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)

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (800) 480-4111

Date of fiscal year end: June 30

Date of reporting period: July 1, 2015 through June 30, 2016

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

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

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, 2016

JPMorgan Growth Advantage Fund

JPMorgan Mid Cap Equity Fund

JPMorgan Mid Cap Growth Fund

JPMorgan Mid Cap Value Fund

JPMorgan Multi-Cap Market Neutral Fund

JPMorgan Value Advantage Fund

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Growth Advantage Fund	3
JPMorgan Mid Cap Equity Fund	5
JPMorgan Mid Cap Growth Fund	7
JPMorgan Mid Cap Value Fund	9
JPMorgan Multi-Cap Market Neutral Fund	11
JPMorgan Value Advantage Fund	14
Schedules of Portfolio Investments	16
Financial Statements	40
Financial Highlights	56
Notes to Financial Statements	68
Report of Independent Registered Public Accounting Firm	79
Trustees	80
Officers	82
Schedule of Shareholder Expenses	83
Tax Letter	86
Privacy Policy — Located at back of this Annual Report

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

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

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.

  “The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.”

Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).

The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.

Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.

Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.

A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.

Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.

Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.

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

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 1

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

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.

In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in recent global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.

2 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*		(5.07)%
Russell 3000 Growth Index		1.88%
Net Assets as of 6/30/2016 (In Thousands)	$	5,963,600

INVESTMENT OBJECTIVE**

The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., SolarCity Corp. and Illumina Inc.

Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of SolarCity, a maker of solar energy systems, declined on lower than expected installations in the fourth quarter of 2015 and the first quarter of 2016. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.

Leading individual contributors to relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Facebook Inc. and Acuity Brands Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in quarterly revenue. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains.

HOW WAS THE FUND POSITIONED?

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

market capitalizations in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Alphabet, Inc., Class C	5.7	%
	2.	Facebook, Inc., Class A	4.3
	3.	Amazon.com, Inc.	3.5
	4.	UnitedHealth Group, Inc.	2.4
	5.	Waste Connections, Inc., (Canada)	2.1
	6.	Mohawk Industries, Inc.	2.1
	7.	Home Depot, Inc. (The)	2.0
	8.	Gilead Sciences, Inc.	1.9
	9.	Bristol-Myers Squibb Co.	1.9
	10.	Acuity Brands, Inc.	1.8

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	34.8	%
Consumer Discretionary	17.5
Health Care	16.9
Industrials	13.2
Financials	6.9
Materials	4.7
Consumer Staples	2.2
Energy	2.0
Short-Term Investment	1.8

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

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

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 3

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	October 29, 1999
With Sales Charge*			(10.04	)%		10.84	%		8.87	%
Without Sales Charge			(5.07	)		12.03			9.46
CLASS C SHARES	May 1, 2006
With CDSC**			(6.55	)		11.49			8.87
Without CDSC			(5.55	)		11.49			8.87
CLASS R5 SHARES	January 8, 2009		(4.72	)		12.47			9.85
CLASS R6 SHARES	December 23, 2013		(4.59	)		12.53			9.88
SELECT CLASS SHARES	May 1, 2006		(4.91	)		12.25			9.69

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

Returns for Class R5 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares from January 8, 2009 to December 23, 2013 and Select Class Shares prior to January 8, 2009. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares and Select Class Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of

expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

4 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(3.81)%
Russell Midcap Index		0.56%
Net Assets as of 6/30/2016 (In Thousands)	$	2,364,349

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., CBRE Group Inc. and Illumina Inc. Shares of Valeant, a drug maker not held in the Benchmark, fell on continued investor concerns about the company’s revenue accounting practices. Shares of CBRE, a commercial real estate and investment company, fell on investor concerns the company’s earnings will be hurt by the U.K.’s exit from the European Union. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.

Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Jack Henry & Associates Inc. and Waste Connections Inc. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Jack Henry & Associates, a provider of data processing to community banks, rose on better than expected quarterly earnings and revenue. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on

company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models deemed capable of achieving, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Mohawk Industries, Inc.	2.1	%
	2.	Fortune Brands Home & Security, Inc.	1.4
	3.	Hilton Worldwide Holdings, Inc.	1.4
	4.	Amphenol Corp., Class A	1.4
	5.	Carlisle Cos., Inc.	1.3
	6.	Electronic Arts, Inc.	1.2
	7.	Dollar General Corp.	1.2
	8.	Waste Connections, Inc., (Canada)	1.2
	9.	Acuity Brands, Inc.	1.1
	10.	EQT Corp.	1.1

PORTFOLIO COMPOSITION BY SECTOR***
Financials	20.1	%
Consumer Discretionary	19.0
Information Technology	17.1
Industrials	13.7
Health Care	9.3
Utilities	5.5
Consumer Staples	4.5
Energy	4.4
Materials	4.2
Short-Term Investment	2.2

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

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

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 5

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	November 2, 2009
With Sales Charge*			(9.18	)%		9.52	%		7.47	%
Without Sales Charge			(4.15	)		10.71			8.05
CLASS C SHARES	November 2, 2009
With CDSC**			(5.64	)		10.15			7.69
Without CDSC			(4.64	)		10.15			7.69
CLASS R2 SHARES	March 14, 2014		(4.40	)		10.58			7.99
CLASS R5 SHARES	March 14, 2014		(3.73	)		11.14			8.33
CLASS R6 SHARES	March 14, 2014		(3.66	)		11.17			8.34
SELECT CLASS SHARES	January 1, 1997		(3.81	)		11.09			8.30

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

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

Returns for Class R2 Shares prior to their inception date are based of Class A Shares from November 2, 2009 to March 13, 2014 and Select Class Shares prior to November 2, 2009. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and Select Class Shares.

Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R5 and Class R6 Shares would have been different because Class R5 and Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, and the Lipper Multi-Cap Growth Funds Index from June 30, 2006 to June 30,

2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the mid cap fund categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

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

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

6 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(10.01)%
Russell Midcap Growth Index		(2.14)%
Net Assets as of 6/30/2016 (In Thousands)	$	2,851,483

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector and the producer durables sector was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., SolarCity Corp. and Illumina Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on continued investor concerns about the company’s revenue accounting practices. Shares of SolarCity, a maker of solar energy systems, declined on lower than expected installations in the fourth quarter of 2015 and the first quarter of 2016. Shares of Illumina, a provider of genetic analysis technology, fell on lower than expected sales in Europe and a reduced earnings forecast.

Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Waste Connections Inc. and Ulta Salon Cosmetics & Fragrance Inc. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd. Shares of Ulta Salon Cosmetics, a beauty products retailer, rose on better than expected quarterly earnings and the company’s forecast for sales growth.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach

to stock selection, researching individual companies in an effort

to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Electronic Arts, Inc.	2.5	%
	2.	Mohawk Industries, Inc.	2.4
	3.	Dollar General Corp.	2.4
	4.	Waste Connections, Inc., (Canada)	2.3
	5.	Acuity Brands, Inc.	2.2
	6.	O’Reilly Automotive, Inc.	1.9
	7.	Fortune Brands Home & Security, Inc.	1.9
	8.	Hilton Worldwide Holdings, Inc.	1.8
	9.	Vantiv, Inc., Class A	1.8
	10.	Harris Corp.	1.8

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	24.4	%
Consumer Discretionary	20.7
Industrials	18.2
Health Care	14.4
Financials	9.6
Materials	4.5
Consumer Staples	3.6
Energy	2.2
Short-Term Investment	2.4

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

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

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 7

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 18, 1992
With Sales Charge*			(15.01	)%		8.05	%		7.11	%
Without Sales Charge			(10.29	)		9.22			7.69
CLASS C SHARES	November 4, 1997
With CDSC**			(11.70	)		8.68			7.12
Without CDSC			(10.70	)		8.68			7.12
CLASS R2 SHARES	June 19, 2009		(10.42	)		9.05			7.52
CLASS R5 SHARES	November 1, 2011		(9.87	)		9.71			8.09
CLASS R6 SHARES	November 1, 2011		(9.82	)		9.76			8.11
SELECT CLASS SHARES	March 2, 1989		(10.01	)		9.56			8.01

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

Returns for the Class R2, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Select Class Shares. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index and the Lipper Global Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and

capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Global Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Global Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

