oil & Gas Corp. | 94 | 1,640 | ||||||
Devon Energy Corp. | 90 | 2,330 | ||||||
EQT Corp. | 84 | 911 | ||||||
Marathon Oil Corp. | 233 | 3,161 | ||||||
Marathon Petroleum Corp. | 27 | 1,633 | ||||||
PBF Energy, Inc., Class A | 52 | 1,644 | ||||||
Valero Energy Corp. | 9 | 796 | ||||||
Williams Cos., Inc. (The) | 159 | 3,781 | ||||||
|
| |||||||
| 15,896 | ||||||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
Elanco Animal Health, Inc. * | 41 | 1,199 | ||||||
Jazz Pharmaceuticals plc * | 11 | 1,567 | ||||||
Mylan NV * | 96 | 1,930 | ||||||
Nektar Therapeutics * (a) | 66 | 1,431 | ||||||
Perrigo Co. plc | 25 | 1,286 | ||||||
|
| |||||||
| 7,413 | ||||||||
|
| |||||||
Professional Services — 2.3% | ||||||||
CoStar Group, Inc. * | 7 | 4,368 | ||||||
ManpowerGroup, Inc. | 17 | 1,621 | ||||||
Nielsen Holdings plc | 40 | 806 | ||||||
TransUnion | 54 | 4,649 | ||||||
|
| |||||||
| 11,444 | ||||||||
|
| |||||||
Road & Rail — 0.3% | ||||||||
Kansas City Southern | 5 | 827 | ||||||
Landstar System, Inc. | 7 | 786 | ||||||
|
| |||||||
| 1,613 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
KLA Corp. | 6 | 1,104 | ||||||
Lam Research Corp. | 23 | 6,667 | ||||||
Marvell Technology Group Ltd. | 123 | 3,259 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
ON Semiconductor Corp. * | 103 | 2,516 | ||||||
Xilinx, Inc. | 41 | 3,999 | ||||||
|
| |||||||
| 17,545 | ||||||||
|
| |||||||
Software — 2.0% | ||||||||
Citrix Systems, Inc. | 32 | 3,504 | ||||||
Crowdstrike Holdings, Inc., Class A * | 37 | 1,860 | ||||||
Datadog, Inc., Class A * | 15 | 578 | ||||||
Fair Isaac Corp. * | 6 | 2,286 | ||||||
Synopsys, Inc. * | 12 | 1,615 | ||||||
|
| |||||||
| 9,843 | ||||||||
|
| |||||||
Specialty Retail — 2.4% | ||||||||
AutoZone, Inc. * | 1 | 834 | ||||||
Best Buy Co., Inc. | 36 | 3,196 | ||||||
Burlington Stores, Inc. * | 2 | 501 | ||||||
O’Reilly Automotive, Inc. * | 17 | 7,330 | ||||||
|
| |||||||
| 11,861 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.0% |
| |||||||
Dell Technologies, Inc., Class C * | 125 | 6,430 | ||||||
NCR Corp. * | 43 | 1,508 | ||||||
Xerox Holdings Corp. | 195 | 7,171 | ||||||
|
| |||||||
| 15,109 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Lululemon Athletica, Inc. * | 19 | 4,471 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
MGIC Investment Corp. | 22 | 307 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
HD Supply Holdings, Inc. * | 112 | 4,517 | ||||||
|
| |||||||
Total Common Stocks | 489,029 | |||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 1.9% |
| |||||||
Investment Companies — 1.0% |
| |||||||
JPMorgan Prime Money Market Fund | 4,841 | 4,843 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c) | 2,000 | 2,000 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c) | 2,328 | 2,328 | ||||||
|
| |||||||
TotaL Investment of Cash Collateral from Securities Loaned | 4,328 | |||||||
|
| |||||||
Total Short-Term Investments | 9,171 | |||||||
|
| |||||||
Total Investments — 100.3% | 498,200 | |||||||
Liabilities in Excess of | (1,330 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 496,870 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $4,362,000. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
| S&P Midcap 400E-Mini Index | 63 | 03/2020 | USD | 13,006 | 43 | |||||||||||||
|
| |||||||||||||||||
| Abbreviations | ||
USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid Sustainable Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.6% |
| |||||||
Airlines — 0.7% |
| |||||||
Delta Air Lines, Inc. | 4 | 256 | ||||||
|
| |||||||
Banks — 6.2% |
| |||||||
Bank of America Corp. | 32 | 1,111 | ||||||
Citigroup, Inc. | 12 | 973 | ||||||
PNC Financial Services Group, Inc. (The) | 1 | 217 | ||||||
|
| |||||||
| 2,301 | ||||||||
|
| |||||||
Beverages — 2.0% |
| |||||||
PepsiCo, Inc. | 5 | 749 | ||||||
|
| |||||||
Biotechnology — 6.1% |
| |||||||
AbbVie, Inc. | 8 | 710 | ||||||
Amgen, Inc. | 3 | 841 | ||||||
Gilead Sciences, Inc. | 11 | 695 | ||||||
|
| |||||||
| 2,246 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
Owens Corning | 4 | 278 | ||||||
|
| |||||||
Chemicals — 0.8% |
| |||||||
Axalta Coating Systems Ltd. * | 10 | 293 | ||||||
|
| |||||||
Communications Equipment — 2.7% |
| |||||||
Cisco Systems, Inc. | 21 | 991 | ||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
EMCOR Group, Inc. | 3 | 278 | ||||||
|
| |||||||
Consumer Finance — 3.1% |
| |||||||
Ally Financial, Inc. | 9 | 285 | ||||||
American Express Co. | 7 | 856 | ||||||
|
| |||||||
| 1,141 | ||||||||
|
| |||||||
Containers & Packaging — 1.2% |
| |||||||
Ball Corp. | 5 | 301 | ||||||
Crown Holdings, Inc. * | 2 | 135 | ||||||
|
| |||||||
| 436 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
Voya Financial, Inc. | 2 | 107 | ||||||
|
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
Verizon Communications, Inc. | 18 | 1,122 | ||||||
|
| |||||||
Electric Utilities — 2.4% |
| |||||||
Entergy Corp. | 2 | 181 | ||||||
Exelon Corp. | 2 | 106 | ||||||
NextEra Energy, Inc. | 2 | 582 | ||||||
|
| |||||||
| 869 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
Baker Hughes Co. | 6 | 159 | ||||||
Halliburton Co. | 3 | 76 | ||||||
|
| |||||||
| 235 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Entertainment — 1.6% |
| |||||||
Electronic Arts, Inc. * | 3 | 302 | ||||||
Take-Two Interactive Software, Inc. * | 2 | 294 | ||||||
|
| |||||||
| 596 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.3% |
| |||||||
American Tower Corp. | 4 | 853 | ||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
Kroger Co. (The) | 10 | 302 | ||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
General Mills, Inc. | 10 | 543 | ||||||
|
| |||||||
Health Care Providers & Services — 5.1% |
| |||||||
Anthem, Inc. | 2 | 717 | ||||||
Cigna Corp. | 3 | 566 | ||||||
Humana, Inc. | 1 | 198 | ||||||
UnitedHealth Group, Inc. | 1 | 406 | ||||||
|
| |||||||
| 1,887 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Chipotle Mexican Grill, Inc. * | — | (a) | 293 | |||||
Darden Restaurants, Inc. | 2 | 258 | ||||||
|
| |||||||
| 551 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
PulteGroup, Inc. | 7 | 265 | ||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
Procter & Gamble Co. (The) | 5 | 661 | ||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
Lincoln National Corp. | 4 | 238 | ||||||
Prudential Financial, Inc. | 4 | 334 | ||||||
Travelers Cos., Inc. (The) | 5 | 737 | ||||||
|
| |||||||
| 1,309 | ||||||||
|
| |||||||
Interactive Media & Services — 3.9% |
| |||||||
Alphabet, Inc., Class A * | — | (a) | 629 | |||||
Alphabet, Inc., Class C * | 1 | 816 | ||||||
|
| |||||||
| 1,445 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.8% |
| |||||||
Amazon.com, Inc. * | — | (a) | 369 | |||||
eBay, Inc. | 8 | 299 | ||||||
|
| |||||||
| 668 | ||||||||
|
| |||||||
IT Services — 4.4% |
| |||||||
Accenture plc, Class A | 3 | 596 | ||||||
Automatic Data Processing, Inc. | 1 | 145 | ||||||
Mastercard, Inc., Class A | 3 | 863 | ||||||
|
| |||||||
| 1,604 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Machinery — 3.5% |
| |||||||
Cummins, Inc. | 2 | 285 | ||||||
Flowserve Corp. | 4 | 213 | ||||||
Ingersoll-Rand plc | 4 | 570 | ||||||
Parker-Hannifin Corp. | 1 | 226 | ||||||
|
| |||||||
| 1,294 | ||||||||
|
| |||||||
Media — 1.6% |
| |||||||
Cable One, Inc. | — | (a) | 179 | |||||
New York Times Co. (The), Class A | 4 | 134 | ||||||
Omnicom Group, Inc. | 4 | 294 | ||||||
|
| |||||||
| 607 | ||||||||
|
| |||||||
Multiline Retail — 2.1% |
| |||||||
Target Corp. | 6 | 785 | ||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
CMS Energy Corp. | 2 | 99 | ||||||
Sempra Energy | 1 | 148 | ||||||
|
| |||||||
| 247 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
HollyFrontier Corp. | 5 | 250 | ||||||
Phillips 66 | 5 | 523 | ||||||
Valero Energy Corp. | 5 | 460 | ||||||
|
| |||||||
| 1,233 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% |
| |||||||
Bristol-Myers Squibb Co. | 11 | 674 | ||||||
Jazz Pharmaceuticals plc * | 1 | 128 | ||||||
|
| |||||||
| 802 | ||||||||
|
| |||||||
Professional Services — 0.8% |
| |||||||
FTI Consulting, Inc. * | 3 | 292 | ||||||
|
| |||||||
Real Estate Management & Development — 0.9% |
| |||||||
CBRE Group, Inc., Class A * | 5 | 328 | ||||||
|
| |||||||
Road & Rail — 1.3% |
| |||||||
CSX Corp. | 7 | 476 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
Applied Materials, Inc. | 7 | 454 | ||||||
Lam Research Corp. | 3 | 779 | ||||||
Texas Instruments, Inc. | 3 | 354 | ||||||
|
| |||||||
| 1,587 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — 8.7% |
| |||||||
Cadence Design Systems, Inc. * | 4 | 282 | ||||||
Intuit, Inc. | 2 | 555 | ||||||
Microsoft Corp. | 15 | 2,365 | ||||||
|
| |||||||
| 3,202 | ||||||||
|
| |||||||
Specialty Retail — 2.3% |
| |||||||
Best Buy Co., Inc. | 3 | 290 | ||||||
Home Depot, Inc. (The) | 3 | 550 | ||||||
|
| |||||||
| 840 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.8% |
| |||||||
Apple, Inc. | 3 | 849 | ||||||
HP, Inc. | 13 | 277 | ||||||
Xerox Holdings Corp. | 8 | 288 | ||||||
|
| |||||||
| 1,414 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
Deckers Outdoor Corp. * | 2 | 306 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
United Rentals, Inc. * | 1 | 238 | ||||||
|
| |||||||
Total Common Stocks | 35,637 | |||||||
|
| |||||||
Short-Term Investments — 3.3% |
| |||||||
