N-CSR 1 d27213.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-08189

 

J.P. Morgan Fleming Mutual Fund Group, Inc.

(Exact name of registrant as specified in charter)

 

245 Park Avenue

New York, NY 10167

(Address of principal executive offices) (Zip code)

 

Frank J. Nasta

245 Park Avenue

New York, NY 10167

(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, 2009 through June 30, 2010

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

 

ITEM 1. REPORTS TO STOCKHOLDERS.

 

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

 

Annual Report

J.P. Morgan Mid Cap/Multi-Cap Funds

June 30, 2010

JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Multi-Cap Market Neutral Fund
JPMorgan Value Advantage Fund




CONTENTS

President’s Letter
                 1   
Market Overview
                 2   
Fund Commentaries:
                        
JPMorgan Growth Advantage Fund
                 3   
JPMorgan Mid Cap Equity Fund
                 6   
JPMorgan Mid Cap Growth Fund
                 9   
JPMorgan Mid Cap Value Fund
                 12   
JPMorgan Multi-Cap Market Neutral Fund
                 15   
JPMorgan Value Advantage Fund
                 18   
Schedules of Portfolio Investments
                 21   
Financial Statements
                 52   
Financial Highlights
                 68   
Notes to Financial Statements
                 80   
Report of Independent Registered Public Accounting Firm
                 93   
Trustees
                 94   
Officers
                 96   
Schedule of Shareholder Expenses
                 97   
Tax Letter
                 100   
Privacy Policy
                 101   
 

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objective, 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.


PRESIDENT’S LETTER
JULY 16, 2010 (Unaudited)

Dear Shareholder:

Last year, investors received perhaps the best bit of news that they had heard in a long time: the unprecedented U.S. and global financial crisis and recession that enveloped us two years ago was finally beginning to abate. The U.S. Government and Federal Reserve’s policy actions loosened credit markets and offered renewed confidence that the worst of the financial crisis was over.


 
            
“In response to these positive developments, market volatility declined considerably, and the stock market showed new signs of resilience.”
 

In response to these positive developments, market volatility declined considerably, and the stock market showed new signs of resilience. Since dropping to a 14-year low on March 9th 2009, the equity markets rebounded strongly, and at the end of December 2009, the Standard & Poor’s 500 Index (the “S&P 500 Index”) had risen by 26.5% for the year to close at a level of 1,115.10.

This positive momentum carried over into 2010, yet April proved to be a “cruel” month for investors. The markets reacted negatively to weak U.S. economic data and the European debt crisis. Volatility levels increased and market performance took a dramatic turn, leading to the first technical market correction since the market’s recovery began in spring 2009.

The market continues to remain sensitive to soft economic news as well as renewed deflation concerns. Despite this, however, we believe the current economic recovery offers some encouraging signs for investors. Although this recovery may be slow to create jobs, it has been fast to create profits. Strong productivity growth and modest wage increases have fueled corporate earnings, and if the current trend continues, corporate earnings are set to exceed their previous record set in 2007.

Equities climb out of negative territory

The markets climbed their way out of the doldrums throughout 2009, yet took a dramatic turn in late April, as investors grew increasingly concerned over lackluster economic data and uncertainty over financial reform. Volatility levels moved noticeably higher over the past several months, and investors embarked on a renewed “flight to quality.” Despite this, as of the end of the 12-month period ended June 30th 2010, the S&P 500 Index had climbed 14.4% to close at 1,030.71.

International markets also improved, driven by robust performance in the emerging markets. The Morgan Stanley Capital International (MSCI) Emerging Markets (EM) Index, which tracks the performance of 22 emerging market equity indices, returned 23.5% (gross) for the 12-month period ended June 30th, 2010, while the MSCI Europe, Australasia, Far East (EAFE) Index, which measures the equity market performance of developed markets outside of the U.S. and Canada, returned 6.4% (gross) for the same period.

From an equity style perspective, midcap value stocks outperformed their small and large cap growth counterparts for the 12 months ended June 30, 2010. During this period, the Russell Midcap Value Index returned 28.9%, compared to 21.3% for the Russell Growth Index, and in the small cap category, the Russell 2000 Growth Index returned 18.0%, lagging behind the Russell 2000 Value Index at 25.1%. Large caps performed the worst, with the Russell 1000 Growth and Value Indices returning 13.6% and 16.9% for the 12-month period, respectively.

Economic concerns drive investors to longer-dated Treasuries

Growing concerns over the U.S. economy and the European debt crisis continued to drive investors to the safety of bonds, leading to price gains and falling yields. The yield on the 10-year Treasury bond dropped to 3.0% from 3.5% as of the end of the 12-month period, while the 30-year Treasury bond declined from 4.3% to 3.9%. Meanwhile, the two-year U.S. Treasury note slid from 1.1% to 0.6% for the same period.

In this environment, the Barclays Capital U.S. Aggregate Index returned 9.5% as of the end of the 12-month period. Meanwhile, the Barclays Capital Corporate High Yield Index returned 26.8%, and the Barclays Capital Emerging Markets Index returned 20.4% for the same period.

Amid deflationary concerns, stay diversified

The U.S. economy has clearly entered a soft patch on its path to economic recovery. These signs of slower growth have ignited concerns that we are headed for a double-dip recession. Although there is uncertainty over the pace of the recovery, investors should note that double dip recessions have historically been rare.

Judging from recent months, however, it is clear that the market remains sensitive to less than positive economic news, both here and overseas. This sensitivity reminds us of the importance of maintaining broadly diversified portfolios that include stocks, bonds, cash and other investments, which may help provide steady returns in unsteady markets.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

George C.W. Gatch
President and CEO
J.P. Morgan Funds

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   1


J.P. Morgan Mid Cap/Multi-Cap Funds

  



Market Overview
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

Stock markets around the globe rebounded from their March 2009 lows, as signs emerged that the global economy would likely avoid collapse. Stocks carried this momentum throughout the remainder of 2009, rising sharply before the start of 2010, when policy shifts and macroeconomic uncertainty began to weigh on investor sentiment and stalled the strong rally in equities. Positive corporate earnings helped briefly reignite stock markets before the European debt crisis intensified in the second quarter of 2010, causing widespread risk aversion.

While European policymakers and the International Monetary Fund eventually responded to the region’s fiscal crisis with an aggressive emergency funding package, skepticism remained surrounding the unity among European leaders and the austerity measures being taken by weaker European countries to lower their deficits. Accordingly, the perception remained among many investors that banks exposed to peripheral European sovereign debt could be forced to rein in lending, a negative implication for the global economic recovery. At the same time, many investors became concerned about slowing economic growth in China and continued uncertainty about regulatory reform in the U.S. financial sector. The resulting risk aversion caused most stock markets to decline in the second quarter of 2010, with volatility returning to elevated levels. Nonetheless, most markets finished the twelve months ended June 30, 2010 with positive returns because of the strong rally during the first nine months of the reporting period.

U.S. Equity Markets

Despite falling victim to this widespread risk aversion, U.S. stocks posted solid gains for the reporting period, with the S&P 500 Index gaining 14.43% for the twelve months ended June 30, 2010. Investor sentiment was supported by strong corporate earnings, as a significant number of companies listed in the S&P 500 Index reported better-than-expected revenue for the first quarter of 2010. U.S. mid cap stocks gained more than U.S. large and small cap stocks during the reporting period, while value stocks outperformed growth stocks across asset classes.

2   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Growth Advantage Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Class A Shares, without a sales charge)*
                  14.97%   
Russell 3000 Growth Index
                 13.95%   
 
                        
Net Assets as of 6/30/2010 (In Thousands)
                $799,125   
 

INVESTMENT OBJECTIVE**

The JPMorgan Growth Advantage Fund seeks to provide long-term capital growth.

FUND PERFORMANCE

The JPMorgan Growth Advantage Fund (Class A Shares, without a sales charge) outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2010, as strong stock selection in the energy sector more than offset relative weakness from the Fund’s stock selection in the financial services sector.

Individual contributors to the Fund’s relative performance were diversified across sectors and market capitalizations and included the Fund’s overweight positions in Concho Resources Inc., Cognizant Technology Solutions Corp. and J.Crew Group, Inc. Concho Resources Inc. is an oil and gas operations company that operates mainly in the onshore Permian Basin region of Southeast New Mexico and West Texas. Shares of the company rose during the reporting period as concerns surrounding the oil spill in the Gulf of Mexico led many investors to rotate out of energy companies with offshore operations and purchase shares of energy companies with onshore operations, benefiting Concho Resources Inc. Cognizant Technology Solutions Corp. is a provider of custom information technology consulting, technology services, and outsourcing services that offers its clients an onsite project manager with offshore global delivery. The company benefited amid signs that its clients began to continue projects with offshore vendors that they had delayed during the recession. Retail company J.Crew Group, Inc. benefited as consumer spending began to recover from severely depressed levels. The company reported a strong increase in its fiscal first-quarter profit from the previous year and raised its profit outlook for its current fiscal year.

Individual detractors from the Fund’s relative performance included the Fund’s overweight positions in Leap Wireless International, Inc. and Harman International Industries, Inc. Leap Wireless International, Inc. is a wireless communications carrier with a large presence in the unlimited prepaid wireless service market. The stock was weak because of increasing levels of competition from the larger telecommunication providers, which may inhibit the company’s future earnings growth. As a result, the Fund’s portfolio managers began to exit the position in favor of companies with more attractive growth prospects. Harman International Industries, Inc. is a leading provider of premium audio and infotainment systems. The stock came under pressure late in the reporting period as the company announced weaker-than-expected growth and profitability targets.

Not owning shares of household products provider The Procter & Gamble Co. also hurt the Fund’s relative performance as this stock was a strong performer in the Benchmark during the reporting period.

HOW THE FUND WAS MANAGED

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies across market capitalizations 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.

As a result of this bottom-up stock selection process, the Fund had a modest cyclical tilt, as the Fund was overweight the consumer discretionary and materials & processing sectors and underweight the consumer staples sector.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   3


JPMorgan Growth Advantage Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***

1.            
Apple, Inc.
         6.9 %  
2.            
Hewlett-Packard Co.
         2.1   
3.            
Celgene Corp.
         2.1   
4.            
Sherwin-Williams Co. (The)
         2.0   
5.            
Cisco Systems, Inc.
         2.0   
6.            
Google, Inc., Class A
         2.0   
7.            
Express Scripts, Inc.
         1.9   
8.            
Cognizant Technology Solutions Corp., Class A
         1.9   
9.            
Microsoft Corp.
         1.8   
10.            
W.W. Grainger, Inc.
         1.7   
 

PORTFOLIO COMPOSITION BY SECTOR***

Information Technology
                 34.9 %  
Consumer Discretionary
                 15.2   
Health Care
                 14.9   
Industrials
                 13.0   
Financials
                 8.3   
Energy
                 6.4   
Materials
                 3.9   
Consumer Staples
                 2.3   
Telecommunication Services
                 1.0   
Short-Term Investment
                 0.1   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2010. The Fund’s composition is subject to change.

4   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     10 YEAR
CLASS A SHARES
                  10/29/99                                                   
Without Sales Charge
                                 14.97 %            2.86 %            (6.38 )%  
With Sales Charge*
                                 8.86             1.74             (6.88 )  
CLASS B SHARES
                  10/29/99                                                   
Without CDSC
                                 14.34             2.20             (6.90 )  
With CDSC**
                                 9.34             1.83             (6.90 )  
CLASS C SHARES
                  5/1/06                                                   
Without CDSC
                                 14.31             2.23             (6.98 )  
With CDSC***
                                 13.31             2.23             (6.98 )  
CLASS R5 SHARES
                  1/8/09             15.51             3.14             (6.25 )  
SELECT CLASS SHARES
                  5/1/06             15.18             3.08             (6.28 )  
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

***  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/00 TO 6/30/10)

 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

As of August 17, 2005, the Fund changed its name, investment objective, certain investment policies and benchmark. Prior to that time, the Fund operated as JPMorgan Mid Cap Growth Fund. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to August 17, 2005 might be less pertinent for investors considering whether to purchase shares of the Fund. The performance for the Class A and Class B Shares before March 23, 2001 is based on the performance of the Class A and Class B Shares of the Fund’s predecessor, H&Q IPO & Emerging Company Fund, a series of Hambrecht & Quist Fund Trust, which transferred all of its assets and liabilities to the Fund pursuant to a reorganization on that date. The predecessor’s investment program was identical to that of the Fund prior to December 3, 2001. The predecessor’s Class A and Class B expenses were substantially similar to those of Class A and Class B of the Fund. Returns for the Class C Shares prior to their inception date are based on the performance of Class B Shares, whose expenses are substantially similar to those of Class C Shares. Returns for the Select Class Shares prior to their inception date are based on the performance of Class A Shares. During this period, the actual returns of Select Class Shares would have been different because Select Class Shares have different expenses than Class A Shares. Returns for Class R5 Shares prior to its inception date are based on the performance of Select Class Shares from May 1, 2006 to June 30, 2009 and Class A Shares prior to May 1, 2006. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Select Class and Class A Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2000 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, 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 gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 Index companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year annual average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   5


JPMorgan Mid Cap Equity Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Select Class Shares)*
                  21.66%   
Russell Midcap Index
                 25.13%   
 
                        
Net Assets as of 6/30/2010 (In Thousands)
                $464,937   
 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Equity Fund seeks long-term capital growth.

FUND PERFORMANCE

The JPMorgan Mid Cap Equity Fund (Select Class Shares) underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2010. The Fund’s stock selection in the financials and health care sectors detracted from relative performance, while the Fund’s stock selection in the utilities and industrials sectors contributed to relative performance.

Individual detractors from the Fund’s relative performance included the Fund’s overweight positions in Leap Wireless International, Inc. and Harman International Industries, Inc. Leap Wireless International, Inc. is a wireless communications carrier with a large presence in the unlimited prepaid wireless service market. The stock was weak because of increasing levels of competition from the larger telecommunication providers, which may inhibit future earnings growth. As a result, the Fund’s portfolio managers exited the position in favor of companies with more attractive growth prospects. Harman International Industries, Inc. is a leading provider of premium audio and infotainment systems. The stock came under pressure late in the reporting period as the company announced weaker-than-expected growth and profitability targets.

Among the Fund’s individual contributors to relative performance were the Fund’s overweight positions in Lincare Holdings, Inc. and Cognizant Technology Solutions Corp. Lincare Holdings, Inc. is a provider of oxygen and other respiratory therapy services in the home. The company was a strong performer because investors expected that the company would capture increasing market share as competitors exit the industry as a result of concerns surrounding declining Medicare reimbursement rates for oxygen services. Cognizant Technology Solutions Corp. is a provider of custom information technology consulting, technology services, and outsourcing services that offers its clients an onsite project manager with offshore global delivery. The company benefited amid signs that its clients began to continue projects with offshore vendors that they had delayed during the recession.

HOW THE FUND WAS MANAGED

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. They looked for dominant franchises with predictable business models deemed capable of achieving sustained growth, as well as undervalued mid cap companies with the potential to grow their intrinsic value per share.

The Fund had a consistent amount of inflows during the reporting period. These new assets were invested in accordance with the Fund’s investment objective and strategy as the Fund’s portfolio managers received them.

6   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***

1.            
Lincare Holdings, Inc.
         1.5 %  
2.            
Sherwin-Williams Co. (The)
         1.5   
3.            
Tyco Electronics Ltd. (Switzerland)
         1.4   
4.            
Republic Services, Inc.
         1.1   
5.            
Amphenol Corp., Class A
         1.1   
6.            
Precision Castparts Corp.
         1.1   
7.            
Biovail Corp. (Canada)
         1.1   
8.            
Roper Industries, Inc.
         1.0   
9.            
W.W. Grainger, Inc.
         1.0   
10.            
Loews Corp.
         1.0   
 

PORTFOLIO COMPOSITION BY SECTOR***

Consumer Discretionary
                 17.5 %  
Information Technology
                 16.6   
Financials
                 15.8   
Industrials
                 14.0   
Health Care
                 9.9   
Energy
                 5.8   
Utilities
                 5.6   
Materials
                 5.3   
Consumer Staples
                 3.7   
Telecommunication Services
                 1.7   
Investment Company
                 1.0   
Short-Term Investment
                 3.1   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2010. The Fund’s composition is subject to change.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   7


JPMorgan Mid Cap Equity Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     10 YEAR
CLASS A SHARES
                  11/2/09                                                   
Without Sales Charge
                                 21.40 %            1.22 %            4.53 %  
With Sales Charge*
                                 15.04             0.14             3.97   
CLASS C SHARES
                  11/2/09                                                   
Without CDSC
                                 21.00             1.15             4.50   
With CDSC**
                                 20.00             1.15             4.50   
SELECT CLASS SHARES
                  1/1/97             21.66             1.27             4.55   
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/00 TO 6/30/10)

 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class A and Class C Shares prior to their inception date were based on the performance of Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, and the Lipper Mid-Cap Core Funds Index from June 30, 2000 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any. 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 gains of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies of the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an Index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

8   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Mid Cap Growth Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Select Class Shares)*
                  19.92%   
Russell Midcap Growth Index
                 21.30%   
 
                        
Net Assets as of 6/30/2010 (In Thousands)
                $1,290,242   
 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Growth Fund seeks growth of capital and secondarily, current income by investing primarily in equity securities.

FUND PERFORMANCE

The JPMorgan Mid Cap Growth Fund (Select Class Shares) underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2010. The Fund’s stock selection in the health care and financial services sectors detracted from relative performance, while relative strength from the Fund’s materials & processing and consumer staples holdings contributed to relative performance.

Individual detractors from the Fund’s relative performance included the Fund’s overweight positions in Leap Wireless International, Inc. and Harman International Industries, Inc. Leap Wireless International, Inc. is a wireless communications carrier with a large presence in the unlimited prepaid wireless service market. The stock was weak because of increasing levels of competition from the larger telecom providers, which may inhibit the company’s future earnings growth. As a result, the Fund’s portfolio managers began to exit the position in favor of companies with more attractive growth prospects. Harman International Industries, Inc. is a leading provider of premium audio and infotainment systems. The stock came under pressure late in the reporting period as the company announced weaker-than-expected growth and profitability targets.

Not owning shares of medical equipment and supplies company Intuitive Surgical, Inc. also hurt the Fund’s relative performance, as this stock was a strong performer in the Benchmark during the reporting period.

Individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Cummins Inc., Amdocs Ltd. and Cognizant Technology Solutions Corp. Cummins Inc. provides components for truck engines. The trucking industry appeared to be approaching a replacement cycle and shares of Cummins Inc. gained amid investor optimism about growing demand for its products as companies order new trucks. Amdocs Ltd., which makes phone-billing and customer-management software, reported quarterly profit that beat investor expectations. Cognizant Technology Solutions Corp. is a provider of custom information technology consulting, technology services, and outsourcing services that offers its clients an onsite project manager with offshore global delivery. The company benefited amid signs that its clients began to continue projects with offshore vendors that they had delayed during the recession.

HOW THE FUND WAS MANAGED

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct a portfolio 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.

As a result of this bottom-up stock selection process, the Fund had a modest cyclical tilt, as the Fund was overweight the consumer discretionary and producer durables sectors and underweight the consumer staples sector. The Fund’s largest overweight versus the Benchmark was in the technology sector, where the Fund’s portfolio managers identified their most attractive investment opportunities.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   9


JPMorgan Mid Cap Growth Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***

1.            
Biovail Corp. (Canada)
          2.2 %  
2.            
Sherwin-Williams Co. (The)
          2.0   
3.            
W.W. Grainger, Inc.
          2.0   
4.            
Amdocs Ltd. (United Kingdom)
          1.9   
5.            
Cognizant Technology Solutions Corp., Class A
          1.7   
6.            
Hewitt Associates, Inc., Class A
          1.7   
7.            
Goodrich Corp.
          1.6   
8.            
Forest Oil Corp.
          1.6   
9.            
Cummins, Inc.
          1.6   
10.            
NetApp, Inc.
          1.5   
 

PORTFOLIO COMPOSITION BY SECTOR***

Information Technology
                  28.2 %  
Industrials
                  18.5   
Consumer Discretionary
                  18.0   
Health Care
                  14.5   
Financials
                  7.2   
Energy
                  5.6   
Materials
                  4.3   
Consumer Staples
                  1.6   
Telecommunication Services
                  1.3   
Short-Term Investment
                  0.8   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2010. The Fund’s composition is subject to change.

10   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     10 YEAR
CLASS A SHARES
                  2/18/92                                                   
Without Sales Charge
                                 19.53 %            1.22 %            0.19 %  
With Sales Charge*
                                 13.24             0.13             (0.35 )  
CLASS B SHARES
                  1/14/94                                                   
Without CDSC
                                 18.91             0.61             (0.37 )  
With CDSC**
                                 13.91             0.21             (0.37 )  
CLASS C SHARES
                  11/4/97                                                   
Without CDSC
                                 18.90             0.61             (0.48 )  
With CDSC***
                                 17.90             0.61             (0.48 )  
CLASS R2 SHARES
                  6/19/09             19.30             1.06             0.01   
SELECT CLASS SHARES
                  3/2/89             19.92             1.50             0.46   
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

***  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/00 TO 6/30/10)

 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for the Class R2 Shares prior to its inception date are based on the performance of Select Class Shares. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses and sales charges between classes.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index and the Lipper Mid-Cap Growth Funds Index from June 30, 2000 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, 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 gains of the securities included in the benchmark. 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 charged by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   11


JPMorgan Mid Cap Value Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Institutional Class Shares)*
                  24.68%   
Russell Midcap Value Index
                 28.91%   
 
                        
Net Assets as of 6/30/2010 (In Thousands)
                $5,088,730   
 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Value Fund seeks growth from capital appreciation.

FUND PERFORMANCE

For the twelve months ended June 30, 2010, the JPMorgan Mid Cap Value Fund (Institutional Class Shares) underperformed the Russell Midcap Value Index (the “Benchmark”), which was the strongest performing index among major U.S. indices during the reporting period. The Fund’s relative underperformance versus the Benchmark was primarily driven by negative stock selection in the consumer discretionary and financials sectors. The Fund’s stock selection in the information technology and utilities sectors contributed to relative performance.

Individual detractors from the Fund’s relative performance included Alliant Techsystems, Inc. and Synovus Financial Corp. Shares of Alliant Techsystems, Inc., an aerospace and defense company, declined on concerns about NASA’s dismantling of its U.S. human spaceflight program, which was a source of revenue for the company. Additionally, its shares declined on concerns about the sustainability of peak earnings derived from its ammunition business. Demand for hand guns, and subsequently ammunition, surged as many consumers feared that federal regulation could potentially restrict their ability to purchase hand guns. Shares of regional bank Synovus Financial Corp. declined because of concerns about loan losses, particularly from the company’s exposure to loans in Metro-Atlanta and western Florida. The Fund’s portfolio managers exited the Fund’s position in Synovus Financial Corp. to rotate into investments they felt had more attractive risk reward opportunities.

Among the Fund’s individual contributors to relative performance were Lincare Holdings, Inc. and M&T Bank Corp. Lincare is a provider of oxygen and other respiratory therapy services in the home. The company was a strong performer because investors expected that the company will capture increasing market share as competitors exit the industry as a result of concerns surrounding declining Medicare reimbursement rates for oxygen services. Buffalo-based regional bank M&T Bank Corp. benefited as prudent management decisions allowed the bank to remain profitable through the credit crisis. The stock also benefited from investor speculation that Banco Santander, S.A. would acquire M&T Bank Corp. to merge it with Banco Santander’s U.S. subsidiary, Sovereign Bank.

HOW THE FUND WAS MANAGED

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate sustainable levels of free cash flow. The Fund’s portfolio managers believed that these types of companies should perform relatively well in what they view as a slow but sustainable economic recovery in the United States. The portfolio’s largest overweight continued to be in the consumer discretionary sector. The Fund’s portfolio managers preferred to own retailers with strong brands and business models that produce recurring revenue, believing that these factors, coupled with lower levels of capital spending, should contribute to their sustainable generation of free cash flow.

The Fund was underweight the financial sector, mostly in real estate investment trusts (REITs). Within the financial sector, the Fund was overweight insurance companies. The Fund’s portfolio managers preferred to own property and casualty insurers, as they believed that their valuations were compelling, particularly as they believe that pricing trends for these insurers should improve in the current economic cycle.

12   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***

1.            
Republic Services, Inc.
          2.3 %  
2.            
Loews Corp.
          1.9   
3.            
Lincare Holdings, Inc.
          1.9   
4.            
Williams Cos., Inc. (The)
          1.8   
5.            
Gap, Inc. (The)
          1.8   
6.            
Old Republic International Corp.
          1.7   
7.            
JM Smucker Co. (The)
          1.7   
8.            
Energen Corp.
          1.7   
9.            
Ball Corp.
          1.7   
10.            
Tyco Electronics Ltd. (Switzerland)
          1.5   
 

PORTFOLIO COMPOSITION BY SECTOR***

Financials
                  25.0 %  
Consumer Discretionary
                  17.9   
Utilities
                  11.1   
Industrials
                  9.9   
Materials
                  6.8   
Energy
                  6.5   
Information Technology
                  5.9   
Consumer Staples
                  5.8   
Health Care
                  5.6   
Telecommunication Services
                  2.4   
Short-Term Investment
                  3.1   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2010. The Fund’s composition is subject to change.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   13


JPMorgan Mid Cap Value Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     10 YEAR
CLASS A SHARES
                  4/30/01                                                   
Without Sales Charge
                                 24.08 %            0.78 %            9.02 %  
With Sales Charge*
                                 17.60             (0.30 )            8.43   
CLASS B SHARES
                  4/30/01                                                   
Without CDSC
                                 23.44             0.26             8.51   
With CDSC**
                                 18.44             (0.14 )            8.51   
CLASS C SHARES
                  4/30/01                                                   
Without CDSC
                                 23.43             0.28             8.46   
With CDSC***
                                 22.43             0.28             8.46   
CLASS R2 SHARES
                  11/3/08             23.71             0.68             8.97   
INSTITUTIONAL CLASS SHARES
                  11/13/97             24.68             1.27             9.52   
SELECT CLASS SHARES
                  10/31/01             24.35             1.02             9.28   
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

***  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/00 TO 6/30/10)

 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for the Class A, Class B, Class C and Select Class Shares prior to their inception dates are based on the performance of Institutional Class Shares. During these periods, the actual returns of Class A, Class B, Class C and Select Class Shares would have been lower than shown because Class A, Class B, Class C and Select Class Shares have higher expenses than Institutional Class Shares. Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares from April 30, 2001 to December 31, 2008 and Institutional Class Shares prior to April 30, 2001. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and Institutional Class Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index from June 30, 2000 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, 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 gains of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index are indexes based on total returns of certain groups of mutual funds as determined by Lipper, Inc. The Fund’s Lipper Index changed to the Lipper Mid-Cap Core Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

14   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Multi-Cap Market Neutral Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Select Class Shares)*
                 (4.67)%   
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
                 0.16%   
 
                       
Net Assets as of 6/30/2010 (In Thousands)
               $575,547   
 

INVESTMENT OBJECTIVE**

The JPMorgan Multi-Cap Market Neutral Fund seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.

FUND PERFORMANCE

The JPMorgan Multi-Cap Market Neutral Fund (Select Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended June 30, 2010. The Fund’s portfolio managers employed a quantitative bottom up approach to their stock selection process, focusing on both valuation and fundamentals. The Fund’s fundamentals approach detracted from relative performance, while the Fund’s valuation stock selection contributed to relative performance.

The Fund’s fundamentals stock selection model attempts to identify how healthy a company’s short-term operating trends are judged to be, using metrics such as stock price momentum and earnings momentum. The approach faced headwinds during the reporting period as stocks recovered in lockstep following the March 2009 market bottom and carried this upward momentum well into the reporting period. An environment where positive upward momentum was heavily correlated across most sectors and stocks proved to be challenging for the fundamental stock selection model, which looks to differentiate among potential investments using momentum factors.

The Fund’s valuation stock selection model seeks to determine how a stock is priced relative to its intrinsic value by considering valuation factors. The approach added to relative performance, as, during the downturn, it pointed the Fund’s portfolio managers to many stocks that had declined excessively in relation to their underlying value. Many of these stocks rebounded during the rally that followed the March 2009 market bottom, helping the Fund’s relative performance during the twelve months ended June 30, 2010.

The Fund categorizes its universe of stocks into five “supersectors.” Of the Fund’s five supersector categories, stock selection in the industrial and technology sectors produced negative returns during the reporting period, detracting the most from performance. Positive stock selection in the consumer and financial sectors helped somewhat offset these losses.

Although the Fund’s strategy is and remains market neutral, it is important to note that the strategy is not market isolated, and therefore may be subject to short-term disruptions in internal market conditions, like those witnessed during the reporting period. The Fund’s portfolio managers believe that, over the long-term, a market neutral approach can help diversify investors’ overall investment portfolio.

HOW THE FUND WAS MANAGED

The Fund’s portfolio managers ranked stocks within a universe of approximately 1,300 large-cap, mid-cap and high-end small-cap stocks. The Fund owned more than 350 long and short positions during the reporting period. The Fund was well diversified and sector-neutral. The Fund’s portfolio managers sought to go long on inexpensive stocks with improving fundamentals and short on expensive stocks with deteriorating fundamentals. They continued to use strategies designed to produce returns that have no correlation with general domestic market performance.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   15


JPMorgan Multi-Cap Market Neutral Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

TOP TEN EQUITY LONG HOLDINGS OF THE PORTFOLIO***

1.            
Navistar International Corp.
         0.4 %  
2.            
WESCO International, Inc.
         0.4   
3.            
Shaw Group, Inc. (The)
         0.4   
4.            
Aeropostale, Inc.
         0.4   
5.            
Forest Laboratories, Inc.
         0.4   
6.            
Constellation Energy Group, Inc.
         0.4   
7.            
Jarden Corp.
         0.4   
8.            
RenaissanceRe Holdings Ltd., (Bermuda)
         0.4   
9.            
Herbalife Ltd. (Cayman Islands)
         0.4   
10.            
Noble Corp. (Switzerland)
         0.3   
 

TOP TEN EQUITY SHORT HOLDINGS OF THE PORTFOLIO****

1.            
American Tower Corp., Class A
          0.5 %  
2.            
O’Reilly Automotive, Inc.
          0.5   
3.            
Yum! Brands, Inc.
          0.5   
4.            
PACCAR, Inc.
          0.5   
5.            
Spectra Energy Corp.
          0.5   
6.            
Northeast Utilities
          0.5   
7.            
Martin Marietta Materials, Inc.
          0.4   
8.            
KeyCorp
          0.4   
9.            
NetLogic Microsystems, Inc.
          0.4   
10.            
EQT Corp.
          0.4   
 

PORTFOLIO COMPOSITION BY SECTOR LONG POSITIONS***

Consumer Discretionary
                  18.3 %  
Information Technology
                  13.6   
Financials
                  11.4   
Industrials
                  11.4   
Health Care
                  8.8   
Materials
                  6.2   
Energy
                  5.7   
Utilities
                  4.5   
Consumer Staples
                  3.9   
Telecommunication Services
                  1.3   
Short-Term Investment
                  14.9   
 

PORTFOLIO COMPOSITION BY SECTOR SHORT POSITIONS****

Information Technology
                  17.0 %  
Industrials
                  14.6   
Financials
                  14.5   
Consumer Discretionary
                  13.3   
Health Care
                  10.5   
Energy
                  9.2   
Consumer Staples
                  6.8   
Materials
                  6.6   
Utilities
                  5.9   
Telecommunication Services
                  1.6   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total long investments as of June 30, 2010. The Fund’s composition is subject to change.

****  
   Percentages indicated are based upon total short investments as of June 30, 2010. The Fund’s composition is subject to change.