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

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

8 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Institutional Class Shares)*		2.35%
Russell Midcap Value Index		3.25%
Net Assets as of 6/30/2016 (In Thousands)	$	15,564,142

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s overweight position and security selection in the consumer discretionary sector and its security selection in the health care sector were leading detractors from performance relative to the Benchmark. The Fund’s underweight position in the energy sector and its security selection in the industrials sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Gap Inc. and Kohl’s Corp. and its underweight position in Nvidia Corp. Shares of Gap, an apparel retailer not held in the Benchmark, fell on sales weakness due to the relative strength of the U.S. dollar and disappointing holiday season sales at its Old Navy brand. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth. Shares Nvidia, a graphics software maker that was not held in the Fund, rose on strong demand for its semiconductors.

Leading individual contributors to relative performance included the Fund’s overweight positions in Jack Henry & Associates Inc., Westar Energy Inc. and its underweight position in Perrigo Co. Shares of Jack Henry & Associates, a provider of financial data processing technology that was not held in the Benchmark, rose on better than expected quarterly earnings and revenue. Shares of Westar Energy, an electric utility, rose as investors sought out companies with higher divided yields. Shares of Perrigo, a specialty pharmaceuticals and consumer products company, rose on better than expected revenue growth and investor expectations that the company may become an acquisition target.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in their view, sustainable levels of free cash flow.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	EQT Corp.	2.1	%
	2.	Energen Corp.	2.0
	3.	Mohawk Industries, Inc.	1.8
	4.	Loews Corp.	1.7
	5.	M&T Bank Corp.	1.6
	6.	Synopsys, Inc.	1.6
	7.	Columbia Pipeline Group, Inc.	1.6
	8.	Xcel Energy, Inc.	1.5
	9.	Arrow Electronics, Inc.	1.5
	10.	Marsh & McLennan Cos., Inc.	1.4

PORTFOLIO COMPOSITION BY SECTOR***
Financials	29.6	%
Consumer Discretionary	17.1
Utilities	10.8
Information Technology	9.9
Industrials	9.0
Energy	6.5
Consumer Staples	5.5
Health Care	4.3
Materials	3.9
Short-Term Investment	3.4

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

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

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 9

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	April 30, 2001
With Sales Charge*			(3.50	)%		10.94	%		7.66	%
Without Sales Charge			1.85			12.14			8.24
CLASS C SHARES	April 30, 2001
With CDSC**			0.35			11.58			7.69
Without CDSC			1.35			11.58			7.69
CLASS R2 SHARES	November 3, 2008		1.61			11.85			8.03
INSTITUTIONAL CLASS SHARES	November 13, 1997		2.35			12.69			8.78
SELECT CLASS SHARES	October 31, 2001		2.11			12.43			8.51

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper

Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index are indices based on total returns of certain mutual funds within the mid cap and multi cap fund categories, respectively, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment.

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

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

10 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		0.60%
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index		0.19%
Net Assets as of 6/30/16 (In Thousands)	$	188,103

INVESTMENT OBJECTIVE**

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

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health services and systems and energy sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the pharmaceuticals and medical technology sector and its security selection and overweight position in the banks and brokerages sector were leading detractors from relative performance.

Leading individual contributors to Fund’s return included its short positions in Consol Energy Inc. and Tenet Healthcare Inc. and its long position in CoreLogic Inc. Shares of Consol Energy, an oil and gas producer, fell on continued weakness in global energy prices. Shares of Tenet Healthcare, a hospitals operator,

fell on declining patient visits. Shares of CoreLogic, a provider of real estate data and analysis, rose on better than expected quarterly earnings and revenue.

Leading individual detractors from Fund returns included its short positions in Twitter Inc. and Nordstrom Inc. and its long position in Health Net Inc. Shares of Twitter, a provider of social media, rose on expansion of its business into streaming live content. Shares of Nordstrom, an apparel retailer, rose on better than expected sales in the middle of the reporting period. Shares of Health Net, a health insurer, fell on lower than expected revenue early in the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models deemed capable of achieving, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share. Companies that ranked lowest in the above factors were selected by the Fund’s portfolio managers for possible short sales.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 11