Investment Companies — 3.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c) | 1,212 | 1,213 | ||||||
|
| |||||||
Total Investments — 99.9% | 36,850 | |||||||
Other Assets Less Liabilities — 0.1% | 34 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 36,884 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
| (a) | Amount rounds to less than one thousand. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Sustainable Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
| S&P 500E-Mini Index | 7 | 03/2020 | USD | 1,131 | 15 | |||||||||||||
|
| |||||||||||||||||
| Abbreviations | ||
USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.6% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
Northrop Grumman Corp. | 37 | 12,555 | ||||||
United Technologies Corp. | 23 | 3,414 | ||||||
|
| |||||||
| 15,969 | ||||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
Delta Air Lines, Inc. | 112 | 6,550 | ||||||
United Airlines Holdings, Inc. * | 90 | 7,954 | ||||||
|
| |||||||
| 14,504 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Lear Corp. | 21 | 2,867 | ||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
General Motors Co. | 96 | 3,506 | ||||||
|
| |||||||
Banks — 10.7% |
| |||||||
Bank of America Corp. | 1,121 | 39,481 | ||||||
CIT Group, Inc. | 84 | 3,833 | ||||||
Citigroup, Inc. | 402 | 32,083 | ||||||
Citizens Financial Group, Inc. | 194 | 7,862 | ||||||
Popular, Inc. (Puerto Rico) | 147 | 8,660 | ||||||
Regions Financial Corp. | 497 | 8,527 | ||||||
US Bancorp | 104 | 6,148 | ||||||
|
| |||||||
| 106,594 | ||||||||
|
| |||||||
Beverages — 0.2% |
| |||||||
Molson Coors Brewing Co., Class B | 46 | 2,458 | ||||||
|
| |||||||
Biotechnology — 4.7% |
| |||||||
AbbVie, Inc. | 170 | 15,061 | ||||||
Amgen, Inc. | 55 | 13,366 | ||||||
Biogen, Inc. * | 18 | 5,371 | ||||||
Gilead Sciences, Inc. | 198 | 12,833 | ||||||
|
| |||||||
| 46,631 | ||||||||
|
| |||||||
Capital Markets — 0.8% |
| |||||||
Ameriprise Financial, Inc. | 49 | 8,129 | ||||||
|
| |||||||
Chemicals — 2.3% |
| |||||||
Axalta Coating Systems Ltd. * | 178 | 5,402 | ||||||
CF Industries Holdings, Inc. | 166 | 7,925 | ||||||
DuPont de Nemours, Inc. | 60 | 3,852 | ||||||
Huntsman Corp. | 257 | 6,207 | ||||||
|
| |||||||
| 23,386 | ||||||||
|
| |||||||
Communications Equipment — 1.1% |
| |||||||
Cisco Systems, Inc. | 221 | 10,590 | ||||||
|
| |||||||
Construction & Engineering — 1.6% |
| |||||||
AECOM * | 87 | 3,731 | ||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Construction & Engineering — continued | ||||||||
EMCOR Group, Inc. | 51 | 4,401 | ||||||
MasTec, Inc. * | 126 | 8,071 | ||||||
|
| |||||||
| 16,203 | ||||||||
|
| |||||||
Consumer Finance — 2.4% |
| |||||||
Ally Financial, Inc. | 144 | 4,388 | ||||||
American Express Co. | 57 | 7,046 | ||||||
Credit Acceptance Corp. * (a) | 9 | 3,832 | ||||||
Discover Financial Services | 105 | 8,915 | ||||||
|
| |||||||
| 24,181 | ||||||||
|
| |||||||
Containers & Packaging — 1.2% |
| |||||||
Ball Corp. | 65 | 4,229 | ||||||
Berry Global Group, Inc. * | 15 | 689 | ||||||
Crown Holdings, Inc. * | 103 | 7,493 | ||||||
|
| |||||||
| 12,411 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
Voya Financial, Inc. | 137 | 8,360 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
Verizon Communications, Inc. | 360 | 22,122 | ||||||
|
| |||||||
Electric Utilities — 4.3% |
| |||||||
American Electric Power Co., Inc. | 52 | 4,867 | ||||||
Entergy Corp. | 67 | 7,991 | ||||||
Exelon Corp. | 472 | 21,532 | ||||||
FirstEnergy Corp. | 40 | 1,964 | ||||||
OGE Energy Corp. | 116 | 5,145 | ||||||
Southern Co. (The) | 18 | 1,121 | ||||||
|
| |||||||
| 42,620 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.2% |
| |||||||
American Tower Corp. | 53 | 12,112 | ||||||
Essex Property Trust, Inc. | 25 | 7,582 | ||||||
Extra Space Storage, Inc. | 74 | 7,763 | ||||||
Invitation Homes, Inc. | 262 | 7,837 | ||||||
Mid-America Apartment Communities, Inc. | 17 | 2,229 | ||||||
Paramount Group, Inc. | 596 | 8,299 | ||||||
SL Green Realty Corp. | 17 | 1,580 | ||||||
STORE Capital Corp. | 123 | 4,569 | ||||||
|
| |||||||
| 51,971 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
Walgreens Boots Alliance, Inc. | 163 | 9,611 | ||||||
Walmart, Inc. | 17 | 2,008 | ||||||
|
| |||||||
| 11,619 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Food Products — 2.3% |
| |||||||
General Mills, Inc. | 119 | 6,389 | ||||||
Pilgrim’s Pride Corp. * | 264 | 8,640 | ||||||
Tyson Foods, Inc., Class A | 87 | 7,948 | ||||||
|
| |||||||
| 22,977 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
Hologic, Inc. * | 115 | 5,988 | ||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
Anthem, Inc. | 43 | 12,867 | ||||||
DaVita, Inc. * | 102 | 7,623 | ||||||
McKesson Corp. | 33 | 4,578 | ||||||
UnitedHealth Group, Inc. | 34 | 9,966 | ||||||
|
| |||||||
| 35,034 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Starbucks Corp. | 211 | 18,560 | ||||||
|
| |||||||
Household Durables — 1.1% |
| |||||||
PulteGroup, Inc. | 203 | 7,888 | ||||||
Toll Brothers, Inc. | 80 | 3,161 | ||||||
|
| |||||||
| 11,049 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
Procter & Gamble Co. (The) | 144 | 17,986 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.9% |
| |||||||
AES Corp. | 199 | 3,956 | ||||||
NRG Energy, Inc. | 203 | 8,081 | ||||||
Vistra Energy Corp. | 300 | 6,900 | ||||||
|
| |||||||
| 18,937 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
Carlisle Cos., Inc. | 49 | 7,930 | ||||||
|
| |||||||
Insurance — 6.5% |
| |||||||
Allstate Corp. (The) | 128 | 14,382 | ||||||
Aon plc | 28 | 5,874 | ||||||
Fidelity National Financial, Inc. | 169 | 7,642 | ||||||
MetLife, Inc. | 88 | 4,490 | ||||||
Primerica, Inc. | 57 | 7,442 | ||||||
Progressive Corp. (The) | 83 | 5,994 | ||||||
Travelers Cos., Inc. (The) | 138 | 18,858 | ||||||
|
| |||||||
| 64,682 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.1% |
| |||||||
eBay, Inc. | 217 | 7,829 | ||||||
Expedia Group, Inc. | 26 | 2,768 | ||||||
|
| |||||||
| 10,597 | ||||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
IT Services — 1.6% |
| |||||||
KBR, Inc. | 175 | 5,341 | ||||||
Leidos Holdings, Inc. | 84 | 8,262 | ||||||
Visa, Inc., Class A | 13 | 2,461 | ||||||
|
| |||||||
| 16,064 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
IQVIA Holdings, Inc. * | 49 | 7,525 | ||||||
|
| |||||||
Machinery — 0.7% | ||||||||
Cummins, Inc. | 41 | 7,284 | ||||||
|
| |||||||
Media — 6.0% |
| |||||||
Altice USA, Inc., Class A * | 277 | 7,568 | ||||||
AMC Networks, Inc., Class A * | 75 | 2,958 | ||||||
Comcast Corp., Class A | 628 | 28,228 | ||||||
Nexstar Media Group, Inc., Class A | 78 | 9,110 | ||||||
Omnicom Group, Inc. | 57 | 4,634 | ||||||
Sinclair Broadcast Group, Inc., Class A | 220 | 7,325 | ||||||
|
| |||||||
| 59,823 | ||||||||
|
| |||||||
Multiline Retail — 0.6% |
| |||||||
Target Corp. | 43 | 5,564 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.3% |
| |||||||
Cabot Oil & Gas Corp. | 94 | 1,630 | ||||||
Chevron Corp. | 272 | 32,773 | ||||||
ConocoPhillips | 206 | 13,403 | ||||||
CVR Energy, Inc. (a) | 45 | 1,823 | ||||||
EOG Resources, Inc. | 29 | 2,412 | ||||||
HollyFrontier Corp. | 136 | 6,917 | ||||||
PBF Energy, Inc., Class A | 57 | 1,775 | ||||||
Phillips 66 | 104 | 11,587 | ||||||
Valero Energy Corp. | 116 | 10,891 | ||||||
|
| |||||||
| 83,211 | ||||||||
|
| |||||||
Paper & Forest Products — 0.4% |
| |||||||
Domtar Corp. | 100 | 3,809 | ||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
Herbalife Nutrition Ltd. * | 176 | 8,390 | ||||||
|
| |||||||
Pharmaceuticals — 4.3% |
| |||||||
Allergan plc | 33 | 6,251 | ||||||
Bristol-Myers Squibb Co. | 237 | 15,220 | ||||||
Jazz Pharmaceuticals plc * | 58 | 8,718 | ||||||
Johnson & Johnson | 67 | 9,817 | ||||||
Mylan NV * | 131 | 2,629 | ||||||
|
| |||||||
| 42,635 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Professional Services — 0.7% |
| |||||||
FTI Consulting, Inc. * | 60 | 6,673 | ||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
CSX Corp. | 96 | 6,968 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.8% |
| |||||||
Applied Materials, Inc. | 25 | 1,550 | ||||||
Lam Research Corp. | 36 | 10,380 | ||||||
Micron Technology, Inc. * | 33 | 1,759 | ||||||
NXP Semiconductors NV (Netherlands) | 131 | 16,620 | ||||||
QUALCOMM, Inc. | 86 | 7,553 | ||||||
|
| |||||||
| 37,862 | ||||||||
|
| |||||||
Software — 1.5% |
| |||||||
Oracle Corp. | 277 | 14,660 | ||||||
|
| |||||||
Specialty Retail — 0.6% |
| |||||||
AutoZone, Inc. * | 5 | 6,314 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
Apple, Inc. | 15 | 4,258 | ||||||
|
| |||||||
Tobacco — 1.1% |
| |||||||
Altria Group, Inc. | 212 | 10,596 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.5% |
| |||||||
United Rentals, Inc. * | 31 | 5,203 | ||||||
|
| |||||||
Total Common Stocks |
| 964,700 | ||||||
|
| |||||||
| NO. OF RIGHTS (000) | ||||||||
Rights — 0.0%(b) |
| |||||||
Pharmaceuticals — 0.0% (b) |
| |||||||
Bristol-Myers Squibb Co., CVR, expiring 12/31/2020 * | 14 | 43 | ||||||
|
| |||||||
| INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 3.8% |
| |||||||
Investment Companies — 3.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d) | 34,554 | 34,565 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.4% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d) | 2,003 | 2,003 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d) | 1,703 | 1,704 | ||||||
|
| |||||||