16   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     SINCE
INCEPTION
CLASS A SHARES
                  5/23/03                                                   
Without Sales Charge
                                 (4.90 )%            0.17 %            1.58 %  
With Sales Charge*
                                 (9.93 )            (0.91 )            0.82   
CLASS B SHARES
                  5/23/03                                                   
Without CDSC
                                 (5.69 )            (0.59 )            0.82   
With CDSC**
                                 (10.69 )            (1.00 )            0.82   
CLASS C SHARES
                  5/23/03                                                   
Without CDSC
                                 (5.59 )            (0.59 )            0.83   
With CDSC***
                                 (6.59 )            (0.59 )            0.83   
SELECT CLASS SHARES
                  5/23/03             (4.67 )            0.41             1.84   
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

***  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (5/23/03 TO 6/30/10)

 

Source: Lipper, Inc. 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 May 23, 2003.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Equity Market-Neutral Funds Average from May 23, 2003 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Equity Market-Neutral Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The Lipper Equity Market-Neutral Funds Average is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net assets value in accordance with accounting principles generally accepted in the United States of America.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   17


JPMorgan Value Advantage Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited)

REPORTING PERIOD RETURN:
                       
Fund (Institutional Class Shares)*
                  29.03%   
Russell 3000 Value Index
                 17.57%   
 
                        
Net Assets as of 6/30/2010 (In Thousands)
                $485,986   
 

INVESTMENT OBJECTIVE**

The JPMorgan Value Advantage Fund seeks to provide long-term total return from a combination of income and capital gains.

FUND PERFORMANCE

The JPMorgan Value Advantage Fund (Institutional Class Shares) outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2010. The Fund’s relative outperformance versus the Benchmark was driven by strong stock selection in the energy and consumer discretionary sectors. This relative strength was partially offset by weakness among the Fund’s information technology holdings and the Fund’s overweight in the underperforming consumer staples sector.

Among the Fund’s individual contributors to relative performance were Enterprise Group Holdings LP and Carlisle Cos., Inc. Enterprise Group Holdings LP operates as a master limited partnership involved in the processing, transportation and storage of natural gas and oil. As master limited partnerships generally have steady sources of income, they were granted early access to affordable credit in the months that followed the worst of 2009’s liquidity crisis, benefiting Enterprise Group Holdings LP. Investors also were attracted to the company’s prospects for distribution growth, as it continued to undertake growth initiatives and the demand for natural gas is expected, by many investors, to remain strong. Carlisle Cos., Inc. manufactures and distributes a variety of products across a range of industries, including roofing, construction, foodservice and aircraft manufacturing. The company was able to generate better-than-expected profitability due to aggressive cost cutting measures undertaken during the downturn. As the year progressed, shares of Carlisle Cos., Inc. continued to rise as the company experienced better-than-expected volume growth and profitability in its construction materials business.

Individual detractors from the Fund’s relative performance included Exxon Mobil Corp. and Walgreen Co. Shares of Exxon Mobil Corp. declined following the company’s announced acquisition of XTO Energy, a natural gas producer. Reaction to the XTO Energy acquisition was mixed as some investors felt the company should have used its cash in a more shareholder friendly manner. Shares of Exxon Mobil Corp. declined later in the reporting period over concerns surrounding the oil spill in the Gulf of Mexico and its impact on the company’s earnings generated from offshore drilling activities in the Gulf. Shares of Walgreen Co., a drug retailer, were weak mainly because of concerns about a dispute with pharmacy benefit manager CVS Caremark, robust merger activity in the industry and pressure on the company’s same-store sales (a statistic used in retail industry analysis that compares sales of a company’s stores that have been open for at least one year).

HOW THE FUND WAS MANAGED

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate sustainable levels of free cash flow. Stocks most tied to the cyclical economic recovery, particularly in the small and mid cap space, enjoyed a strong rally following the market bottom in March 2009. The Fund’s portfolio managers believed that many of these stocks were approaching their estimates of fair value and were beginning to trade at less attractive levels. Accordingly, they scaled back the Fund’s exposure to these stocks and the Fund finished the reporting period with significant underweights in the industrials and materials sectors. Bottom-up fundamental research led the Fund’s portfolio managers to several larger-cap stocks with significant excess cash reserves and strong balance sheets. In their view, these stocks, such as Exxon Mobil Corp., appeared to be trading at more attractive levels than many of the cyclically sensitive industrials and materials stocks.

The Fund’s largest overweight was in the consumer discretionary sector. The Fund’s portfolio managers attempted to own retailers with strong brands and recurring revenue business models. They believed that these factors coupled with lower levels of capital spending should contribute to the generation of free cash flow. The Fund’s portfolio managers also found attractive investment opportunities among energy companies involved in the exploration, production, transportation and storage of natural gas, as natural gas is plentiful in North America and is a cleaner burning fuel than oil. In addition, there have been large investments made in natural gas infrastructure and they believed that natural gas would be a more significant source of energy over the long term.

18   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***

1.            
Loews Corp.
          3.9 %  
2.            
Wells Fargo & Co.
          3.7   
3.            
Devon Energy Corp.
          3.4   
4.            
Exxon Mobil Corp.
          2.4   
5.            
JM Smucker Co. (The)
          2.1   
6.            
Gap, Inc. (The)
          2.1   
7.            
Merck & Co., Inc.
          2.1   
8.            
Teekay Corp. (Canada)
          2.0   
9.            
AT&T, Inc.
          2.0   
10.            
Oneok, Inc.
          1.9   
 

PORTFOLIO COMPOSITION BY SECTOR***

Financials
                  33.3 %  
Energy
                  16.0   
Consumer Discretionary
                  14.1   
Health Care
                  10.1   
Consumer Staples
                  6.0   
Utilities
                  5.2   
Telecommunication Services
                  3.9   
Information Technology
                  2.6   
Industrials
                  2.3   
Materials
                  1.6   
Investment Company
                  1.2   
Short-Term Investment
                  3.7   
 

*  
   The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

**  
   The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***  
   Percentages indicated are based upon total investments as of June 30, 2010. The Fund’s composition is subject to change.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   19


JPMorgan Value Advantage Fund

  



FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2010 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2010

        INCEPTION DATE
OF CLASS
     1 YEAR
     5 YEAR
     SINCE
INCEPTION
CLASS A SHARES
                  2/28/05                                                   
Without Sales Charge
                                 28.35 %            2.49 %            2.93 %  
With Sales Charge*
                                 21.56             1.39             1.89   
CLASS C SHARES
                  2/28/05                                                   
Without CDSC
                                 27.72             1.99             2.42   
With CDSC**
                                 26.72             1.99             2.42   
INSTITUTIONAL CLASS SHARES
                  2/28/05             29.03             2.90             3.35   
SELECT CLASS SHARES
                  2/28/05             28.70             2.77             3.20   
 

*  
   Sales Charge for Class A Shares is 5.25%.

**  
   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/05 TO 6/30/10)

 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2005.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from February 28, 2005 to June 30, 2010. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The Fund has changed the class used in the graph from Class A to Institutional Class because Institutional Class is now the Fund’s largest class and both classes commenced operations at the same time. 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 gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 Index companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

20   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Growth Advantage Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — 99.9%
             
Consumer Discretionary — 15.2%
             
Auto Components — 2.0%
417            
Gentex Corp.
          7,497   
322            
Johnson Controls, Inc.
          8,639   
             
 
          16,136   
             
Automobiles — 1.0%
356            
Harley-Davidson, Inc. (c)
          7,916   
             
Diversified Consumer Services — 1.0%
285            
Education Management Corp. (a) (c)
          4,342   
172            
Sotheby’s (c)
          3,931   
             
 
          8,273   
             
Hotels, Restaurants & Leisure — 0.8%
267            
Royal Caribbean Cruises Ltd. (a) (c)
          6,084   
             
Household Durables — 1.0%
271            
Harman International Industries, Inc. (a) (c)
          8,109   
             
Internet & Catalog Retail — 3.0%
121            
Amazon.com, Inc. (a)
          13,210   
229            
HSN, Inc. (a)
          5,498   
51            
NetFlix, Inc. (a) (c)
          5,509   
             
 
          24,217   
             
Media — 1.7%
424            
Walt Disney Co. (The)
          13,356   
             
Specialty Retail — 3.9%
407            
Dick’s Sporting Goods, Inc. (a) (c)
          10,140   
149            
J Crew Group, Inc. (a) (c)
          5,488   
491            
OfficeMax, Inc. (a) (c)
          6,414   
356            
Williams-Sonoma, Inc. (c)
          8,846   
             
 
          30,888   
             
Textiles, Apparel & Luxury Goods — 0.8%
145            
Phillips-Van Heusen Corp.
          6,691   
             
Total Consumer Discretionary
           121,670   
             
Consumer Staples — 2.3%
             
Beverages — 2.3%
198            
Coca-Cola Co. (The)
          9,914   
223            
Dr. Pepper Snapple Group, Inc.
          8,338   
             
Total Consumer Staples
          18,252   
             
Energy — 6.4%
             
Energy Equipment & Services — 2.0%
187            
Cameron International Corp. (a)
          6,097   
183            
Schlumberger Ltd.
          10,149   
             
 
          16,246   
             
Oil, Gas & Consumable Fuels — 4.4%
201            
Concho Resources, Inc. (a) (c)
          11,094   
85            
EOG Resources, Inc.
          8,381   
360            
Forest Oil Corp. (a)
          9,855   
151            
Southwestern Energy Co. (a)
          5,823   
             
 
          35,153   
             
Total Energy
          51,399   
             
Financials — 8.3%
             
Capital Markets — 2.3%
36            
BlackRock, Inc.
          5,091   
485            
Och-Ziff Capital Management Group LLC, Class A
          6,107   
157            
T. Rowe Price Group, Inc. (c)
          6,965   
             
 
          18,163   
             
Commercial Banks — 2.9%
285            
BB&T Corp.
          7,496   
341            
U.S. Bancorp
          7,623   
310            
Wells Fargo & Co.
          7,941   
             
 
          23,060   
             
Consumer Finance — 1.0%
198            
American Express Co.
          7,865   
             
Diversified Financial Services — 1.2%
35            
CME Group, Inc.
          9,713   
             
Insurance — 0.9%
141            
ACE Ltd., (Switzerland)
          7,233   
             
Total Financials
          66,034   
             
Health Care — 14.9%
             
Biotechnology — 2.8%
111            
Alexion Pharmaceuticals, Inc. (a) (c) (m)
          5,662   
335            
Celgene Corp. (a)
          17,014   
             
 
            22,676   
             
Health Care Equipment & Supplies — 2.3%
355            
Insulet Corp. (a) (c)
          5,341   
122            
Sirona Dental Systems, Inc. (a)
          4,233   
198            
Thoratec Corp. (a) (c)
          8,461   
             
 
          18,035   
             
Health Care Providers & Services — 5.9%
132            
DaVita, Inc. (a)
          8,255   
247            
Emeritus Corp. (a) (c)
          4,024   
324            
Express Scripts, Inc. (a)
          15,220   
273            
Lincare Holdings, Inc. (a) (c)
          8,867   
367            
UnitedHealth Group, Inc.
          10,426   
             
 
          46,792   
             
Pharmaceuticals — 3.9%
608            
Biovail Corp., (Canada) (c)
          11,692   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   21


JPMorgan Growth Advantage Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Pharmaceuticals — Continued
244            
Merck & Co., Inc.
          8,519   
213            
Teva Pharmaceutical Industries Ltd.,
(Israel), ADR
          11,084   
             
 
          31,295   
             
Total Health Care
           118,798   
             
Industrials — 13.0%
             
Aerospace & Defense — 2.8%
146            
Goodrich Corp.
          9,686   
151            
HEICO Corp. (c)
          5,414   
72            
Precision Castparts Corp.
          7,364   
             
 
          22,464   
             
Airlines — 0.8%
533            
Delta Air Lines, Inc. (a)
          6,257   
             
Building Products — 1.6%
219            
Lennox International, Inc. (c)
          9,112   
197            
Trex Co., Inc. (a) (c)
          3,953   
             
 
          13,065   
             
Electrical Equipment — 0.7%
388            
Generac Holdings, Inc. (a)
          5,429   
             
Machinery — 2.0%
137            
Cummins, Inc.
          8,942   
175            
Wabtec Corp. (c)
          6,989   
             
 
          15,931   
             
Professional Services — 0.6%
205            
Robert Half International, Inc. (c)
          4,825   
             
Road & Rail — 2.8%
623            
Avis Budget Group, Inc. (a) (c)
          6,115   
158            
Canadian National Railway Co., (Canada) (c)
          9,083   
193            
Landstar System, Inc.
          7,518   
             
 
          22,716   
             
Trading Companies & Distributors — 1.7%
135            
W.W. Grainger, Inc.
          13,406   
             
Total Industrials
          104,093   
             
Information Technology — 34.9%
             
Communications Equipment — 2.0%
745            
Cisco Systems, Inc. (a)
          15,878   
             
Computers & Peripherals — 10.9%
219            
Apple, Inc. (a)
          55,173   
458            
EMC Corp. (a)
          8,380   
395            
Hewlett-Packard Co.
          17,100   
180            
NetApp, Inc. (a)
          6,723   
             
 
          87,376   
             
Electronic Equipment, Instruments &
Components — 1.4%
277            
Amphenol Corp., Class A
          10,861   
             
Internet Software & Services — 2.8%
83            
Equinix, Inc. (a) (c)
          6,709   
35            
Google, Inc., Class A (a)
          15,707   
             
 
          22,416   
             
IT Services — 9.4%
142            
Alliance Data Systems Corp. (a) (c)
          8,452   
480            
Amdocs Ltd., (United Kingdom) (a)
          12,893   
411            
CGI Group, Inc., (Canada), Class A (a)
          6,141   
300            
Cognizant Technology Solutions Corp.,
Class A (a)
          14,998   
379            
Hewitt Associates, Inc., Class A (a)
          13,064   
59            
MasterCard, Inc., Class A (c)
          11,772   
531            
Western Union Co. (The)
          7,917   
             
 
          75,237   
             
Semiconductors & Semiconductor Equipment — 4.8%
370            
Broadcom Corp., Class A (c)
          12,199   
413            
Intel Corp.
          8,023   
267            
Lam Research Corp. (a) (c)
          10,147   
519            
Marvell Technology Group Ltd., (Bermuda) (a)
          8,184   
             
 
          38,553   
             
Software — 3.6%
69            
Blackboard, Inc. (a) (c)
          2,564   
144            
Concur Technologies, Inc. (a) (c)
          6,129   
615            
Microsoft Corp.
          14,140   
250            
Taleo Corp., Class A (a) (c)
          6,060   
             
 
          28,893   
             
Total Information Technology
           279,214   
             
Materials — 3.9%
             
Chemicals — 2.0%
232            
Sherwin-Williams Co. (The) (c)
          16,031   
             
Containers & Packaging — 1.9%
303            
Bemis Co., Inc.
          8,176   
124            
Greif, Inc., Class A
          6,859   
             
 
          15,035   
             
Total Materials
          31,066   
             
Telecommunication Services — 1.0%
             
Diversified Telecommunication Services — 1.0%
503            
tw telecom, inc. (a)
          8,383   
             
Total Common Stocks
(Cost $737,259)
           798,909   

SEE NOTES TO FINANCIAL STATEMENTS.

22   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short-Term Investment — 0.1%
             
Investment Company — 0.1%
593
 		            
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.120% (b) (l) (m)
(Cost $593)
          593    
Investments of Cash Collateral for Securities on Loan — 21.4%
             
Investment Company — 21.4%
170,889
 		            
JPMorgan Prime Money Market Fund, Capital Shares, 0.150% (b) (l)
(Cost $170,889)
           170,889   
             
Total Investments — 121.4%
(Cost $908,741)
          970,391   
             
Liabilities in Excess of Other
Assets — (21.4)%
          (171,266 )  
             
NET ASSETS — 100.0%
       $ 799,125   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   23


JPMorgan Mid Cap Equity Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — 93.6%
             
Consumer Discretionary — 17.1%
             
Auto Components — 0.5%
144            
Gentex Corp. (c)
          2,584   
             
Automobiles — 0.5%
100            
Harley-Davidson, Inc. (c)
          2,223   
             
Distributors — 0.5%
66            
Genuine Parts Co.
          2,591   
             
Diversified Consumer Services — 1.0%
117            
Education Management Corp. (a) (c)
          1,778   
116            
H&R Block, Inc.
          1,823   
49            
Sotheby’s (c)
          1,118   
             
 
          4,719   
             
Hotels, Restaurants & Leisure — 2.4%
11            
Chipotle Mexican Grill, Inc. (a) (c)
          1,464   
27            
Darden Restaurants, Inc.
          1,036   
57            
Marriott International, Inc., Class A
          1,692   
98            
MGM Resorts International (a) (c)
          947    
74            
Royal Caribbean Cruises Ltd. (a) (c)
          1,687   
40            
Starwood Hotels & Resorts Worldwide, Inc. (c)
          1,669   
66            
Yum! Brands, Inc.
          2,573   
             
 
            11,068   
             
Household Durables — 1.5%
83            
Fortune Brands, Inc.
          3,248   
76            
Harman International Industries, Inc. (a) (c)
          2,274   
52            
Jarden Corp.
          1,400   
             
 
          6,922   
             
Internet & Catalog Retail — 1.1%
85            
Expedia, Inc.
          1,598   
65            
HSN, Inc. (a)
          1,567   
19            
NetFlix, Inc. (a) (c)
          2,065   
             
 
          5,230   
             
Media — 2.8%
47            
Cablevision Systems Corp., Class A
          1,117   
86            
Clear Channel Outdoor Holdings, Inc., Class A (a)
          746    
56            
Discovery Communications, Inc., Class A (a) (c)
          2,007   
67            
DISH Network Corp., Class A
          1,220   
145            
Gannett Co., Inc.
          1,954   
89            
Lamar Advertising Co., Class A (a) (c)
          2,190   
31            
Omnicom Group, Inc.
          1,060   
24            
Scripps Networks Interactive, Inc., Class A
          976    
4            
Washington Post Co. (The), Class B
          1,623   
             
 
          12,893   
             
Multiline Retail — 0.2%
45            
Macy’s, Inc.
          811    
             
Specialty Retail — 5.3%
8            
AutoNation, Inc. (a)
          155    
13            
AutoZone, Inc. (a)
          2,415   
60            
Bed Bath & Beyond, Inc. (a)
          2,236   
121            
Chico’s FAS, Inc.
          1,190   
116            
Dick’s Sporting Goods, Inc. (a) (c)
          2,880   
108            
Express, Inc. (a)
          1,771   
204            
Gap, Inc. (The)
          3,962   
41            
J Crew Group, Inc. (a) (c)
          1,524   
134            
OfficeMax, Inc. (a) (c)
          1,751   
46            
Staples, Inc.
          884    
50            
Tiffany & Co.
          1,911   
39            
TJX Cos., Inc.
          1,649   
93            
Williams-Sonoma, Inc. (c)
          2,296   
             
 
          24,624   
             
Textiles, Apparel & Luxury Goods — 1.3%
88            
Phillips-Van Heusen Corp. (c)
          4,063   
25            
Polo Ralph Lauren Corp.
          1,831   
             
 
          5,894   
             
Total Consumer Discretionary
            79,559   
             
Consumer Staples — 3.6%
             
Beverages — 0.8%
25            
Brown-Forman Corp., Class B
          1,447   
64            
Dr. Pepper Snapple Group, Inc.
          2,378   
             
 
          3,825   
             
Food & Staples Retailing — 0.9%
154            
Safeway, Inc.
          3,030   
33            
Whole Foods Market, Inc. (a) (c)
          1,181   
             
 
          4,211   
             
Food Products — 1.0%
64            
JM Smucker Co. (The)
          3,848   
20            
McCormick & Co., Inc. (Non-Voting)
          774    
             
 
          4,622   
             
Household Products — 0.6%
24            
Clorox Co.
          1,498   
29            
Energizer Holdings, Inc. (a)
          1,443   
             
 
          2,941   
             
Tobacco — 0.3%
18            
Lorillard, Inc.
          1,260   
             
Total Consumer Staples
          16,859   
             
Energy — 5.7%
             
Energy Equipment & Services — 0.9%
53            
Cameron International Corp. (a)
          1,728   

SEE NOTES TO FINANCIAL STATEMENTS.

24   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Energy Equipment & Services — Continued
18            
CARBO Ceramics, Inc. (c)
          1,285   
21            
Oceaneering International, Inc. (a)
          962    
             
 
          3,975   
             
Oil, Gas & Consumable Fuels — 4.8%
70            
Cabot Oil & Gas Corp.
          2,206   
49            
Concho Resources, Inc. (a)
          2,722   
101            
CVR Energy, Inc. (a)
          759    
51            
Devon Energy Corp.
          3,083   
98            
El Paso Corp.
          1,084   
130            
Forest Oil Corp. (a)
          3,551   
41            
Kinder Morgan Management LLC (a)
          2,347   
92            
Teekay Corp., (Canada)
          2,397   
228            
Williams Cos., Inc. (The)
          4,159   
             
 
          22,308   
             
Total Energy
            26,283   
             
Financials — 15.4%
             
Capital Markets — 2.8%
13            
Affiliated Managers Group, Inc. (a)
          763    
42            
Ameriprise Financial, Inc.
          1,528   
111            
Invesco Ltd.
          1,866   
34            
Northern Trust Corp.
          1,597   
105
 		            
Och-Ziff Capital Management Group LLC,
Class A (c)
          1,321   
93            
T. Rowe Price Group, Inc. (c)
          4,135   
125            
TD AMERITRADE Holding Corp. (a)
          1,910   
             
 
           13,120   
             
Commercial Banks — 4.2%
64            
BancorpSouth, Inc.
          1,139   
137            
BB&T Corp. (c)
          3,599   
28            
BOK Financial Corp. (c)
          1,339   
26            
City National Corp.
          1,327   
48            
Comerica, Inc.
          1,750   
25            
Cullen/Frost Bankers, Inc.
          1,300   
88            
Fifth Third Bancorp
          1,075   
82            
KeyCorp
          629    
27            
M&T Bank Corp.
          2,328   
82            
SunTrust Banks, Inc.
          1,915   
75            
TCF Financial Corp.
          1,252   
85            
Wilmington Trust Corp.
          938    
47            
Zions Bancorp
          1,014   
             
 
          19,605   
             
Diversified Financial Services — 0.4%
60            
MSCI, Inc., Class A (a)
          1,636   
             
Insurance — 5.6%
38            
AON Corp.
          1,422   
50            
Assurant, Inc.
          1,728   
129            
Cincinnati Financial Corp.
          3,344   
57            
HCC Insurance Holdings, Inc.
          1,421   
131            
Loews Corp.
          4,364   
324            
Old Republic International Corp.
          3,927   
83            
OneBeacon Insurance Group Ltd., Class A
          1,189   
87            
Principal Financial Group, Inc.
          2,037   
44            
Symetra Financial Corp.
          528    
67            
Transatlantic Holdings, Inc.
          3,199   
106            
W.R. Berkley Corp.
          2,791   
             
 
            25,950   
             
Real Estate Investment Trusts (REITs) — 1.7%
80            
Kimco Realty Corp.
          1,077   
14            
Public Storage
          1,239   
57            
Regency Centers Corp.
          1,964   
24            
Ventas, Inc.
          1,146   
35            
Vornado Realty Trust
          2,521   
             
 
          7,947   
             
Real Estate Management & Development — 0.5%
150            
Brookfield Properties Corp.
          2,104   
             
Thrifts & Mortgage Finance — 0.2%
86            
People’s United Financial, Inc.
          1,165   
             
Total Financials
            71,527   
             
Health Care — 9.6%
             
Biotechnology — 0.6%
32            
Alexion Pharmaceuticals, Inc. (a) (c)
          1,628   
65            
BioMarin Pharmaceutical, Inc. (a) (c)
          1,240   
             
 
          2,868   
             
Health Care Equipment & Supplies — 1.8%
35            
Beckman Coulter, Inc.
          2,122   
49            
Becton, Dickinson & Co.
          3,334   
35            
Sirona Dental Systems, Inc. (a)
          1,205   
42            
Thoratec Corp. (a)
          1,778   
             
 
          8,439   
             
Health Care Providers & Services — 5.0%
125            
Brookdale Senior Living, Inc. (a) (c)
          1,873   
72            
Community Health Systems, Inc. (a)
          2,438   
203            
Coventry Health Care, Inc. (a)
          3,581   
48            
DaVita, Inc. (a)
          3,016   
51            
Express Scripts, Inc. (a)
          2,407   
44            
Humana, Inc. (a)
          1,994   
214            
Lincare Holdings, Inc. (a) (c)
          6,954   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   25


JPMorgan Mid Cap Equity Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Health Care Providers & Services — Continued
42            
VCA Antech, Inc. (a)
          1,045   
             
 
          23,308   
             
Health Care Technology — 0.3%
21            
Cerner Corp. (a) (c)
          1,565   
             
Life Sciences Tools & Services — 0.8%
39            
Covance, Inc. (a) (c)
          2,022   
37            
Illumina, Inc. (a) (c)
          1,627   
             
 
          3,649   
             
Pharmaceuticals — 1.1%
255            
Biovail Corp., (Canada) (c)
          4,898   
             
Total Health Care
          44,727   
             
Industrials — 13.6%
             
Aerospace & Defense — 2.7%
25            
Alliant Techsystems, Inc. (a)
          1,557   
54            
Goodrich Corp.
          3,591   
31            
L-3 Communications Holdings, Inc.
          2,196   
50            
Precision Castparts Corp.
          5,108   
             
 
            12,452   
             
Air Freight & Logistics — 0.4%
50            
Expeditors International of Washington, Inc.
          1,729   
             
Airlines — 0.7%
272            
Delta Air Lines, Inc. (a) (c)
          3,190   
             
Building Products — 0.6%
68            
Lennox International, Inc. (c)
          2,839   
             
Commercial Services & Supplies — 2.1%
175            
Republic Services, Inc.
          5,215   
38            
Stericycle, Inc. (a) (c)
          2,463   
58            
Waste Connections, Inc. (a) (c)
          2,022   
             
 
          9,700   
             
Construction & Engineering — 0.4%
77            
Aecom Technology Corp. (a) (c)
          1,783   
             
Electrical Equipment — 1.7%
32            
AMETEK, Inc.
          1,265   
43            
Cooper Industries plc
          1,883   
82            
Roper Industries, Inc. (c)
          4,596   
             
 
          7,744   
             
Industrial Conglomerates — 0.7%
87            
Carlisle Cos., Inc.
          3,150   
             
Machinery — 2.1%
54            
Cummins, Inc.
          3,545   
55            
Snap-On, Inc.
          2,262   
55            
WABCO Holdings, Inc. (a)
          1,731   
61            
Wabtec Corp. (c)
          2,420   
             
 
          9,958   
             
Professional Services — 0.4%
81            
Robert Half International, Inc. (c)
          1,910   
             
Road & Rail — 0.9%
173            
Avis Budget Group, Inc. (a) (c)
          1,698   
70            
Landstar System, Inc.
          2,710   
             
 
          4,408   
             
Trading Companies & Distributors — 0.9%
45            
W.W. Grainger, Inc. (c)
          4,455   
             
Total Industrials
            63,318   
             
Information Technology — 16.3%
             
Communications Equipment — 1.2%
63            
CommScope, Inc. (a)
          1,495   
29            
F5 Networks, Inc. (a) (c)
          1,989   
86            
Juniper Networks, Inc. (a) (c)
          1,960   
             
 
          5,444   
             
Computers & Peripherals — 0.7%
89            
NetApp, Inc. (a) (c)
          3,302   
             
Electronic Equipment, Instruments &
Components — 3.3%
132            
Amphenol Corp., Class A
          5,175   
76            
Arrow Electronics, Inc. (a)
          1,701   
32            
Dolby Laboratories, Inc., Class A (a) (c)
          2,023   
247            
Tyco Electronics Ltd., (Switzerland)
          6,264   
             
 
            15,163   
             
Internet Software & Services — 0.5%
26            
Equinix, Inc. (a) (c)
          2,120   
             
IT Services — 4.2%
46            
Alliance Data Systems Corp. (a) (c)
          2,762   
155            
Amdocs Ltd., (United Kingdom) (a)
          4,153   
99            
CGI Group, Inc., (Canada), Class A (a)
          1,474   
74
 		            
Cognizant Technology Solutions Corp.,
Class A (a)
          3,689   
107            
Hewitt Associates, Inc., Class A (a)
          3,673   
10            
MasterCard, Inc., Class A (c)
          2,085   
124            
Western Union Co. (The)
          1,846   
             
 
          19,682   
             
Semiconductors & Semiconductor
Equipment — 2.8%
33            
Avago Technologies Ltd., (Singapore) (a)
          696    
89            
Broadcom Corp., Class A (c)
          2,945   
18            
Cree, Inc. (a) (c)
          1,074   

SEE NOTES TO FINANCIAL STATEMENTS.