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

TOP TEN LONG POSITIONS OF THE PORTFOLIO***
	1.	Express Scripts Holding Co.	1.1	%
	2.	C.R. Bard, Inc.	1.1
	3.	MSCI, Inc.	1.1
	4.	Computer Sciences Corp.	1.0
	5.	Ingredion, Inc.	1.0
	6.	Entergy Corp.	1.0
	7.	UGI Corp.	1.0
	8.	PVH Corp.	1.0
	9.	VeriSign, Inc.	1.0
	10.	Hologic, Inc.	1.0

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****
	1.	Monster Beverage Corp.	1.4	%
	2.	DexCom, Inc.	1.3
	3.	Patterson Cos., Inc.	1.3
	4.	Dominion Resources, Inc.	1.2
	5.	WhiteWave Foods Co. (The)	1.2
	6.	Constellation Brands, Inc., Class A	1.2
	7.	Wynn Resorts Ltd.	1.2
	8.	MAXIMUS, Inc.	1.2
	9.	ViaSat, Inc.	1.2
	10.	Donaldson Co.	1.2

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	24.0	%
Industrials	16.2
Consumer Discretionary	12.8
Health Care	11.9
Consumer Staples	6.8
Materials	6.2
Energy	4.1
Financials	2.6
Utilities	2.3
Telecommunication Services	1.5
Short-Term Investment	11.6

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	27.5	%
Industrials	19.4
Consumer Discretionary	14.0
Health Care	12.1
Consumer Staples	7.4
Materials	7.3
Energy	4.2
Financials	3.6
Utilities	3.2
Telecommunication Services	1.3

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

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

*** Percentages indicated are based on total long investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

**** Percentages indicated are based on total short investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

12 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	May 23, 2003
With Sales Charge*			(4.99	)%		(0.89	)%		(0.76	)%
Without Sales Charge			0.30			0.18			(0.22	)
CLASS C SHARES	May 23, 2003
With CDSC**			(1.21	)		(0.40	)		(0.89	)
Without CDSC			(0.21	)		(0.40	)		(0.89	)
SELECT CLASS SHARES	May 23, 2003		0.60			0.44			0.03

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Equity Market Neutral Funds Index from June 30, 2006 to June 30, 2016. Return information prior to October 31, 2005 for the Lipper Alternative Equity Market Neutral Funds Index is not provided by Lipper, Inc. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Alternative Equity Market Neutral Funds Index

includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Alternative Equity Market Neutral Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

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

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

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 13

JPMorgan Value Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Institutional Class Shares)*		(1.87)%
Russell 3000 Value Index		2.42%
Net Assets as of 6/30/2016 (In Thousands)	$	10,090,951

INVESTMENT OBJECTIVE**

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

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares underperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s overweight positions in the consumer discretionary and financial services sectors were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the utilities and consumer staples sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions Kohl’s Corp. and Southwestern Energy Co. and its underweight position in General Electric Co. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth. Shares of Southwestern Energy, a petroleum and natural gas producer, fell on continued weakness in global energy prices. Shares of General Electric, an industrial manufacturer not held by the Fund, rose on overall strength in the industrials sector stocks.

Leading individual contributors to relative performance included the Fund’s overweight positions in Xcel Energy Inc., Martin Marietta Materials Inc. and Post Holdings Inc. Shares of Xcel, an electric utility, rose on positive earnings performance and investor demand for utility stocks with high dividend yields. Shares of Martin Marietta, a supplier of construction materials, rose on better than expected earnings and overall strength in industrials sector stocks. Shares of Post Holdings, a maker of cereals and other packaged foods, rose on better than expected earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in the portfolio managers’ view, significant levels of free cash flow. During the reporting period, the Fund’s largest average overweight position

remained the consumer discretionary sector, where the Fund’s portfolio managers found what they believed to be compelling investment opportunities. The Fund’s largest average underweight position was in the energy sector.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Wells Fargo & Co.	3.7	%
	2.	Exxon Mobil Corp.	3.0
	3.	Pfizer, Inc.	2.8
	4.	Loews Corp.	2.1
	5.	Capital One Financial Corp.	1.9
	6.	Johnson & Johnson	1.8
	7.	Bank of America Corp.	1.7
	8.	Merck & Co., Inc.	1.6
	9.	M&T Bank Corp.	1.6
	10.	UnitedHealth Group, Inc.	1.6