Total Investment of Cash Collateral from |
| 3,707 | ||||||
|
| |||||||
Total Short-Term Investments |
| 38,272 | ||||||
|
| |||||||
Total Investments — 100.4% |
| 1,003,015 | ||||||
Liabilities in Excess of |
| (4,284 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 998,731 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Abbreviations
| CVR | Contingent Value Rights | |
| (a) | The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $3,649,000. | |
| (b) | Amount rounds to less than 0.1% of net assets. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of December 31, 2019. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of December 31, 2019 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500E-Mini Index | 199 | 03/2020 | USD | 32,158 | 543 | |||||||||||||||
|
| |||||||||||||||||||
Abbreviations | ||
USD | United States Dollar | |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Fund | JPMorgan Intrepid Mid Cap Fund | |||||||
ASSETS: | ||||||||
Investments innon-affiliates, at value | $ | 1,135,682 | $ | 489,029 | ||||
Investments in affiliates, at value | 20,958 | 4,843 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | — | 4,328 | ||||||
Cash | 38 | 19 | ||||||
Deposits at broker for futures contracts | 981 | 387 | ||||||
Receivables: | ||||||||
Investment securities sold | 3,377 | 10,626 | ||||||
Fund shares sold | 731 | 455 | ||||||
Dividends fromnon-affiliates | 575 | 542 | ||||||
Dividends from affiliates | 1 | — | (a) | |||||
Securities lending income (See Note 2.C.) | — | (a) | 10 | |||||
Variation margin on futures contracts | 53 | 4 | ||||||
|
|
|
| |||||
Total Assets | 1,162,396 | 510,243 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 4,530 | — | ||||||
Collateral received on securities loaned (See Note 2.C.) | — | 4,328 | ||||||
Fund shares redeemed | 501 | 8,522 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 256 | 221 | ||||||
Administration fees | 51 | 24 | ||||||
Distribution fees | 65 | 69 | ||||||
Service fees | 85 | 83 | ||||||
Custodian and accounting fees | 9 | 10 | ||||||
Audit fees | 10 | 9 | ||||||
Legal fees | — | — | (a) | |||||
Other | 60 | 107 | ||||||
|
|
|
| |||||
Total Liabilities | 5,567 | 13,373 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,156,829 | $ | 496,870 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
JPMorgan Fund | JPMorgan Intrepid Mid Cap Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 795,672 | $ | 383,295 | ||||
Total distributable earnings (loss) | 361,157 | 113,575 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,156,829 | $ | 496,870 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 106,187 | $ | 192,223 | ||||
Class C | 36,614 | 38,471 | ||||||
Class I | 156,931 | 163,896 | ||||||
Class R2 | 45,678 | — | ||||||
Class R3 | — | 14,643 | ||||||
Class R4 | — | 1,212 | ||||||
Class R5 | 195,931 | — | ||||||
Class R6 | 615,488 | 86,425 | ||||||
|
|
|
| |||||
Total | $ | 1,156,829 | $ | 496,870 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 1,938 | 10,834 | ||||||
Class C | 683 | 2,779 | ||||||
Class I | 2,811 | 8,588 | ||||||
Class R2 | 856 | — | ||||||
Class R3 | — | 831 | ||||||
Class R4 | — | 64 | ||||||
Class R5 | 3,568 | — | ||||||
Class R6 | 11,213 | 4,531 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 54.78 | $ | 17.74 | ||||
Class C — Offering price per share (b) | 53.62 | 13.84 | ||||||
Class I — Offering and redemption price per share | 55.82 | 19.08 | ||||||
Class R2 — Offering and redemption price per share | 53.36 | — | ||||||
Class R3 — Offering and redemption price per share | — | 17.62 | ||||||
Class R4 — Offering and redemption price per share | �� | 19.00 | ||||||
Class R5 — Offering and redemption price per share | 54.92 | — | ||||||
Class R6 — Offering and redemption price per share | 54.89 | 19.07 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 57.82 | $ | 18.72 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 793,765 | $ | 389,138 | ||||
Cost of investments in affiliates | 20,958 | 4,843 | ||||||
Investment securities on loan, at value (See Note 2.C.) | — | 4,362 | ||||||
Cost of investment of cash collateral (See Note 2.C.) | — | 4,328 | ||||||
| (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, 2019 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Fund | |||||||
ASSETS: |
| |||||||
Investments innon-affiliates, at value | $ | 35,637 | $ | 964,743 | ||||
Investments in affiliates, at value | 1,213 | 34,565 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | — | 3,707 | ||||||
Cash | 1 | 51 | ||||||
Deposits at broker for futures contracts | 72 | 1,365 | ||||||
Receivables: | ||||||||
Fund shares sold | 5 | 1,930 | ||||||
Dividends fromnon-affiliates | 26 | 944 | ||||||
Dividends from affiliates | — | (a) | 2 | |||||
Securities lending income (See Note 2.C.) | — | 1 | ||||||
Variation margin on futures contracts | 3 | 85 | ||||||
|
|
|
| |||||
Total Assets | 36,957 | 1,007,393 | ||||||
|
|
|
| |||||
LIABILITIES: |
| |||||||
Payables: | ||||||||
Investment securities purchased | — | 2,893 | ||||||
Collateral received on securities loaned (See Note 2.C.) | — | 3,707 | ||||||
Fund shares redeemed | 20 | 1,453 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | — | 211 | ||||||
Administration fees | — | 38 | ||||||
Distribution fees | 5 | 26 | ||||||
Service fees | 4 | 175 | ||||||
Custodian and accounting fees | 6 | 7 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | ||||||
Registration fees | 10 | — | ||||||
Audit fees | 13 | 10 | ||||||
Legal fees | 8 | — | (a) | |||||
Other | 6 | 142 | ||||||
|
|
|
| |||||
Total Liabilities | 73 | 8,662 | ||||||
|
|
|
| |||||
Net Assets | $ | 36,884 | $ | 998,731 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Intrepid Value Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 29,270 | $ | 840,724 | ||||
Total distributable earnings (loss) | 7,614 | 158,007 | ||||||
|
|
| �� | |||||
Total Net Assets | $ | 36,884 | $ | 998,731 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 12,872 | $ | 66,701 | ||||
Class C | 3,085 | 16,498 | ||||||
Class I | 20,927 | 731,298 | ||||||
Class R2 | — | 3,826 | ||||||
Class R5 | — | 14,953 | ||||||
Class R6 | — | 165,455 | ||||||
|
|
|
| |||||
Total | $ | 36,884 | $ | 998,731 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 298 | 2,137 | ||||||
Class C | 73 | 538 | ||||||
Class I | 482 | 23,274 | ||||||
Class R2 | — | 124 | ||||||
Class R5 | — | 474 | ||||||
Class R6 | — | 5,245 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 43.16 | $ | 31.21 | ||||
Class C — Offering price per share (b) | 42.30 | 30.65 | ||||||
Class I — Offering and redemption price per share | 43.45 | 31.42 | ||||||
Class R2 — Offering and redemption price per share | — | 30.89 | ||||||
Class R5 — Offering and redemption price per share | — | 31.54 | ||||||
Class R6 — Offering and redemption price per share | — | 31.55 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 45.55 | $ | 32.94 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 27,931 | $ | 810,000 | ||||
Cost of investments in affiliates | 1,213 | 34,565 | ||||||
Investment securities on loan, at value (See Note 2.C.) | — | 3,649 | ||||||
Cost of investment of cash collateral (See Note 2.C.) | — | 3,707 | ||||||
| (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, 2019 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)
(Amounts in thousands)
| JPMorgan Intrepid Growth Fund | JPMorgan Intrepid Mid Cap Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income fromnon-affiliates | $ | 11 | $ | 5 | ||||
Interest income from affiliates | — | (a) | — | (a) | ||||
Dividend income fromnon-affiliates | 7,123 | 3,845 | ||||||
Dividend income from affiliates | 264 | 113 | ||||||
Income from securities lending (net) (See Note 2.C.) | 7 | 40 | ||||||
|
|
|
| |||||
Total investment income | 7,405 | 4,003 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 1,924 | 1,452 | ||||||
Administration fees | 431 | 192 | ||||||
Distribution fees: | ||||||||
Class A | 130 | 247 | ||||||
Class C | 135 | 150 | ||||||
Class R2 | 112 | — | ||||||
Class R3 | — | 19 | ||||||
Service fees: | ||||||||
Class A | 130 | 247 | ||||||
Class C | 45 | 50 | ||||||
Class I | 201 | 217 | ||||||
Class R2 | 56 | — | ||||||
Class R3 | — | 19 | ||||||
Class R4 | — | 2 | ||||||
Class R5 | 96 | — | ||||||
Custodian and accounting fees | 23 | 19 | ||||||
Interest expense to affiliates | — | (a) | — | (a) | ||||
Professional fees | 33 | 29 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 14 | ||||||
Printing and mailing costs | 8 | 38 | ||||||
Registration and filing fees | 53 | 60 | ||||||
Transfer agency fees (See Note 2.F.) | 37 | 38 | ||||||
Other | 12 | 9 | ||||||
|
|
|
| |||||
Total expenses | 3,441 | 2,802 | ||||||
|
|
|
| |||||
Less fees waived | (596 | ) | (220 | ) | ||||
Less expense reimbursements | — | (1 | ) | |||||
|
|
|
| |||||
Net expenses | 2,845 | 2,581 | ||||||
|
|
|
| |||||
Net investment income (loss) | 4,560 | 1,422 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments innon-affiliates | 43,309 | 44,957 | ||||||
Investments in affiliates | (4 | ) | (1 | ) | ||||
Futures contracts | 3,500 | 828 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 46,805 | 45,784 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments innon-affiliates | 53,972 | (3,098 | ) | |||||
Investments in affiliates | (2 | ) | (1 | ) | ||||