26   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Semiconductors & Semiconductor
Equipment — Continued
204            
Marvell Technology Group Ltd., (Bermuda) (a)
          3,208   
117            
MEMC Electronic Materials, Inc. (a) (c)
          1,158   
54            
Microchip Technology, Inc. (c)
          1,492   
90
 		            
Varian Semiconductor Equipment
Associates, Inc. (a)
          2,579   
             
 
          13,152   
             
Software — 3.6%
57            
ANSYS, Inc. (a) (c)
          2,332   
51            
Concur Technologies, Inc. (a) (c)
          2,194   
103            
Jack Henry & Associates, Inc.
          2,457   
71            
McAfee, Inc. (a)
          2,178   
91            
MICROS Systems, Inc. (a) (c)
          2,903   
24            
Salesforce.com, Inc. (a) (c)
          2,094   
117            
Synopsys, Inc. (a)
          2,434   
             
 
          16,592   
             
Total Information Technology
            75,455   
             
Materials — 5.2%
             
Chemicals — 3.3%
13            
Airgas, Inc.
          802    
67            
Albemarle Corp.
          2,646   
39            
PPG Industries, Inc.
          2,368   
97            
Sherwin-Williams Co. (The) (c)
          6,718   
55            
Sigma-Aldrich Corp.
          2,741   
             
 
          15,275   
             
Construction Materials — 0.1%
17            
Vulcan Materials Co.
          741    
             
Containers & Packaging — 1.8%
71            
Ball Corp.
          3,772   
90            
Bemis Co., Inc. (c)
          2,435   
38            
Greif, Inc., Class A
          2,083   
             
 
          8,290   
             
Total Materials
          24,306   
             
Telecommunication Services — 1.7%
             
Diversified Telecommunication Services — 1.3%
69            
CenturyLink, Inc.
          2,308   
177            
tw telecom, Inc. (a) (c)
          2,958   
81            
Windstream Corp.
          851    
             
 
          6,117   
             
Wireless Telecommunication Services — 0.4%
61            
Telephone & Data Systems, Inc.
          1,630   
             
Total Telecommunication Services
          7,747   
             
Utilities — 5.4%
             
Electric Utilities — 0.6%
127            
Westar Energy, Inc.
          2,749   
             
Gas Utilities — 2.0%
86            
Energen Corp.
          3,830   
72            
EQT Corp.
          2,606   
61            
Oneok, Inc.
          2,616   
13            
Questar Corp. (a)
          215    
             
 
          9,267   
             
Multi-Utilities — 2.5%
232            
CMS Energy Corp.
          3,397   
60            
NSTAR
          2,094   
55            
Wisconsin Energy Corp.
          2,786   
158            
Xcel Energy, Inc.
          3,265   
             
 
          11,542   
             
Water Utilities — 0.3%
82            
American Water Works Co., Inc.
          1,685   
             
Total Utilities
          25,243   
             
Total Common Stocks
(Cost $403,482)
          435,024   
             
Investment Company — 1.0%
106
 		            
iShares Russell Midcap Growth Index Fund
(Cost $4,894)
          4,623   
Short-Term Investment — 3.0%
             
Investment Company — 3.0%
13,890
 		            
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.120% (b) (l) (m)
(Cost $13,890)
          13,890   
Investments of Cash Collateral for Securities on Loan — 17.9%
             
Investment Company — 17.9%
83,284
 		            
JPMorgan Prime Money Market Fund, Capital Shares, 0.150% (b) (l)
(Cost $83,284)
          83,284   
             
Total Investments — 115.5%
(Cost $505,550)
          536,821   
             
Liabilities in Excess of Other
Assets — (15.5)%
          (71,884 )  
             
NET ASSETS — 100.0%
       $ 464,937   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   27


JPMorgan Mid Cap Growth Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — 98.1%
             
Consumer Discretionary — 17.8%
             
Auto Components — 1.2%
831            
Gentex Corp.
          14,944   
             
Automobiles — 1.0%
578            
Harley-Davidson, Inc.
          12,853   
             
Diversified Consumer Services — 1.4%
799            
Education Management Corp. (a) (c)
          12,186   
283            
Sotheby’s
          6,461   
             
 
          18,647   
             
Hotels, Restaurants & Leisure — 2.6%
62            
Chipotle Mexican Grill, Inc. (a)
          8,455   
568            
MGM Resorts International (a) (c)
          5,475   
428            
Royal Caribbean Cruises Ltd. (a) (c)
          9,750   
233            
Starwood Hotels & Resorts Worldwide, Inc.
          9,666   
             
 
          33,346   
             
Household Durables — 1.0%
440            
Harman International Industries, Inc. (a)
          13,160   
             
Internet & Catalog Retail — 1.6%
378            
HSN, Inc. (a)
          9,065   
110            
NetFlix, Inc. (a) (c)
          11,964   
             
 
          21,029   
             
Media — 1.9%
325            
Discovery Communications, Inc., Class A (a)
          11,606   
517            
Lamar Advertising Co., Class A (a)
          12,667   
             
 
          24,273   
             
Specialty Retail — 5.1%
697            
Chico’s FAS, Inc.
          6,887   
669            
Dick’s Sporting Goods, Inc. (a)
          16,654   
626            
Express, Inc. (a)
          10,241   
239            
J Crew Group, Inc. (a)
          8,805   
776            
OfficeMax, Inc. (a)
          10,131   
535            
Williams-Sonoma, Inc.
          13,284   
             
 
          66,002   
             
Textiles, Apparel & Luxury Goods — 2.0%
318            
Phillips-Van Heusen Corp.
          14,728   
145            
Polo Ralph Lauren Corp.
          10,608   
             
 
          25,336   
             
Total Consumer Discretionary
             229,590   
             
Consumer Staples — 1.6%
             
Beverages — 1.1%
368            
Dr. Pepper Snapple Group, Inc.
          13,744   
             
Food & Staples Retailing — 0.5%
190            
Whole Foods Market, Inc. (a)
          6,837   
             
Total Consumer Staples
          20,581   
             
Energy — 5.6%
             
Energy Equipment & Services — 1.8%
308            
Cameron International Corp. (a)
          10,002   
103            
CARBO Ceramics, Inc.
          7,436   
124            
Oceaneering International, Inc. (a)
          5,568   
             
 
          23,006   
             
Oil, Gas & Consumable Fuels — 3.8%
407            
Cabot Oil & Gas Corp.
          12,749   
285            
Concho Resources, Inc. (a)
          15,752   
750            
Forest Oil Corp. (a)
          20,530   
             
 
          49,031   
             
Total Energy
              72,037   
             
Financials — 7.1%
             
Capital Markets — 3.5%
641            
Invesco Ltd.
          10,790   
727            
Och-Ziff Capital Management Group LLC, Class A
          9,157   
323            
T. Rowe Price Group, Inc.
          14,358   
722            
TD AMERITRADE Holding Corp. (a)
          11,041   
             
 
          45,346   
             
Commercial Banks — 2.2%
356            
BB&T Corp.
          9,367   
194            
BOK Financial Corp.
          9,190   
275            
Comerica, Inc.
          10,117   
             
 
          28,674   
             
Diversified Financial Services — 0.7%
346            
MSCI, Inc., Class A (a)
          9,467   
             
Insurance — 0.7%
332            
HCC Insurance Holdings, Inc.
          8,215   
             
Total Financials
          91,702   
             
Health Care — 14.3%
             
Biotechnology — 1.3%
184            
Alexion Pharmaceuticals, Inc. (a)
          9,419   
378            
BioMarin Pharmaceutical, Inc. (a) (c)
          7,165   
             
 
          16,584   
             
Health Care Equipment & Supplies — 2.3%
203            
Beckman Coulter, Inc.
          12,257   
200            
Sirona Dental Systems, Inc. (a)
          6,978   
231            
Thoratec Corp. (a)
          9,871   
             
 
          29,106   

SEE NOTES TO FINANCIAL STATEMENTS.

28   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Health Care Providers & Services — 6.2%
722            
Brookdale Senior Living, Inc. (a)
          10,833   
644            
Coventry Health Care, Inc. (a)
          11,381   
279            
DaVita, Inc. (a)
          17,436   
296            
Express Scripts, Inc. (a)
          13,918   
252            
Humana, Inc. (a)
          11,519   
474            
Lincare Holdings, Inc. (a)
          15,419   
             
 
          80,506   
             
Health Care Technology — 0.7%
119            
Cerner Corp. (a)
          9,053   
             
Life Sciences Tools & Services — 1.6%
228            
Covance, Inc. (a)
          11,699   
216            
Illumina, Inc. (a)
          9,402   
             
 
          21,101   
             
Pharmaceuticals — 2.2%
1,473            
Biovail Corp., (Canada)
          28,335   
             
Total Health Care
             184,685   
             
Industrials — 18.3%
             
Aerospace & Defense — 2.6%
314            
Goodrich Corp.
          20,783   
125            
Precision Castparts Corp.
          12,829   
             
 
          33,612   
             
Air Freight & Logistics — 0.8%
290            
Expeditors International of Washington, Inc.
          10,008   
             
Airlines — 1.4%
1,570            
Delta Air Lines, Inc. (a)
          18,450   
             
Building Products — 1.3%
395            
Lennox International, Inc.
          16,420   
             
Commercial Services & Supplies — 2.0%
217            
Stericycle, Inc. (a)
          14,255   
335            
Waste Connections, Inc. (a)
          11,690   
             
 
          25,945   
             
Construction & Engineering — 0.8%
447            
Aecom Technology Corp. (a)
          10,308   
             
Electrical Equipment — 1.0%
236            
Roper Industries, Inc.
          13,231   
             
Industrial Conglomerates — 0.8%
301            
Carlisle Cos., Inc.
          10,882   
             
Machinery — 2.7%
315            
Cummins, Inc.
          20,500   
351            
Wabtec Corp.
          13,994   
             
 
          34,494   
             
Professional Services — 0.9%
469            
Robert Half International, Inc.
          11,039   
             
Road & Rail — 2.0%
1,000            
Avis Budget Group, Inc. (a)
          9,822   
402            
Landstar System, Inc.
          15,678   
             
 
          25,500   
             
Trading Companies & Distributors — 2.0%
259            
W.W. Grainger, Inc.
          25,757   
             
Total Industrials
          235,646   
             
Information Technology — 27.9%
             
Communications Equipment — 2.4%
364            
CommScope, Inc. (a)
          8,652   
168            
F5 Networks, Inc. (a)
          11,492   
497            
Juniper Networks, Inc. (a)
          11,342   
             
 
          31,486   
             
Computers & Peripherals — 1.5%
512            
NetApp, Inc. (a)
          19,092   
             
Electronic Equipment, Instruments &
Components — 3.3%
374            
Amphenol Corp., Class A
          14,690   
187            
Dolby Laboratories, Inc., Class A (a)
          11,710   
635            
Tyco Electronics Ltd., (Switzerland)
          16,111   
             
 
          42,511   
             
Internet Software & Services — 1.0%
151            
Equinix, Inc. (a)
          12,241   
             
IT Services — 8.9%
268            
Alliance Data Systems Corp. (a) (c)
          15,975   
894            
Amdocs Ltd., (United Kingdom) (a)
          24,010   
677            
CGI Group, Inc., (Canada), Class A (a)
          10,102   
427            
Cognizant Technology Solutions Corp.,
Class A (a)
          21,351   
617            
Hewitt Associates, Inc., Class A (a)
          21,244   
61            
MasterCard, Inc., Class A
          12,087   
716            
Western Union Co. (The)
          10,671   
             
 
             115,440   
             
Semiconductors & Semiconductor
Equipment — 5.6%
517            
Broadcom Corp., Class A
          17,036   
104            
Cree, Inc. (a)
          6,231   
1,177            
Marvell Technology Group Ltd., (Bermuda) (a)
          18,551   
678            
MEMC Electronic Materials, Inc. (a)
          6,694   
311            
Microchip Technology, Inc. (c)
          8,627   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   29


JPMorgan Mid Cap Growth Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Semiconductors & Semiconductor
Equipment — Continued
521
 		            
Varian Semiconductor Equipment
Associates, Inc. (a)
          14,920   
             
 
          72,059   
             
Software — 5.2%
332            
ANSYS, Inc. (a)
          13,486   
297            
Concur Technologies, Inc. (a)
          12,693   
410            
McAfee, Inc. (a)
          12,604   
527            
MICROS Systems, Inc. (a)
          16,796   
141            
Salesforce.com, Inc. (a)
          12,118   
             
 
          67,697   
             
Total Information Technology
             360,526   
             
Materials — 4.2%
             
Chemicals — 2.0%
376            
Sherwin-Williams Co. (The)
          26,016   
             
Containers & Packaging — 2.2%
521            
Bemis Co., Inc.
          14,078   
257            
Greif, Inc., Class A
          14,279   
             
 
          28,357   
             
Total Materials
          54,373   
             
Telecommunication Services — 1.3%
             
Diversified Telecommunication Services — 1.3%
1,026            
tw telecom, inc. (a)
          17,108   
             
Total Common Stocks
(Cost $1,113,753)
           1,266,248   
Short-Term Investment — 0.8%
             
Investment Company — 0.8%
9,676
 		            
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.140% (b) (l) (m)
(Cost $9,676)
          9,676   
Investments of Cash Collateral for Securities on Loan — 3.6%
             
Investment Company — 3.6%
46,515
 		            
JPMorgan Prime Money Market Fund, Capital Shares, 0.150% (b) (l)
(Cost $46,515)
          46,515   
             
Total Investments — 102.5%
(Cost $1,169,944)
          1,322,439   
             
Liabilities in Excess of Other
Assets — (2.5)%
          (32,197 )  
             
NET ASSETS — 100.0%
       $ 1,290,242   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

30   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Mid Cap Value Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — 98.3%
             
Consumer Discretionary — 18.2%
             
Distributors — 1.2%
1,490            
Genuine Parts Co.
          58,781   
             
Diversified Consumer Services — 0.8%
2,630            
H&R Block, Inc.
          41,269   
             
Hotels, Restaurants & Leisure — 2.4%
603            
Darden Restaurants, Inc.
          23,421   
1,275            
Marriott International, Inc., Class A
          38,176   
1,495            
Yum! Brands, Inc.
          58,369   
             
 
          119,966   
             
Household Durables — 2.1%
1,892            
Fortune Brands, Inc.
          74,136   
1,177            
Jarden Corp.
          31,617   
             
 
          105,753   
             
Internet & Catalog Retail — 0.7%
1,927            
Expedia, Inc.
          36,183   
             
Media — 4.0%
1,047            
Cablevision Systems Corp., Class A
          25,148   
2,560            
Clear Channel Outdoor Holdings, Inc., Class A (a)
          22,217   
1,538            
DISH Network Corp., Class A
          27,915   
3,308            
Gannett Co., Inc.
          44,522   
697            
Omnicom Group, Inc.
          23,917   
559            
Scripps Networks Interactive, Inc., Class A
          22,554   
98            
Washington Post Co. (The), Class B
          40,034   
             
 
             206,307   
             
Multiline Retail — 0.4%
1,183            
Macy’s, Inc.
          21,176   
             
Specialty Retail — 5.9%
181            
AutoNation, Inc. (a) (c)
          3,538   
283            
AutoZone, Inc. (a)
          54,639   
1,378            
Bed Bath & Beyond, Inc. (a)
          51,081   
4,781            
Gap, Inc. (The)
          93,042   
1,047            
Staples, Inc.
          19,950   
1,142            
Tiffany & Co.
          43,287   
886            
TJX Cos., Inc.
          37,176   
             
 
          302,713   
             
Textiles, Apparel & Luxury Goods — 0.7%
744            
Phillips-Van Heusen Corp.
          34,402   
             
Total Consumer Discretionary
          926,550   
             
Consumer Staples — 5.9%
             
Beverages — 0.6%
571            
Brown-Forman Corp., Class B
          32,672   
             
Food & Staples Retailing — 1.3%
3,502            
Safeway, Inc.
          68,851   
             
Food Products — 2.1%
1,459            
JM Smucker Co. (The)
          87,867   
456            
McCormick & Co., Inc. (Non-Voting)
          17,306   
             
 
          105,173   
             
Household Products — 1.3%
543            
Clorox Co.
          33,781   
650            
Energizer Holdings, Inc. (a)
          32,677   
             
 
          66,458   
             
Tobacco — 0.6%
394            
Lorillard, Inc.
          28,324   
             
Total Consumer Staples
          301,478   
             
Energy — 6.6%
             
Oil, Gas & Consumable Fuels — 6.6%
2,801            
CVR Energy, Inc. (a)
          21,063   
1,149            
Devon Energy Corp.
          69,993   
2,655            
El Paso Corp.
          29,501   
1,194            
Kinder Morgan Management LLC (a)
          67,541   
2,076            
Teekay Corp., (Canada)
          54,341   
5,178            
Williams Cos., Inc. (The)
          94,645   
             
Total Energy
             337,084   
             
Financials — 25.3%
             
Capital Markets — 2.5%
287            
Affiliated Managers Group, Inc. (a)
          17,468   
967            
Ameriprise Financial, Inc.
          34,934   
775            
Northern Trust Corp.
          36,183   
843            
T. Rowe Price Group, Inc.
          37,407   
             
 
          125,992   
             
Commercial Banks — 6.8%
1,459            
BancorpSouth, Inc.
          26,080   
1,707            
BB&T Corp.
          44,898   
585            
City National Corp.
          29,964   
572            
Cullen/Frost Bankers, Inc.
          29,375   
2,003            
Fifth Third Bancorp
          24,611   
1,850            
KeyCorp
          14,226   
617            
M&T Bank Corp. (c)
          52,418   
1,864            
SunTrust Banks, Inc.
          43,438   
2,184            
TCF Financial Corp.
          36,283   
1,909            
Wilmington Trust Corp.
          21,170   
1,059            
Zions Bancorp
          22,832   
             
 
          345,295   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   31


JPMorgan Mid Cap Value Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Insurance — 11.1%
866            
AON Corp.
          32,146   
1,124            
Assurant, Inc.
          38,990   
2,919            
Cincinnati Financial Corp.
          75,504   
2,991            
Loews Corp.
          99,627   
7,308            
Old Republic International Corp.
          88,646   
2,478            
OneBeacon Insurance Group Ltd., Class A
          35,489   
1,972            
Principal Financial Group, Inc.
          46,218   
971            
Symetra Financial Corp.
          11,646   
1,516            
Transatlantic Holdings, Inc.
          72,712   
2,397            
W.R. Berkley Corp.
          63,417   
             
 
          564,395   
             
Real Estate Investment Trusts (REITs) — 3.5%
1,808            
Kimco Realty Corp.
          24,304   
309            
Public Storage
          27,124   
1,304            
Regency Centers Corp.
          44,851   
551            
Ventas, Inc.
          25,888   
785            
Vornado Realty Trust
          57,262   
             
 
          179,429   
             
Real Estate Management & Development — 0.9%
3,397            
Brookfield Properties Corp. (c)
          47,697   
             
Thrifts & Mortgage Finance — 0.5%
1,974            
People’s United Financial, Inc.
          26,653   
             
Total Financials
           1,289,461   
             
Health Care — 5.7%
             
Health Care Equipment & Supplies — 1.5%
1,121            
Becton, Dickinson & Co.
          75,802   
             
Health Care Providers & Services — 4.2%
1,639            
Community Health Systems, Inc. (a)
          55,416   
2,067            
Coventry Health Care, Inc. (a)
          36,552   
2,999            
Lincare Holdings, Inc. (a)
          97,486   
950            
VCA Antech, Inc. (a)
          23,514   
             
 
          212,968   
             
Total Health Care
          288,770   
             
Industrials — 10.0%
             
Aerospace & Defense — 2.9%
567            
Alliant Techsystems, Inc. (a)
          35,184   
704            
L-3 Communications Holdings, Inc.
          49,857   
617            
Precision Castparts Corp.
          63,492   
             
 
          148,533   
             
Commercial Services & Supplies — 2.3%
3,992            
Republic Services, Inc.
          118,681   
             
Electrical Equipment — 2.4%
712            
AMETEK, Inc.
          28,578   
970            
Cooper Industries plc
          42,684   
937            
Roper Industries, Inc.
          52,412   
             
 
          123,674   
             
Industrial Conglomerates — 0.6%
792            
Carlisle Cos., Inc.
          28,623   
             
Machinery — 1.8%
1,255            
Snap-On, Inc.
          51,358   
1,244            
WABCO Holdings, Inc. (a)
          39,158   
             
 
          90,516   
             
Total Industrials
          510,027   
             
Information Technology — 6.0%
             
Electronic Equipment, Instruments &
Components — 3.5%
1,523            
Amphenol Corp., Class A
          59,808   
1,725            
Arrow Electronics, Inc. (a)
          38,547   
3,116            
Tyco Electronics Ltd., (Switzerland)
          79,074   
             
 
          177,429   
             
Semiconductors & Semiconductor Equipment — 0.3%
746            
Avago Technologies Ltd., (Singapore) (a) (c)
          15,701   
             
Software — 2.2%
2,334            
Jack Henry & Associates, Inc.
          55,736   
2,646            
Synopsys, Inc. (a)
          55,224   
             
 
          110,960   
             
Total Information Technology
             304,090   
             
Materials — 6.8%
             
Chemicals — 4.8%
292            
Airgas, Inc.
          18,146   
1,514            
Albemarle Corp.
          60,102   
889            
PPG Industries, Inc.
          53,723   
749            
Sherwin-Williams Co. (The)
          51,815   
1,250            
Sigma-Aldrich Corp.
          62,273   
             
 
          246,059   
             
Construction Materials — 0.3%
385            
Vulcan Materials Co.
          16,866   
             
Containers & Packaging — 1.7%
1,624            
Ball Corp.
          85,810   
             
Total Materials
          348,735   
             
Telecommunication Services — 2.5%
             
Diversified Telecommunication Services — 1.4%
1,573            
CenturyLink, Inc.
          52,400   

SEE NOTES TO FINANCIAL STATEMENTS.

32   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Diversified Telecommunication Services — Continued
1,807            
Windstream Corp.
          19,078   
             
 
          71,478   
             
Wireless Telecommunication Services — 1.1%
2,053            
Telephone & Data Systems, Inc.
          54,499   
             
Total Telecommunication Services
             125,977   
             
Utilities — 11.3%
             
Electric Utilities — 1.2%
2,889            
Westar Energy, Inc.
          62,425   
             
Gas Utilities — 4.1%
1,966            
Energen Corp.
          87,131   
1,638            
EQT Corp.
          59,204   
1,374            
Oneok, Inc.
          59,429   
291            
Questar Corp. (a)
          4,696   
             
 
          210,460   
             
Multi-Utilities — 5.2%
5,271            
CMS Energy Corp.
          77,213   
1,356            
NSTAR (c)
          47,453   
1,247            
Wisconsin Energy Corp.
          63,273   
3,600            
Xcel Energy, Inc.
          74,200   
             
 
          262,139   
             
Water Utilities — 0.8%
1,849            
American Water Works Co., Inc.
          38,093   
             
Total Utilities
          573,117   
             
Total Common Stocks
(Cost $4,749,654)
          5,005,289   
Short-Term Investment — 3.2%
             
Investment Company — 3.2%
162,235
 		            
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.120% (b) (l) (m)
(Cost $162,235)
          162,235   
Investments of Cash Collateral for Securities on Loan — 1.7%
             
Investment Company — 1.7%
85,595
 		            
JPMorgan Prime Money Market Fund, Capital Shares, 0.150% (b) (l)
(Cost $85,595)
          85,595   
             
Total Investments — 103.2%
(Cost $4,997,484)
          5,253,119   
             
Liabilities in Excess of Other
Assets — (3.2)%
          (164,389 )  
             
NET ASSETS — 100.0%
       $ 5,088,730   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   33


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — 100.2% (j)
             
Common Stocks — 85.3%
             
Consumer Discretionary — 18.4%
             
Auto Components — 1.7%
35            
Autoliv, Inc., (Sweden) (a)
          1,660   
35            
BorgWarner, Inc. (a)
          1,325   
97            
Cooper Tire & Rubber Co.
          1,894   
128            
Dana Holding Corp. (a)
          1,283   
138            
Goodyear Tire & Rubber Co. (The) (a)
          1,368   
25            
Tenneco, Inc. (a)
          527    
67            
TRW Automotive Holdings Corp. (a)
          1,852   
             
 
          9,909   
             
Automobiles — 0.3%
190            
Ford Motor Co. (a)
          1,920   
             
Distributors — 0.1%
10            
Genuine Parts Co.
          383    
             
Diversified Consumer Services — 2.1%
44            
Apollo Group, Inc., Class A (a)
          1,855   
78            
Bridgepoint Education, Inc. (a)
          1,240   
42            
Career Education Corp. (a)
          963    
186            
Corinthian Colleges, Inc. (a)
          1,837   
90            
H&R Block, Inc.
          1,407   
22            
ITT Educational Services, Inc. (a)
          1,825   
73            
Sotheby’s
          1,670   
59            
Weight Watchers International, Inc.
          1,525   
             
 
            12,322   
             
Hotels, Restaurants & Leisure — 1.7%
39            
Bally Technologies, Inc. (a)
          1,259   
29            
Bob Evans Farms, Inc.
          712    
128            
Brinker International, Inc.
          1,852   
15            
Cheesecake Factory, Inc. (The) (a)
          339    
33            
Cracker Barrel Old Country Store, Inc.
          1,515   
12            
Las Vegas Sands Corp. (a)
          272    
53            
Penn National Gaming, Inc. (a)
          1,233   
22            
Starwood Hotels & Resorts Worldwide, Inc.
          920    
70            
Wyndham Worldwide Corp.
          1,407   
             
 
          9,509   
             
Household Durables — 1.6%
183            
D.R. Horton, Inc.
          1,795   
46            
Garmin Ltd., (Cayman Islands)
          1,352   
75            
Jarden Corp.
          2,025   
19            
Leggett & Platt, Inc.
          384    
21            
Mohawk Industries, Inc. (a)
          947    
116            
Pulte Group, Inc. (a)
          959   
20            
Whirlpool Corp.
          1,737   
             
 
          9,199   
             
Internet & Catalog Retail — 0.8%
16            
Amazon.com, Inc. (a)
          1,726   
98            
Expedia, Inc.
          1,835   
9            
NetFlix, Inc. (a)
          952    
             
 
          4,513   
             
Leisure Equipment & Products — 0.5%
211            
Eastman Kodak Co. (a)
          915    
7            
Mattel, Inc.
          157    
33            
Polaris Industries, Inc.
          1,816   
             
 
          2,888   
             
Media — 2.8%
135            
CBS Corp. (Non-Voting), Class B
          1,749   
33            
Cinemark Holdings, Inc.
          433    
52            
DISH Network Corp., Class A
          950    
69            
Gannett Co., Inc.
          935    
72            
Liberty Global, Inc., Class A (a)
          1,861   
23            
Liberty Media Corp. - Capital, Class A (a)
          979    
64            
McGraw-Hill Cos., Inc. (The)
          1,809   
73            
New York Times Co. (The), Class A (a)
          628    
123            
News Corp., Class A
          1,468   
39            
Omnicom Group, Inc.
          1,324   
34            
Time Warner, Inc.
          971    
55            
Valassis Communications, Inc. (a)
          1,748   
60            
Virgin Media, Inc.
          1,005   
             
 
            15,860   
             
Multiline Retail — 0.6%
28            
Big Lots, Inc. (a)
          908    
44            
J.C. Penney Co., Inc.
          952    
100            
Macy’s, Inc.
          1,799   
             
 
          3,659   
             
Specialty Retail — 4.1%
72            
Aeropostale, Inc. (a)
          2,066   
81            
AnnTaylor Stores Corp. (a)
          1,314   
99            
Cabela’s, Inc. (a)
          1,394   
116            
Collective Brands, Inc. (a)
          1,835   
78            
Foot Locker, Inc.
          979    
103            
GameStop Corp., Class A (a)
          1,940   
42            
Guess?, Inc.
          1,324   
34            
Gymboree Corp. (a)
          1,431   
45            
Jo-Ann Stores, Inc. (a)
          1,682   
83            
Limited Brands, Inc.
          1,827   

SEE NOTES TO FINANCIAL STATEMENTS.

34   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Specialty Retail — Continued
69            
OfficeMax, Inc. (a)
          904    
103            
Penske Automotive Group, Inc. (a)
          1,174   
47            
Rent-A-Center, Inc. (a)
          953    
32            
Ross Stores, Inc.
          1,687   
34            
Tiffany & Co.
          1,289   
76            
Williams-Sonoma, Inc.
          1,891   
             
 
          23,690   
             
Textiles, Apparel & Luxury Goods — 2.1%
70            
Carter’s, Inc. (a)
          1,849   
7            
Deckers Outdoor Corp. (a)
          952    
54            
Fossil, Inc. (a)
          1,889   
41            
Hanesbrands, Inc. (a)
          997    
109            
Jones Apparel Group, Inc.
          1,726   
53            
Skechers U.S.A., Inc., Class A (a)
          1,953   
14            
V.F. Corp.
          976    
45            
Warnaco Group, Inc. (The) (a)
          1,613   
             
 
          11,955   
             
Total Consumer Discretionary
           105,807   
             
Consumer Staples — 3.9%
             
Beverages — 0.0% (g)
3            
Dr. Pepper Snapple Group, Inc.
          103    
             
Food & Staples Retailing — 0.1%
15            
Safeway, Inc.
          295    
             
Food Products — 1.7%
39            
Archer-Daniels-Midland Co.
          1,013   
45            
Corn Products International, Inc.
          1,354   
26            
Dean Foods Co. (a)
          259    
70            
Del Monte Foods Co.
          1,007   
48
 		            
Fresh Del Monte Produce, Inc.,
(Cayman Islands) (a)
          977    
19            
Lancaster Colony Corp.
          1,009   
28            
Sanderson Farms, Inc.
          1,403   
71            
Sara Lee Corp.
          999    
95            
Tyson Foods, Inc., Class A
          1,552   
             
 
          9,573   
             
Household Products — 0.2%
27            
Energizer Holdings, Inc. (a)
          1,342   
             
Personal Products — 0.8%
44            
Herbalife Ltd., (Cayman Islands)
          2,020   
29            
NBTY, Inc. (a)
          989    
64            
Nu Skin Enterprises, Inc., Class A
          1,594   
             
 
          4,603   
             
Tobacco — 1.1%
71            
Altria Group, Inc.
          1,419   
27            
Lorillard, Inc.
          1,917   
34            
Reynolds American, Inc.
          1,793   
35            
Universal Corp.
          1,404   
             
 
          6,533   
             
Total Consumer Staples
          22,449   
             
Energy — 5.7%
             
Energy Equipment & Services — 2.2%
74            
Atwood Oceanics, Inc. (a)
          1,891   
131            
Complete Production Services, Inc. (a)
          1,877   
22            
Exterran Holdings, Inc. (a)
          576    
54            
National Oilwell Varco, Inc.
          1,791   
65            
Noble Corp., (Switzerland) (a)
          2,018   
25            
Oil States International, Inc. (a)
          986    
44            
Rowan Cos., Inc. (a)
          960    
38            
Transocean Ltd., (Switzerland) (a)
          1,779   
24            
Unit Corp. (a)
          971    
             
 
          12,849   
             
Oil, Gas & Consumable Fuels — 3.5%
51            
Anadarko Petroleum Corp.
          1,831   
21            
Apache Corp.
          1,790   
87            
Chesapeake Energy Corp.
          1,825   
26            
Cimarex Energy Co.
          1,876   
32            
Concho Resources, Inc. (a)
          1,789   
25            
ConocoPhillips
          1,221   
30            
Devon Energy Corp.
          1,829   
27            
Forest Oil Corp. (a)
          748    
9            
Hess Corp.
          466    
32            
Marathon Oil Corp.
          981    
37            
Newfield Exploration Co. (a)
          1,787   
85            
Quicksilver Resources, Inc. (a)
          930    
32            
Swift Energy Co. (a)
          864    
29            
Valero Energy Corp.
          512    
73            
Williams Cos., Inc. (The)
          1,337   
             
 
          19,786   
             
Total Energy
            32,635   
             
Financials — 11.4%
             
Capital Markets — 0.6%
5            
Ameriprise Financial, Inc.
          182    
54            
Bank of New York Mellon Corp. (The)
          1,331   
14            
Goldman Sachs Group, Inc. (The)
          1,803   
8            
State Street Corp.
          272    
             
 
          3,588   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   35


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Commercial Banks — 2.6%
39            
Bank of Hawaii Corp.
          1,899   
26            
Cullen/Frost Bankers, Inc.
          1,351   
119            
FNB Corp.
          954    
98            
Fulton Financial Corp.
          947    
19            
M&T Bank Corp.
          1,584   
25            
PNC Financial Services Group, Inc.
          1,399   
39            
Prosperity Bancshares, Inc.
          1,371   
36            
Signature Bank (a)
          1,379   
42            
TCF Financial Corp.
          695    
66            
Trustmark Corp.
          1,368   
52            
Wells Fargo & Co.
          1,320   
28            
Wintrust Financial Corp.
          946    
             
 
            15,213   
             
Consumer Finance — 1.1%
70            
AmeriCredit Corp. (a)
          1,272   
46            
Capital One Financial Corp.
          1,835   
43            
Cash America International, Inc.
          1,471   
173            
SLM Corp. (a)
          1,796   
             
 
          6,374   
             
Diversified Financial Services — 0.4%
409            
Citigroup, Inc. (a)
          1,537   
24            
NYSE Euronext
          657    
             
 
          2,194   
             
Insurance — 5.7%
33            
ACE Ltd., (Switzerland)
          1,689   
43            
Aflac, Inc.
          1,838   
38            
Allied World Assurance Co. Holdings Ltd., (Bermuda)
          1,739   
60            
American Financial Group, Inc.
          1,628   
25            
Arch Capital Group Ltd., (Bermuda) (a)
          1,855   
55            
Assurant, Inc.
          1,923   
27            
Chubb Corp.
          1,331   
58            
CNA Financial Corp. (a)
          1,488   
351            
CNO Financial Group, Inc. (a)
          1,739   
52            
Endurance Specialty Holdings Ltd., (Bermuda)
          1,946   
43            
Hartford Financial Services Group, Inc.
          950    
20            
MetLife, Inc.
          751    
102            
Montpelier Re Holdings Ltd., (Bermuda)
          1,526   
42            
Platinum Underwriters Holdings Ltd., (Bermuda)
          1,530   
10            
ProAssurance Corp. (a)
          548    
78            
Protective Life Corp.
          1,667   
28            
Prudential Financial, Inc.
          1,522   
36            
RenaissanceRe Holdings Ltd., (Bermuda)
          2,023   
9            
StanCorp Financial Group, Inc.
          349    
27            
Torchmark Corp.
          1,327   
31            
Travelers Cos., Inc. (The)
          1,551   
38            
W.R. Berkley Corp.
          996    
59            
XL Capital Ltd., (Bermuda), Class A
          951    
             
 
          32,867   
             
Real Estate Investment Trusts (REITs) — 0.7%
44            
Colonial Properties Trust
          643    
35            
Douglas Emmett, Inc. (m)
          493    
54            
Duke Realty Corp.
          607    
22            
Liberty Property Trust
          638    
7            
Simon Property Group, Inc.
          604    
16            
Taubman Centers, Inc.
          584    
8            
Vornado Realty Trust
          562    
             
 
          4,131   
             
Thrifts & Mortgage Finance — 0.3%
81            
Hudson City Bancorp, Inc.
          996    
36            
New York Community Bancorp, Inc.
          547    
             
 
          1,543   
             
Total Financials
            65,910   
             
Health Care — 8.9%
             
Biotechnology — 1.5%
28            
Amgen, Inc. (a)
          1,494   
49            
Amylin Pharmaceuticals, Inc. (a)
          916    
32            
Cephalon, Inc. (a)
          1,841   
70            
InterMune, Inc. (a)
          653    
81            
Isis Pharmaceuticals, Inc. (a)
          780    
10            
Myriad Genetics, Inc. (a)
          156    
31            
Onyx Pharmaceuticals, Inc. (a)
          662    
36            
United Therapeutics Corp. (a)
          1,753   
             
 
          8,255   
             
Health Care Equipment & Supplies — 1.2%
134            
Hologic, Inc. (a)
          1,870   
18            
Hospira, Inc. (a)
          1,031   
27            
Integra LifeSciences Holdings Corp. (a)
          985    
6            
Intuitive Surgical, Inc. (a)
          1,788   
9            
Kinetic Concepts, Inc. (a)
          313    
28            
Sirona Dental Systems, Inc. (a)
          963    
             
 
          6,950   
             
Health Care Providers & Services — 3.3%
43            
Amedisys, Inc. (a)
          1,874   
32            
AmerisourceBergen Corp.
          1,029   
55            
Cardinal Health, Inc.
          1,835   

SEE NOTES TO FINANCIAL STATEMENTS.