PORTFOLIO COMPOSITION BY SECTOR***
Financials	33.7	%
Consumer Discretionary	15.5
Health Care	9.6
Information Technology	7.5
Energy	7.4
Utilities	7.4
Industrials	7.1
Consumer Staples	5.6
Materials	3.3
Telecommunication Services	2.1
Short-Term Investment	0.8

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

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

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

14 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 28, 2005
With Sales Charge*			(7.46	)%		9.62	%		7.23	%
Without Sales Charge			(2.34	)		10.82			7.81
CLASS C SHARES	February 28, 2005
With CDSC**			(3.82	)		10.27			7.28
Without CDSC			(2.82	)		10.27			7.28
INSTITUTIONAL CLASS SHARES	February 28, 2005		(1.87	)		11.37			8.36
SELECT CLASS SHARES	February 28, 2005		(2.10	)		11.09			8.08

* Sales Charge for Class A Shares is 5.25%.

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

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

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

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The

Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment.

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

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

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 15

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.5%
		Consumer Discretionary — 17.3%
		Automobiles — 0.6%
	168	Tesla Motors, Inc. (a)		35,705
		Hotels, Restaurants & Leisure — 3.9%
	1,178	Aramark		39,356
	2,985	Hilton Worldwide Holdings, Inc.		67,245
	1,251	Norwegian Cruise Line Holdings Ltd. (a)		49,848
	1,303	Starbucks Corp.		74,427
				230,876
		Household Durables — 2.1%
	657	Mohawk Industries, Inc. (a)		124,653
		Internet & Catalog Retail — 6.4%
	290	Amazon.com, Inc. (a)		207,744
	633	Netflix, Inc. (a)		57,889
	68	Priceline Group, Inc. (The) (a)		84,392
	822	Wayfair, Inc., Class A (a)		32,058
				382,083
		Multiline Retail — 1.5%
	963	Dollar General Corp.		90,560
		Specialty Retail — 2.8%
	920	Home Depot, Inc. (The)		117,462
	218	Ulta Salon Cosmetics & Fragrance, Inc. (a)		53,114
				170,576
		Total Consumer Discretionary		1,034,453
		Consumer Staples — 2.2%
		Beverages — 0.8%
	282	Monster Beverage Corp. (a)		45,384
		Food & Staples Retailing — 0.6%
	1,570	Sprouts Farmers Market, Inc. (a)		35,962
		Food Products — 0.8%
	720	Tyson Foods, Inc., Class A		48,089
		Total Consumer Staples		129,435
		Energy — 2.0%
		Oil, Gas & Consumable Fuels — 2.0%
	724	Concho Resources, Inc. (a)		86,304
	408	EOG Resources, Inc.		34,060
		Total Energy		120,364
		Financials — 6.9%
		Banks — 1.7%
	1,176	East West Bancorp, Inc.		40,203
	476	Signature Bank (a)		59,474
				99,677

SHARES		SECURITY DESCRIPTION	VALUE($)
		Capital Markets — 3.0%
	323	Affiliated Managers Group, Inc. (a)		45,511
	152	BlackRock, Inc.		52,133
	2,173	Charles Schwab Corp. (The)		54,986
	854	Lazard Ltd., (Bermuda), Class A		25,420
				178,050
		Diversified Financial Services — 1.2%
	653	S&P Global, Inc.		69,987
		Real Estate Management & Development — 1.0%
	2,351	CBRE Group, Inc., Class A (a)		62,263
		Total Financials		409,977
		Health Care — 16.8%
		Biotechnology — 6.0%
	437	Celgene Corp. (a)		43,072
	1,379	Gilead Sciences, Inc.		115,036
	225	Intercept Pharmaceuticals, Inc. (a)		32,146
	840	Kite Pharma, Inc. (a)		41,980
	160	Regeneron Pharmaceuticals, Inc. (a)		55,947
	393	Spark Therapeutics, Inc. (a)		20,084
	599	Vertex Pharmaceuticals, Inc. (a)		51,534
				359,799
		Health Care Equipment & Supplies — 0.3%
	1,507	Novadaq Technologies, Inc., (Canada) (a)		14,831
		Health Care Providers & Services — 6.2%
	1,292	Acadia Healthcare Co., Inc. (a)		71,566
	415	Aetna, Inc.		50,708
	218	Cigna Corp.		27,838
	1,576	Envision Healthcare Holdings, Inc. (a)		39,978
	226	Humana, Inc.		40,599
	996	UnitedHealth Group, Inc.		140,607
				371,296
		Health Care Technology — 0.8%
	1,310	Veeva Systems, Inc., Class A (a)		44,707
		Life Sciences Tools & Services — 1.1%
	472	Illumina, Inc. (a)		66,245
		Pharmaceuticals — 2.4%
	1,532	Bristol-Myers Squibb Co.		112,642
	1,016	Revance Therapeutics, Inc. (a)		13,820
	2,210	TherapeuticsMD, Inc. (a)		18,788
				145,250
		Total Health Care		1,002,128
		Industrials — 13.1%
		Airlines — 1.0%
	1,481	Southwest Airlines Co.		58,062