Futures contracts | 66 | (41 | ) | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 54,036 | (3,140 | ) | |||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 100,841 | 42,644 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 105,401 | $ | 44,066 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Intrepid Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income fromnon-affiliates | $ | 1 | $ | 11 | ||||
Interest income from affiliates | — | — | (a) | |||||
Dividend income fromnon-affiliates | 318 | 10,560 | ||||||
Dividend income from affiliates | 11 | 278 | ||||||
Income from securities lending (net) (See Note 2.C.) | — | 6 | ||||||
|
|
|
| |||||
Total investment income | 330 | 10,855 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 77 | 1,542 | ||||||
Administration fees | 13 | 364 | ||||||
Distribution fees: | ||||||||
Class A | 15 | 87 | ||||||
Class C | 11 | 67 | ||||||
Class R2 | — | 10 | ||||||
Service fees: | ||||||||
Class A | 15 | 87 | ||||||
Class C | 4 | 23 | ||||||
Class I | 24 | 880 | ||||||
Class R2 | — | 5 | ||||||
Class R5 | — | 23 | ||||||
Custodian and accounting fees | 15 | 21 | ||||||
Interest expense to affiliates | — | — | (a) | |||||
Professional fees | 25 | 32 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 13 | 15 | ||||||
Printing and mailing costs | 5 | 58 | ||||||
Registration and filing fees | 27 | 54 | ||||||
Transfer agency fees (See Note 2.F.) | 3 | 16 | ||||||
Other | 1 | 11 | ||||||
|
|
|
| |||||
Total expenses | 248 | 3,295 | ||||||
|
|
|
| |||||
Less fees waived | (122 | ) | (480 | ) | ||||
Less expense reimbursements | (1 | ) | (2 | ) | ||||
|
|
|
| |||||
Net expenses | 125 | 2,813 | ||||||
|
|
|
| |||||
Net investment income (loss) | 205 | 8,042 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: |
| |||||||
Investments innon-affiliates | 93 | 31,908 | ||||||
Investments in affiliates | — | (a) | (2 | ) | ||||
Futures contracts | 107 | 2,606 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 200 | 34,512 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments innon-affiliates | 3,118 | 23,455 | ||||||
Investments in affiliates | — | (a) | — | (a) | ||||
Futures contracts | 3 | 416 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 3,121 | 23,871 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 3,321 | 58,383 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 3,526 | $ | 66,425 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Intrepid Growth Fund | JPMorgan Intrepid Mid Cap Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 4,560 | $ | 13,040 | $ | 1,422 | $ | 3,897 | ||||||||
Net realized gain (loss) | 46,805 | 139,379 | 45,784 | 67,943 | ||||||||||||
Change in net unrealized appreciation/depreciation | 54,036 | (69,695 | ) | (3,140 | ) | (69,436 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 105,401 | 82,724 | 44,066 | 2,404 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (12,262 | ) | (10,076 | ) | (21,131 | ) | (46,279 | ) | ||||||||
Class C | (4,180 | ) | (3,578 | ) | (5,115 | ) | (12,486 | ) | ||||||||
Class I | (18,221 | ) | (20,749 | ) | (17,337 | ) | (46,107 | ) | ||||||||
Class R2 | (5,271 | ) | (4,245 | ) | — | — | ||||||||||
Class R3 | — | — | (1,616 | ) | (3,226 | ) | ||||||||||
Class R4 | — | — | (132 | ) | (191 | ) | ||||||||||
Class R5 | (23,132 | ) | (20,788 | ) | — | — | ||||||||||
Class R6 | (73,479 | ) | (60,741 | ) | (9,366 | ) | (13,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (136,545 | ) | (120,177 | ) | (54,697 | ) | (121,519 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 39,635 | 16,197 | (21,732 | ) | (168,175 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 8,491 | (21,256 | ) | (32,363 | ) | (287,290 | ) | |||||||||
Beginning of period | 1,148,338 | 1,169,594 | 529,233 | 816,523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,156,829 | $ | 1,148,338 | $ | 496,870 | $ | 529,233 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Intrepid Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 205 | $ | 329 | $ | 8,042 | $ | 19,043 | ||||||||
Net realized gain (loss) | 200 | 2,392 | 34,512 | 88,982 | ||||||||||||
Change in net unrealized appreciation/depreciation | 3,121 | (180 | ) | 23,871 | (66,169 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 3,526 | 2,541 | 66,425 | 41,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (858 | ) | (747 | ) | (4,816 | ) | (9,987 | ) | ||||||||
Class C | (204 | ) | (214 | ) | (1,217 | ) | (2,585 | ) | ||||||||
Class I | (1,447 | ) | (880 | ) | (52,561 | ) | (96,496 | ) | ||||||||
Class R2 | — | — | (271 | ) | (579 | ) | ||||||||||
Class R5 | — | — | (3,233 | ) | (10,610 | ) | ||||||||||
Class R6 | — | — | (9,747 | ) | (15,052 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (2,509 | ) | (1,841 | ) | (71,845 | ) | (135,309 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 5,182 | 8,039 | 26,773 | (27,032 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 6,199 | 8,739 | 21,353 | (120,485 | ) | |||||||||||
Beginning of period | 30,685 | 21,946 | 977,378 | 1,097,863 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 36,884 | $ | 30,685 | $ | 998,731 | $ | 977,378 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Intrepid Growth Fund | JPMorgan Intrepid Mid Cap Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 9,339 | $ | 23,602 | $ | 7,208 | $ | 29,916 | ||||||||
Distributions reinvested | 8,614 | 6,926 | 19,511 | 40,963 | ||||||||||||
Cost of shares redeemed | (15,852 | ) | (24,982 | ) | (34,373 | ) | (134,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 2,101 | $ | 5,546 | $ | (7,654 | ) | $ | (63,270 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,740 | $ | 5,263 | $ | 712 | $ | 4,428 | ||||||||
Distributions reinvested | 3,299 | 2,906 | 4,866 | 11,150 | ||||||||||||
Cost of shares redeemed | (3,326 | ) | (8,391 | ) | (7,698 | ) | (23,180 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 1,713 | $ | (222 | ) | $ | (2,120 | ) | $ | (7,602 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 11,739 | $ | 42,963 | $ | 14,733 | $ | 46,939 | ||||||||
Distributions reinvested | 16,565 | 19,170 | 15,360 | 39,134 | ||||||||||||
Cost of shares redeemed | (30,938 | ) | (86,816 | ) | (52,553 | ) | (146,883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (2,634 | ) | $ | (24,683 | ) | $ | (22,460 | ) | $ | (60,810 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 5,274 | $ | 13,480 | $ | — | $ | — | ||||||||
Distributions reinvested | 5,051 | 3,834 | — | — | ||||||||||||
Cost of shares redeemed | (8,410 | ) | (11,486 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 1,915 | $ | 5,828 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,600 | $ | 5,800 | ||||||||
Distributions reinvested | — | — | 1,599 | 2,914 | ||||||||||||
Cost of shares redeemed | — | — | (4,673 | ) | (3,876 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | $ | — | $ | — | $ | (474 | ) | $ | 4,838 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 70 | $ | 419 | ||||||||
Distributions reinvested | — | — | 105 | 191 | ||||||||||||
Cost of shares redeemed | — | — | (141 | ) | (417 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | $ | — | $ | — | $ | 34 | $ | 193 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 7,838 | $ | 22,080 | $ | — | $ | — | ||||||||
Distributions reinvested | 23,131 | 19,502 | — | — | ||||||||||||
Cost of shares redeemed | (23,982 | ) | (41,585 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 6,987 | $ | (3 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 21,394 | $ | 52,907 | $ | 15,865 | $ | 52,306 | ||||||||
Distributions reinvested | 68,077 | 56,881 | 7,917 | 12,629 | ||||||||||||
Cost of shares redeemed | (59,918 | ) | (80,057 | ) | (12,840 | ) | (106,459 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 29,553 | $ | 29,731 | $ | 10,942 | $ | (41,524 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 39,635 | $ | 16,197 | $ | (21,732 | ) | $ | (168,175 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Intrepid Growth Fund | JPMorgan Intrepid Mid Cap Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 166 | 427 | 394 | 1,581 | ||||||||||||
Reinvested | 160 | 136 | 1,108 | 2,426 | ||||||||||||
Redeemed | (278 | ) | (436 | ) | (1,862 | ) | (6,614 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 48 | 127 | (360 | ) | (2,607 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 32 | 97 | 50 | 287 | ||||||||||||
Reinvested | 63 | 58 | 355 | 821 | ||||||||||||
Redeemed | (60 | ) | (152 | ) | (524 | ) | (1,483 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 35 | 3 | (119 | ) | (375 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 201 | 747 | 744 | 2,306 | ||||||||||||
Reinvested | 300 | 371 | 810 | 2,168 | ||||||||||||
Redeemed | (526 | ) | (1,560 | ) | (2,655 | ) | (7,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (25 | ) | (442 | ) | (1,101 | ) | (2,675 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 95 | 244 | — | — | ||||||||||||
Reinvested | 96 | 77 | — | — | ||||||||||||
Redeemed | (151 | ) | (208 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 40 | 113 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | — | — | 140 | 284 | ||||||||||||
Reinvested | — | — | 91 | 173 | ||||||||||||
Redeemed | — | — | (253 | ) | (213 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | (22 | ) | 244 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | — | — | 3 | 23 | ||||||||||||