36   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Health Care Providers & Services — Continued
56            
Community Health Systems, Inc. (a)
          1,887   
12            
Emergency Medical Services Corp., Class A (a)
          584    
28            
Express Scripts, Inc. (a)
          1,322   
101            
Healthsouth Corp. (a)
          1,882   
106            
Healthspring, Inc. (a)
          1,649   
43            
Humana, Inc. (a)
          1,982   
6            
McKesson Corp.
          429    
33            
Medco Health Solutions, Inc. (a)
          1,823   
79            
Omnicare, Inc.
          1,870   
20            
WellPoint, Inc. (a)
          977    
             
 
          19,143   
             
Life Sciences Tools & Services — 0.6%
16            
Bio-Rad Laboratories, Inc., Class A (a)
          1,378   
15            
Life Technologies Corp. (a)
          731    
20            
Waters Corp. (a)
          1,305   
             
 
          3,414   
             
Pharmaceuticals — 2.3%
62            
Bristol-Myers Squibb Co.
          1,547   
58            
Eli Lilly & Co.
          1,937   
85            
Endo Pharmaceuticals Holdings, Inc. (a)
          1,854   
74            
Forest Laboratories, Inc. (a)
          2,027   
87            
Impax Laboratories, Inc. (a)
          1,658   
173            
King Pharmaceuticals, Inc. (a)
          1,315   
85            
Medicis Pharmaceutical Corp., Class A
          1,870   
82            
Nektar Therapeutics (a)
          997    
             
 
          13,205   
             
Total Health Care
            50,967   
             
Industrials — 11.4%
             
Aerospace & Defense — 2.0%
16            
Alliant Techsystems, Inc. (a)
          987    
16            
General Dynamics Corp.
          957    
22            
ITT Corp.
          992    
26            
L-3 Communications Holdings, Inc.
          1,809   
19            
Lockheed Martin Corp.
          1,382   
33            
Northrop Grumman Corp.
          1,776   
38            
Raytheon Co.
          1,836   
24            
Triumph Group, Inc.
          1,584   
             
 
          11,323   
             
Air Freight & Logistics — 0.5%
36            
Atlas Air Worldwide Holdings, Inc. (a)
          1,729   
23            
United Parcel Service, Inc., Class B
          1,315   
             
 
          3,044   
             
Airlines — 0.3%
88            
UAL Corp. (a)
          1,808   
             
Building Products — 0.6%
21            
A.O. Smith Corp.
          1,025   
87            
Masco Corp.
          941    
59            
Owens Corning (a)
          1,771   
             
 
          3,737   
             
Commercial Services & Supplies — 0.6%
69            
Deluxe Corp.
          1,303   
60            
R.R. Donnelley & Sons Co.
          974    
27            
United Stationers, Inc. (a)
          1,469   
             
 
          3,746   
             
Construction & Engineering — 1.0%
81            
EMCOR Group, Inc. (a)
          1,875   
44            
MasTec, Inc. (a)
          411    
60            
Shaw Group, Inc. (The) (a)
          2,067   
37            
URS Corp. (a)
          1,468   
             
 
          5,821   
             
Electrical Equipment — 1.5%
57            
Belden, Inc.
          1,249   
46            
EnerSys (a)
          979    
64            
General Cable Corp. (a)
          1,719   
89            
GrafTech International Ltd. (a)
          1,301   
33            
Regal-Beloit Corp.
          1,864   
44            
Thomas & Betts Corp. (a)
          1,536   
             
 
             8,648   
             
Industrial Conglomerates — 0.6%
47            
General Electric Co.
          678    
99            
Textron, Inc.
          1,680   
28            
Tyco International Ltd., (Switzerland)
          981    
             
 
          3,339   
             
Machinery — 2.7%
69            
ArvinMeritor, Inc. (a)
          904    
26            
Briggs & Stratton Corp.
          443    
8            
Crane Co.
          240    
9            
Deere & Co.
          507    
15            
Eaton Corp.
          963    
46            
Graco, Inc.
          1,310   
34            
Joy Global, Inc.
          1,712   
42            
Navistar International Corp. (a)
          2,083   
4            
Nordson Corp.
          239    
56            
Oshkosh Corp. (a)
          1,750   
34            
SPX Corp.
          1,801   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   37


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Machinery — Continued
67            
Timken Co.
          1,742   
32            
Toro Co. (The)
          1,566   
             
 
          15,260   
             
Marine — 0.2%
32            
Alexander & Baldwin, Inc.
          955    
             
Road & Rail — 0.8%
125            
Avis Budget Group, Inc. (a)
          1,223   
51            
Con-way, Inc.
          1,523   
6            
CSX Corp.
          302    
27            
Norfolk Southern Corp.
          1,415   
             
 
          4,463   
             
Trading Companies & Distributors — 0.6%
54            
Applied Industrial Technologies, Inc.
          1,356   
61            
WESCO International, Inc. (a)
          2,069   
             
 
          3,425   
             
Total Industrials
            65,569   
             
Information Technology — 13.6%
             
Communications Equipment — 2.7%
175            
Arris Group, Inc. (a)
          1,787   
77            
Blue Coat Systems, Inc. (a)
          1,566   
40            
CommScope, Inc. (a)
          961    
50            
Comtech Telecommunications Corp. (a)
          1,484   
20            
F5 Networks, Inc. (a)
          1,378   
44            
Harris Corp.
          1,829   
57            
InterDigital, Inc. (a)
          1,412   
293            
Motorola, Inc. (a)
          1,910   
52            
Plantronics, Inc.
          1,492   
219            
Tellabs, Inc.
          1,399   
             
 
          15,218   
             
Computers & Peripherals — 1.3%
37            
Diebold, Inc.
          1,010   
53            
Lexmark International, Inc., Class A (a)
          1,762   
22            
SanDisk Corp. (a)
          943    
140            
Seagate Technology, (Cayman Islands) (a)
          1,822   
60            
Western Digital Corp. (a)
          1,814   
             
 
          7,351   
             
Electronic Equipment, Instruments &
Components — 1.9%
79            
Arrow Electronics, Inc. (a)
          1,772   
59            
Avnet, Inc. (a)
          1,433   
116            
Celestica, Inc., (Canada) (a)
          938   
110            
Corning, Inc.
          1,776   
164            
Flextronics International Ltd., (Singapore) (a)
          920    
43            
Tech Data Corp. (a)
          1,518   
38            
Tyco Electronics Ltd., (Switzerland)
          952    
239            
Vishay Intertechnology, Inc. (a)
          1,847   
             
 
          11,156   
             
Internet Software & Services — 0.5%
31            
EarthLink, Inc.
          248    
34            
GSI Commerce, Inc. (a)
          978    
83            
IAC/InterActiveCorp. (a)
          1,826   
             
 
          3,052   
             
IT Services — 2.1%
47            
Accenture plc, (Ireland), Class A
          1,822   
22            
Alliance Data Systems Corp. (a)
          1,299   
14            
Amdocs Ltd., (United Kingdom) (a)
          378    
91            
Broadridge Financial Solutions, Inc.
          1,730   
20            
CACI International, Inc., Class A (a)
          867    
22            
Computer Sciences Corp.
          976    
101            
Convergys Corp. (a)
          990    
26            
Lender Processing Services, Inc.
          825    
82            
Unisys Corp. (a)
          1,512   
92            
VeriFone Systems, Inc. (a)
          1,744   
             
 
            12,143   
             
Office Electronics — 0.2%
118            
Xerox Corp.
          950    
             
Semiconductors & Semiconductor
Equipment — 3.7%
236            
Advanced Micro Devices, Inc. (a)
          1,730   
309            
Amkor Technology, Inc. (a)
          1,701   
47            
Atheros Communications, Inc. (a)
          1,287   
215            
Fairchild Semiconductor International, Inc. (a)
          1,808   
82            
Integrated Device Technology, Inc. (a)
          407    
56            
Intersil Corp., Class A
          681    
52            
KLA-Tencor Corp.
          1,456   
35            
Lam Research Corp. (a)
          1,319   
221            
Micron Technology, Inc. (a)
          1,878   
136            
National Semiconductor Corp.
          1,831   
64            
Novellus Systems, Inc. (a)
          1,617   
155            
ON Semiconductor Corp. (a)
          987    
443            
RF Micro Devices, Inc. (a)
          1,734   
78            
SunPower Corp., Class A (a)
          942    

SEE NOTES TO FINANCIAL STATEMENTS.

38   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Semiconductors & Semiconductor
Equipment — Continued
180            
Teradyne, Inc. (a)
          1,752   
36            
TriQuint Semiconductor, Inc. (a)
          218    
             
 
          21,348   
             
Software — 1.2%
187            
Activision Blizzard, Inc.
          1,960   
45            
AsiaInfo Holdings, Inc., (China) (a)
          979    
53            
CA, Inc.
          977    
165            
Cadence Design Systems, Inc. (a)
          957    
69            
Quest Software, Inc. (a)
          1,236   
72            
Symantec Corp. (a)
          994    
             
 
          7,103   
             
Total Information Technology
          78,321   
             
Materials — 6.2%
             
Chemicals — 3.3%
37            
Ashland, Inc.
          1,723   
39            
Cabot Corp.
          941    
53            
Celanese Corp., Class A
          1,311   
28            
CF Industries Holdings, Inc.
          1,794   
45            
Cytec Industries, Inc.
          1,794   
12            
Eastman Chemical Co.
          662    
114            
Huntsman Corp.
          986    
23            
Lubrizol Corp.
          1,876   
88            
Nalco Holding Co.
          1,802   
20            
NewMarket Corp.
          1,773   
60            
OM Group, Inc. (a)
          1,432   
43            
Rockwood Holdings, Inc. (a)
          967    
136            
Solutia, Inc. (a)
          1,776   
             
 
            18,837   
             
Containers & Packaging — 0.7%
37            
Owens-Illinois, Inc. (a)
          966    
37            
Rock-Tenn Co., Class A
          1,829   
71            
Sealed Air Corp.
          1,409   
             
 
          4,204   
             
Metals & Mining — 1.9%
34            
Cliffs Natural Resources, Inc.
          1,599   
29            
Freeport-McMoRan Copper & Gold, Inc.
          1,698   
11            
Newmont Mining Corp.
          687    
36            
Reliance Steel & Aluminum Co.
          1,303   
44            
Schnitzer Steel Industries, Inc., Class A
          1,741   
65            
Southern Copper Corp.
          1,714   
73            
Steel Dynamics, Inc.
          968   
78            
Worthington Industries, Inc.
          1,009   
             
 
          10,719   
             
Paper & Forest Products — 0.3%
36            
Domtar Corp., (Canada)
          1,791   
11            
International Paper Co.
          244    
             
 
          2,035   
             
Total Materials
            35,795   
             
Telecommunication Services — 1.3%
             
Diversified Telecommunication Services — 0.6%
195            
Frontier Communications Corp.
          1,388   
962            
Level 3 Communications, Inc. (a)
          1,048   
29            
Verizon Communications, Inc.
          808    
             
 
          3,244   
             
Wireless Telecommunication Services — 0.7%
123            
MetroPCS Communications, Inc. (a)
          1,005   
53            
NII Holdings, Inc. (a)
          1,716   
62            
Syniverse Holdings, Inc. (a)
          1,277   
             
 
          3,998   
             
Total Telecommunication Services
          7,242   
             
Utilities — 4.5%
             
Electric Utilities — 1.5%
58            
Edison International
          1,855   
36            
Exelon Corp.
          1,380   
34            
FirstEnergy Corp.
          1,191   
89            
PNM Resources, Inc.
          999    
77            
PPL Corp.
          1,913   
34            
UniSource Energy Corp.
          1,019   
             
 
          8,357   
             
Gas Utilities — 1.0%
50            
Atmos Energy Corp.
          1,352   
42            
Energen Corp.
          1,860   
42            
Oneok, Inc.
          1,828   
39            
UGI Corp.
          1,000   
             
 
          6,040   
             
Independent Power Producers & Energy Traders — 1.0%
194            
AES Corp. (The) (a)
          1,791   
63            
Constellation Energy Group, Inc.
          2,026   
85            
NRG Energy, Inc. (a)
          1,812   
             
 
          5,629   
             
Multi-Utilities — 1.0%
68            
Ameren Corp.
          1,622   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   39


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Long Positions — Continued
             
Multi-Utilities — Continued
129            
CMS Energy Corp.
          1,888   
22            
DTE Energy Co.
          1,013   
26            
MDU Resources Group, Inc.
          474    
69            
NiSource, Inc.
          1,005   
             
 
          6,002   
             
Total Utilities
          26,028   
             
Total Common Stocks
(Cost $474,689)
          490,723   
Short-Term Investment — 14.9%
             
Investment Company — 14.9%
86,021
 		            
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.140% (b) (l)
(Cost $86,021)
          86,021   
             
Total Investments — 100.2%
(Cost $560,710)
          576,744   
             
Liabilities in Excess of Other
Assets — (0.2)%
          (1,197 )  
             
NET ASSETS — 100.0%
       $ 575,547   
Short Positions — 85.5%
             
Common Stocks — 85.5%
             
Consumer Discretionary — 11.3%
             
Auto Components — 0.2%
77            
Gentex Corp.
          1,383   
             
Automobiles — 0.2%
47            
Thor Industries, Inc.
          1,124   
             
Distributors — 0.1%
46            
LKQ Corp. (a)
          884    
             
Diversified Consumer Services — 0.5%
64            
Regis Corp.
          998    
171            
Service Corp. International
          1,263   
2            
Strayer Education, Inc.
          371    
             
 
          2,632   
             
Hotels, Restaurants & Leisure — 3.0%
79            
Burger King Holdings, Inc.
          1,333   
32            
Carnival Corp.
          959    
9            
Chipotle Mexican Grill, Inc. (a)
          1,210   
5            
Choice Hotels International, Inc.
          158    
56            
Gaylord Entertainment Co. (a)
          1,232   
20            
McDonald’s Corp.
          1,307   
161            
MGM Resorts International (a)
          1,556   
156
 		            
Orient-Express Hotels Ltd., (Bermuda),
Class A (a)
          1,154   
74            
Royal Caribbean Cruises Ltd. (a)
          1,674   
55            
Scientific Games Corp., Class A (a)
          509    
43            
Vail Resorts, Inc. (a)
          1,510   
52            
WMS Industries, Inc. (a)
          2,037   
61            
Yum! Brands, Inc.
          2,381   
             
 
          17,020   
             
Household Durables — 1.0%
15            
Lennar Corp., Class A
          215    
66            
MDC Holdings, Inc.
          1,788   
2            
NVR, Inc. (a)
          1,336   
26            
Stanley Black & Decker, Inc.
          1,303   
78            
Toll Brothers, Inc. (a)
          1,278   
             
 
          5,920   
             
Internet & Catalog Retail — 0.3%
10            
priceline.com, Inc. (a)
          1,710   
             
Leisure Equipment & Products — 0.2%
86            
Brunswick Corp.
          1,064   
             
Media — 1.8%
61            
Central European Media Enterprises Ltd., (Bermuda), Class A (a)
          1,206   
63            
DreamWorks Animation SKG, Inc., Class A (a)
          1,785   
52            
Lamar Advertising Co., Class A (a)
          1,270   
168            
Live Nation Entertainment, Inc. (a)
          1,760   
38            
Meredith Corp.
          1,192   
24            
Scripps Networks Interactive, Inc., Class A
          963    
40            
Viacom, Inc., Class B
          1,257   
23            
Walt Disney Co. (The)
          725    
             
 
            10,158   
             
Multiline Retail — 0.2%
165            
Saks, Inc. (a)
          1,254   
             
Specialty Retail — 3.3%
27            
Abercrombie & Fitch Co., Class A
          828    
87            
CarMax, Inc. (a)
          1,724   
17            
Children’s Place Retail Stores, Inc. (The) (a)
          728    
51            
Dick’s Sporting Goods, Inc. (a)
          1,268   
52            
hhgregg, Inc. (a)
          1,222   
34            
Home Depot, Inc.
          960    
48            
Lowe’s Cos., Inc.
          989    
53            
Men’s Wearhouse, Inc. (The)
          970    
406            
Office Depot, Inc. (a)
          1,641   
51            
O’Reilly Automotive, Inc. (a)
          2,418   
63            
RadioShack Corp.
          1,232   
39            
Sally Beauty Holdings, Inc. (a)
          319    
73            
Staples, Inc.
          1,394   

SEE NOTES TO FINANCIAL STATEMENTS.

40   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Specialty Retail — Continued
107            
Talbots, Inc. (a)
          1,102   
23            
Tractor Supply Co.
          1,420   
29            
Urban Outfitters, Inc. (a)
          985    
             
 
          19,200   
             
Textiles, Apparel & Luxury Goods — 0.5%
15            
Nike, Inc., Class B
          995    
56            
Under Armour, Inc., Class A (a)
          1,842   
             
 
          2,837   
             
Total Consumer Discretionary
            65,186   
             
Consumer Staples — 5.8%
             
Beverages — 1.1%
23            
Brown-Forman Corp., Class B
          1,318   
38            
Coca-Cola Co. (The)
          1,892   
34            
Hansen Natural Corp. (a)
          1,322   
31            
PepsiCo, Inc.
          1,865   
             
 
          6,397   
             
Food & Staples Retailing — 1.7%
49            
BJ’s Wholesale Club, Inc. (a)
          1,831   
31            
Costco Wholesale Corp.
          1,719   
1,330            
Rite Aid Corp. (a)
          1,303   
54            
Ruddick Corp.
          1,677   
50            
Walgreen Co.
          1,332   
46            
Whole Foods Market, Inc. (a)
          1,671   
             
 
          9,533   
             
Food Products — 1.9%
36            
Bunge Ltd.
          1,750   
42            
Flowers Foods, Inc.
          1,033   
69            
Green Mountain Coffee Roasters, Inc. (a)
          1,777   
63            
Kraft Foods, Inc., Class A
          1,775   
27            
McCormick & Co., Inc. (Non-Voting)
          1,006   
35            
Mead Johnson Nutrition Co.
          1,764   
36            
TreeHouse Foods, Inc. (a)
          1,634   
             
 
          10,739   
             
Household Products — 0.8%
33            
Church & Dwight Co., Inc.
          2,045   
29            
Clorox Co.
          1,822   
13            
Colgate-Palmolive Co.
          1,030   
             
 
          4,897   
             
Personal Products — 0.3%
69            
Alberto-Culver Co.
          1,856   
             
Total Consumer Staples
          33,422   
             
Energy — 7.9%
             
Energy Equipment & Services — 2.0%
44            
Bristow Group, Inc. (a)
          1,294   
11            
CARBO Ceramics, Inc.
          770    
160            
Helix Energy Solutions Group, Inc. (a)
          1,725   
181            
Key Energy Services, Inc. (a)
          1,664   
12            
Lufkin Industries, Inc.
          450    
136            
Patterson-UTI Energy, Inc.
          1,756   
59            
Pride International, Inc. (a)
          1,315   
18            
Schlumberger Ltd.
          982    
128            
Weatherford International Ltd., (Switzerland) (a)
          1,676   
             
 
          11,632   
             
Oil, Gas & Consumable Fuels — 5.9%
38            
Alpha Natural Resources, Inc. (a)
          1,293   
82            
Arch Coal, Inc.
          1,631   
63            
Atlas Energy, Inc. (a)
          1,693   
59            
Brigham Exploration Co. (a)
          902    
116            
Clean Energy Fuels Corp. (a)
          1,740   
33            
Comstock Resources, Inc. (a)
          915    
113            
Denbury Resources, Inc. (a)
          1,661   
20            
EOG Resources, Inc.
          1,968   
88            
EXCO Resources, Inc.
          1,292   
21            
Exxon Mobil Corp.
          1,202   
93            
Frontier Oil Corp.
          1,248   
152            
McMoRan Exploration Co. (a)
          1,684   
63            
Nordic American Tanker Shipping, (Bermuda)
          1,779   
41            
Overseas Shipholding Group, Inc.
          1,522   
95            
Patriot Coal Corp. (a)
          1,114   
78            
Petrohawk Energy Corp. (a)
          1,325   
62            
Plains Exploration & Production Co. (a)
          1,277   
30            
Range Resources Corp.
          1,205   
165            
SandRidge Energy, Inc. (a)
          959    
43            
Southwestern Energy Co. (a)
          1,653   
112            
Spectra Energy Corp.
          2,256   
57            
Teekay Corp., (Canada)
          1,502   
148            
Tesoro Corp.
          1,723   
             
 
          33,544   
             
Total Energy
            45,176   
             
Financials — 12.4%
             
Capital Markets — 2.5%
124            
Charles Schwab Corp. (The)
          1,765   
143            
E*Trade Financial Corp. (a)
          1,687   
30            
Greenhill & Co., Inc.
          1,830   
89            
Invesco Ltd.
          1,500   
191            
Janus Capital Group, Inc.
          1,699   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   41


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Capital Markets — Continued
51            
Legg Mason, Inc.
          1,418   
86            
optionsXpress Holdings, Inc. (a)
          1,352   
28            
Stifel Financial Corp. (a)
          1,225   
25            
T. Rowe Price Group, Inc.
          1,131   
63            
TD AMERITRADE Holding Corp. (a)
          963    
             
 
            14,570   
             
Commercial Banks — 4.3%
142            
Associated Banc-Corp.
          1,742   
63            
BancorpSouth, Inc.
          1,121   
365            
CapitalSource, Inc.
          1,736   
15            
Comerica, Inc.
          540    
158            
First Horizon National Corp. (a)
          1,812   
89            
First Midwest Bancorp, Inc.
          1,081   
96            
Glacier Bancorp, Inc.
          1,408   
20            
Iberiabank Corp.
          1,054   
281            
KeyCorp
          2,162   
235            
Marshall & Ilsley Corp.
          1,686   
192            
Regions Financial Corp.
          1,265   
664            
Synovus Financial Corp.
          1,687   
43            
U.S. Bancorp
          950    
120            
Umpqua Holdings Corp.
          1,376   
68            
Webster Financial Corp.
          1,229   
6            
Westamerica Bancorp
          293    
134            
Whitney Holding Corp.
          1,241   
117            
Wilmington Trust Corp.
          1,296   
56            
Zions Bancorp
          1,216   
             
 
          24,895   
             
Diversified Financial Services — 0.6%
3            
CME Group, Inc.
          968    
9            
IntercontinentalExchange, Inc. (a)
          987    
46            
MSCI, Inc., Class A (a)
          1,265   
             
 
          3,220   
             
Insurance — 2.4%
13            
AON Corp.
          488    
40            
Arthur J. Gallagher & Co.
          972    
52            
Brown & Brown, Inc.
          999    
68            
Cincinnati Financial Corp.
          1,758   
5            
Markel Corp. (a)
          1,739   
80            
Marsh & McLennan Cos., Inc.
          1,804   
297            
MBIA, Inc. (a)
          1,667   
145            
Old Republic International Corp.
          1,758   
1            
Reinsurance Group of America, Inc.
          58    
27            
Transatlantic Holdings, Inc.
          1,306   
4            
White Mountains Insurance Group Ltd.
          1,281   
             
 
          13,830   
             
Real Estate Investment Trusts (REITs) — 0.8%
48            
Apartment Investment & Management Co., Class A
          922    
8            
Boston Properties, Inc.
          542    
15            
BRE Properties, Inc.
          570    
41            
Developers Diversified Realty Corp.
          409    
18            
Home Properties, Inc.
          828    
17            
Kilroy Realty Corp.
          518    
22            
Macerich Co. (The)
          819    
             
 
          4,608   
             
Real Estate Management & Development — 0.1%
38            
Brookfield Properties Corp.
          530    
             
Thrifts & Mortgage Finance — 1.7%
79            
First Niagara Financial Group, Inc.
          990    
232            
MGIC Investment Corp. (a)
          1,598   
125            
Ocwen Financial Corp. (a)
          1,269   
133            
People’s United Financial, Inc.
          1,792   
166            
Radian Group, Inc.
          1,200   
105            
TFS Financial Corp.
          1,307   
79            
Washington Federal, Inc.
          1,276   
             
 
          9,432   
             
Total Financials
            71,085   
             
Health Care — 9.0%
             
Biotechnology — 1.0%
30            
Acorda Therapeutics, Inc. (a)
          947    
51            
Alkermes, Inc. (a)
          639    
39            
Cepheid, Inc. (a)
          619    
28            
Dendreon Corp. (a)
          892    
19            
Genzyme Corp. (a)
          981    
142            
Savient Pharmaceuticals, Inc. (a)
          1,793   
             
 
          5,871   
             
Health Care Equipment & Supplies — 2.6%
9            
Baxter International, Inc.
          384    
31            
Beckman Coulter, Inc.
          1,860   
304            
Boston Scientific Corp. (a)
          1,765   
60            
DENTSPLY International, Inc.
          1,796   
25            
Edwards Lifesciences Corp. (a)
          1,374   
5            
Haemonetics Corp. (a)
          281    
20            
IDEXX Laboratories, Inc. (a)
          1,211   
61            
Masimo Corp.
          1,463   
31            
NuVasive, Inc. (a)
          1,099   

SEE NOTES TO FINANCIAL STATEMENTS.

42   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Health Care Equipment & Supplies — Continued
16            
ResMed, Inc. (a)
          966    
57            
Volcano Corp. (a)
          1,243   
38            
West Pharmaceutical Services, Inc.
          1,400   
             
 
          14,842   
             
Health Care Providers & Services — 2.5%
95            
Brookdale Senior Living, Inc. (a)
          1,425   
71            
Centene Corp. (a)
          1,523   
78            
Coventry Health Care, Inc. (a)
          1,385   
35            
HMS Holdings Corp. (a)
          1,910   
30            
Magellan Health Services, Inc. (a)
          1,072   
32            
Mednax, Inc. (a)
          1,778   
15            
Owens & Minor, Inc.
          412    
35            
Patterson Cos., Inc.
          997    
62            
PSS World Medical, Inc. (a)
          1,306   
40            
VCA Antech, Inc. (a)
          996    
69            
WellCare Health Plans, Inc. (a)
          1,632   
             
 
          14,436   
             
Health Care Technology — 0.7%
57            
athenahealth, Inc. (a)
          1,501   
43            
MedAssets, Inc. (a)
          997    
28            
Quality Systems, Inc.
          1,620   
             
 
          4,118   
             
Life Sciences Tools & Services — 1.0%
20            
Covance, Inc. (a)
          1,001   
— (h)        
Furiex Pharmaceuticals, Inc. (a)
          — (h)  
10            
Illumina, Inc. (a)
          427    
13
 		            
Mettler-Toledo International, Inc.,
(Switzerland) (a)
          1,437   
40            
Pharmaceutical Product Development, Inc.
          1,005   
26            
Techne Corp.
          1,483   
             
 
          5,353   
             
Pharmaceuticals — 1.2%
65            
Auxilium Pharmaceuticals, Inc. (a)
          1,518   
52            
Merck & Co., Inc.
          1,821   
49            
Salix Pharmaceuticals Ltd. (a)
          1,922   
44            
Watson Pharmaceuticals, Inc. (a)
          1,772   
             
 
          7,033   
             
Total Health Care
            51,653   
             
Industrials — 12.5%
             
Aerospace & Defense — 2.1%
69            
BE Aerospace, Inc. (a)
          1,746   
25            
Curtiss-Wright Corp.
          736    
27            
Goodrich Corp.
          1,798   
79            
Hexcel Corp. (a)
          1,229   
18            
Precision Castparts Corp.
          1,860   
18            
Rockwell Collins, Inc.
          976    
91            
Spirit Aerosystems Holdings, Inc., Class A (a)
          1,739   
38            
TransDigm Group, Inc.
          1,940   
             
 
          12,024   
             
Air Freight & Logistics — 0.2%
21            
C.H. Robinson Worldwide, Inc.
          1,175   
             
Airlines — 0.4%
12            
Allegiant Travel Co.
          512    
230            
AMR Corp. (a)
          1,556   
34            
Southwest Airlines Co.
          383    
             
 
          2,451   
             
Building Products — 0.4%
34            
Simpson Manufacturing Co., Inc.
          826    
132            
USG Corp. (a)
          1,597   
             
 
          2,423   
             
Commercial Services & Supplies — 2.5%
55            
Brink’s Co. (The)
          1,052   
28            
Clean Harbors, Inc. (a)
          1,853   
14            
Copart, Inc. (a)
          504    
47            
Corrections Corp. of America (a)
          891    
59            
GEO Group, Inc. (The) (a)
          1,221   
67            
Herman Miller, Inc.
          1,255   
56            
Iron Mountain, Inc.
          1,261   
60            
Republic Services, Inc.
          1,785   
16            
Stericycle, Inc. (a)
          1,027   
51            
Waste Connections, Inc. (a)
          1,796   
51            
Waste Management, Inc.
          1,583   
             
 
            14,228   
             
Construction & Engineering — 0.6%
53            
Granite Construction, Inc.
          1,247   
94            
Quanta Services, Inc. (a)
          1,935   
             
 
          3,182   
             
Electrical Equipment — 1.4%
37            
Acuity Brands, Inc.
          1,337   
67            
American Superconductor Corp. (a)
          1,798   
45            
AMETEK, Inc.
          1,809   
6            
Emerson Electric Co.
          262    
32            
Roper Industries, Inc.
          1,795   
45            
Woodward Governor Co.
          1,136   
             
 
          8,137   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   43


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Machinery — 2.5%
35            
Bucyrus International, Inc.
          1,659   
28            
CLARCOR, Inc.
          1,004   
37            
Danaher Corp.
          1,361   
20            
Donaldson Co., Inc.
          853    
54            
Harsco Corp.
          1,260   
136            
Manitowoc Co., Inc. (The)
          1,246   
18            
Middleby Corp. (a)
          976    
57            
PACCAR, Inc.
          2,265   
28            
Pall Corp.
          975    
89            
Terex Corp. (a)
          1,668   
25            
Wabtec Corp.
          1,000   
             
 
          14,267   
             
Professional Services — 0.9%
5            
Dun & Bradstreet Corp.
          366    
48            
Equifax, Inc.
          1,355   
18            
IHS, Inc., Class A (a)
          1,052   
53            
Robert Half International, Inc.
          1,258   
33            
Towers Watson & Co., Class A
          1,287   
             
 
          5,318   
             
Road & Rail — 1.1%
27            
Genesee & Wyoming, Inc., Class A (a)
          1,006   
97            
Heartland Express, Inc.
          1,406   
186            
Hertz Global Holdings, Inc. (a)
          1,763   
10            
J.B. Hunt Transport Services, Inc.
          339    
49            
Knight Transportation, Inc.
          983    
30            
Old Dominion Freight Line, Inc. (a)
          1,045   
             
 
          6,542   
             
Trading Companies & Distributors — 0.4%
20            
Fastenal Co.
          993    
23            
Watsco, Inc.
          1,306   
             
 
          2,299   
             
Total Industrials
            72,046   
             
Information Technology — 14.6%
             
Communications Equipment — 1.5%
37            
ADTRAN, Inc.
          1,017   
132            
Aruba Networks, Inc. (a)
          1,878   
346            
Brocade Communications Systems, Inc. (a)
          1,787   
29            
Juniper Networks, Inc. (a)
          669    
9            
Polycom, Inc. (a)
          258    
36            
Research In Motion Ltd., (Canada) (a)
          1,754   
39            
ViaSat, Inc. (a)
          1,272   
             
 
          8,635   
             
Computers & Peripherals — 0.6%
4            
Apple, Inc. (a)
          974    
97            
EMC Corp. (a)
          1,769   
26            
NetApp, Inc. (a)
          970    
             
 
          3,713   
             
Electronic Equipment, Instruments &
Components — 1.2%
48            
Amphenol Corp., Class A
          1,870   
29            
Dolby Laboratories, Inc., Class A (a)
          1,840   
57            
FLIR Systems, Inc. (a)
          1,671   
46            
Plexus Corp. (a)
          1,218   
             
 
          6,599   
             
Internet Software & Services — 1.9%
89            
eBay, Inc. (a)
          1,741   
3            
Google, Inc., Class A (a)
          1,355   
55            
j2 Global Communications, Inc. (a)
          1,210   
145            
Monster Worldwide, Inc. (a)
          1,686   
97            
Rackspace Hosting, Inc. (a)
          1,774   
27            
VistaPrint N.V., (Bermuda) (a)
          1,283   
119            
Yahoo!, Inc. (a)
          1,641   
             
 
          10,690   
             
IT Services — 2.4%
89            
Acxiom Corp. (a)
          1,302   
19            
Automatic Data Processing, Inc.
          759    
35
 		            
Cognizant Technology Solutions Corp.,
Class A (a)
          1,771   
68            
Fidelity National Information Services, Inc.
          1,811   
76            
Gartner, Inc. (a)
          1,760   
8            
International Business Machines Corp.
          1,004   
70            
Paychex, Inc.
          1,822   
179            
Sapient Corp.
          1,818   
3            
Visa, Inc., Class A
          191    
43            
Wright Express Corp. (a)
          1,274   
             
 
            13,512   
             
Semiconductors & Semiconductor
Equipment — 3.2%
41            
Altera Corp.
          1,005   
367            
Atmel Corp. (a)
          1,761   
30            
Cavium Networks, Inc. (a)
          790    
30            
Cree, Inc. (a)
          1,774   
38            
Hittite Microwave Corp. (a)
          1,717   
67            
International Rectifier Corp. (a)
          1,239   
57            
Linear Technology Corp.
          1,578   
174            
MEMC Electronic Materials, Inc. (a)
          1,724   
23            
Microchip Technology, Inc.
          630    

SEE NOTES TO FINANCIAL STATEMENTS.