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Building Products — 2.8%
	1,406	Fortune Brands Home & Security, Inc.		81,483
	593	Lennox International, Inc.		84,533
				166,016
		Commercial Services & Supplies — 3.0%
	515	Stericycle, Inc. (a)		53,591
	1,766	Waste Connections, Inc., (Canada)		127,240
				180,831
		Electrical Equipment — 1.7%
	422	Acuity Brands, Inc.		104,614
		Industrial Conglomerates — 1.1%
	650	Carlisle Cos., Inc.		68,713
		Machinery — 0.6%
	299	Middleby Corp. (The) (a)		34,402
		Professional Services — 0.9%
	400	Equifax, Inc.		51,322
		Road & Rail — 0.6%
	579	Old Dominion Freight Line, Inc. (a)		34,893
		Trading Companies & Distributors — 1.4%
	2,335	HD Supply Holdings, Inc. (a)		81,294
		Total Industrials		780,147
		Information Technology — 34.5%
		Communications Equipment — 2.7%
	650	Arista Networks, Inc. (a)		41,866
	972	Harris Corp.		81,129
	295	Palo Alto Networks, Inc. (a)		36,216
				159,211
		Electronic Equipment, Instruments & Components — 2.0%
	1,151	Amphenol Corp., Class A		65,987
	2,717	Corning, Inc.		55,644
				121,631
		Internet Software & Services — 11.6%
	485	Alphabet, Inc., Class C (a)		335,741
	229	CoStar Group, Inc. (a)		50,161
	2,234	Facebook, Inc., Class A (a)		255,256
	1,738	GoDaddy, Inc., Class A (a)		54,199
				695,357
		IT Services — 5.8%
	1,016	MasterCard, Inc., Class A		89,442
	2,189	PayPal Holdings, Inc. (a)		79,924
	1,258	Vantiv, Inc., Class A (a)		71,180
	1,394	Visa, Inc., Class A		103,386
				343,932

SHARES		SECURITY DESCRIPTION	VALUE($)
		Semiconductors & Semiconductor Equipment — 2.8%
	472	Broadcom Ltd., (Singapore)		73,333
	411	Lam Research Corp.		34,574
	755	NXP Semiconductors N.V., (Netherlands) (a)		59,155
				167,062
		Software — 8.1%
	598	Adobe Systems, Inc. (a)		57,273
	1,353	Electronic Arts, Inc. (a)		102,533
	647	Guidewire Software, Inc. (a)		39,934
	1,785	Microsoft Corp.		91,359
	785	Mobileye N.V., (Israel) (a)		36,215
	509	salesforce.com, Inc. (a)		40,428
	699	ServiceNow, Inc. (a)		46,400
	658	Splunk, Inc. (a)		35,629
	424	Workday, Inc., Class A (a)		31,690
				481,461
		Technology Hardware, Storage & Peripherals — 1.5%
	931	Apple, Inc.		89,008
		Total Information Technology		2,057,662
		Materials — 4.7%
		Chemicals — 2.9%
	334	Air Products & Chemicals, Inc.		47,413
	675	PPG Industries, Inc.		70,332
	180	Sherwin-Williams Co. (The)		52,714
				170,459
		Construction Materials — 1.8%
	570	Eagle Materials, Inc.		43,976
	534	Vulcan Materials Co.		64,236
				108,212
		Total Materials		278,671
		Total Common Stocks (Cost $4,563,687)		5,812,837
	Short-Term Investment — 1.7%
		Investment Company — 1.7%
	103,543	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $103,543)		103,543
		Total Investments — 99.2% (Cost $4,667,230)		5,916,380
		Other Assets in Excess of Liabilities — 0.8%		47,220
		NET ASSETS — 100.0%	$	5,963,600