Reinvested | — | — | 6 | 11 | ||||||||||||
Redeemed | — | — | (7 | ) | (20 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 2 | 14 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 138 | 387 | — | — | ||||||||||||
Reinvested | 425 | 383 | — | — | ||||||||||||
Redeemed | (419 | ) | (743 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 144 | 27 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 377 | 951 | 803 | 2,722 | ||||||||||||
Reinvested | 1,251 | 1,116 | 416 | 698 | ||||||||||||
Redeemed | (1,019 | ) | (1,391 | ) | (655 | ) | (4,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 609 | 676 | 564 | (1,339 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Intrepid Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,464 | $ | 2,348 | $ | 3,349 | $ | 11,985 | ||||||||
Distributions reinvested | 837 | 718 | 4,389 | 9,196 | ||||||||||||
Cost of shares redeemed | (618 | ) | (1,953 | ) | (13,606 | ) | (27,574 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 1,683 | $ | 1,113 | $ | (5,868 | ) | $ | (6,393 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 165 | $ | 525 | $ | 210 | $ | 1,402 | ||||||||
Distributions reinvested | 187 | 197 | 1,147 | 2,461 | ||||||||||||
Cost of shares redeemed | (310 | ) | (1,137 | ) | (3,889 | ) | (6,446 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 42 | $ | (415 | ) | $ | (2,532 | ) | $ | (2,583 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 3,855 | $ | 9,527 | $ | 88,746 | $ | 264,946 | ||||||||
Distributions reinvested | 1,446 | 879 | 52,459 | 96,262 | ||||||||||||
Cost of shares redeemed | (1,844 | ) | (3,065 | ) | (104,692 | ) | (367,734 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 3,457 | $ | 7,341 | $ | 36,513 | $ | (6,526 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 467 | $ | 1,113 | ||||||||
Distributions reinvested | — | — | 187 | 330 | ||||||||||||
Cost of shares redeemed | — | — | (1,257 | ) | (2,425 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (603 | ) | $ | (982 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,862 | $ | 11,721 | ||||||||
Distributions reinvested | — | — | 3,233 | 10,610 | ||||||||||||
Cost of shares redeemed | — | — | (38,903 | ) | (55,669 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | (33,808 | ) | $ | (33,338 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 42,425 | $ | 30,950 | ||||||||
Distributions reinvested | — | — | 9,740 | 15,044 | ||||||||||||
Cost of shares redeemed | — | — | (19,094 | ) | (23,204 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 33,071 | $ | 22,790 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 5,182 | $ | 8,039 | $ | 26,773 | $ | (27,032 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| JPMorgan Intrepid Sustainable Equity Fund | JPMorgan Intrepid Value Fund | |||||||||||||||
| Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 34 | 58 | 106 | 363 | ||||||||||||
Reinvested | 20 | 19 | 142 | 314 | ||||||||||||
Redeemed | (15 | ) | (48 | ) | (431 | ) | (859 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 39 | 29 | (183 | ) | (182 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 4 | 14 | 7 | 47 | ||||||||||||
Reinvested | 4 | 5 | 38 | 85 | ||||||||||||
Redeemed | (7 | ) | (28 | ) | (126 | ) | (208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1 | (9 | ) | (81 | ) | (76 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 90 | 235 | 2,805 | 8,250 | ||||||||||||
Reinvested | 33 | 23 | 1,684 | 3,260 | ||||||||||||
Redeemed | (42 | ) | (78 | ) | (3,322 | ) | (11,663 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 81 | 180 | 1,167 | (153 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 15 | 36 | ||||||||||||
Reinvested | — | — | 6 | 11 | ||||||||||||
Redeemed | — | — | (40 | ) | (73 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (19 | ) | (26 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 58 | 353 | ||||||||||||
Reinvested | — | — | 104 | 358 | ||||||||||||
Redeemed | — | — | (1,229 | ) | (1,777 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | (1,067 | ) | (1,066 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 1,341 | 992 | ||||||||||||
Reinvested | — | — | 311 | 507 | ||||||||||||
Redeemed | — | — | (598 | ) | (719 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 1,054 | 780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of | Net investment (loss) (b) | Net realized and unrealized (losses) on investments | Total from investment operations | Net investment | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Intrepid Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 56.61 | $ | 0.13 | $ | 5.05 | $ | 5.18 | $ | (0.34 | ) | $ | (6.67 | ) | $ | (7.01 | ) | |||||||||||
Year Ended June 30, 2019 | 59.09 | 0.45 | 3.01 | 3.46 | (0.30 | ) | (5.64 | ) | (5.94 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.60 | 0.23 | 10.51 | 10.74 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.37 | 0.22 | 8.27 | 8.49 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended June 30, 2016 | 40.99 | 0.27 | (0.63 | ) | (0.36 | ) | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 37.05 | 0.25 | 3.88 | 4.13 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 55.45 | (0.01 | ) | 4.94 | 4.93 | (0.09 | ) | (6.67 | ) | (6.76 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 58.00 | 0.16 | 2.97 | 3.13 | (0.04 | ) | (5.64 | ) | (5.68 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.72 | (0.04 | ) | 10.32 | 10.28 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2017 | 39.63 | — | (f) | 8.13 | 8.13 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2016 | 40.26 | 0.07 | (0.61 | ) | (0.54 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 36.45 | 0.05 | 3.81 | 3.86 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 57.60 | 0.21 | 5.14 | 5.35 | (0.46 | ) | (6.67 | ) | (7.13 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 60.04 | 0.60 | 3.05 | 3.65 | (0.45 | ) | (5.64 | ) | (6.09 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.34 | 0.38 | 10.68 | 11.06 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.99 | 0.34 | 8.40 | 8.74 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended June 30, 2016 | 41.27 | 0.29 | (0.55 | ) | (0.26 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 37.23 | 0.32 | 3.93 | 4.25 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 55.27 | 0.06 | 4.92 | 4.98 | (0.22 | ) | (6.67 | ) | (6.89 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 57.95 | 0.30 | 2.93 | 3.23 | (0.27 | ) | (5.64 | ) | (5.91 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.66 | 0.09 | 10.31 | 10.40 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 39.66 | 0.11 | 8.12 | 8.23 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended June 30, 2016 | 40.39 | 0.19 | (0.63 | ) | (0.44 | ) | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 36.49 | 0.12 | 3.85 | 3.97 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 56.82 | 0.25 | 5.07 | 5.32 | (0.55 | ) | (6.67 | ) | (7.22 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 59.32 | 0.68 | 2.99 | 3.67 | (0.53 | ) | (5.64 | ) | (6.17 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.76 | 0.46 | 10.56 | 11.02 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.51 | 0.42 | 8.29 | 8.71 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Year Ended June 30, 2016 | 41.12 | 0.45 | (0.62 | ) | (0.17 | ) | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||
Year Ended June 30, 2015 | 37.09 | 0.41 | 3.91 | 4.32 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 56.81 | 0.28 | 5.08 | 5.36 | (0.61 | ) | (6.67 | ) | (7.28 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 59.32 | 0.74 | 2.98 | 3.72 | (0.59 | ) | (5.64 | ) | (6.23 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.74 | 0.51 | 10.56 | 11.07 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.50 | 0.44 | 8.29 | 8.73 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
November 2, 2015 (h) through June 30, 2016 | 42.20 | 0.36 | (1.60 | ) | (1.24 | ) | (0.46 | ) | — | (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) | Amount rounds to less than $0.005. |
| (g) | Amount rounds to less than 0.005%. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, | Total return (excludes sales charge) (c)(d) | Net assets, end of (000’s) | Net expenses (e) | Net investment (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 54.78 | 9.40 | % | $ | 106,187 | 0.84 | % | 0.45 | % | 0.95 | % | 40 | % | |||||||||||||
| 56.61 | 7.06 | 106,993 | 0.84 | 0.79 | 1.12 | 95 | ||||||||||||||||||||
| 59.09 | 22.13 | 104,167 | 0.86 | 0.42 | 1.11 | 69 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 53.62 | 9.13 | 36,614 | 1.34 | (0.05 | ) | 1.44 | 40 | |||||||||||||||||||
| 55.45 | 6.51 | 35,931 | 1.34 | 0.29 | 1.61 | 95 | ||||||||||||||||||||
| 58.00 | 21.54 | 37,416 | 1.36 | (0.08 | ) | 1.61 | 69 | |||||||||||||||||||
| 47.72 | 20.52 | 42,811 | 1.41 | 0.00 | (g) | 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 | ||||||||||||||||||||
| 55.82 | 9.53 | 156,931 | 0.59 | 0.70 | 0.69 | 40 | ||||||||||||||||||||
| 57.60 | 7.33 | 163,324 | 0.59 | 1.04 | 0.86 | 95 | ||||||||||||||||||||
| 60.04 | 22.45 | 196,798 | 0.61 | 0.67 | 0.86 | 69 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 53.36 | 9.27 | 45,678 | 1.09 | 0.20 | 1.28 | 40 | ||||||||||||||||||||
| 55.27 | 6.78 | 45,086 | 1.09 | 0.54 | 1.49 | 95 | ||||||||||||||||||||