44   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Semiconductors & Semiconductor
Equipment — Continued
79            
NetLogic Microsystems, Inc. (a)
          2,146   
140            
PMC-Sierra, Inc. (a)
          1,056   
29            
Semtech Corp. (a)
          477    
24            
Silicon Laboratories, Inc. (a)
          967    
101            
Skyworks Solutions, Inc. (a)
          1,691   
             
 
          18,555   
             
Software — 3.8%
35            
Adobe Systems, Inc. (a)
          915    
21            
Blackboard, Inc. (a)
          798    
42            
Citrix Systems, Inc. (a)
          1,779   
42            
Concur Technologies, Inc. (a)
          1,787   
20            
FactSet Research Systems, Inc.
          1,343   
77            
Informatica Corp. (a)
          1,832   
57            
JDA Software Group, Inc. (a)
          1,247   
86            
Nuance Communications, Inc. (a)
          1,289   
80            
Parametric Technology Corp. (a)
          1,254   
49            
Red Hat, Inc. (a)
          1,431   
49            
Rovi Corp. (a)
          1,848   
75            
SolarWinds, Inc. (a)
          1,202   
64            
SuccessFactors, Inc. (a)
          1,338   
52            
Taleo Corp., Class A (a)
          1,263   
251            
TiVo, Inc. (a)
          1,855   
15            
VMware, Inc., Class A (a)
          950    
             
 
          22,131   
             
Total Information Technology
            83,835   
             
Materials — 5.6%
             
Chemicals — 2.0%
11            
Air Products & Chemicals, Inc.
          705    
20            
Dow Chemical Co. (The)
          484    
38            
Ecolab, Inc.
          1,716   
27            
FMC Corp.
          1,564   
69            
Intrepid Potash, Inc. (a)
          1,341   
32            
Monsanto Co.
          1,471   
33            
Mosaic Co. (The)
          1,285   
23            
Praxair, Inc.
          1,755   
55            
Sensient Technologies Corp.
          1,418   
             
 
          11,739   
             
Construction Materials — 1.2%
65            
Eagle Materials, Inc.
          1,694   
26            
Martin Marietta Materials, Inc.
          2,163   
46            
Texas Industries, Inc.
          1,364   
39            
Vulcan Materials Co.
          1,720   
             
 
          6,941   
             
Containers & Packaging — 1.0%
42            
Bemis Co., Inc.
          1,134   
8            
Greif, Inc., Class A
          420    
46            
Packaging Corp. of America
          1,019   
69            
Pactiv Corp. (a)
          1,912   
60            
Temple-Inland, Inc.
          1,230   
             
 
          5,715   
             
Metals & Mining — 0.9%
31            
Allegheny Technologies, Inc.
          1,359   
46            
Allied Nevada Gold Corp. (a)
          908    
14            
Compass Minerals International, Inc.
          959    
32            
Royal Gold, Inc.
          1,534   
12            
United States Steel Corp.
          461    
             
 
          5,221   
             
Paper & Forest Products — 0.5%
21            
Schweitzer-Mauduit International, Inc.
          1,035   
53            
Weyerhaeuser Co.
          1,858   
             
 
          2,893   
             
Total Materials
            32,509   
             
Telecommunication Services — 1.4%
             
Diversified Telecommunication Services — 0.6%
30            
AboveNet, Inc. (a)
          1,419   
55            
CenturyLink, Inc.
          1,825   
             
 
          3,244   
             
Wireless Telecommunication Services — 0.8%
55            
American Tower Corp., Class A (a)
          2,447   
49            
Leap Wireless International, Inc. (a)
          631    
13            
SBA Communications Corp., Class A (a)
          458    
43            
Telephone & Data Systems, Inc.
          1,296   
             
 
          4,832   
             
Total Telecommunication Services
          8,076   
             
Utilities — 5.0%
             
Electric Utilities — 1.5%
32            
American Electric Power Co., Inc.
          1,041   
39            
Cleco Corp.
          1,037   
34            
Hawaiian Electric Industries, Inc.
          785    
21            
NextEra Energy, Inc.
          1,023   
88            
Northeast Utilities
          2,250   
98            
Pepco Holdings, Inc.
          1,541   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   45


JPMorgan Multi-Cap Market Neutral Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

    
SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Short Positions — Continued
             
Electric Utilities — Continued
31            
Southern Co.
          1,033   
             
 
          8,710   
             
Gas Utilities — 0.9%
59            
EQT Corp.
          2,138   
23            
National Fuel Gas Co.
          1,059   
14            
New Jersey Resources Corp.
          477    
37            
South Jersey Industries, Inc.
          1,581   
             
 
          5,255   
             
Independent Power Producers & Energy Traders — 0.7%
78            
Calpine Corp. (a)
          987    
52            
Ormat Technologies, Inc.
          1,467   
374            
RRI Energy, Inc. (a)
          1,416   
             
 
             3,870   
             
Multi-Utilities — 1.8%
50            
Alliant Energy Corp.
          1,600   
38            
Consolidated Edison, Inc.
          1,635   
47            
Dominion Resources, Inc.
          1,826   
49            
NSTAR
          1,715   
4            
Sempra Energy
          177    
62            
Vectren Corp.
          1,466   
38            
Wisconsin Energy Corp.
          1,935   
             
 
            10,354   
             
Water Utilities — 0.1%
43            
Aqua America, Inc.
          754    
             
Total Utilities
          28,943   
             
Total Common Stocks
(Cost $550,498)
           491,931   
NUMBER
OF RIGHTS
  
  
Right — 0.0% (g)
             
Health Care — 0.0% (g)
1
 		            
Fresenius Kabi Pharmaceuticals Holding, Inc., (Germany), expiring 06/30/11 (a)
(Cost $—)
          — (h)  
             
Total Short Positions
(Proceeds $550,498)
       $ 491,931   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

46   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


JPMorgan Value Advantage Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — 95.5%
             
Consumer Discretionary — 14.1%
             
Distributors — 1.2%
146            
Genuine Parts Co.
          5,760   
             
Hotels, Restaurants & Leisure — 0.5%
221            
Monarch Casino & Resort, Inc. (a)
          2,243   
             
Household Durables — 0.9%
115            
Fortune Brands, Inc.
          4,509   
             
Internet & Catalog Retail — 1.0%
256            
Expedia, Inc.
          4,815   
             
Media — 3.7%
239            
AH Belo Corp., Class A (a)
          1,585   
245            
Belo Corp., Class A (a)
          1,394   
66            
Cablevision Systems Corp., Class A
          1,578   
198            
Clear Channel Outdoor Holdings, Inc., Class A (a)
          1,722   
170            
Entercom Communications Corp., Class A (a)
          1,498   
425            
Gannett Co., Inc.
          5,719   
200            
LIN TV Corp., Class A (a)
          1,082   
9            
Washington Post Co. (The), Class B
          3,612   
             
 
            18,190   
             
Multiline Retail — 1.1%
82            
Sears Holdings Corp. (a)
          5,288   
             
Specialty Retail — 5.7%
43            
AutoZone, Inc. (a)
          8,212   
64            
Bed Bath & Beyond, Inc. (a)
          2,373   
534            
Gap, Inc. (The)
          10,388   
144            
Home Depot, Inc.
          4,039   
69            
TJX Cos., Inc.
          2,878   
             
 
          27,890   
             
Total Consumer Discretionary
          68,695   
             
Consumer Staples — 6.0%
             
Beverages — 0.9%
66            
Diageo plc, (United Kingdom), ADR
          4,147   
             
Food & Staples Retailing — 2.1%
203            
Walgreen Co.
          5,420   
103            
Wal-Mart Stores, Inc.
          4,942   
             
 
          10,362   
             
Food Products — 2.4%
173            
JM Smucker Co. (The)
          10,424   
38            
McCormick & Co., Inc. (Non-Voting)
          1,446   
             
 
          11,870   
             
Tobacco — 0.6%
149            
Altria Group, Inc.
          2,990   
             
Total Consumer Staples
          29,369   
             
Energy — 16.1%
             
Energy Equipment & Services — 1.1%
183            
RPC, Inc.
          2,498   
39            
SEACOR Holdings, Inc. (a)
          2,770   
             
 
          5,268   
             
Oil, Gas & Consumable Fuels — 15.0%
270            
Devon Energy Corp.
          16,448   
270            
El Paso Corp.
          2,999   
160            
Energy Transfer Equity LP
          5,413   
161            
Enterprise GP Holdings LP
          7,641   
208            
Exxon Mobil Corp.
          11,871   
63            
Kinder Morgan Management LLC (a)
          3,578   
222            
NuStar GP Holdings LLC
          6,816   
382            
Teekay Corp., (Canada)
          9,986   
455            
Williams Cos., Inc. (The)
          8,325   
             
 
          73,077   
             
Total Energy
            78,345   
             
Financials — 33.5%
             
Capital Markets — 2.9%
101            
Ameriprise Financial, Inc.
          3,660   
358            
Charles Schwab Corp. (The)
          5,072   
190            
W.P. Carey & Co. LLC
          5,252   
             
 
          13,984   
             
Commercial Banks — 6.4%
40            
BB&T Corp.
          1,052   
28            
M&T Bank Corp.
          2,353   
120            
SunTrust Banks, Inc.
          2,791   
216            
U.S. Bancorp
          4,828   
229            
United Community Banks, Inc. (a)
          903    
700            
Wells Fargo & Co.
          17,920   
125            
Wilmington Trust Corp.
          1,383   
             
 
          31,230   
             
Consumer Finance — 1.1%
132            
Capital One Financial Corp.
          5,320   
             
Diversified Financial Services — 1.8%
374            
Bank of America Corp.
          5,372   
908            
Citigroup, Inc. (a)
          3,415   
             
 
          8,787   
             
Insurance — 14.8%
91            
AON Corp.
          3,374   
100            
Assurant, Inc.
          3,460   
— (h)        
Berkshire Hathaway, Inc., Class A (a)
          4,560   
207            
Cincinnati Financial Corp.
          5,365   
145            
Genworth Financial, Inc., Class A (a)
          1,895   

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   47


JPMorgan Value Advantage Fund

  



SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands)

SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Insurance — Continued
570            
Loews Corp.
          18,987   
153            
MetLife, Inc.
          5,770   
571            
Old Republic International Corp.
          6,921   
177            
OneBeacon Insurance Group Ltd., Class A
          2,533   
101            
ProAssurance Corp. (a)
          5,750   
60            
Symetra Financial Corp.
          720    
154            
Transatlantic Holdings, Inc.
          7,386   
199            
W.R. Berkley Corp.
          5,260   
             
 
          71,981   
             
Real Estate Investment Trusts (REITs) — 5.1%
204            
Agree Realty Corp.
          4,760   
271            
Annaly Capital Management, Inc.
          4,648   
385            
Cousins Properties, Inc.
          2,597   
155            
Excel Trust, Inc. (a)
          1,855   
163            
Getty Realty Corp.
          3,653   
115            
National Health Investors, Inc.
          4,451   
82            
Regency Centers Corp.
          2,821   
             
 
          24,785   
             
Real Estate Management & Development — 1.4%
226            
Brookfield Asset Management, Inc., (Canada), Class A
          5,114   
105            
Brookfield Properties Corp.
          1,467   
             
 
          6,581   
             
Total Financials
           162,668   
             
Health Care — 10.2%
             
Health Care Equipment & Supplies — 1.4%
98            
Becton, Dickinson & Co.
          6,627   
             
Health Care Providers & Services — 3.9%
229            
AmerisourceBergen Corp.
          7,265   
42            
Humana, Inc. (a)
          1,895   
122            
Lincare Holdings, Inc. (a)
          3,974   
177            
National Healthcare Corp.
          6,093   
             
 
          19,227   
             
Pharmaceuticals — 4.9%
172            
Bristol-Myers Squibb Co.
          4,299   
85            
Johnson & Johnson
          5,044   
288            
Merck & Co., Inc.
          10,082   
301            
Pfizer, Inc.
          4,294   
             
 
          23,719   
             
Total Health Care
          49,573   
             
Industrials — 2.3%
             
Electrical Equipment — 0.8%
108            
Baldor Electric Co.
          3,886   
             
Industrial Conglomerates — 1.0%
134            
Carlisle Cos., Inc.
          4,845   
             
Machinery — 0.3%
41            
Oshkosh Corp. (a)
          1,290   
             
Trading Companies & Distributors — 0.2%
46            
GATX Corp.
          1,216   
             
Total Industrials
          11,237   
             
Information Technology — 2.6%
             
Communications Equipment — 0.5%
70            
QUALCOMM, Inc.
          2,299   
             
Electronic Equipment, Instruments &
Components — 0.6%
123            
Tyco Electronics Ltd., (Switzerland)
          3,122   
             
Software — 1.5%
205            
Microsoft Corp.
          4,717   
115            
Synopsys, Inc. (a)
          2,400   
             
 
          7,117   
             
Total Information Technology
            12,538   
             
Materials — 1.6%
             
Chemicals — 1.0%
128            
Albemarle Corp.
          5,099   
             
Containers & Packaging — 0.6%
56            
Rock-Tenn Co., Class A
          2,776   
             
Total Materials
          7,875   
             
Telecommunication Services — 3.9%
             
Diversified Telecommunication Services — 2.8%
147            
Alaska Communications Systems Group, Inc.
          1,247   
399            
AT&T, Inc.
          9,657   
81            
CenturyLink, Inc.
          2,685   
             
 
          13,589   
             
Wireless Telecommunication Services — 1.1%
199            
Telephone & Data Systems, Inc.
          5,281   
             
Total Telecommunication Services
          18,870   
             
Utilities — 5.2%
             
Electric Utilities — 1.7%
92            
American Electric Power Co., Inc.
          2,959   
153            
Southern Co.
          5,095   
             
 
          8,054   
             
Gas Utilities — 2.6%
83            
Energen Corp.
          3,666   
210            
Oneok, Inc.
          9,082   
             
 
          12,748   

SEE NOTES TO FINANCIAL STATEMENTS.

48   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010





SHARES
  
 SECURITY DESCRIPTION
   
 VALUE($)
Common Stocks — Continued
             
Multi-Utilities — 0.9%
65            
PG&E Corp.
          2,659   
37            
Sempra Energy
          1,727   
             
 
          4,386   
             
Total Utilities
          25,188   
             
Total Common Stocks
(Cost $421,658)
           464,358   
             
Investment Company — 1.2%
463
 		            
Cohen & Steers Select Utility Fund, Inc.
(Cost $7,023)
             5,855   
Short-Term Investment — 3.8%
             
Investment Company — 3.8%
18,267            
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.120% (b) (l) (m)
(Cost $18,267)
          18,267   
             
Total Investments — 100.5%
(Cost $446,948)
          488,480   
             
Liabilities in Excess of Other
Assets — (0.5)%
          (2,494 )  
             
NET ASSETS — 100.0%
       $ 485,986   
 

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   49


JPMorgan Mid Cap/Multi-Cap Funds

  



NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2010

    

ADR—  
   American Depositary Receipt

(a)—  
   Non-income producing security.

(b)—  
   Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(c)—  
   Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

(g)—  
   Amount rounds to less than 0.1%.

(h)—  
   Amount rounds to less than one thousand (shares or dollars).

(j)—  
   All or a portion of these securities are segregated for short sales.

(l)—  
   The rate shown is the current yield as of June 30, 2010.

(m)—  
   All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts.

SEE NOTES TO FINANCIAL STATEMENTS.

50   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   51


STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2010

(Amounts in thousands, except per share amounts)
  
 Growth 
Advantage 
Fund
   
 Mid Cap 
Equity 
Fund
   
 Mid Cap 
Growth 
Fund 
ASSETS:
                                                        
Investments in non-affiliates, at value
               $ 798,909          $ 439,647          $ 1,266,248   
Investments in affiliates, at value
                  171,482             97,174             56,191   
Total investment securities, at value
                  970,391             536,821             1,322,439   
Receivables:
                                                     
Investment securities sold
                  5,104             10,310             17,912   
Fund shares sold
                  4,595             2,493             2,111   
Interest and dividends
                  534              457              593    
Securities lending income
                  17              7              21    
Total Assets
                  980,641             550,088             1,343,076   
 
                                                     
LIABILITIES:
Payables:
                                                     
Due to affiliate (See Note 2.C.)
                  —              —              1,886   
Due to custodian
                  2              —              —    
Dividends
                  —              485              —    
Investment securities purchased
                  1,455             549              2,341   
Collateral for securities lending program
                  170,889             83,284             44,629   
Fund shares redeemed
                  8,243             354              1,865   
Accrued liabilities:
                                                     
Investment advisory fees
                  465              255              737    
Administration fees
                  67              20              106    
Shareholder servicing fees
                  167              — (a)          121    
Distribution fees
                  33              — (a)          153    
Custodian and accounting fees
                  25              25              45    
Trustees’ and Chief Compliance Officer’s fees
                  7              6              25    
Other
                  163              173              926    
Total Liabilities
                  181,516             85,151             52,834   
Net Assets
               $ 799,125          $ 464,937          $ 1,290,242   
 

SEE NOTES TO FINANCIAL STATEMENTS.

52   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 Growth 
Advantage 
Fund
   
 Mid Cap 
Equity 
Fund
   
 Mid Cap 
Growth 
Fund 
NET ASSETS:
                                                        
Paid in capital
               $ 872,762          $ 483,419          $ 1,385,268   
Accumulated net investment (loss) (distributions in excess of net investment income)
                  (13 )            (190 )            (82 )  
Accumulated net realized gains (losses)
                  (135,274 )            (49,563 )            (247,439 )  
Net unrealized appreciation (depreciation)
                  61,650             31,271             152,495   
Total Net Assets
               $ 799,125          $ 464,937          $ 1,290,242   
 
                                                     
Net ASSETS:
                                                     
Class A
               $ 101,814          $ 1,394          $ 560,054   
Class B
                  3,070             —              20,893   
Class C
                  12,811             65              23,389   
Class R2
                  —              —              63    
Class R5
                  76,767             —              —    
Select Class
                  604,663             463,478             685,843   
Total
               $ 799,125          $ 464,937          $ 1,290,242   
 
                                                     
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
                                                     
Class A
                  15,057             61              34,256   
Class B
                  487              —              1,620   
Class C
                  2,030             3              1,588   
Class R2
                  —              —              4    
Class R5
                  11,199             —              —    
Select Class
                  88,477             20,180             39,267   
 
                                                     
Net Asset Value:
                                                     
Class A — Redemption price per share
               $ 6.76          $ 22.95          $ 16.35   
Class B — Offering price per share(b)
                  6.31             —              12.90   
Class C — Offering price per share(b)
                  6.31             22.93             14.73   
Class R2 — Offering and redemption price per share
                  —              —              17.38   
Class R5 — Offering and redemption price per share
                  6.86             —              —    
Select Class — Offering and redemption price per share
                  6.83             22.97             17.47   
Class A maximum sales charge
                  5.25 %            5.25 %            5.25 %  
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)]
               $ 7.13          $ 24.22          $ 17.26   
 
                                                     
Cost of investments in non-affiliates
               $ 737,259          $ 408,376          $ 1,113,753   
Cost of investments in affiliates
                  171,482             97,174             56,191   
Value of securities on loan
                  165,050             80,741             42,802   
 
                                                     
 

(a)
   Amount rounds to less than $1,000.

(b)
   Redemption price for Class B and Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   53


STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2010 (continued)

(Amounts in thousands, except per share amounts)
  
 Mid Cap     
Value     
Fund    
   
 Multi-Cap    
Market    
Neutral    
Fund   
   
 Value
Advantage
Fund
ASSETS:
                                                        
Investments in non-affiliates, at value
               $ 5,005,289          $ 490,723          $ 470,213   
Investments in affiliates, at value
                  247,830             86,021             18,267   
Total investment securities, at value
                  5,253,119             576,744             488,480   
Cash
                  1              4              —    
Deposits at broker for securities sold short
                  —              495,259             —    
Receivables:
                                                     
Investment securities sold
                  —              119,337             515    
Fund shares sold
                  7,502             668              1,858   
Interest and dividends
                  8,002             382              1,217   
Securities lending income
                  79              —              —    
Total Assets
                  5,268,703             1,192,394             492,070   
 
                                                     
LIABILITIES:
Payables:
                                                     
Securities sold short, at value
                  —              491,931             —    
Dividends for securities sold short
                  —              345              —    
Interest expense for securities sold short
                  —              84              —    
Investment securities purchased
                  63,727             122,512             4,785   
Collateral for securities lending program
                  85,595             —              —    
Fund shares redeemed
                  25,296             1,196             645    
Accrued liabilities:
                                                     
Investment advisory fees
                  2,429             514              260    
Administration fees
                  42              36              1    
Shareholder servicing fees
                  667              10              70    
Distribution fees
                  637              50              102    
Custodian and accounting fees
                  129              29              16    
Trustees’ and Chief Compliance Officer’s fees
                  15              7              2    
Other
                  1,436             133              203    
Total Liabilities
                  179,973             616,847             6,084   
Net Assets
               $ 5,088,730          $ 575,547          $ 485,986   
 

SEE NOTES TO FINANCIAL STATEMENTS.

54   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 Mid Cap     
Value     
Fund    
   
 Multi-Cap 
Market 
Neutral 
Fund
   
 Value
Advantage
Fund
NET ASSETS:
                                                        
Paid in capital
               $ 5,427,848          $ 632,354          $ 532,615   
Accumulated undistributed net investment income (net investment loss)
                  59,967             (37 )            2,634   
Accumulated net realized gains (losses)
                  (654,720 )            (131,371 )            (90,795 )  
Net unrealized appreciation (depreciation)
                  255,635             74,601             41,532   
Total Net Assets
               $ 5,088,730          $ 575,547          $ 485,986   
 
                                                     
Net Assets:
                                                     
Class A
               $ 1,705,572          $ 94,549          $ 150,081   
Class B
                  96,966             7,849             —    
Class C
                  309,513             39,610             108,165   
Class R2
                  1,441             —              —    
Institutional Class
                  1,913,930             —              156,531   
Select Class
                  1,061,308             433,539             71,209   
Total
               $ 5,088,730          $ 575,547          $ 485,986   
 
                                                     
Outstanding units of beneficial interest (shares)
                                                     
($0.0001 par value; unlimited number of shares authorized):
                                                     
Class A
                  90,216             9,738             9,860   
Class B
                  5,275             831              —    
Class C
                  16,788             4,189             7,128   
Class R2
                  77              —              —    
Institutional Class
                  99,565             —              10,271   
Select Class
                  55,654             44,292             4,664   
 
                                                     
Net Asset Value:
                                                     
Class A — Redemption price per share
               $ 18.91          $ 9.71          $ 15.22   
Class B — Offering price per share(a)
                  18.38             9.44             —    
Class C — Offering price per share(a)
                  18.44             9.46             15.17   
Class R2 — Offering and redemption price per share
                  18.63             —              —    
Institutional Class — Offering and redemption price per share
                  19.22             —              15.24   
Select Class — Offering and redemption price per share
                  19.07             9.79             15.27   
Class A maximum sales charge
                  5.25 %            5.25 %            5.25 %  
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)]
               $ 19.96          $ 10.25          $ 16.06   
 
                                                     
Cost of investments in non-affiliates
               $ 4,749,654          $ 474,689          $ 428,681   
Cost of investments in affiliates
                  247,830             86,021             18,267   
Value of securities on loan
                  83,148             —              —    
Proceeds from securities sold short
                  —              550,498             —    
 

(a)
   Redemption price for Class B and Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   55


STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2010

(Amounts in thousands)
  
 Growth
Advantage
Fund
   
 Mid Cap 
Equity 
Fund
   
 Mid Cap    
Growth    
Fund    
INVESTMENT INCOME:
                                                        
Dividend income from non-affiliates
               $ 6,662          $ 4,925          $ 9,108   
Interest income from affiliates
                  — (a)          — (a)          — (a)
Dividend income from affiliates
                  19              16              24    
Income from securities lending (net)
                  382              109              507    
Total investment income
                  7,063             5,050             9,639   
 
                                                     
EXPENSES:
Investment advisory fees
                  5,078             2,266             8,899   
Administration fees
                  744              330              1,307   
Distribution fees:
                                                     
Class A
                  249              1              1,509   
Class B
                  28              —              214    
Class C
                  93              — (a)          205    
Class R2
                  —              —              — (a)
Shareholder servicing fees:
                                                     
Class A
                  249              1              1,509   
Class B
                  9              —              71    
Class C
                  31              — (a)          69    
Class R2
                  —              —              — (a)
Class R5
                  33              —              —    
Select Class
                  1,500             871              1,774   
Custodian and accounting fees
                  61              51              93    
Interest expense to affiliates
                  —              —              — (a)
Professional fees
                  60              54              56    
Trustees’ and Chief Compliance Officer’s fees
                  10              4              15    
Printing and mailing costs
                  113              38              408    
Registration and filing fees
                  66              91              302    
Transfer agent fees
                  161              365              1,505   
Other
                  62              12              7    
Total expenses
                  8,547             4,084             17,943   
Less amounts waived
                  (25 )            (967 )            (2,892 )  
Less earnings credits
                  — (a)            — (a)            — (a)  
Net expenses
                  8,522             3,117             15,051   
Net investment income (loss)
                  (1,459 )            1,933             (5,412 )  
 
                                                     
REALIZED/UNREALIZED GAINS (LOSSES):
                                                     
Net realized gain (loss) on transactions from investments in non-affiliates
                  52,894             9,383             107,222   
Change in net unrealized appreciation (depreciation) of investments in non-affiliates
                  38,819             26,548             131,041   
Net realized/unrealized gains (losses)
                  91,713             35,931             238,263   
Change in net assets resulting from operations
               $ 90,254          $ 37,864          $ 232,851   
 

(a)
   Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

56   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 Mid Cap     
Value     
Fund    
   
 Multi-Cap 
Market 
Neutral 
Fund
   
 Value 
Advantage 
Fund 
INVESTMENT INCOME:
                                                        
Interest income from non-affiliates
               $ —           $ 76           $ —    
Dividend income from non-affiliates
                  112,660             8,009             12,232   
Interest income from affiliates
                  — (a)          6              —    
Dividend income from affiliates
                  209              71              21    
Income from securities lending (net)
                  3,803             —              —    
Total investment income
                  116,672             8,162             12,253   
 
                                                     
EXPENSES:
Investment advisory fees
                  33,390             7,844             2,880   
Administration fees
                  4,901             601              422    
Distribution fees:
                                                     
Class A
                  4,558             212              372    
Class B
                  855              77              —    
Class C
                  2,503             384              848    
Class R2
                  4              —              —    
Shareholder servicing fees:
                                                     
Class A
                  4,558             212              372    
Class B
                  285              26              —    
Class C
                  834              128              283    
Class R2
                  2              —              —    
Institutional Class
                  1,835             —              114    
Select Class
                  2,575             1,203             167    
Dividend expense on securities sold short
                  —              7,563             —    
Interest expense on securities sold short
                  —              1,571             —    
Custodian and accounting fees
                  260              82              34    
Professional fees
                  51              54              48    
Trustees’ and Chief Compliance Officer’s fees
                  54              7              4    
Printing and mailing costs
                  1,137             89              108    
Registration and filing fees
                  297              52              61    
Transfer agent fees
                  5,652             291              343    
Other
                  295              11              7    
Total expenses
                  64,046             20,407             6,063   
Less amounts waived
                  (9,877 )            (2,663 )            (726 )  
Less earnings credits
                  — (a)            — (a)            — (a)  
Net expenses
                  54,169             17,744             5,337   
Net investment income (loss)
                  62,503             (9,582 )            6,916   
 
                                                     
REALIZED/UNREALIZED GAINS (LOSSES):
                                                     
Net realized gain (loss) on transactions from:
Investments in non-affiliates
                  23,325             150,060             (10,567 )  
Securities sold short
                  —              (106,581 )            —    
Net realized gain (loss)
                  23,325             43,479             (10,567 )  
Change in net unrealized appreciation (depreciation) of:
Investments in non-affiliates
                  936,527             (29,413 )            96,114   
Securities sold short
                  —              (33,879 )            —    
Change in net unrealized appreciation (depreciation)
                  936,527             (63,292 )            96,114   
Net realized/unrealized gains (losses)
                  959,852             (19,813 )            85,547   
Change in net assets resulting from operations
               $ 1,022,355          $ (29,395 )         $ 92,463   
 

(a)
   Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   57


STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED

(Amounts in thousands)

        Growth Advantage Fund
     Mid Cap Equity Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
                                                                        
Net investment income (loss)
               $ (1,459 )         $ (1,219 )         $ 1,933          $ 1,629   
Net realized gain (loss)
                  52,894             (150,688 )            9,383             (56,735 )  
Change in net unrealized appreciation (depreciation)
                  38,819             2,343             26,548             (18,862 )  
Change in net assets resulting from operations
                  90,254             (149,564 )            37,864             (73,968 )  
 
                                                                    
DISTRIBUTIONS TO SHAREHOLDERS:
Class A (b)
From net investment income
                  —              —              (1 )            —    
Class C (b)
From net investment income
                  —              —              — (a)          —    
Select Class
From net investment income
                  —              —              (1,929 )            (1,590 )  
From net realized gains
                  —              —              —              (10,014 )  
Total distributions to shareholders
                  —              —              (1,930 )            (11,604 )  
 
                                                                    
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions
                  136,769             232,504             233,218             91,768   
 
                                                                    
NET ASSETS:
Change in net assets
                  227,023             82,940             269,152             6,196   
Beginning of period
                  572,102             489,162             195,785             189,589   
End of period
               $ 799,125          $ 572,102          $ 464,937          $ 195,785   
Accumulated undistributed net investment (loss) (distributions in excess of net investment income)
               $ (13 )         $ (8 )         $ (190 )         $ (29 )  
 

(a)
   Amount rounds to less than $1,000.