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 17

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.4%
		Consumer Discretionary — 18.9%
		Automobiles — 0.2%
	26	Tesla Motors, Inc. (a)		5,434
		Distributors — 0.5%
	130	Genuine Parts Co.		13,122
		Hotels, Restaurants & Leisure — 3.2%
	426	Aramark		14,227
	18	Chipotle Mexican Grill, Inc. (a)		7,411
	1,480	Hilton Worldwide Holdings, Inc.		33,355
	115	Marriott International, Inc., Class A		7,657
	312	Norwegian Cruise Line Holdings Ltd. (a)		12,441
				75,091
		Household Durables — 3.1%
	260	Mohawk Industries, Inc. (a)		49,293
	331	Newell Brands, Inc.		16,098
	293	Toll Brothers, Inc. (a)		7,871
				73,262
		Internet & Catalog Retail — 1.6%
	139	Expedia, Inc.		14,748
	88	Netflix, Inc. (a)		8,087
	116	TripAdvisor, Inc. (a)		7,446
	181	Wayfair, Inc., Class A (a)		7,040
				37,321
		Media — 1.3%
	148	CBS Corp. (Non-Voting), Class B		8,046
	219	DISH Network Corp., Class A (a)		11,488
	355	TEGNA, Inc.		8,233
	192	Time, Inc.		3,157
				30,924
		Multiline Retail — 2.0%
	299	Dollar General Corp.		28,125
	355	Kohl’s Corp.		13,456
	184	Nordstrom, Inc.		7,014
				48,595
		Specialty Retail — 5.5%
	17	AutoZone, Inc. (a)		13,139
	224	Bed Bath & Beyond, Inc.		9,676
	350	Best Buy Co., Inc.		10,713
	473	Gap, Inc. (The)		10,042
	82	O’Reilly Automotive, Inc. (a)		22,149
	330	Ross Stores, Inc.		18,702
	284	Sally Beauty Holdings, Inc. (a)		8,344
	157	Tiffany & Co.		9,510

SHARES		SECURITY DESCRIPTION	VALUE($)
		Specialty Retail — continued
	123	Tractor Supply Co.		11,188
	64	Ulta Salon Cosmetics & Fragrance, Inc. (a)		15,690
				129,153
		Textiles, Apparel & Luxury Goods — 1.5%
	404	Gildan Activewear, Inc., (Canada)		11,840
	121	PVH Corp.		11,429
	186	V.F. Corp.		11,446
				34,715
		Total Consumer Discretionary		447,617
		Consumer Staples — 4.5%
		Beverages — 1.3%
	67	Constellation Brands, Inc., Class A		11,128
	143	Dr. Pepper Snapple Group, Inc.		13,812
	42	Monster Beverage Corp. (a)		6,782
				31,722
		Food & Staples Retailing — 1.8%
	100	Casey’s General Stores, Inc.		13,125
	438	Kroger Co. (The)		16,117
	415	Rite Aid Corp. (a)		3,105
	412	Sprouts Farmers Market, Inc. (a)		9,426
				41,773
		Food Products — 0.7%
	47	TreeHouse Foods, Inc. (a)		4,861
	183	Tyson Foods, Inc., Class A		12,209
				17,070
		Household Products — 0.3%
	122	Energizer Holdings, Inc.		6,272
		Personal Products — 0.4%
	123	Edgewell Personal Care Co. (a)		10,400
		Total Consumer Staples		107,237
		Energy — 4.4%
		Oil, Gas & Consumable Fuels — 4.4%
	740	Columbia Pipeline Group, Inc.		18,872
	152	Concho Resources, Inc. (a)		18,117
	501	Energen Corp.		24,134
	322	EQT Corp.		24,905
	253	PBF Energy, Inc., Class A		6,017
	176	Range Resources Corp.		7,601
	328	Southwestern Energy Co. (a)		4,132
		Total Energy		103,778