| 57.95 | 21.84 | 40,763 | 1.10 | 0.16 | 1.37 | 69 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 54.92 | 9.62 | 195,931 | 0.44 | 0.85 | 0.54 | 40 | ||||||||||||||||||||
| 56.82 | 7.48 | 194,550 | 0.44 | 1.19 | 0.71 | 95 | ||||||||||||||||||||
| 59.32 | 22.66 | 201,539 | 0.45 | 0.83 | 0.71 | 69 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 54.89 | 9.69 | 615,488 | 0.34 | 0.95 | 0.44 | 40 | ||||||||||||||||||||
| 56.81 | 7.59 | 602,454 | 0.34 | 1.29 | 0.61 | 95 | ||||||||||||||||||||
| 59.32 | 22.78 | 588,911 | 0.36 | 0.92 | 0.61 | 69 | ||||||||||||||||||||
| 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, 2019 | J.P. MORGAN INTREPID FUNDS | 37 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 18.24 | $ | 0.04 | $ | 1.58 | $ | 1.62 | $ | (0.09 | ) | $ | (2.03 | ) | $ | (2.12 | ) | |||||||||||
Year Ended June 30, 2019 | 22.76 | 0.10 | (0.28 | ) | (0.18 | ) | (0.08 | ) | (4.26 | ) | (4.34 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.11 | 0.15 | 2.29 | 2.44 | (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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 14.64 | (0.01 | ) | 1.26 | 1.25 | (0.02 | ) | (2.03 | ) | (2.05 | ) | |||||||||||||||||
Year Ended June 30, 2019 | 19.23 | — | (f) | (0.30 | ) | (0.30 | ) | (0.03 | ) | (4.26 | ) | (4.29 | ) | |||||||||||||||
Year Ended June 30, 2018 | 18.90 | 0.04 | 1.96 | 2.00 | (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 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.48 | 0.07 | 1.68 | 1.75 | (0.12 | ) | (2.03 | ) | (2.15 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 24.01 | 0.16 | (0.29 | ) | (0.13 | ) | (0.14 | ) | (4.26 | ) | (4.40 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.22 | 0.22 | 2.41 | 2.63 | (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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 18.12 | 0.04 | 1.58 | 1.62 | (0.09 | ) | (2.03 | ) | (2.12 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 22.70 | 0.11 | (0.31 | ) | (0.20 | ) | (0.12 | ) | (4.26 | ) | (4.38 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.08 | 0.13 | 2.32 | 2.45 | (0.17 | ) | (1.66 | ) | (1.83 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 19.97 | 0.11 | 2.09 | 2.20 | (0.09 | ) | — | (f) | (0.09 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.41 | 0.07 | 1.68 | 1.75 | (0.13 | ) | (2.03 | ) | (2.16 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 23.95 | 0.16 | (0.29 | ) | (0.13 | ) | (0.15 | ) | (4.26 | ) | (4.41 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.20 | 0.19 | 2.44 | 2.63 | (0.22 | ) | (1.66 | ) | (1.88 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 20.95 | 0.12 | 2.24 | 2.36 | (0.11 | ) | — | (f) | (0.11 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 19.49 | 0.10 | 1.69 | 1.79 | (0.18 | ) | (2.03 | ) | (2.21 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 24.04 | 0.21 | (0.30 | ) | (0.09 | ) | (0.20 | ) | (4.26 | ) | (4.46 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.25 | 0.27 | 2.42 | 2.69 | (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 (h) 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) | Amount rounds to less than 0.005%. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 17.74 | 9.02 | % | $ | 192,223 | 1.14 | % | 0.43 | % | 1.24 | % | 41 | % | |||||||||||||
| 18.24 | 0.81 | 204,131 | 1.14 | 0.49 | 1.31 | 82 | ||||||||||||||||||||
| 22.76 | 11.18 | 314,171 | 1.14 | 0.65 | 1.29 | 62 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.84 | 8.77 | 38,471 | 1.64 | (0.08 | ) | 1.73 | 41 | |||||||||||||||||||
| 14.64 | 0.24 | 42,429 | 1.64 | 0.00 | (g) | 1.79 | 82 | |||||||||||||||||||
| 19.23 | 10.69 | 62,925 | 1.64 | 0.18 | 1.78 | 62 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 19.08 | 9.16 | 163,896 | 0.89 | 0.67 | 0.97 | 41 | ||||||||||||||||||||
| 19.48 | 1.05 | 188,694 | 0.89 | 0.75 | 1.04 | 82 | ||||||||||||||||||||
| 24.01 | 11.47 | 296,876 | 0.89 | 0.91 | 1.02 | 62 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 17.62 | 9.10 | 14,643 | 1.14 | 0.43 | 1.21 | 41 | ||||||||||||||||||||
| 18.12 | 0.76 | 15,456 | 1.14 | 0.55 | 1.29 | 82 | ||||||||||||||||||||
| 22.70 | 11.22 | 13,823 | 1.14 | 0.59 | 1.27 | 62 | ||||||||||||||||||||
| 22.08 | 11.07 | 8,854 | 1.15 | 0.64 | 1.34 | 70 | ||||||||||||||||||||
| 19.00 | 9.18 | 1,212 | 0.89 | 0.70 | 0.97 | 41 | ||||||||||||||||||||
| 19.41 | 1.06 | 1,202 | 0.89 | 0.76 | 1.04 | 82 | ||||||||||||||||||||
| 23.95 | 11.46 | 1,157 | 0.89 | 0.80 | 1.11 | 62 | ||||||||||||||||||||
| 23.20 | 11.30 | 22 | 0.90 | 0.67 | 1.11 | 70 | ||||||||||||||||||||
| 19.07 | 9.33 | 86,425 | 0.64 | 0.96 | 0.71 | 41 | ||||||||||||||||||||
| 19.49 | 1.28 | 77,321 | 0.64 | 0.98 | 0.80 | 82 | ||||||||||||||||||||
| 24.04 | 11.73 | 127,571 | 0.64 | 1.11 | 0.77 | 62 | ||||||||||||||||||||
| 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, 2019 | J.P. MORGAN INTREPID FUNDS | 39 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Intrepid Sustainable Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 41.85 | $ | 0.24 | $ | 4.15 | $ | 4.39 | $ | (0.43 | ) | $ | (2.65 | ) | $ | (3.08 | ) | |||||||||||
Year Ended June 30, 2019 | 41.28 | 0.50 | 3.21 | 3.71 | (0.41 | ) | (2.73 | ) | (3.14 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.35 | 0.58 | 4.05 | 4.63 | (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 | ) | |||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 40.98 | 0.13 | 4.06 | 4.19 | (0.22 | ) | (2.65 | ) | (2.87 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 40.44 | 0.29 | 3.16 | 3.45 | (0.18 | ) | (2.73 | ) | (2.91 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.51 | 0.41 | 3.92 | 4.33 | (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 | ) | |||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 42.15 | 0.30 | 4.17 | 4.47 | (0.52 | ) | (2.65 | ) | (3.17 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 41.56 | 0.60 | 3.23 | 3.83 | (0.51 | ) | (2.73 | ) | (3.24 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.59 | 0.66 | 4.10 | 4.76 | (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 | ) | |||||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 43.16 | 10.60 | % | $ | 12,872 | 0.84 | % | 1.13 | % | 1.59 | % | 40 | % | |||||||||||||
| 41.85 | 9.90 | 10,828 | 0.83 | 1.22 | 1.73 | 97 | ||||||||||||||||||||
| 41.28 | 11.88 | 9,497 | 0.90 | 1.41 | 1.92 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 42.30 | 10.33 | 3,085 | 1.34 | 0.64 | 2.07 | 40 | ||||||||||||||||||||
| 40.98 | 9.34 | 2,949 | 1.33 | 0.73 | 2.22 | 97 | ||||||||||||||||||||
| 40.44 | 11.35 | 3,277 | 1.42 | 1.01 | 2.45 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 43.45 | 10.73 | 20,927 | 0.59 | 1.38 | 1.31 | 40 | ||||||||||||||||||||
| 42.15 | 10.18 | 16,908 | 0.58 | 1.46 | 1.45 | 97 | ||||||||||||||||||||
| 41.56 | 12.16 | 9,172 | 0.64 | 1.59 | 1.63 | 38 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 41 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Intrepid Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | $ | 31.42 | $ | 0.22 | $ | 1.94 | $ | 2.16 | $ | (0.24 | ) | $ | (2.13 | ) | $ | (2.37 | ) | |||||||||||
Year Ended June 30, 2019 | 34.53 | 0.49 | 0.55 | 1.04 | (0.51 | ) | (3.64 | ) | (4.15 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.54 | 0.53 | 4.10 | 4.63 | (0.55 | ) | (5.09 | ) | (5.64 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 30.90 | 0.14 | 1.90 | 2.04 | (0.16 | ) | (2.13 | ) | (2.29 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.06 | 0.32 | 0.54 | 0.86 | (0.38 | ) | (3.64 | ) | (4.02 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.14 | 0.35 | 4.05 | 4.40 | (0.39 | ) | (5.09 | ) | (5.48 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 31.62 | 0.26 | 1.95 | 2.21 | (0.28 | ) | (2.13 | ) | (2.41 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.71 | 0.57 | 0.55 | 1.12 | (0.57 | ) | (3.64 | ) | (4.21 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.69 | 0.62 | 4.11 | 4.73 | (0.62 | ) | (5.09 | ) | (5.71 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 31.12 | 0.18 | 1.92 | 2.10 | (0.20 | ) | (2.13 | ) | (2.33 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.26 | 0.40 | 0.54 | 0.94 | (0.44 | ) | (3.64 | ) | (4.08 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.33 | 0.46 | 4.03 | 4.49 | (0.47 | ) | (5.09 | ) | (5.56 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 31.73 | 0.29 | 1.95 | 2.24 | (0.30 | ) | (2.13 | ) | (2.43 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.80 | 0.62 | 0.56 | 1.18 | (0.61 | ) | (3.64 | ) | (4.25 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.78 | 0.66 | 4.13 | 4.79 | (0.68 | ) | (5.09 | ) | (5.77 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | 31.74 | 0.31 | 1.95 | 2.26 | (0.32 | ) | (2.13 | ) | (2.45 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 34.80 | 0.65 | 0.57 | 1.22 | (0.64 | ) | (3.64 | ) | (4.28 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.78 | 0.69 | 4.13 | 4.82 | (0.71 | ) | (5.09 | ) | (5.80 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
| (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.
| 42 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets(a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 31.21 | 6.98 | % | $ | 66,701 | 0.83 | % | 1.41 | % | 0.94 | % | 31 | % | |||||||||||||
| 31.42 | 4.08 | 72,888 | 0.82 | 1.49 | 1.01 | 88 | ||||||||||||||||||||