(b)
   Commencement of offering of class of shares effective November 2, 2009 for Mid Cap Equity Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

58   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




        Mid Cap Growth Fund
     Mid Cap Value Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
                                                                        
Net investment income (loss)
               $ (5,412 )         $ (2,539 )         $ 62,503          $ 79,248   
Net realized gain (loss)
                  107,222             (159,090 )            23,325             (639,753 )  
Change in net unrealized appreciation (depreciation)
                  131,041             (140,598 )            936,527             (925,619 )  
Change in net assets resulting from operations
                  232,851             (302,227 )            1,022,355             (1,486,124 )  
 
                                                                    
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income
                  —              —              —              (34,001 )  
From net realized gains
                  —              (6,876 )            —              (73,550 )  
Class B
From net investment income
                  —              —              —              (1,402 )  
From net realized gains
                  —              (1,071 )            —              (4,622 )  
Class C
From net investment income
                  —              —              —              (4,278 )  
From net realized gains
                  —              (441 )            —              (14,373 )  
Class R2 (a)
From net investment income
                  —              —              —              (7 )  
From net realized gains
                  —              —              —              (2 )  
Institutional Class
From net investment income
                  —              —              (1,669 )            (43,630 )  
From net realized gains
                  —              —              —              (49,874 )  
Select Class
From net investment income
                  —              —              (279 )            (19,010 )  
From net realized gains
                  —              (7,330 )            —              (25,899 )  
Ultra (b)
From net realized gains
                  —              (68 )            —              —    
Total distributions to shareholders
                  —              (15,786 )            (1,948 )            (270,648 )  
 
                                                                    
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions
                  (149,860 )            500,829             (131,054 )            109,125   
 
                                                                    
NET ASSETS:
Change in net assets
                  82,991             182,816             889,353             (1,647,647 )  
Beginning of period
                  1,207,251             1,024,435             4,199,377             5,847,024   
End of period
               $ 1,290,242          $ 1,207,251          $ 5,088,730          $ 4,199,377   
Accumulated undistributed (distributions in excess of) net investment income (net investment loss)
               $ (82 )         $ (407 )         $ 59,967          $ 1,770   
 

(a)
   Commencement of offering class of shares effective June 19, 2009 for Mid Cap Growth Fund and November 3, 2008 for Mid Cap Value Fund.

(b)
   Ultra Shares of Mid Cap Growth Fund were liquidated on May 22, 2009.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   59


STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

        Multi-Cap Market Neutral Fund
     Value Advantage Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
                                                                        
Net investment income (loss)
               $ (9,582 )         $ (4,828 )         $ 6,916          $ 7,242   
Net realized gain (loss)
                  43,479             7,535             (10,567 )            (81,109 )  
Change in net unrealized appreciation (depreciation)
                  (63,292 )            (12,728 )            96,114             (18,303 )  
Change in net assets resulting from operations
                  (29,395 )            (10,021 )            92,463             (92,170 )  
 
                                                                    
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income
                  —              —              (1,905 )            (2,024 )  
From net realized gains
                  —              —              —              (717 )  
Class C
From net investment income
                  —              —              (889 )            (943 )  
From net realized gains
                  —              —              —              (700 )  
Institutional Class
From net investment income
                  —              —              (1,840 )            (319 )  
From net realized gains
                  —              —              —              (84 )  
Select Class
From net investment income
                  —              —              (995 )            (968 )  
From net realized gains
                  —              —              —              (282 )  
Total distributions to shareholders
                  —              —              (5,629 )            (6,037 )  
 
                                                                    
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions
                  (65,653 )            (437,858 )            66,865             26,571   
 
                                                                    
NET ASSETS:
Change in net assets
                  (95,048 )            (447,879 )            153,699             (71,636 )  
Beginning of period
                  670,595             1,118,474             332,287             403,923   
End of period
               $ 575,547          $ 670,595          $ 485,986          $ 332,287   
Accumulated undistributed net investment income (net investment loss)
               $ (37 )         $ (36 )         $ 2,634          $ 3,310   
 

SEE NOTES TO FINANCIAL STATEMENTS.

60   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




        Growth Advantage Fund
     Mid Cap Equity Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CAPITAL TRANSACTIONS:
                                                                        
Class A (b)
Proceeds from shares issued
               $ 55,364          $ 41,995          $ 1,597          $ —    
Dividends and distributions reinvested
                  —              —              1              —    
Cost of shares redeemed
                  (36,207 )            (20,695 )            (95 )            —    
Change in net assets from Class A capital transactions
               $ 19,157          $ 21,300          $ 1,503          $ —    
Class B
Proceeds from shares issued
               $ 520           $ 1,247          $ —           $ —    
Cost of shares redeemed
                  (1,277 )            (985 )            —              —    
Change in net assets from Class B capital transactions
               $ (757 )         $ 262           $ —           $ —    
Class C (b)
Proceeds from shares issued
               $ 5,617          $ 3,597          $ 66           $ —    
Dividends and distributions reinvested
                  —              —              — (a)          —    
Cost of shares redeemed
                  (3,392 )            (4,724 )            (3 )            —    
Change in net assets from Class C capital transactions
               $ 2,225          $ (1,127 )         $ 63           $ —    
Class R5 (c)
Proceeds from shares issued
               $ 27,290          $ 41,138          $ —           $ —    
Cost of shares redeemed
                  (3,562 )            —              —              —    
Change in net assets from Class R5 capital transactions
               $ 23,728          $ 41,138          $ —           $ —    
Select Class
Proceeds from shares issued
               $ 324,548          $ 354,513          $ 316,115          $ 195,594   
Dividends and distributions reinvested
                  —              —              305              3,055   
Cost of shares redeemed
                  (232,132 )            (183,582 )            (84,768 )            (106,881 )  
Change in net assets from Select Class capital transactions
               $ 92,416          $ 170,931          $ 231,652          $ 91,768   
 
Total change in net assets from capital transactions
               $ 136,769          $ 232,504          $ 233,218          $ 91,768   
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   61


STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

        Growth Advantage Fund
     Mid Cap Equity Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
SHARE TRANSACTIONS:
Class A (b)
Issued
                  7,959             7,358             65              —    
Reinvested
                  —              —              — (a)          —    
Redeemed
                  (5,122 )            (3,807 )            (4 )            —    
Change in Class A Shares
                  2,837             3,551             61              —    
Class B
Issued
                  83              217              —              —    
Redeemed
                  (196 )            (183 )            —              —    
Change in Class B Shares
                  (113 )            34              —              —    
Class C (b)
Issued
                  868              660              3              —    
Reinvested
                  —              —              — (a)          —    
Redeemed
                  (524 )            (863 )            — (a)          —    
Change in Class C Shares
                  344              (203 )            3              —    
Class R5 (c)
Issued
                  3,874             7,805             —              —    
Redeemed
                  (480 )            —              —              —    
Change in Class R5 Shares
                  3,394             7,805             —              —    
Select Class
Issued
                  46,815             59,900             13,451             9,225   
Reinvested
                  —              —              13              177    
Redeemed
                  (32,808 )            (34,292 )            (3,604 )            (5,704 )  
Change in Select Class Shares
                  14,007             25,608             9,860             3,698   
 

(a)
   Amount rounds to less than 1,000 (shares or dollars).

(b)
   Commencement of offering of class of shares effective November 2, 2009 for Mid Cap Equity Fund.

(c)
   Commencement of offering of class of shares effective January 8, 2009 for Growth Advantage Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

62   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




        Mid Cap Growth Fund
     Mid Cap Value Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CAPITAL TRANSACTIONS:
                                                                        
Class A
Proceeds from shares issued
               $ 103,096          $ 53,625          $ 286,766          $ 346,853   
Net assets acquired in Fund reorganization (See Note 9)
                  —              290,993             —              81,146   
Dividends and distributions reinvested
                  —              6,078             —              99,082   
Cost of shares redeemed
                  (167,798 )            (86,616 )            (562,984 )            (799,095 )  
Change in net assets from Class A capital transactions
               $ (64,702 )         $ 264,080          $ (276,218 )         $ (272,014 )  
Class B
Proceeds from shares issued
               $ 1,165          $ 1,492          $ 1,155          $ 3,688   
Net assets acquired in Fund reorganization (See Note 9)
                  —              7,214             —              13,609   
Dividends and distributions reinvested
                  —              1,014             —              5,159   
Cost of shares redeemed
                  (16,165 )            (27,519 )            (37,583 )            (29,732 )  
Change in net assets from Class B capital transactions
               $ (15,000 )         $ (17,799 )         $ (36,428 )         $ (7,276 )  
Class C
Proceeds from shares issued
               $ 2,193          $ 1,163          $ 24,188          $ 29,818   
Net assets acquired in Fund reorganization (See Note 9)
                  —              12,398             —              7,123   
Dividends and distributions reinvested
                  —              347              —              13,808   
Cost of shares redeemed
                  (9,337 )            (6,920 )            (83,767 )            (122,766 )  
Change in net assets from Class C capital transactions
               $ (7,144 )         $ 6,988          $ (59,579 )         $ (72,017 )  
Class R2 (b)
                                                                        
Proceeds from shares issued
               $ — (a)         $ 30           $ 2,331          $ 270    
Net assets acquired in Fund reorganization (See Note 9)
                  —              53              —              —    
Dividends and distributions reinvested
                  —              —              —              4    
Cost of shares redeemed
                  (32 )            —              (1,209 )            (2 )  
Change in net assets from Class R2 capital transactions
               $ (32 )         $ 83           $ 1,122          $ 272    
Institutional Class
Proceeds from shares issued
               $ —           $ —           $ 527,453          $ 592,979   
Dividends and distributions reinvested
                  —              —              1,318             77,196   
Cost of shares redeemed
                  —              —              (435,724 )            (488,063 )  
Redemptions in-kind (See Note 10)
                  —              —              47,173             —    
Change in net assets from Institutional Class capital transactions
               $ —           $ —           $ 140,220          $ 182,112   
Select Class
Proceeds from shares issued
               $ 155,494          $ 137,158          $ 468,382          $ 532,900   
Net assets acquired in Fund reorganization (See Note 9)
                  —              339,484             —              57,919   
Dividends and distributions reinvested
                  —              1,881             167              20,726   
Cost of shares redeemed
                  (218,476 )            (228,484 )            (368,720 )            (333,497 )  
Change in net assets from Select Class capital transactions
               $ (62,982 )         $ 250,039          $ 99,829          $ 278,048   
Ultra (c)
                                                                        
Proceeds from shares issued
               $ —           $ 69           $ —           $ —    
Cost of shares redeemed
                  —              (2,631 )            —              —    
Change in net assets from Ultra capital transactions
               $ —           $ (2,562 )         $ —           $ —    
 
Total change in net assets from capital transactions
               $ (149,860 )         $ 500,829          $ (131,054 )         $ 109,125   
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   63


STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

        Mid Cap Growth Fund
     Mid Cap Value Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
SHARE TRANSACTIONS:
                                                                        
Class A
Issued
                  6,323             3,776             15,310             21,642   
Shares issued in connection with Fund reorganization (See Note 9)
                  —              21,346             —              5,361   
Reinvested
                  —              522              —              6,737   
Redeemed
                  (10,091 )            (6,401 )            (30,094 )            (50,189 )  
Change in Class A Shares
                  (3,768 )            19,243             (14,784 )            (16,449 )  
Class B
Issued
                  93              137              66              234    
Shares issued in connection with Fund reorganization (See Note 9)
                  —              667              —              920    
Reinvested
                  —              110              —              360    
Redeemed
                  (1,235 )            (2,357 )            (2,050 )            (1,879 )  
Change in Class B Shares
                  (1,142 )            (1,443 )            (1,984 )            (365 )  
Class C
Issued
                  146              93              1,313             1,964   
Shares issued in connection with Fund reorganization (See Note 9)
                  —              1,004             —              480    
Reinvested
                  — (a)          33              — (a)          961    
Redeemed
                  (627 )            (547 )            (4,607 )            (7,744 )  
Change in Class C Shares
                  (481 )            583              (3,294 )            (4,339 )  
Class R2 (b)
                                                                        
Issued
                  — (a)          2              121              20    
Shares issued in connection with Fund reorganization (See Note 9)
                  —              4              —              —    
Reinvested
                  —              —              —              — (a)
Redeemed
                  (2 )            —              (64 )            — (a)
Change in Class R2 Shares
                  (2 )            6              57              20    
Institutional Class
Issued
                  —              —              27,515             37,425   
Reinvested
                  —              —              69              5,165   
Redeemed
                  —              —              (22,644 )            (29,975 )  
Redemptions in-kind (See Note 10)
                  —              —              2,355             —    
Change in Institutional Class Shares
                  —              —              7,295             12,615   
Select Class
Issued
                  8,781             9,845             25,058             33,997   
Shares issued in connection with Fund reorganization (See Note 9)
                  —              23,389             —              3,801   
Reinvested
                  —              152              9              1,397   
Redeemed
                  (12,859 )            (14,913 )            (19,421 )            (21,788 )  
Change in Select Class Shares
                  (4,078 )            18,473             5,646             17,407   
Ultra (c)
                                                                        
Issued
                  —              6              —              —    
Redeemed
                  —              (187 )            —              —    
Change in Ultra Shares
                  —              (181 )            —              —    
 

(a)
   Amount rounds to less than 1,000 (shares or dollars).

(b)
   Commencement of offering of class of shares effective June 19, 2009 for Mid Cap Growth Fund and November 3, 2008 for Mid Cap Value Fund.

(c)
   Ultra Shares of Mid Cap Growth Fund were liquidated on May 22, 2009.

SEE NOTES TO FINANCIAL STATEMENTS.

64   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




        Multi-Cap Market Neutral Fund
     Value Advantage Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
CAPITAL TRANSACTIONS:
                                                                        
Class A
Proceeds from shares issued
               $ 64,504          $ 40,587          $ 72,764          $ 60,805   
Dividends and distributions reinvested
                  —              —              1,731             2,351   
Cost of shares redeemed
                  (33,398 )            (49,700 )            (67,947 )            (61,146 )  
Change in net assets from Class A capital transactions
               $ 31,106          $ (9,113 )         $ 6,548          $ 2,010   
Class B
Proceeds from shares issued
               $ 84           $ 848           $ —           $ —    
Cost of shares redeemed
                  (4,436 )            (4,281 )            —              —    
Change in net assets from Class B capital transactions
               $ (4,352 )         $ (3,433 )         $ —           $ —    
Class C
Proceeds from shares issued
               $ 4,139          $ 5,635          $ 17,785          $ 14,753   
Dividends and distributions reinvested
                  —              —              717              1,307   
Cost of shares redeemed
                  (23,169 )            (33,635 )            (33,293 )            (51,906 )  
Change in net assets from Class C capital transactions
               $ (19,030 )         $ (28,000 )         $ (14,791 )         $ (35,846 )  
Institutional Class
Proceeds from shares issued
               $ —           $ —           $ 76,158          $ 59,553   
Dividends and distributions reinvested
                  —              —              1,753             280    
Cost of shares redeemed
                  —              —              (9,427 )            (14,626 )  
Change in net assets from Institutional Class capital transactions
               $ —           $ —           $ 68,484          $ 45,207   
Select Class
Proceeds from shares issued
               $ 153,988          $ 74,496          $ 28,225          $ 47,916   
Dividends and distributions reinvested
                  —              —              411              533    
Cost of shares redeemed
                  (227,365 )            (471,808 )            (22,012 )            (33,249 )  
Change in net assets from Select Class capital transactions
               $ (73,377 )         $ (397,312 )         $ 6,624          $ 15,200   
 
Total change in net assets from capital transactions
               $ (65,653 )         $ (437,858 )         $ 66,865          $ 26,571   
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   65


STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

        Multi-Cap Market Neutral Fund
     Value Advantage Fund
  
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
   
 Year Ended
6/30/2010
   
 Year Ended
6/30/2009
SHARE TRANSACTIONS:
                                                                        
Class A
Issued
                  6,429             4,007             4,748             5,134   
Reinvested
                  —              —              114              216    
Redeemed
                  (3,339 )            (4,964 )            (4,392 )            (5,281 )  
Change in Class A Shares
                  3,090             (957 )            470              69    
Class B
Issued
                  8              86              —              —    
Redeemed
                  (453 )            (433 )            —              —    
Change in Class B Shares
                  (445 )            (347 )            —              —    
Class C
Issued
                  423              571              1,153             1,212   
Reinvested
                  —              —              47              120    
Redeemed
                  (2,368 )            (3,391 )            (2,236 )            (4,370 )  
Change in Class C Shares
                  (1,945 )            (2,820 )            (1,036 )            (3,038 )  
Institutional Class
Issued
                  —              —              4,877             5,806   
Reinvested
                  —              —              115              26    
Redeemed
                  —              —              (619 )            (1,146 )  
Change in Institutional Class Shares
                  —              —              4,373             4,686   
Select Class
Issued
                  15,269             7,389             1,827             4,373   
Reinvested
                  —              —              27              49    
Redeemed
                  (22,446 )            (46,864 )            (1,427 )            (3,181 )  
Change in Select Class Shares
                  (7,177 )            (39,475 )            427              1,241   
 
                                                                    
 

SEE NOTES TO FINANCIAL STATEMENTS.

66   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   67


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED

    

       
  
 Per share operating performance
   
            Investment operations
    
  
 Net asset
value,
beginning
of period
   
 Net
investment
income
(loss)
   
 Net realized
and unrealized
gains
(losses) on
investments
   
 Total from
investment
operations
Growth Advantage Fund
                                                                        
Class A
                                                                        
Year Ended June 30, 2010
               $ 5.88          $ (0.03 )(e)         $ 0.91          $ 0.88   
Year Ended June 30, 2009
                  8.14             (0.03 )(e)            (2.23 )            (2.26 )  
Year Ended June 30, 2008
                  8.18             (0.05 )(e)            0.01             (0.04 )  
Year Ended June 30, 2007
                  6.63             (0.05 )(e)            1.60             1.55   
January 1, 2006 through June 30, 2006 (g)
                  6.35             (0.01 )(e)            0.29             0.28   
Year Ended December 31, 2005
                  5.74             (0.05 )(e)            0.66             0.61   
 
                                                                    
Class B
                                                                        
Year Ended June 30, 2010
                  5.51             (0.06 )(e)            0.86             0.80   
Year Ended June 30, 2009
                  7.67             (0.06 )(e)            (2.10 )            (2.16 )  
Year Ended June 30, 2008
                  7.76             (0.09 )(e)            — (h)            (0.09 )  
Year Ended June 30, 2007
                  6.33             (0.10 )(e)            1.53             1.43   
January 1, 2006 through June 30, 2006 (g)
                  6.08             (0.03 )(e)            0.28             0.25   
Year Ended December 31, 2005
                  5.54             (0.09 )(e)            0.63             0.54   
 
                                                                    
Class C
                                                                        
Year Ended June 30, 2010
                  5.52             (0.06 )(e)            0.85             0.79   
Year Ended June 30, 2009
                  7.68             (0.06 )(e)            (2.10 )            (2.16 )  
Year Ended June 30, 2008
                  7.76             (0.09 )(e)            0.01             (0.08 )  
Year Ended June 30, 2007
                  6.34             (0.11 )(e)            1.53             1.42   
May 1, 2006(i) through June 30, 2006 (g)
                  6.80             (0.04 )(e)            (0.42 )            (0.46 )  
 
                                                                    
Class R5
                                                                        
Year Ended June 30, 2010
                  5.93             — (e)(h)            0.93             0.93   
January 8, 2009 (i) through June 30, 2009
                  5.37             — (e)(h)            0.56             0.56   
 
                                                                    
Select Class
                                                                        
Year Ended June 30, 2010
                  5.93             (0.01 )(e)            0.91             0.90   
Year Ended June 30, 2009
                  8.18             (0.01 )(e)            (2.24 )            (2.25 )  
Year Ended June 30, 2008
                  8.20             (0.03 )(e)            0.01             (0.02 )  
Year Ended June 30, 2007
                  6.64             (0.04 )(e)            1.60             1.56   
May 1, 2006(i) through June 30, 2006 (g)
                  7.11             (0.01 )(e)            (0.46 )            (0.47 )  
 

(a)
   Annualized for periods less than one year.

(b)
   Not annualized for periods less than one year.

(c)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e)
   Calculated based upon average shares outstanding.

(f)
   Includes interest expense of 0.01%.

(g)
   The Fund changed its fiscal year end from December 31 to June 30.

(h)
   Amount rounds to less than $0.01.

(i)
   Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

68   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



    
  
 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 earning credits
   
 Portfolio
turnover
rate (b)
 
$6.76                  14.97 %         $ 101,814             1.31 %            (0.41 )%            1.31 %            102 %  
5.88                  (27.76 )            71,841             1.35             (0.48 )            1.42             119    
8.14                  (0.49 )            70,546             1.34             (0.58 )            1.47             118    
8.18                  23.38             49,782             1.36 (f)          (0.71 )            1.66             159    
6.63                  4.41             71,538             1.35             (0.37 )            1.90             81    
6.35                  10.63             54,737             1.35             (0.81 )            1.75             140    
                                                                                                   
                                                                                                   
6.31                  14.52             3,070             1.81             (0.91 )            1.81             102    
5.51                  (28.16 )            3,304             1.87             (1.02 )            1.92             119    
7.67                  (1.16 )            4,340             1.91             (1.16 )            1.94             118    
7.76                  22.59             1,501             2.06 (f)          (1.43 )            2.17             159    
6.33                  4.11             1,230             2.05             (1.02 )            2.40             81    
6.08                  9.75             1,359             2.05             (1.51 )            2.24             140    
                                                                                                   
                                                                                                   
6.31                  14.31             12,811             1.81             (0.91 )            1.81             102    
5.52                  (28.13 )            9,300             1.87             (1.02 )            1.91             119    
7.68                  (1.03 )            14,499             1.88             (1.16 )            1.89             118    
7.76                  22.40             251              2.07 (f)          (1.49 )            2.18             159    
6.34                  (6.76 )            14              2.05             (1.32 )            2.37             81    
                                                                                                   
                                                                                                   
6.86                  15.68             76,767             0.86             0.05             0.86             102    
5.93                  10.43             46,312             0.90             (0.08 )            1.06             119    
                                                                                                   
                                                                                                   
6.83                  15.18             604,663             1.06             (0.16 )            1.06             102    
5.93                  (27.51 )            441,345             1.10             (0.24 )            1.17             119    
8.18                  (0.24 )            399,777             1.09             (0.41 )            1.12             118    
8.20                  23.49             10,985             1.11 (f)          (0.50 )            1.45             159    
6.64                  (6.61 )            14              1.10             (0.37 )            1.61             81    
 
.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   69


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)

       
  
  
             Per share operating performance
   
            Investment operations
     Distributions
    
  
 Net asset
value,
beginning
of period
   
 Net
investment
income
(loss)
   
 Net realized
and unrealized
gains
(losses) on
investments
   
 Total from
investment
operations
   
 Net
investment
income
   
 Net
realized
gain
   
 Total
distributions
Mid Cap Equity Fund
                                                                                                                        
Class A
                                                                                                                        
November 2, 2009 (e) through June 30, 2010
               $ 21.55          $ 0.05          $ 1.41          $ 1.46          $ (0.06 )         $ —           $ (0.06 )  
 
                                                                                                                 
Class C
                                                                                                                        
November 2, 2009 (e) through June 30, 2010
                  21.55             (0.03 )            1.41             1.38             — (f)            —              — (f)  
 
                                                                                                                 
Select Class
                                                                                                                        
Year Ended June 30, 2010
                  18.97             0.12             4.00             4.12             (0.12 )            —              (0.12 )  
Year Ended June 30, 2009
                  28.63             0.18             (8.37 )            (8.19 )            (0.17 )            (1.30 )            (1.47 )  
Year Ended June 30, 2008
                  37.93             0.11             (2.80 )            (2.69 )            (0.11 )            (6.50 )            (6.61 )  
Year Ended June 30, 2007
                  34.51             0.12             6.13             6.25             (0.10 )            (2.73 )            (2.83 )  
January 1, 2006 through June 30, 2006 (g)
                  32.87             0.14 (h)            1.64             1.78             (0.14 )            —              (0.14 )  
Year Ended December 31, 2005
                  33.30             0.10 (h)            3.09             3.19             (0.09 )            (3.53 )            (3.62 )  
 

(a)
   Annualized for periods less than one year

(b)
   Not annualized for periods less than one year.

(c)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.

(d)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e)
   Commencement of offering of class of shares.

(f)
   Amount rounds to less than $0.01.

(g)
   The Fund changed its fiscal year end from December 31 to June 30.

(h)
   Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

70   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 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
earning credits
   
 Portfolio
turnover
rate (b)
                                                                                                         
$22.95                  6.77 %         $ 1,394             1.24 %            0.30 %            1.44 %            56 %  
                                                                                                   
                                                                                                   
22.93                  6.40             65              1.74             (0.23 )            1.92             56    
                                                                                                   
                                                                                                   
22.97                  21.72             463,478             0.89             0.55             1.17             56    
18.97                  (28.02 )            195,785             0.90             0.94             1.20             107    
28.63                  (8.19 )            189,589             0.91             0.32             1.12             79    
37.93                  18.97             284,546             0.90             0.35             1.09             82    
34.51                  5.42             298,104             0.90             0.85             1.08             41    
32.87                  9.61             268,582             0.90             0.29             1.08             99    
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   71


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)

    

       
  
                 Per share operating performance
   
            Investment operations
   
 Distributions
    
  
 Net asset
value,
beginning of
period
   
 Net
investment
income (loss)
   
 Net realized
and
unrealized gains
(losses) on
investments
   
 Total from
investment
operations
   
 Net
realized gain
Mid Cap Growth Fund (e)
                                                                                        
Class A
                                                                                        
Year Ended June 30, 2010
               $ 13.68          $ (0.09 )(f)         $ 2.76          $ 2.67          $ —    
Year Ended June 30, 2009
                  20.46             (0.07 )(f)            (6.33 )(g)            (6.40 )            (0.38 )  
Year Ended June 30, 2008
                  24.89             (0.17 )(f)            (0.45 )            (0.62 )            (3.81 )  
Year Ended June 30, 2007
                  24.85             (0.18 )(f)            4.41             4.23             (4.19 )  
Year Ended June 30, 2006
                  23.99             (0.10 )            2.97             2.87             (2.01 )  
 
                                                                                   
Class B
                                                                                        
Year Ended June 30, 2010
                  10.85             (0.14 )(f)            2.19             2.05             —    
Year Ended June 30, 2009
                  16.45             (0.13 )(f)            (5.09 )(g)            (5.22 )            (0.38 )  
Year Ended June 30, 2008
                  20.88             (0.26 )(f)            (0.36 )            (0.62 )            (3.81 )  
Year Ended June 30, 2007
                  21.59             (0.28 )(f)            3.76             3.48             (4.19 )  
Year Ended June 30, 2006
                  21.21             (0.70 )            3.09             2.39             (2.01 )  
 
                                                                                   
Class C
                                                                                        
Year Ended June 30, 2010
                  12.39             (0.16 )(f)            2.50             2.34             —    
Year Ended June 30, 2009
                  18.70             (0.15 )(f)            (5.78 )(g)            (5.93 )            (0.38 )  
Year Ended June 30, 2008
                  23.21             (0.29 )(f)            (0.41 )            (0.70 )            (3.81 )  
Year Ended June 30, 2007
                  23.57             (0.31 )(f)            4.14             3.83             (4.19 )  
Year Ended June 30, 2006
                  22.98             (0.43 )            3.03             2.60             (2.01 )  
 
                                                                                   
Class R2
                                                                                        
Year Ended June 30, 2010
                  14.56             (0.12 )(f)            2.94             2.82             —    
June 19, 2009 (i) through June 30, 2009
                  14.56             — (f)(j)            — (j)            — (j)            —    
 
                                                                                   
Select Class
                                                                                        
Year Ended June 30, 2010
                  14.57             (0.04 )(f)            2.94             2.90             —    
Year Ended June 30, 2009
                  21.68             (0.03 )(f)            (6.70 )(g)            (6.73 )            (0.38 )  
Year Ended June 30, 2008
                  26.10             (0.12 )(f)            (0.49 )            (0.61 )            (3.81 )  
Year Ended June 30, 2007
                  25.81             (0.12 )(f)            4.60             4.48             (4.19 )  
Year Ended June 30, 2006
                  24.78             0.10             2.94             3.04             (2.01 )  
 

(a)
   Annualized for periods less than one year

(b)
   Not annualized for periods less than one year.

(c)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value
for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.

(d)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e)
   Prior to June 27, 2009, the Fund was named Diversified Mid Cap Growth Fund.

(f)
   Calculated based upon average shares outstanding.

(g)
   An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. There was no impact to the net realized
and unrealized gains (losses) on investments per share and the total return.

(h)
   Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return.

(i)
   Commencement of offering of class of shares.

(j)
   Amount rounds to less than $0.01.

SEE NOTES TO FINANCIAL STATEMENTS.

72   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



    
  
 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
earning credits
   
 Portfolio
turnover
rate (b)
 
$16.35                  19.52 %         $ 560,054             1.24 %            (0.53 )%            1.42 %            82 %  
13.68                  (30.97 )(g)            520,201             1.24             (0.48 )            1.56             96    
20.46                  (3.22 )(h)            384,225             1.24             (0.75 )            1.39             95    
24.89                  18.65             480,084             1.24             (0.73 )            1.36             119    
24.85                  12.20             451,565             1.24             (0.42 )            1.41             112    
                                                                                                   
                                                                                                   
 
12.90                  18.89             20,893             1.77             (1.07 )            1.92             82    
10.85                  (31.35 )(g)            29,963             1.88             (1.14 )            2.03             96    
16.45                  (3.90 )(h)            69,186             1.88             (1.38 )            1.89             95    
20.88                  17.93             123,779             1.86             (1.35 )            1.86             119    
21.59                  11.51             155,268             1.89             (1.07 )            1.91             112    
                                                                                                   
                                                                                                   
 
14.73                  18.89             23,389             1.77             (1.06 )            1.92             82    
12.39                  (31.38 )(g)            25,624             1.88             (1.13 )            2.04             96    
18.70                  (3.85 )(h)            27,785             1.88             (1.38 )            1.89             95    
23.21                  17.90             38,805             1.86             (1.35 )            1.86             119    
23.57                  11.53             42,448             1.89             (1.07 )            1.91             112    
                                                                                                   
                                                                                                   
 
17.38                  19.37             63              1.40             (0.69 )            1.67             82    
14.56                  0.00             83              1.22             (0.31 )            1.94             96    
                                                                                                   
                                                                                                   
17.47                  19.90             685,843             0.93             (0.22 )            1.17             82    
14.57                  (30.74 )(g)            631,380             0.98             (0.23 )            1.30             96    
21.68                  (3.02 )(h)            539,292             0.99             (0.49 )            1.13             95    
26.10                  18.95             740,208             0.99             (0.48 )            1.11             119    
25.81                  12.51             769,574             0.99             (0.19 )            1.16             112    
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   73


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)

       
  
  
         Per share operating performance
   
            Investment operations
     Distributions
    
  
 Net asset
value,
beginning of
period
   
 Net
investment
income
(loss)
   
 Net realized
and
unrealized gains
(losses) on
investments
   
 Total from
investment
operations
   
 Net
investment
income
   
 Net
realized
gain
   
 Total
distributions
Mid Cap Value Fund
                                                                                                                        
Class A
                                                                                                                        
Year Ended June 30, 2010
               $ 15.24          $ 0.19 (e)         $ 3.48          $ 3.67          $ —           $ —           $ —    
Year Ended June 30, 2009
                  21.91             0.28 (e)            (5.92 )            (5.64 )            (0.34 )            (0.69 )            (1.03 )  
Year Ended June 30, 2008
                  27.71             0.16             (3.78 )            (3.62 )            (0.12 )            (2.06 )            (2.18 )  
Year Ended June 30, 2007
                  24.73             0.17             4.21             4.38             (0.25 )            (1.15 )            (1.40 )  
January 1, 2006 through June 30, 2006 (f)
                  23.28             0.14             1.31             1.45             —              —              —    
Year Ended December 31, 2005
                  22.05             0.12 (e)            1.84             1.96             (0.12 )            (0.61 )            (0.73 )  
 
                                                                                                                 
Class B
                                                                                                                        
Year Ended June 30, 2010
                  14.89             0.10 (e)            3.39             3.49             —              —              —    
Year Ended June 30, 2009
                  21.39             0.20 (e)            (5.79 )            (5.59 )            (0.22 )            (0.69 )            (0.91 )  
Year Ended June 30, 2008
                  27.11             0.03             (3.69 )            (3.66 )            —              (2.06 )            (2.06 )  
Year Ended June 30, 2007
                  24.21             0.05             4.12             4.17             (0.12 )            (1.15 )            (1.27 )  
January 1, 2006 through June 30, 2006 (f)
                  22.86             0.08             1.27             1.35             —              —              —    
Year Ended December 31, 2005
                  21.66             — (e)(g)            1.81             1.81             —              (0.61 )            (0.61 )  
 
                                                                                                                 
Class C
                                                                                                                        
Year Ended June 30, 2010
                  14.94             0.10 (e)            3.40             3.50             —              —              —    
Year Ended June 30, 2009
                  21.45             0.20 (e)            (5.80 )            (5.60 )            (0.22 )            (0.69 )            (0.91 )  
Year Ended June 30, 2008
                  27.17             0.04             (3.70 )            (3.66 )            —              (2.06 )            (2.06 )  
Year Ended June 30, 2007
                  24.26             0.05             4.13             4.18             (0.12 )            (1.15 )            (1.27 )  
January 1, 2006 through June 30, 2006 (f)
                  22.90             0.08             1.28             1.36             —              —              —    
Year Ended December 31, 2005
                  21.70             — (e)(g)            1.81             1.81             — (g)            (0.61 )            (0.61 )  
 
                                                                                                                 
Class R2
                                                                                                                        
Year Ended June 30, 2010
                  15.06             0.15 (e)            3.42             3.57             —              —              —    
November 3, 2008(h) through June 30, 2009
                  16.34             0.20 (e)            (0.30 )            (0.10 )            (0.49 )            (0.69 )            (1.18 )  
 
                                                                                                                 
Institutional Class
                                                                                                                        
Year Ended June 30, 2010
                  15.43             0.29 (e)            3.52             3.81             (0.02 )            —              (0.02 )  
Year Ended June 30, 2009
                  22.31             0.38 (e)            (6.06 )            (5.68 )            (0.51 )            (0.69 )            (1.20 )  
Year Ended June 30, 2008
                  28.17             0.31             (3.85 )            (3.54 )            (0.26 )            (2.06 )            (2.32 )  
Year Ended June 30, 2007
                  25.10             0.30             4.29             4.59             (0.37 )            (1.15 )            (1.52 )  
January 1, 2006 through June 30, 2006 (f)
                  23.58             0.20             1.32             1.52             —              —              —    
Year Ended December 31, 2005
                  22.30             0.24 (e)            1.86             2.10             (0.21 )            (0.61 )            (0.82 )  
 
                                                                                                                 
Select Class
                                                                                                                        
Year Ended June 30, 2010
                  15.34             0.24 (e)            3.49             3.73             — (g)            —              — (g)    
Year Ended June 30, 2009
                  22.14             0.34 (e)            (6.01 )            (5.67 )            (0.44 )            (0.69 )            (1.13 )  
Year Ended June 30, 2008
                  27.96             0.27             (3.85 )            (3.58 )            (0.18 )            (2.06 )            (2.24 )  
Year Ended June 30, 2007
                  24.93             0.27             4.22             4.49             (0.31 )            (1.15 )            (1.46 )  
January 1, 2006 through June 30, 2006 (f)
                  23.44             0.17             1.32             1.49             —              —              —    
Year Ended December 31, 2005
                  22.18             0.18 (e)            1.85             2.03             (0.16 )            (0.61 )            (0.77 )  
 

(a)
   Annualized for periods less than one year.

(b)
   Not annualized for periods less than one year.

(c)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.

(d)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e)
   Calculated based upon average shares outstanding.

(f)
   The Fund changed its fiscal year end from December 31 to June 30.

(g)
   Amount rounds to less than $0.01.

(h)
   Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

74   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 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
earning credits
   
 Portfolio
turnover
rate (b)
                                                                                                         
$18.91                  24.08 %         $ 1,705,572             1.23 %            1.04 %            1.40 %            34 %  
15.24                  (25.49 )            1,600,044             1.25             1.71             1.42             47    
21.91                  (13.70 )            2,661,377             1.25             0.66             1.42             31    
27.71                  18.21             3,822,632             1.25             0.71             1.35             45    
24.73                  6.23             3,001,515             1.25             1.15             1.39             20    
23.28                  8.87             2,822,767             1.25             0.54             1.39             45    
                                                                                                   
                                                                                                   
18.38                  23.44             96,966             1.74             0.53             1.90             34    
14.89                  (25.89 )            108,114             1.75             1.21             1.92             47    
21.39                  (14.14 )            163,091             1.75             0.15             1.92             31    
27.11                  17.65             237,745             1.75             0.20             1.85             45    
24.21                  5.91             229,998             1.75             0.64             1.89             20    
22.86                  8.36             233,396             1.77             (0.01 )            1.89             45    
                                                                                                   
                                                                                                   
18.44                  23.43             309,513             1.74             0.53             1.90             34    
14.94                  (25.88 )            299,956             1.75             1.20             1.92             47    
21.45                  (14.11 )            523,722             1.75             0.14             1.92             31    
27.17                  17.64             818,261             1.75             0.20             1.85             45    
24.26                  5.94             790,689             1.75             0.64             1.89             20    
22.90                  8.34             822,366             1.76             0.01             1.89             45    
                                                                                                   
                                                                                                   
18.63                  23.71             1,441             1.49             0.77             1.65             34    
15.06                  (0.24 )            294              1.50             2.12             1.69             47    
                                                                                                   
                                                                                                   
19.22                  24.68             1,913,930             0.74             1.52             1.00             34    
15.43                  (25.15 )            1,424,004             0.75             2.26             1.02             47    
22.31                  (13.25 )            1,777,057             0.75             1.16             1.02             31    
28.17                  18.82             2,566,230             0.75             1.21             0.95             45    
25.10                  6.45             2,009,351             0.75             1.65             0.99             20    
23.58                  9.42             1,915,393             0.75             1.02             0.98             45    
                                                                                                   
                                                                                                   
19.07                  24.35             1,061,308             0.98             1.29             1.15             34    
15.34                  (25.31 )            766,965             1.00             2.05             1.18             47    
22.14                  (13.46 )            721,777             1.00             0.90             1.16             31    
27.96                  18.49             1,183,839             1.00             0.95             1.10             45    
24.93                  6.36             1,255,960             1.00             1.40             1.14             20    
23.44                  9.16             1,222,881             1.00             0.80             1.13             45    
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   75


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)

    

       
  
  
 Per share operating performance
   
            Investment operations
     Distributions
    
  
 Net asset
value,
beginning
of period
   
 Net
investment
income
(loss)
   
 Net realized
and unrealized
gains
(losses) on
investments
   
 Total from
investment
operations
   
 Net
investment
income
   
 Net
realized
gain
   
 Return
of capital
   
 Total
distributions
   
 Redemption
fees
Multi-Cap Market Neutral Fund
                                                                                                                                                        
Class A
                                                                                                                                                        
Year Ended June 30, 2010
               $ 10.21          $ (0.17 )(d)         $ (0.33 )         $ (0.50 )         $ —           $ —           $ —           $ —           $ —    
Year Ended June 30, 2009
                  10.23             (0.08 )(d)            0.06             (0.02 )            —              —              —              —              —    
Year Ended June 30, 2008
                  11.24             0.28 (d)            (0.74 )            (0.46 )            (0.54 )            —              (0.01 )            (0.55 )            —    
Year Ended June 30, 2007
                  10.98             0.37             0.20             0.57             (0.31 )            —              —              (0.31 )            —    
Year Ended June 30, 2006
                  10.93             0.26             0.28             0.54             (0.17 )            (0.32 )            —              (0.49 )            — (e)  
 
                                                                                                                                               
Class B
                                                                                                                                                        
Year Ended June 30, 2010
                  10.01             (0.23 )(d)            (0.34 )            (0.57 )            —              —              —              —              —    
Year Ended June 30, 2009
                  10.10             (0.15 )(d)            0.06             (0.09 )            —              —              —              —              —    
Year Ended June 30, 2008
                  11.07             0.17 (d)            (0.70 )            (0.53 )            (0.43 )            —              (0.01 )            (0.44 )            —    
Year Ended June 30, 2007
                  10.80             0.29             0.20             0.49             (0.22 )            —              —              (0.22 )            —    
Year Ended June 30, 2006
                  10.76             0.17             0.28             0.45             (0.09 )            (0.32 )            —              (0.41 )            — (e)  
 
                                                                                                                                               
Class C
                                                                                                                                                        
Year Ended June 30, 2010
                  10.02             (0.23 )(d)            (0.33 )            (0.56 )            —              —              —              —              —    
Year Ended June 30, 2009
                  10.12             (0.15 )(d)            0.05             (0.10 )            —              —              —              —              —    
Year Ended June 30, 2008
                  11.07             0.19 (d)            (0.71 )            (0.52 )            (0.42 )            —              (0.01 )            (0.43 )            —    
Year Ended June 30, 2007
                  10.80             0.29             0.20             0.49             (0.22 )            —              —              (0.22 )            —    
Year Ended June 30, 2006
                  10.77             0.17             0.27             0.44             (0.09 )            (0.32 )            —              (0.41 )            — (e)  
 
                                                                                                                                               
Select Class
                                                                                                                                                        
Year Ended June 30, 2010
                  10.27             (0.14 )(d)            (0.34 )            (0.48 )            —              —              —              —              —    
Year Ended June 30, 2009
                  10.27             (0.05 )(d)            0.05             — (e)            —              —              —              —              —    
Year Ended June 30, 2008
                  11.31             0.30 (d)            (0.73 )            (0.43 )            (0.60 )            —              (0.01 )            (0.61 )            —    
Year Ended June 30, 2007
                  11.04             0.36             0.25             0.61             (0.34 )            —              —              (0.34 )            —    
Year Ended June 30, 2006
                  10.99             0.24             0.32             0.56             (0.19 )            (0.32 )            —              (0.51 )            — (e)  
 

(a)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.

(b)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c)
   Commencing on June 30, 2009, the Fund will present portfolio turnover in two ways, one including short sales and the other excluding short sales. For periods prior to June 30, 2009, the Fund’s portfolio turnover calculation excluded short sales.

(d)
   Calculated based upon average shares outstanding.

(e)
   Amount rounds to less than $0.01.

SEE NOTES TO FINANCIAL STATEMENTS.

76   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



    
  
 Ratios/Supplemental data
   
            Ratios to average net assets (a)
    
Net asset
value, end
of period
  
 Total
return
(excludes sales
charge) (a)
   
 Net assets,
end of
period (000’s)
   
 Net
expenses
(including
dividend and
interest
expense for
securities
sold short) (b)
   
 Net
expenses
(excluding
dividend
and interest
expense for
securities
sold short) (b)
   
 Net
investment
income
(loss)
   
 Expenses
without waivers,
reimbursements and
earnings credits
(including dividend
and interest
expense for
securities
sold short)
   
 Expenses
without waivers,
reimbursements and
earnings credits
(excluding dividend
and interest
expense for
securities
sold short)
   
 Portfolio
turnover
rate (excluding
short sales) (c)
   
 Portfolio
turnover
rate (including
short sales) (c)
                                                                                                                                                         
$ 9.71                  (4.90 )%         $ 94,549             2.94 %            1.49 %            (1.65 )%            3.39 %            1.94 %            146 %            348 %  
10.21                  (0.20 )            67,884             2.84             1.50             (0.79 )            3.29             1.95             175              350    
10.23                  (4.00 )            77,838             2.52             1.51             2.62             2.94             1.93             116              —    
11.24                  5.27             204,059             2.69             1.50             3.32             3.10             1.91             96              —    
10.98                  5.14             190,855             2.60             1.50             2.38             3.02             1.92             121              —    
                                                                                                                                                
                                                                                                                                                
9.44                  (5.69 )            7,849             3.69             2.24             (2.39 )            3.89             2.44             146              348    
10.01                  (0.89 )            12,766             3.59             2.25             (1.55 )            3.79             2.45             175              350    
10.10                  (4.77 )            16,402             3.28             2.26             1.66             3.45             2.43             116              —    
11.07                  4.56             24,974             3.44             2.25             2.60             3.60             2.41             96              —    
10.80                  4.33             28,129             3.35             2.25             1.63             3.52             2.42             121              —    
                                                                                                                                                
                                                                                                                                                
9.46                  (5.59 )            39,610             3.70             2.24             (2.39 )            3.89             2.44             146              348    
10.02                  (0.99 )            61,467             3.59             2.25             (1.54 )            3.79             2.45             175              350    
10.12                  (4.71 )            90,603             3.28             2.26             1.79             3.45             2.43             116              —    
11.07                  4.56             187,546             3.44             2.25             2.60             3.60             2.41             96              —    
10.80                  4.25             200,403             3.35             2.25             1.61             3.52             2.42             121              —    
                                                                                                                                                
                                                                                                                                                
9.79                  (4.67 )            433,539             2.70             1.24             (1.39 )            3.15             1.69             146              348    
10.27                  0.00             528,478             2.59             1.25             (0.45 )            3.04             1.70             175              350    
10.27                  (3.73 )            933,631             2.27             1.25             2.79             2.69             1.67             116              —    
11.31                  5.59             1,852,145             2.44             1.25             3.55             2.85             1.66             96              —    
11.04                  5.36             1,457,434             2.35             1.25             2.71             2.77             1.67             121              —    
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   77


FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)

    

       
  
  
         Per share operating performance
   
            Investment operations
     Distributions
    
  
 Net asset
value,
beginning
of period
   
 Net
investment
income
(loss)
   
 Net realized
and unrealized
gains
(losses) on
investments
   
 Total from
investment
operations
   
 Net
investment
income
   
 Net
realized
gain
   
 Total
distributions
Value Advantage Fund
                                                                                                                        
Class A
                                                                                                                        
Year Ended June 30, 2010
               $ 12.01          $ 0.23 (e)         $ 3.17          $ 3.40          $ (0.19 )         $ —           $ (0.19 )  
Year Ended June 30, 2009
                  16.38             0.30 (e)            (4.40 )            (4.10 )            (0.20 )            (0.07 )            (0.27 )  
Year Ended June 30, 2008
                  20.45             0.35             (3.19 )            (2.84 )            (0.24 )            (0.99 )            (1.23 )  
Year Ended June 30, 2007
                  17.17             0.26 (e)            3.42             3.68             (0.12 )            (0.28 )            (0.40 )  
January 1, 2006 through June 30, 2006 (f)
                  15.88             0.10 (e)            1.19             1.29             —              —              —    
February 28, 2005 (g) through December 31, 2005
                  15.00             0.13 (e)            0.99             1.12             (0.06 )            (0.18 )            (0.24 )  
 
                                                                                                                 
Class C
                                                                                                                        
Year Ended June 30, 2010
                  11.97             0.15 (e)            3.17             3.32             (0.12 )            —              (0.12 )  
Year Ended June 30, 2009
                  16.25             0.23 (e)            (4.34 )            (4.11 )            (0.10 )            (0.07 )            (0.17 )  
Year Ended June 30, 2008
                  20.31             0.26             (3.18 )            (2.92 )            (0.15 )            (0.99 )            (1.14 )  
Year Ended June 30, 2007
                  17.10             0.17 (e)            3.38             3.55             (0.06 )            (0.28 )            (0.34 )  
January 1, 2006 through June 30, 2006 (f)
                  15.85             0.05 (e)            1.20             1.25             —              —              —    
February 28, 2005 (g) through December 31, 2005
                  15.00             0.06 (e)            1.00             1.06             (0.03 )            (0.18 )            (0.21 )  
 
                                                                                                                 
Institutional Class
                                                                                                                        
Year Ended June 30, 2010
                  12.01             0.31 (e)            3.18             3.49             (0.26 )            —              (0.26 )  
Year Ended June 30, 2009
                  16.40             0.37 (e)            (4.42 )            (4.05 )            (0.27 )            (0.07 )            (0.34 )  
Year Ended June 30, 2008
                  20.47             0.44             (3.19 )            (2.75 )            (0.33 )            (0.99 )            (1.32 )  
Year Ended June 30, 2007
                  17.16             0.39 (e)            3.38             3.77             (0.18 )            (0.28 )            (0.46 )  
January 1, 2006 through June 30, 2006 (f)
                  15.83             0.25 (e)            1.08             1.33             —              —              —    
February 28, 2005 (g) through December 31, 2005
                  15.00             0.11 (e)            0.99             1.10             (0.09 )            (0.18 )            (0.27 )  
 
                                                                                                                 
Select Class
                                                                                                                        
Year Ended June 30, 2010
                  12.04             0.27 (e)            3.19             3.46             (0.23 )            —              (0.23 )  
Year Ended June 30, 2009
                  16.44             0.34 (e)            (4.42 )            (4.08 )            (0.25 )            (0.07 )            (0.32 )  
Year Ended June 30, 2008
                  20.52             0.37             (3.17 )            (2.80 )            (0.29 )            (0.99 )            (1.28 )  
Year Ended June 30, 2007
                  17.22             0.31 (e)            3.43             3.74             (0.16 )            (0.28 )            (0.44 )  
January 1, 2006 through June 30, 2006 (f)
                  15.91             0.12 (e)            1.19             1.31             —              —              —    
February 28, 2005 (g) through December 31, 2005
                  15.00             0.15 (e)            1.01             1.16             (0.07 )            (0.18 )            (0.25 )  
 

(a)
   Annualized for periods less than one year.

(b)
   Not annualized for periods less than one year.

(c)
   Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.

(d)
   Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e)
   Calculated based upon average shares outstanding.

(f)
   The Fund changed its fiscal year end from December 31 to June 30.

(g)
   Commencement of operations.

SEE NOTES TO FINANCIAL STATEMENTS.

78   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



    
  
 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 earning credits
   
 Portfolio
turnover
rate (b)
                                                                                                         
$15.22                  28.35 %         $ 150,081             1.24 %            1.52 %            1.38 %            45 %  
12.01                  (24.82 )            112,739             1.25             2.45             1.50             70    
16.38                  (14.42 )            152,696             1.25             1.87             1.43             103    
20.45                  21.58             201,151             1.25             1.36             1.41             77    
17.17                  8.12             77,691             1.25             1.16             1.67             55    
15.88                  7.46             45,163             1.25             1.02             1.82             90    
                                                                                                   
                                                                                                   
15.17                  27.72             108,165             1.74             1.01             1.88             45    
11.97                  (25.19 )            97,723             1.75             1.86             1.99             70    
16.25                  (14.86 )            182,093             1.75             1.36             1.93             103    
20.31                  20.93             247,794             1.75             0.87             1.91             77    
17.10                  7.89             83,777             1.75             0.64             2.17             55    
15.85                  7.03             55,875             1.75             0.47             2.39             90    
                                                                                                   
                                                                                                   
15.24                  29.03             156,531             0.74             2.04             0.98             45    
12.01                  (24.41 )            70,825             0.75             3.11             1.15             70    
16.40                  (13.97 )            19,872             0.75             2.37             1.03             103    
20.47                  22.16             24,710             0.75             1.97             1.00             77    
17.16                  8.40             773              0.75             3.03             1.25             55    
15.83                  7.32             20              0.75             0.87             3.01             90    
                                                                                                   
                                                                                                   
15.27                  28.70             71,209             0.99             1.77             1.13             45    
12.04                  (24.62 )            51,000             1.00             2.75             1.25             70    
16.44                  (14.19 )            49,262             1.00             2.18             1.18             103    
20.52                  21.89             36,884             1.00             1.62             1.16             77    
17.22                  8.23             5,275             1.00             1.42             1.42             55    
15.91                  7.71             3,107             1.00             1.14             1.87             90    
 

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   79


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trusts dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.

J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.

The following are 6 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
  
 Classes Offered
   
 Trust
 Diversified/ Non-Diversified
   
Growth Advantage Fund
            
Class A, Class B, Class C, Class R5 and Select Class
    
JPMMFIT
Diversified
    
Mid Cap Equity Fund
            
Class A, Class C and Select Class
    
JPM I
Diversified
    
Mid Cap Growth Fund
            
Class A, Class B, Class C, Class R2 and Select Class
    
JPM II
Diversified
    
Mid Cap Value Fund
            
Class A, Class B, Class C, Class R2, Institutional Class and Select Class
    
JPMFMFG
Diversified
    
Multi-Cap Market Neutral Fund
            
Class A, Class B, Class C, and Select Class
    
JPM II
Diversified
    
Value Advantage Fund
            
Class A, Class C, Institutional Class and Select Class
    
JPM I
Diversified
    
 

Class A and Class C Shares commenced operations on November 2, 2009 for the Mid Cap Equity Fund.

Effective November 1, 2009, Class B Shares of the Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B shares until they automatically convert to Class A Shares.

Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Select Class and Institutional Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trusts in preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A.  Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. 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. Trading in securities on most foreign exchanges and

80   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:

•  Level 1 — quoted prices in active markets for identical securities

•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (amounts in thousands):

Growth Advantage Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
 		  
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities #
               $ 959,307          $ 11,084          $         —           $ 970,391   
 

Mid Cap Equity Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
   
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities ##
               $ 536,821          $         —           $         —           $ 536,821   
 

Mid Cap Growth Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
   
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities ##
               $ 1,322,439          $         —           $         —           $ 1,322,439   
 

Mid Cap Value Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
   
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities ##
               $ 5,253,119          $         —           $         —           $ 5,253,119   
 

Multi-Cap Market Neutral Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
   
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities ##
               $ 576,744          $         —           $         —           $ 576,744   
Liabilities in Securities Sold Short ##
               $ 491,931          $ —           $ —           $ 491,931   
 

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   81


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)

Value Advantage Fund
  
 Level 1
Quoted prices
   
 Level 2
Other significant
observable inputs
   
 Level 3
Significant
unobservable inputs
   
 Total
Total Investments in Securities #
               $ 484,333          $ 4,147          $         —           $ 488,480   
 

#
   Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the Schedule of Portfolio Investments (“SOI”). Level 2 consists of an ADR. Please refer to the SOI for industry specifics of the portfolio holdings.

##
   All portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings.

There were no significant transfers between Levels 1 and 2 during the year ended June 30, 2010.

B.  Short Sales — The Multi-Cap Market Neutral Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own, in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund must purchase the same securities at the current market price and deliver them to the broker.

The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the Schedules of Portfolio Investments. 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 in the market value of the short position and cash collateral deposited with the broker. The net income or fee amount is included as interest income or interest expense on securities sold short, respectively, in the Statements of Operations.

The Fund is obligated to pay the broker dividends declared on short positions when a position is open on record date. Dividends on short positions are recorded on the Statements of Operations as dividend expense on ex-dividend date.

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 unrealized gain or loss on the Statements of Operations. Short sale transactions may result in unlimited losses as the short position loses value and the securities’ price increases. 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 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 security declines between those dates.

As of June 30, 2010, the Fund had outstanding short sales as listed on its Schedule of Portfolio Investments.

C.  Securities Lending — Each Fund (except Multi-Cap Market Neutral Fund and Value Advantage Fund) may lend securities to brokers approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Growth Advantage Fund and Mid Cap Equity Fund. JPMorgan Chase Bank, N.A. (“JPMCB”) serves as lending agent for Mid Cap Growth Fund and Mid Cap Value Fund. Securities loaned are collateralized by cash, which is invested Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.

Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. 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.

For the year ended June 30, 2010, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
  
Growth Advantage Fund
               $ 274    
Mid Cap Equity Fund
                  101    
Mid Cap Growth Fund
                  41    
Mid Cap Value Fund
                  224    
 

Under the securities lending agreement with GS Bank, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The securities lending agreement with GS Bank requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less

82   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




than 102% of the value of loaned securities. Under the securities lending agreement with JPMCB, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The securities lending agreement with JPMCB requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.

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 in the Schedules of Portfolio Investments. At June 30, 2010, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
  
 Value of
Securities
on Loan
   
 Cash Collateral
Posted by Borrower
   
 Total Value of
Collateral
Investments
Growth Advantage Fund
               $ 165,050          $ 170,889          $ 170,889   
Mid Cap Equity Fund
                  80,741             83,284             83,284   
Mid Cap Growth Fund
                  42,802             44,629             46,515 *  
Mid Cap Value Fund
                  83,148             85,595             85,595   
 

*
   Differences in the Cash Collateral posted by Borrower and the Total Value of Collateral Investments are attributable to certain cash collateral being posted by or remitted to borrowers after the collateral had been invested in the Prime Money Market Fund on June 30, 2010.

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 decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.

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, GS Bank and JPMCB each have agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM and JPMorgan Investment Advisors Inc., previous advisor to certain Funds (collectively the “Advisors”) waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands).
  
Growth Advantage Fund
               $ 144    
Mid Cap Equity Fund
                  55    
Mid Cap Growth Fund
                  24    
Mid Cap Value Fund
                  110    
 

These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.

Under the Securities Lending Agreement, JPMCB is entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.

The Funds incurred lending agent fees to JPMCB as follows for the year ended June 30, 2010 (amounts in thousands):
  
 Lending
Agent Fees
Incurred
Mid Cap Growth Fund
               $ 13    
Mid Cap Value Fund
                  42    
 

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 adjusted for amortization of premiums and accretion of discounts. Dividend income and expense on securities sold short less foreign taxes withheld, if any, are recorded on the ex-dividend date or when the Funds first learn of the dividend.

The Funds record distributions received in excess of income 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

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   83


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)


differ from the estimated amounts. The Funds adjust the estimated amounts of 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 — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

F.  Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ 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.  Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid annually, except for the Mid Cap Equity, Mid Cap Growth and Multi-Cap Market Neutral Funds, which are declared and paid quarterly. Dividends 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 at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):
  
 Paid-in-Capital
   
 Accumulated
Undistributed/
(Overdistributed)
Net Investment
Income
   
 Accumulated
Net Realized
Gain (Loss) on
Investments
Growth Advantage Fund
               $ (30,138 )         $ 1,454          $ 28,684   
Mid Cap Equity Fund
                  —              (164 )            164    
Mid Cap Growth Fund
                  (6,373 )            5,737             636    
Mid Cap Value Fund
                  (7,919 )            (2,358 )            10,277   
Multi-Cap Market Neutral Fund
                  (9,406 )            9,581             (175 )  
Value Advantage Fund
                  —              (1,963 )            1,963   
 

The reclassifications for the Funds relate primarily to expiration of capital loss carryforward (Growth Advantage Fund), investments in partnerships (Mid Cap Equity Fund and Value Advantage Fund), non-taxable special dividends (Mid Cap Equity Fund and Mid Cap Value Fund), redemption in-kinds (Mid Cap Value Fund) and net operating loss (Mid Cap Growth Fund and Multi-Cap Market Neutral Fund).

3. Fees and Other Transactions with Affiliates

A.  Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
  
Growth Advantage Fund
                  0.65 %  
Mid Cap Equity Fund
                  0.65   
Mid Cap Growth Fund
                  0.65   
Mid Cap Value Fund
                  0.65   
Multi-Cap Market Neutral Fund
                  1.25   
Value Advantage Fund
                  0.65   
 

Prior to January 1, 2010, JPMorgan Investment Advisors Inc. (“JPMIA”), which was an indirect, wholly-owned subsidiary of JPMorgan, acted as the investment advisor to the Mid Cap Growth Fund and Multi-Cap Market Neutral Fund. Effective January 1, 2010, the investment advisory business of JPMIA was transferred to JPMIM and JPMIM became the investment advisor for the Mid Cap Growth Fund and Multi-Cap Market Neutral Fund,

84   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010




assuming all rights and responsibilities of JPMIA with respect to the Funds under the Investment Advisory Agreement. The appointment of JPMIM did not change the portfolio management team, investment strategies, investment advisory fees charged to the Mid Cap Growth Fund and Multi-Cap Market Neutral Fund or the terms of the Investment Advisory Agreement (other than the identity of the advisor).

The Advisors waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B.  Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2010, the annual effective rate was 0.10% of average daily net assets for Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund, Multi-Cap Market Neutral Fund and Value Advantage Fund and 0.09% of average daily net assets for Mid Cap Equity Fund.

The Administrator waived Administration fees as outlined in Note 3.F.

J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.

C.  Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
  
 Class A
   
 Class B
   
 Class C
   
 Class R2
Growth Advantage Fund
                  0.25 %            0.75 %            0.75 %            n/a    
Mid Cap Equity Fund
                  0.25             n/a              0.75             n/a    
Mid Cap Growth Fund
                  0.25             0.75             0.75             0.50 %  
Mid Cap Value Fund
                  0.25             0.75             0.75             0.50   
Multi-Cap Market Neutral Fund
                  0.25             0.75             0.75             n/a    
Value Advantage Fund
                  0.25             n/a              0.75             n/a    
 

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2010, the Distributor retained the following amounts (in thousands):
  
 Front-End
Sales Charge
   
 CDSC
Growth Advantage Fund
               $ 49           $ 13    
Mid Cap Equity Fund
                  1              — (a)  
Mid Cap Growth Fund
                  21              45    
Mid Cap Value Fund
                  65              157    
Multi-Cap Market Neutral Fund
                  6              26    
Value Advantage Fund
                  35              13    
 

(a)
   Amount rounds to less than $1,000.

D.  Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
  
 Class A
   
 Class B
   
 Class C
   
 Class R2
   
 Class R5
   
 Institutional Class
   
 Select Class
Growth Advantage Fund
                  0.25 %            0.25 %            0.25 %            n/a              0.05 %            n/a              0.25 %  
Mid Cap Equity Fund
                  0.25             n/a              0.25             n/a              n/a              n/a              0.25   
Mid Cap Growth Fund
                  0.25             0.25             0.25             0.25 %            n/a              n/a              0.25   
Mid Cap Value Fund
                  0.25             0.25             0.25             0.25             n/a              0.10 %            0.25   
Multi-Cap Market Neutral Fund
                  0.25             0.25             0.25             n/a              n/a              n/a              0.25   
Value Advantage Fund
                  0.25             n/a              0.25             n/a              n/a              0.10             0.25   
 

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   85


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.