| 34.53 | 13.39 | 86,400 | 0.83 | 1.48 | 1.02 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 30.65 | 6.70 | 16,498 | 1.33 | 0.91 | 1.46 | 31 | ||||||||||||||||||||
| 30.90 | 3.57 | 19,139 | 1.32 | 0.99 | 1.52 | 88 | ||||||||||||||||||||
| 34.06 | 12.84 | 23,686 | 1.33 | 1.00 | 1.53 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.42 | 7.10 | 731,298 | 0.59 | 1.65 | 0.68 | 31 | ||||||||||||||||||||
| 31.62 | 4.33 | 698,989 | 0.58 | 1.74 | 0.76 | 88 | ||||||||||||||||||||
| 34.71 | 13.65 | 772,556 | 0.62 | 1.71 | 0.76 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 30.89 | 6.84 | 3,826 | 1.09 | 1.16 | 1.36 | 31 | ||||||||||||||||||||
| 31.12 | 3.81 | 4,438 | 1.08 | 1.22 | 1.62 | 88 | ||||||||||||||||||||
| 34.26 | 13.04 | 5,781 | 1.12 | 1.28 | 1.52 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.54 | 7.18 | 14,953 | 0.44 | 1.79 | 0.54 | 31 | ||||||||||||||||||||
| 31.73 | 4.50 | 48,910 | 0.43 | 1.89 | 0.61 | 88 | ||||||||||||||||||||
| 34.80 | 13.80 | 90,714 | 0.45 | 1.82 | 0.62 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.55 | 7.23 | 165,455 | 0.34 | 1.90 | 0.44 | 31 | ||||||||||||||||||||
| 31.74 | 4.63 | 133,014 | 0.33 | 1.99 | 0.51 | 88 | ||||||||||||||||||||
| 34.80 | 13.90 | 118,726 | 0.37 | 1.90 | 0.52 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 43 | ||||||
Table of Contents
AS OF DECEMBER 31, 2019 (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”), asopen-end management investment companies.
The following are 4 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Intrepid Growth Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Intrepid Mid Cap Fund | Class A, Class C, Class I, Class R3, Class R4 and Class R6 | JPM II | Diversified | |||
| JPMorgan Intrepid Sustainable Equity Fund | Class A, Class C and Class I | JPM I | Diversified | |||
| JPMorgan Intrepid Value Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified |
The investment objective of the JPMorgan Intrepid Growth Fund (“Intrepid Growth Fund”) is to seek to provide long-term capital growth.
The investment objective of the JPMorgan Intrepid Mid Cap Fund (“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 JPMorgan Intrepid Sustainable Equity Fund (“Intrepid Sustainable Equity Fund”) and the JPMorgan Intrepid Value Fund (“Intrepid Value Fund”) is to seek to provide long-term capital appreciation.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), 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 their market value 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 Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards 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 Boards. 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 Boards.
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 inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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. |
| 44 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Intrepid Growth Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,156,640 | $ | — | $ | — | $ | 1,156,640 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 379 | $ | — | $ | — | $ | 379 | ||||||||
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| Intrepid Mid Cap Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 498,200 | $ | — | $ | — | $ | 498,200 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 43 | $ | — | $ | — | $ | 43 | ||||||||
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| 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) | $ | 36,850 | $ | — | $ | — | $ | 36,850 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 15 | $ | — | $ | — | $ | 15 | ||||||||
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| Intrepid Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,003,015 | $ | — | $ | — | $ | 1,003,015 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 543 | $ | — | $ | — | $ | 543 | ||||||||
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| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOIs. |
There were no transfers into or out of level 3 for the six months ended December 31, 2019.
B. Futures Contracts — The Funds 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, while cash deposited, which is considered restricted, 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.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 45 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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, 2019 (amounts in thousands):
| Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Sustainable Equity Fund | Intrepid Value Fund | |||||||||||||
Futures Contracts — Equity: | ||||||||||||||||
Average Notional Balance Long | $ | 22,834 | $ | 9,969 | $ | 1,023 | $ | 25,933 | ||||||||
Ending Notional Balance Long | 20,038 | 13,006 | 1,131 | 32,158 | ||||||||||||
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. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).
| Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Intrepid Mid Cap Fund | $ | 4,362 | $ | (4,328 | )** | $ | 34 | |||||
Intrepid Value Fund | 3,649 | (3,649 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
| ** | Subsequent to December 31, 2019, additional collateral was received from borrowers. |
| 46 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Intrepid Growth Fund | $ | 1 | ||
Intrepid Mid Cap Fund | 1 | |||
Intrepid Value Fund | 2 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included in the Statements of Operations as Income from securities lending (net).
Intrepid Growth Fund did not have any securities out on loan at December 31, 2019. Intrepid Sustainable Equity Fund did not lend out any securities during the six months ended December 31, 2019.
D. 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 tables below. Amounts in the tables below are in thousands.
Intrepid Growth Fund
| For the six months ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||||
| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 26,680 | $ | 227,523 | $ | 233,239 | $ | (4 | ) | $ | (2 | ) | $ | 20,958 | 20,951 | $ | 264 | $ | — | |||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | 1,273 | 30,082 | 31,355 | — | — | — | — | 33 | * | — | ||||||||||||||||||||||||||||
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Total | $ | 27,953 | $ | 257,605 | $ | 264,594 | $ | (4 | ) | $ | (2 | ) | $ | 20,958 | $ | 297 | $ | — | ||||||||||||||||||||
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Intrepid Mid Cap Fund
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| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 7,093 | $ | 106,272 | $ | 108,520 | $ | (1 | ) | $ | (1 | ) | $ | 4,843 | 4,841 | $ | 113 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | 3,001 | — | 1,001 | — | — | (c) | 2,000 | 2,000 | 32 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | 2,904 | 30,628 | 31,204 | — | — | 2,328 | 2,328 | 30 | * | — | ||||||||||||||||||||||||||
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Total | $ | 12,998 | $ | 136,900 | $ | 140,725 | $ | (1 | ) | $ | (1 | ) | $ | 9,171 | $ | 175 | $ | — | ||||||||||||||||||
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Intrepid Sustainable Equity Fund
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| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 1,669 | $ | 9,056 | $ | 9,512 | $ | — | (c) | $ | — | (c) | $ | 1,213 | 1,212 | $ | 11 | $ | — | |||||||||||||||||
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| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 47 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
Intrepid Value Fund
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| Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2019 | Shares at December 31, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b) | $ | 23,318 | $ | 147,022 | $ | 135,773 | $ | (2 | ) | $ | — | (c) | $ | 34,565 | 34,554 | $ | 278 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b) | — | 4,999 | 2,996 | — | — | 2,003 | 2,003 | 25 | * | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b) | — | 41,642 | 39,938 | — | — | 1,704 | 1,703 | 38 | * | — | ||||||||||||||||||||||||||
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Total | $ | 23,318 | $ | 193,663 | $ | 178,707 | $ | (2 | ) | $ | — | (c) | $ | 38,272 | $ | 341 | $ | — | ||||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of December 31, 2019. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on theex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):
| Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | ||||||||||||||||||||||||||||
Intrepid Growth Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 8 | $ | 1 | $ | 4 | $ | 21 | n/a | n/a | $ | 1 | $ | 2 | $ | 37 | ||||||||||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | 29 | 3 | 5 | n/a | $ | — | (a) | $ | — | (a) | n/a | 1 | 38 | |||||||||||||||||||||||
Intrepid Sustainable Equity Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | 2 | — | (a) | 1 | n/a | n/a | n/a | n/a | n/a | 3 | ||||||||||||||||||||||||||
Intrepid Value Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | 3 | 2 | 5 | 3 | n/a | n/a | 1 | 2 | 16 | |||||||||||||||||||||||||||
| (a) | Amount rounds to less than one thousand. |
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (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, 2019, no liability for Federal 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.