E.  Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F.  Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
  
 Class A
   
 Class B
   
 Class C
   
 Class R2
   
 Class R5
   
 Institutional Class
   
 Select Class
Growth Advantage Fund
                  1.35 %            2.05 %            2.05 %            n/a              0.90 %            n/a              1.10 %  
Mid Cap Equity Fund
                  1.25             n/a              1.75             n/a              n/a              n/a              1.00   
Mid Cap Growth Fund
                  1.24             1.77             1.77             1.40 %            n/a              n/a              0.93   
Mid Cap Value Fund
                  1.24             1.75             1.75             1.50             n/a              0.75 %            0.99   
Multi-Cap Market Neutral Fund
                  1.75             2.50             2.50             n/a              n/a              n/a              1.50   
Value Advantage Fund
                  1.25             n/a              1.75             n/a              n/a              0.75             1.00   
 

The contractual expense limitation agreements were in effect for the year ended June 30, 2010. The contractual expense limitation percentages in the table above are in place until at least October 31, 2010. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2010. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.

For the year ended June 30, 2010, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.

        Contractual Waivers
    
  
 Investment
Advisory
   
 Administration
   
 Shareholder
Servicing
   
 Total
Mid Cap Equity Fund
               $ —           $ 38           $ 736           $ 774    
Mid Cap Growth Fund
                  18              350              2,501             2,869   
Mid Cap Value Fund
                  4,763             2,749             2,120             9,632   
Multi-Cap Market Neutral Fund
                  2              —              1,069             1,071   
Value Advantage Fund
                  256              328              115              699    
 

        Voluntary Waivers
    
  
 Investment
Advisory
   
 Administration
   
 Shareholder
Servicing
   
 Total
Mid Cap Equity Fund
               $ —           $ 40           $ 132           $ 172    
Multi-Cap Market Neutral Fund
                  885              299              346              1,530   
 

Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisors, Administrator and the Distributor as shareholder servicing agent waive an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.

The amounts of waivers resulting from investments in the money market funds for the year ended June 30, 2010 were as follows (excluding the waiver disclosed in Note 2.C. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
  
Growth Advantage Fund
               $ 25    
Mid Cap Equity Fund
                  21    
Mid Cap Growth Fund
                  23    
Mid Cap Value Fund
                  245    
Multi-Cap Market Neutral Fund
                  62    
Value Advantage Fund
                  27    
 

86   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



G.  Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended June 30, 2010, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with Advisors.

The Funds may use related party broker/dealers. For the year ended June 30, 2010, the Funds did not incur any brokerage commissions with brokers/dealers affiliated with the Advisors.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.

4. Investment Transactions

During the year ended June 30, 2010, 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)
   
 Securities
Sold Short
   
 Covers on
Securities
Sold Short
Growth Advantage Fund
               $ 929,737          $ 768,366          $ —           $ —    
Mid Cap Equity Fund
                  399,529             185,702             —              —    
Mid Cap Growth Fund
                  1,088,841             1,253,467             —              —    
Mid Cap Value Fund
                  1,659,454             1,655,241             —              —    
Multi-Cap Market Neutral Fund
                  838,950             1,053,459             940,173             1,168,002   
Value Advantage Fund
                  250,805             189,327             —              —    
 

During the year ended June 30, 2010, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2010, were as follows (amounts in thousands):
  
 Aggregate
Cost
   
 Gross
Unrealized
Appreciation
   
 Gross
Unrealized
Depreciation
   
 Net Unrealized
Appreciation
(Depreciation)
Growth Advantage Fund
               $ 917,093          $ 89,357          $ 36,059          $ 53,298   
Mid Cap Equity Fund
                  522,171             38,761             24,111             14,650   
Mid Cap Growth Fund
                  1,208,273             197,373             83,207             114,166   
Mid Cap Value Fund
                  5,060,585             636,437             443,903             192,534   
Multi-Cap Market Neutral Fund
                  573,052             42,742             39,050             3,692   
Value Advantage Fund
                  459,211             50,453             21,184             29,269   
 

For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and outstanding partnership basis (Value Advantage Fund).

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   87


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)

The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):

        Total Distributions Paid From:
    
  
 Ordinary Income
   
 Net Long Term
Capital Gains
   
 Total
Distributions
Paid
Mid Cap Equity Fund
               $   1,930          $       —           $   1,930   
Mid Cap Value Fund
                  1,948             —              1,948   
Value Advantage Fund
                  5,629             —              5,629   
 

The tax character of distributions paid during the fiscal year ended June 30, 2009 was as follows (amounts in thousands):

        Total Distributions Paid From:
    
  
 Ordinary Income
   
 Net Long Term
Capital Gains
   
 Total
Distributions
Paid
Mid Cap Equity Fund
               $ 1,590          $ 10,014          $ 11,604   
Mid Cap Growth Fund
                  —              15,786             15,786   
Mid Cap Value Fund
                  102,330             168,318             270,648   
Value Advantage Fund
                  4,240             1,797             6,037   
 

At June 30, 2010, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):

  
 Current
Distributable
Ordinary Income
   
 Current Distributable
Long Term Capital
Gain or (Tax Basis
Capital Loss Carryover)
   
 Unrealized
Appreciation
(Depreciation)
Growth Advantage Fund
               $ —           $ (126,922 )         $ 53,298   
Mid Cap Equity Fund
                  307              (32,940 )            14,650   
Mid Cap Growth Fund
                  —              (209,110 )            114,166   
Mid Cap Value Fund
                  60,161             (583,577 )            192,534   
Multi-Cap Market Neutral Fund
                  —              (100,670 )            43,900   
Value Advantage Fund
                  5,355             (78,283 )            29,269   
 

For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation (Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund), post-October loss deferrals (Growth Advantage Fund, Mid Cap Value Fund and Value Advantage Fund), distributions payable (Mid Cap Equity Fund), investments in partnerships (Value Advantage Fund), loss deferrals on unsettled short sales (Multi-Cap Market Neutral Fund) and wash sale loss deferrals.

As of June 30, 2010, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

 
  
 2011
   
 2015
   
 2016
   
 2017
   
 2018
   
 Total
Growth Advantage
               $ 2,527          $ —           $ —           $ 70,387          $ 54,008          $ 126,922   
Mid Cap Equity Fund
                  —              —              —              5,149             27,791             32,940   
Mid Cap Growth Fund
                  —              —              47,301             39,210             122,599             209,110 *  
Mid Cap Value Fund
                  —              —              —              47,014             536,563             583,577 *  
Multi-Cap Market Neutral Fund
                  —              3,635             97,035             —              —              100,670   
Value Advantage Fund
                  —              —              —              14,925             63,358             78,283   
 

*
   Amounts include capital loss carryforwards from business combinations, which may be limited in future years under Internal Revenue Code Sections 381-384.

During the year ended June 30, 2010, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
  
Multi-Cap Market Neutral Fund
               $ 262    
 

During the year ended June 30, 2010, the following Funds had capital loss carryforwards expire (amounts in thousands):
  
Growth Advantage Fund
               $ 28,364   
 

88   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



Net capital and currency 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, 2010, the Funds deferred to July 1, 2010 post-October capital and currency losses of (amounts in thousands):
  
 Capital
Losses
   
 Currency
Losses
Growth Advantage Fund
               $ —           $ 3    
Mid Cap Equity Fund
                  —              1    
Mid Cap Growth Fund
                  —              5    
Mid Cap Value Fund
                  8,044             —    
Value Advantage Fund
                  2,967             —    
 

6. Borrowings

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 16, 2010.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2010, or at any time during the year then ended.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Growth Advantage Fund, Mid Cap Equity Fund and Mid Cap Growth Fund.

In addition, the JPMorgan SmartRetirement Funds and J.P. Morgan Investor Funds, which are affiliated funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:
  
 J.P. Morgan
Investor Funds
   
 JPMorgan
SmartRetirement
Fund
Multi-Cap Market Neutral Fund
                  66.3 %            — %   
Value Advantage Fund
                  —              15.9   
 

Significant shareholder transactions, if any, may impact the Fund’s performance.

As of June 30, 2010, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Credit Suisse Group, who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.

8. Legal Matters

Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (JPMIA), entered into agreements with the SEC and the New York Attorney General (“NYAG”) in resolution of investigations conducted by the SEC and the NYAG into market timing of certain mutual funds advised by BOIA which were series of One Group Mutual Funds, possible late trading of certain of these funds and related matters. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   89


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)

In its settlement with the SEC, BOIA consented to the entry of an order by the SEC (the “SEC Order”) instituting and settling administrative and cease and desist proceedings against it. Under the terms of the SEC Order and the NYAG settlement agreement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which was distributed to certain current and former shareholders of certain funds. Pursuant to the settlement agreement with the NYAG, BOIA reduced its management fee for certain mutual funds which were series of One Group Mutual Funds (now known as JPM II) in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.

In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland for coordinated or consolidated pretrial proceedings by the orders of the Judicial Panel on Multidistrict Litigation, a federal judicial body that assists in the administration of such actions. The plaintiffs filed consolidated amended complaints, naming as defendants, among others, BOIA, Bank One Corporation and JPMorgan (the former and current corporate parent of BOIA), the Distributor, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees of One Group Mutual Funds. These complaints alleged, among other things, that various defendants (i) violated various antifraud and other provisions of federal securities laws, (ii) breached their fiduciary duties, (iii) unjustly enriched themselves, (iv) breached fund-related contracts, and (v) conspired to commit unlawful acts.

As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates have also been dismissed, and a settlement in principle has been reached for the purpose of resolving all remaining claims in the litigation in Maryland. On May 20, 2010, the court granted preliminary approval of the settlement and ordered that notice be provided to certain designated shareholders. The settlement is subject to court approval.

The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.

As noted above, the settlement agreement with the NYAG requires BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement requires that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates are referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.

9. Business Combinations

On February 18, 2009, the Boards of Trustees of JPM I and JPM II approved management’s proposal to merge JPMorgan Capital Growth Fund (the “Capital Growth Fund” or “JPM I Target Fund”) into Mid Cap Growth Fund (the “JPM II Acquiring Fund”) and the Boards of Trustees of JPM II and JPMFMFG approved management’s proposal to merge JPMorgan Diversified Mid Cap Value Fund (“Diversified Mid Cap Value Fund” or “JPM II Target Fund”) into Mid Cap Value Fund (“JPMFMFG Acquiring Fund). The Agreement and Plan of Reorganization with respect to the Capital Growth Fund was approved by Capital Growth Fund’s shareholders at a special meeting of shareholders held on June 15, 2009. The Agreement and Plan of Reorganization with respect to the Diversified Mid Cap Value Fund was approved by Diversified Mid Cap Value Fund’s shareholders at a special meeting of shareholders held on June 22, 2009.

The reorganizations were effective after the close of business on June 26, 2009. Each Acquiring Fund acquired all of the assets and liabilities of the corresponding Target Fund as shown in the table below. Each merger transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreements and Plans of Reorganization, Class A, Class B, Class C, Select Class and Class R2 shareholders of Capital Growth Fund received a number of shares of the corresponding class in the Mid Cap Growth Fund with a value equal to their holdings in the Capital Growth Fund as of the close of business on the date of the reorganization. Class A, Class B, Class C and Select Class shareholders of Diversified Mid Cap Value Fund received a number of shares of the Class A, Class B, Class C and Select Class, respectively, in the Mid Cap Value Fund with a value equal to their holdings in the Diversified Mid Cap Value Fund as of the close of business on the date of the reorganization.

90   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganizations (amounts in thousands, except per share amounts):
  
 Shares
Outstanding
   
 Net Assets
   
 Net Asset
Value Per
Share
   
 Net Unrealized
Appreciation
(Depreciation)
Target Fund
                                                                        
Capital Growth Fund
                                                            $ 15,500   
Class A
                  10,926          $ 290,993          $ 26.6330                   
Class B
                  307              7,214             23.4989                   
Class C
                  538              12,398             23.0386                   
Select Class
                  11,808             339,484             28.7501                   
Class R2
                  2              53              26.6112                   
Acquiring Fund
                                                                       
Mid Cap Growth Fund
                                                            $ 1,104   
Class A
                  16,679          $ 227,388          $ 13.6328                   
Class B
                  2,096             22,654             10.8089                   
Class C
                  1,064             13,135             12.3447                   
Select Class
                  19,916             289,090             14.5151                   
Class R2
                  2              30              14.5122                   
Post Reorganization
                                                                       
Mid Cap Growth Fund
                                                            $ 16,604   
Class A
                  38,025          $ 518,381          $ 13.6328                   
Class B
                  2,763             29,868             10.8089                   
Class C
                  2,068             25,533             12.3447                   
Select Class
                  43,305             628,574             14.5151                   
Class R2
                  6              83              14.5122                   
Target Fund
                                                                       
Diversified Mid Cap Value Fund
                                                               ($24,252 )  
Class A
                  14,037          $ 81,146          $ 5.7808                   
Class B
                  2,603             13,609             5.2288                   
Class C
                  1,363             7,123             5.2240                   
Select Class
                  10,088             57,919             5.7415                   
Acquiring Fund
                                                                       
Mid Cap Value Fund
                                                               ($589,616 )  
Class A
                  99,682          $ 1,508,856          $ 15.1367                   
Class B
                  6,351             93,975             14.7964                   
Class C
                  19,630             291,256             14.8376                   
Select Class
                  46,134             702,849             15.2351                   
Institutional Class
                  92,900             1,424,196             15.3304                   
Class R2
                  20              292              14.9562                   
Post Reorganization
                                                                       
Mid Cap Value Fund
                                                               ($713,868 )  
Class A
                  105,043          $ 1,590,002          $ 15.1367                   
Class B
                  7,271             107,584             14.7964                   
Class C
                  20,110             298,379             14.8376                   
Select Class
                  49,935             760,768             15.2351                   
Institutional Class
                  92,900             1,424,196             15.3304                   
Class R2
                  20              292              14.9562                   
 

Expenses related to the reorganizations were incurred by the Target funds. The Advisors, Administrator and Distributor voluntarily waived their fees and/or reimbursed expenses in an amount equal to the reorganization expenses, except for brokerage fees and expenses related to the disposition and acquisition of assets in connection with the reorganizations.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   91


NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2010 (continued)

10. Transfers-In-Kind

Pursuant to procedures approved by the Board of Trustees, on May 24, 2010, certain shareholders of the Mid Cap Value Fund redeemed Institutional Class Shares and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities.
  
 Value (000’s)
   
 Realized
Gains/(Losses)
(000’s)
   
 Type
Institutional Class
               $ 47,173          $ (7,817 )            Redemption-In-Kind    
 

11. Subsequent Event

Subsequent to June 30, 2010 and through August 24, 2010, certain shareholders of the Mid Cap Equity Fund redeemed their Select Shares and the Mid Cap Equity Fund paid the redemptions primarily with the proceeds resulting from disposing of portfolio securities. The proceeds from these redemptions amounted to approximately 32% of the net assets at June 30, 2010 of the Mid Cap Equity Fund.

92   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of JPMorgan Mutual Fund Investment Trust, JPMorgan Fleming Mutual Fund Group, Inc., JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund, JPMorgan Multi-Cap Market Neutral Fund and JPMorgan Value Advantage Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund, JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund (each a separate fund of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate fund of JPMorgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate fund of JPMorgan Fleming Mutual Fund Group, Inc.) (hereafter collectively referred to as the “Funds”) at June 30, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
August 26, 2010

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   93


TRUSTEES
(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth);
Positions With
the Funds (1)
  
 Principal Occupations
During Past 5 Years
   
 Number of
Portfolios in Fund
Complex Overseen
by Trustee (2)
   
 Other Directorships Held
Outside Fund Complex
Independent Trustees
William J. Armstrong
(1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987.
            
Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000).
    
135
    
None.
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.
            
Chairman (1985–present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974–present).
    
135
    
Director, Cardinal Health, Inc. (CAH) (1994–present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007–present).
Dr. Matthew Goldstein
(1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.
            
Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999).
    
135
    
Director, New Plan Excel (NXL) (1999–2005); Director, National Financial Partners (NFP) (2003–2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002–present).
Robert J. Higgins
(1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.
            
Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001).
    
135
    
None.
Peter C. Marshall
(1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.
            
Self-employed business consultant (2000–2008); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000).
    
135
    
Director, Center for Deaf and Hard of Hearing (1990–present).
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.
            
Vice President of Administration and Planning, Northwestern University (1985–present).
    
135
    
Trustee, Carleton College (2003–present).
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.
            
Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001).
    
135
    
Director, Radio Shack Corp. (1987–2008); Trustee, Stratton Mountain School (2001–present).

94   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010



Name (Year of Birth);
Positions With
the Funds (1)
  
 Principal Occupations
During Past 5 Years
   
 Number of
Portfolios in Fund
Complex Overseen
by Trustee (2)
   
 Other Directorships Held
Outside Fund Complex
Independent Trustees (continued)
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.
            
President, Carleton College (2002–present); President, Kenyon College (1995–2002).
    
135
    
Trustee, American University in Cairo (1999–present); Trustee, Carleton College (2002–present).
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.
            
Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002).
    
135
    
Trustee, Morgan Stanley Funds (165 portfolios) (1992–present).
Frederick W. Ruebeck
(1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.
            
Consultant (2000–present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000–2009); Chief Investment Officer, Wabash College (2004–present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988–1999).
    
135
    
Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present).
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.
            
Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998).
    
135
    
None.
Interested Trustees
Frankie D. Hughes** (1952), Trustee of Trust since 2008.
            
Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993–present).
    
135
    
Trustee, The Victory Portfolios (2000–2008).
Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998.
            
Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998).
    
135
    
Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catharine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Catholic Education Foundation (2005–present).
 

(1)
   Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012.

(2)
   A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (135 funds).

*
   Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley, Head of Corporate Responsibility for JPMorgan Chase & Co., has served as a member of the Board of Trustees of Northwestern University since 2005. The Funds’ investment advisor is a wholly-owned subsidiary of JPMorgan Chase.

**
   Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc.

***
   Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock.

The contact address for each of the Trustees is 245 Park Avenue, New York, NY 10167.

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   95


OFFICERS
(Unaudited)

Name (Year of Birth),
Positions Held with
the Trust (Since)
  
 Principal Occupations During Past 5 Years
George C.W. Gatch (1962), President (2005)
            
Managing Director, J.P. Morgan Investment Management Inc.; CEO of the Investment Management Americas business of J.P. Morgan Asset Management since 2010; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the J.P. Morgan Funds. Mr. Gatch has been an employee of J.P. Morgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales.
Robert L. Young (1963),
Senior Vice President (2005)*
            
Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, J.P. Morgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005.
Patricia A. Maleski (1960),
Vice President and Chief Administrative Officer (2005), Treasurer and Principal Financial Officer (2008)
            
Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, J.P. Morgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.
Frank J. Nasta (1964),
Secretary (2008)
            
Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)
            
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Paul L. Gulinello (1950),
AML Compliance Officer (2005)
            
Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004.
Michael J. Tansley (1964), Controller (2008)
            
Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998.
Elizabeth A. Davin (1964),
Assistant Secretary (2005)*
            
Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
            
Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
            
Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005.
Gregory S. Samuels (1980)
Assistant Secretary (2010)
            
Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.
Brian L. Duncan (1965),
Assistant Treasurer (2008)*
            
Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003–2004.
Joy C. Dowd (1972),
Assistant Treasurer (2009)
            
Vice President, JPMorgan Funds Management, Inc. since December 2008; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005.
Jeffrey D. House (1972),
Assistant Treasurer (2006)*
            
Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006.
Laura S. Melman (1966), Assistant Treasurer (2006)
            
Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006.
Francesco Tango (1971),
Assistant Treasurer (2007)
            
Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999.
 

The contact address for each of the officers, unless otherwise noted, is 245 Park Avenue, New York, NY 10167.

  * 
   The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.



96   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)

Hypothetical $1,000

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2010, and continued to hold your shares at the end of the reporting period, June 30, 2010.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
  
 Beginning
Account Value,
January 1, 2010
   
 Ending
Account Value,
June 30, 2010
   
 Expenses
Paid During
January 1, 2010 to
June 30, 2010*
   
 Annualized
Expense Ratio
Growth Advantage Fund
                                                                       
Class A
                                                                        
Actual
               $ 1,000.00          $ 938.90          $ 6.30             1.31 %  
Hypothetical
                  1,000.00             1,018.30             6.56             1.31   
Class B
                                                                        
Actual
                  1,000.00             937.60             8.70             1.81   
Hypothetical
                  1,000.00             1,015.82             9.05             1.81   
Class C
                                                                        
Actual
                  1,000.00             936.20             8.69             1.81   
Hypothetical
                  1,000.00             1,015.82             9.05             1.81   
Class R5
                                                                        
Actual
                  1,000.00             942.30             4.14             0.86   
Hypothetical
                  1,000.00             1,020.53             4.31             0.86   
Select Class
                                                                        
Actual
                  1,000.00             939.50             5.10             1.06   
Hypothetical
                  1,000.00             1,019.54             5.31             1.06   

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   97


SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)

Hypothetical $1,000
  
 Beginning
Account Value,
January 1, 2010
   
 Ending
Account Value,
June 30, 2010
   
 Expenses
Paid During
January 1, 2010 to
June 30, 2010*
   
 Annualized
Expense Ratio
Mid Cap Equity Fund
                                                                       
Class A
                                                                        
Actual
               $ 1,000.00          $ 973.10          $ 6.07             1.24 %  
Hypothetical
                  1,000.00             1,018.65             6.21             1.24   
Class C
                                                                        
Actual
                  1,000.00             970.40             8.50             1.74   
Hypothetical
                  1,000.00             1,016.17             8.70             1.74   
Select Class
                                                                        
Actual
                  1,000.00             974.70             4.36             0.89   
Hypothetical
                  1,000.00             1,020.38             4.46             0.89   
 
Mid Cap Growth Fund
                                                                       
Class A
                                                                        
Actual
                  1,000.00             951.70             6.00             1.24   
Hypothetical
                  1,000.00             1,018.65             6.21             1.24   
Class B
                                                                        
Actual
                  1,000.00             949.90             8.56             1.77   
Hypothetical
                  1,000.00             1,016.02             8.85             1.77   
Class C
                                                                        
Actual
                  1,000.00             949.70             8.56             1.77   
Hypothetical
                  1,000.00             1,016.02             8.85             1.77   
Class R2
                                                                        
Actual
                  1,000.00             950.80             6.77             1.40   
Hypothetical
                  1,000.00             1,017.85             7.00             1.40   
Select Class
                                                                        
Actual
                  1,000.00             953.60             4.50             0.93   
Hypothetical
                  1,000.00             1,020.18             4.66             0.93   
 
Mid Cap Value Fund
                                                                       
Class A
                                                                        
Actual
                  1,000.00             995.80             6.14             1.24   
Hypothetical
                  1,000.00             1,018.65             6.21             1.24   
Class B
                                                                        
Actual
                  1,000.00             993.00             8.65             1.75   
Hypothetical
                  1,000.00             1,016.12             8.75             1.75   
Class C
                                                                        
Actual
                  1,000.00             993.50             8.65             1.75   
Hypothetical
                  1,000.00             1,016.12             8.75             1.75   
Class R2
                                                                        
Actual
                  1,000.00             994.70             7.37             1.49   
Hypothetical
                  1,000.00             1,017.41             7.45             1.49   
Institutional Class
                                                                        
Actual
                  1,000.00             997.90             3.67             0.74   
Hypothetical
                  1,000.00             1,012.12             3.71             0.74   
Select Class
                                                                        
Actual
                  1,000.00             996.90             4.85             0.98   
Hypothetical
                  1,000.00             1,019.93             4.91             0.98   

98   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010
  
 Beginning
Account Value,
January 1, 2010
   
 Ending
Account Value,
June 30, 2010
   
 Expenses
Paid During
January 1, 2010 to
June 30, 2010*
   
 Annualized
Expense Ratio
Multi-Cap Market Neutral Fund
                                                                       
Class A
                                                                        
Actual
               $ 1,000.00          $ 967.10          $ 14.05             2.88 %  
Hypothetical
                  1,000.00             1,010.51             14.36             2.88   
Class B
                                                                        
Actual
                  1,000.00             963.30             17.62             3.62   
Hypothetical
                  1,000.00             1,006.84             18.01             3.62   
Class C
                                                                        
Actual
                  1,000.00             964.30             17.63             3.62   
Hypothetical
                  1,000.00             1,006.84             18.01             3.62   
Select Class
                                                                        
Actual
                  1,000.00             968.30             12.84             2.63   
Hypothetical
                  1,000.00             1,011.75             13.12             2.63   
 
Value Advantage Fund
                                                                       
Class A
                                                                        
Actual
                  1,000.00             996.10             6.14             1.24   
Hypothetical
                  1,000.00             1,018.65             6.21             1.24   
Class C
                                                                        
Actual
                  1,000.00             993.50             8.60             1.74   
Hypothetical
                  1,000.00             1,016.17             8.70             1.74   
Institutional Class
                                                                        
Actual
                  1,000.00             998.70             3.67             0.74   
Hypothetical
                  1,000.00             1,021.12             3.71             0.74   
Select Class
                                                                        
Actual
                  1,000.00             998.00             4.90             0.99   
Hypothetical
                  1,000.00             1,019.89             4.96             0.99   
 

*
   Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period).

JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   99


TAX LETTER
(Unaudited)

    

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2010. 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, 2010. The information necessary to complete your income tax returns for the calendar year ending December 31, 2010 will be received under separate cover.

Dividends Received Deductions (DRD)

The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2010:
  
 Dividends
Received
Deduction
Mid Cap Equity Fund
                  100.00 %  
Mid Cap Value Fund
                  100.00   
Value Advantage Fund
                  97.96   
 

Qualified Dividend Income (QDI)

For the fiscal year ended June 30, 2010, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
  
 Qualified
Dividend
Income
Mid Cap Equity Fund
               $ 1,930   
Mid Cap Value Fund
                  1,948   
Value Advantage Fund
                  5,629   
 

100   J.P. MORGAN MID CAP/MULTI-CAP FUNDS        JUNE 30, 2010


PRIVACY POLICY
(Unaudited)

Respecting and protecting customer privacy is vital to J.P. Morgan Funds and JPMorgan Distribution Services, Inc. (JPMDS). This Policy explains what J.P. Morgan Funds does to keep our customer information private and secure.

Q. Who is covered by the Privacy Policy?

A. This Privacy Policy applies to consumers who are customers or former customers of J.P. Morgan Funds through record ownership of Fund shares. Our Privacy Policy is provided to customers when they open a new account. We also send it to current customers yearly. We may change our Policy. We will send you a new privacy policy if we broaden our information sharing practices about you.

Q. What information do you have about me?

A. To provide services and to help meet your needs, we collect information about you from various sources.

•
   We get information from you on applications or other forms, on our website, or through other means.

  We get information from transactions, correspondence, or other communications with us.

Q. How do you safeguard information about me?

A. We take a number of steps to protect the privacy of information about you. Here are some examples:

•
   We keep information under physical, electronic and procedural controls that comply with or exceed governmental standards.

•
   We authorize our employees, agents and contractors to get information about you only when they need it to do their work for us.

•
   We require companies working for us to protect information. They agree to use it only to provide the services we ask them to perform for us.

Q. Is information about me shared with others?

A. No, we do not share personally identifiable information about you except as noted below.

Q. Is information about me shared with service providers and other financial companies?

A. Yes, as permitted by law. We may share information about you with outside companies that work for us. These may include firms that help us maintain and service accounts. For instance, we will share information with the transfer agent for J.P. Morgan Funds. The transfer agent needs this information to process your purchase, redemption and exchange transactions and to update your account. We may also share information about you with outside financial companies that have joint marketing agreements with us. However, we only provide information about you to that broker-dealer or financial intermediary from whom you purchased your Fund shares or who currently services your Fund account.

Q. Is information about me shared in any other ways?

A. Yes. We may also share information about you in other ways, as required or permitted by law. Here are some examples of ways that we share information.

•
   To protect against fraud.

•
   To protect against practices that may harm J.P. Morgan Funds or its shareholders.

•
   To respond to a subpoena.

  With regulatory authorities and law enforcement officials who have jurisdiction over us.

•
   To service your account.

•
   With your consent.

JPMORGAN DISTRIBUTION SERVICES, INC. — (JPMDS)

In general, JPMDS, as distributor for J.P. Morgan Funds, does not independently collect or retain nonpublic personal financial information relating to any past, present or prospective shareholders of the Funds. From time to time, the Funds or companies that provide services to the Funds may provide to JPMDS nonpublic personal financial information relating to shareholders or prospective shareholders as necessary for JPMDS to perform services for the Funds. In such circumstances, JPMDS adheres to the regulatory limitations on the use or disclosure of that information and its own obligations to the Funds to protect the security and confidentiality of the information.

SPECIAL NOTICE FOR CALIFORNIA RESIDENTS.

In order to comply with California law, if your account has a California mailing address, we will not share information about you with third parties unless we first provide you with further privacy choices or unless otherwise permitted by law such as servicing your account.

SPECIAL NOTICE FOR VERMONT RESIDENTS.

In order to comply with Vermont law, if we disclose information about you to other financial institutions with which we have joint marketing agreements, we will only disclose your name, contact information and information about your transactions.

THE J.P. MORGAN FUNDS PRIVACY COMMITMENT.

J.P. Morgan Funds are committed to protecting the privacy of our customers, but we understand that the best protection requires a partnership with you. We encourage you to find out how you can take steps to further protect your own privacy by visiting us online at www.jpmorganfunds.com.

Effective March 25, 2008


JUNE 30, 2010        J.P. MORGAN MID CAP/MULTI-CAP FUNDS   101


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


THIS PAGE IS INTENTIONALLY LEFT BLANK


J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and 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 Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.






 
  



© JPMorgan Chase & Co., 2010    All rights reserved. June 2010.         AN-MC-610
 

 

ITEM 2. CODE OF ETHICS.

 

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

 

 

(i) Has at least one audit committee financial expert serving on its audit committee; or

 

(ii) Does not have an audit committee financial expert serving on its audit committee.

 

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

 

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

 

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

 

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

 

The audit committee financial expert is William Armstrong. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

 

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

 

Not applicable.

 

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

 

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

 

AUDIT FEES

2010 – $30,500

 

2009 – $30,900*

 

* Audit fees reported in 2009 Form N-CSR filing also included audit-related fees.

 

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

 

AUDIT-RELATED FEES (On a calendar year basis)

 

2010 – $11,800

 

2009 – $11,800

 

The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrant that were reasonably related to the performance of the annual audit of the Registrant's financial statements.

 

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

 

TAX FEES

 

2010 – $8,100

 

2009 – $8,120

 

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2010 and 2009, respectively.

 

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

 

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

 

ALL OTHER FEES

 

2010 – Not applicable

2009 – Not applicable

 

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

 

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of

 

 

Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

 

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

 

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

2010 – 0.0%

2009 – 0.0%

 

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

 

None.

 

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

 

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:

 

 

2009 - $24.7 million

 

2008 - $25.5 million

 

These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.

 

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

 

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

 

 

Not applicable.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

 

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

 

Included in Item 1.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

 

Not applicable.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

Not applicable.

 

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

 

Not applicable.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

 

No material changes to report.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be

 

 

disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

There were no changes in the Registrant's internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

ITEM 12. EXHIBITS.

 

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

 

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

 

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

 

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

 

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

 

Not applicable.

 

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

 

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

 

 

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.

 

J.P. Morgan Fleming Mutual Fund Group, Inc.

 

By:

/s/_____________________________

Patricia A. Maleski

President and Principal Executive Officer

September 3, 2010

 

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/___________________________

Patricia A. Maleski

President and Principal Executive Officer

September 3, 2010

 

By:

/s/____________________________

Joy C. Dowd

Treasurer and Principal Financial Officer

September 3, 2010