| 48 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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H. Distributions to Shareholders — Distributions from net investment income, if any, 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 manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 Growth Fund | 0.30 | %(1) | ||
Intrepid Mid Cap Fund | 0.55 | (1) | ||
Intrepid Sustainable Equity Fund | 0.45 | (1) | ||
Intrepid Value Fund | 0.30 | (1) |
| (1) | Prior to August 1, 2019, the investment advisory fee for Intrepid Growth Fund, Intrepid Mid Cap Fund, Intrepid Sustainable Equity Fund and Intrepid Value Fund was accrued daily and pay monthly at an annual rate of 0.50%, 0.65%, 0.50% and 0.40%, respectively, of each Fund’s daily net assets. |
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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, 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 asSub-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 Funds’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 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 thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid Growth Fund | $ | 6 | $ | — | ||||
Intrepid Mid Cap Fund | 2 | — | ||||||
Intrepid Sustainable Equity Fund | 1 | — | ||||||
Intrepid Value Fund | 1 | — | ||||||
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 49 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (Unaudited) (continued)
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, 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 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. Pursuant to such contracts 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, plusout-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.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates 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, expenses related to trustee elections and extraordinary expenses) exceed the percentages of each Fund’s 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 Growth Fund | 0.84 | % | 1.34 | % | 0.59 | % | 1.09 | % | n/a | n/a | 0.44 | % | 0.34 | % | ||||||||||||||||||
Intrepid Mid Cap Fund | 1.14 | 1.64 | 0.89 | n/a | 1.14 | % | 0.89 | % | n/a | 0.64 | ||||||||||||||||||||||
Intrepid Sustainable Equity Fund | 0.84 | 1.34 | 0.59 | n/a | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
Intrepid Value Fund | 0.83 | 1.33 | 0.59 | 1.09 | n/a | n/a | 0.44 | 0.34 | ||||||||||||||||||||||||
The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.
For the six months ended December 31, 2019, 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 | ||||||||||||||||
Intrepid Growth Fund | $ | 358 | $ | 188 | $ | 33 | $ | 579 | $ | — | ||||||||||
Intrepid Mid Cap Fund | 107 | 71 | 35 | 213 | 1 | |||||||||||||||
Intrepid Sustainable Equity Fund | 77 | 12 | 32 | 121 | 1 | |||||||||||||||
Intrepid Value Fund | 270 | 181 | 12 | 463 | 2 | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 were as follows (amounts in thousands):
Intrepid Growth Fund | $ | 17 | ||
Intrepid Mid Cap Fund | 7 | |||
Intrepid Sustainable Equity Fund | 1 | |||
Intrepid Value Fund | 17 |
| 50 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
Table of Contents
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 Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-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, 2019, Intrepid Growth Fund and Intrepid Mid Cap Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended December 31, 2019, 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 Growth Fund | $ | 446,156 | $ | 532,837 | ||||
Intrepid Mid Cap Fund | 205,550 | 282,882 | ||||||
Intrepid Sustainable Equity Fund | 15,368 | 12,854 | ||||||
Intrepid Value Fund | 292,260 | 338,354 | ||||||
During the six months ended December 31, 2019, 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, 2019 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid Growth Fund | $ | 814,723 | $ | 351,528 | $ | 9,232 | $ | 342,296 | ||||||||
Intrepid Mid Cap Fund | 398,309 | 108,958 | 9,024 | 99,934 | ||||||||||||
Intrepid Sustainable Equity Fund | 29,144 | 7,829 | 108 | 7,721 | ||||||||||||
Intrepid Value Fund | 848,272 | 167,304 | 12,018 | 155,286 | ||||||||||||
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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.
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 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have 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, 2019 | J.P. MORGAN INTREPID FUNDS | 51 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2019 (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 London InterBank Offered Rate (“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 13, 2019, 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, 2019.
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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of December 31, 2019, the Funds had individual shareholder and/or 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 Accounts | % of the Fund | |||||||||||||
Intrepid Growth Fund | 2 | 27.5 | % | — | — | |||||||||||
Intrepid Mid Cap Fund | 1 | 19.5 | 1 | 15.4 | % | |||||||||||
Intrepid Sustainable Equity Fund | 1 | 15.8 | 3 | 42.6 | ||||||||||||
Intrepid Value Fund | — | — | 1 | 61.0 | ||||||||||||
As of December 31, 2019, J.P. Morgan Investor 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 | ||||
Intrepid Growth Fund | 43.4 | % | ||
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
| 52 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.
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 titled “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, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.00 | $ | 4.42 | 0.84 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.91 | 4.27 | 0.84 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,091.30 | 7.04 | 1.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.80 | 1.34 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,095.30 | 3.11 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.17 | 3.00 | 0.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,092.70 | 5.73 | 1.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.66 | 5.53 | 1.09 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,096.20 | 2.32 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,096.90 | 1.79 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.43 | 1.73 | 0.34 | ||||||||||||
JPMorgan Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,090.20 | 5.99 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,087.70 | 8.61 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.89 | 8.31 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,091.60 | 4.68 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 53 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Intrepid Mid Cap Fund (continued) | ||||||||||||||||
Class R3 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.00 | $ | 5.99 | 1.14 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,091.80 | 4.68 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.66 | 4.52 | 0.89 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,093.30 | 3.37 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 3.25 | 0.64 | ||||||||||||
JPMorgan Intrepid Sustainable Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,106.00 | 4.45 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.91 | 4.27 | 0.84 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,103.30 | 7.08 | 1.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.80 | 1.34 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,107.30 | 3.13 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.17 | 3.00 | 0.59 | ||||||||||||
JPMorgan Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,069.80 | 4.32 | 0.83 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.96 | 4.22 | 0.83 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,067.00 | 6.91 | 1.33 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.75 | 1.33 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,071.00 | 3.07 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.17 | 3.00 | 0.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,068.40 | 5.67 | 1.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.66 | 5.53 | 1.09 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,071.80 | 2.29 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.92 | 2.24 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,072.30 | 1.77 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.43 | 1.73 | 0.34 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
| 54 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund 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 14, 2019.
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 as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the 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 Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreements was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable 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, personnel changes, if any, 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, including personnel changes, if any. 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 the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of 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.
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 55 | ||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 information. The Trustees recognized that this information 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, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser 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.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. 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.
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 the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure, for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. 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, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
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 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.
| 56 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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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.
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 Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. 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 Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. 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 Growth Fund’s performance for Class A shares was in the third, second and first quintiles based upon both the Peer Group and Universe, for the
one-, three-, and five-year periods ended December 31, 2018, 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 third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group, and in the third and first quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2018, 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 third quintile based upon both the Peer Group and Universe for each of the one-, three-, and five-year periods ended December 31, 2018. 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, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth and third quintiles based upon the Peer Group, and in the third quintile based upon the Universe, for the one- and three-year periods ended December 31, 2018, 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 under the circumstances.
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 second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2018, and in the second, third and second quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, 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 second, third and third quintiles
| DECEMBER 31, 2019 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, third and second quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the first, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, 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 and administration fee rate paid by each Fund to the Adviser and compared the combined 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 and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. The Trustees considered the Fee Caps currently in place for each Fund, the net advisory fee rate after taking into account any waivers and/or reimbursements, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, the Trustees noted the reductions to the Funds’ contractual advisory fees effective August 1, 2019. 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 Growth Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, 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 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 noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, 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 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 the factors identified above, in light of this information, 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, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
| 58 | J.P. MORGAN INTREPID FUNDS | DECEMBER 31, 2019 | ||||
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2019. All rights reserved. December, 2019. | SAN-INT-1219 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 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 semi-annual 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 semi-annual report.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(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’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-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 Rule2-01 of RegulationS-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 aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-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 ofnon-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule10A-3 under the Exchange Act (17CFR240.10A-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 Rule10A-3(d) under the Exchange Act (17CFR240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth inSection 210.12-12 of RegulationS-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 FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BYCLOSED-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 CFR240.14a-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 Rule30a-3(c) under the Act (17 CFR270.30a-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 Rule30a-3(b) under the Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Exchange Act (17 CFR240.13a-15(b) or240.15d-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 FormN-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 FormN-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 Rule30a-3(d) under the Act (17 CFR270.30a-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.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-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 Rule30a-2(a) under the Act (17 CFR270.30a-2).
Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) Any written solicitation to purchase securities under Rule23c-1 under the Act (17 CFR270.23c-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 Rule30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| JPMorgan Trust II | ||
| By: | /s/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| February 28, 2020 | ||
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 | ||
| February 28, 2020 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| February 28, 2020 | ||