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Financials — 20.0%
		Banks — 4.3%
	420	Citizens Financial Group, Inc.		8,398
	279	East West Bancorp, Inc.		9,536
	812	Fifth Third Bancorp		14,283
	139	First Republic Bank		9,716
	540	Huntington Bancshares, Inc.		4,831
	170	M&T Bank Corp.		20,124
	123	Signature Bank (a)		15,315
	399	SunTrust Banks, Inc.		16,392
	128	Zions Bancorporation		3,219
				101,814
		Capital Markets — 4.0%
	108	Affiliated Managers Group, Inc. (a)		15,259
	73	Ameriprise Financial, Inc.		6,545
	323	Invesco Ltd.		8,259
	298	Lazard Ltd., (Bermuda), Class A		8,869
	138	Legg Mason, Inc.		4,070
	145	Northern Trust Corp.		9,632
	229	Oaktree Capital Group LLC		10,232
	137	Raymond James Financial, Inc.		6,758
	183	T. Rowe Price Group, Inc.		13,371
	388	TD Ameritrade Holding Corp.		11,045
				94,040
		Consumer Finance — 0.3%
	395	Ally Financial, Inc. (a)		6,749
		Diversified Financial Services — 1.2%
	166	Nasdaq, Inc.		10,742
	159	S&P Global, Inc.		17,086
				27,828
		Insurance — 4.1%
	13	Alleghany Corp. (a)		6,911
	47	Chubb Ltd., (Switzerland)		6,178
	324	Hartford Financial Services Group, Inc. (The)		14,379
	494	Loews Corp.		20,281
	253	Marsh & McLennan Cos., Inc.		17,292
	163	Progressive Corp. (The)		5,470
	329	Unum Group		10,453
	75	W.R. Berkley Corp.		4,498
	366	XL Group plc, (Ireland)		12,186
				97,648
		Real Estate Investment Trusts (REITs) — 5.5%
	157	American Campus Communities, Inc.		8,282
	318	American Homes 4 Rent, Class A		6,512
	67	AvalonBay Communities, Inc.		12,065

SHARES		SECURITY DESCRIPTION	VALUE($)
		Real Estate Investment Trusts (REITs) — continued
	86	Boston Properties, Inc.		11,374
	385	Brixmor Property Group, Inc.		10,192
	27	Essex Property Trust, Inc.		6,101
	211	General Growth Properties, Inc.		6,283
	132	HCP, Inc.		4,675
	416	Kimco Realty Corp.		13,043
	305	Outfront Media, Inc.		7,364
	293	Rayonier, Inc.		7,680
	102	Regency Centers Corp.		8,552
	133	Vornado Realty Trust		13,363
	282	Weyerhaeuser Co.		8,409
	76	WP Carey, Inc.		5,304
				129,199
		Real Estate Management & Development — 0.6%
	570	CBRE Group, Inc., Class A (a)		15,093
		Total Financials		472,371
		Health Care — 9.2%
		Biotechnology — 1.5%
	135	BioMarin Pharmaceutical, Inc. (a)		10,526
	55	Intercept Pharmaceuticals, Inc. (a)		7,848
	170	Kite Pharma, Inc. (a)		8,480
	92	Vertex Pharmaceuticals, Inc. (a)		7,931
				34,785
		Health Care Equipment & Supplies — 1.0%
	222	Dentsply Sirona, Inc.		13,750
	93	Edwards Lifesciences Corp. (a)		9,285
				23,035
		Health Care Providers & Services — 4.8%
	274	Acadia Healthcare Co., Inc. (a)		15,196
	154	AmerisourceBergen Corp.		12,211
	183	Centene Corp. (a)		13,068
	63	Cigna Corp.		8,124
	569	Envision Healthcare Holdings, Inc. (a)		14,433
	58	Henry Schein, Inc. (a)		10,193
	135	Humana, Inc.		24,279
	253	Premier, Inc., Class A (a)		8,273
	66	Universal Health Services, Inc., Class B		8,829
				114,606
		Health Care Technology — 0.7%
	319	Inovalon Holdings, Inc., Class A (a)		5,746
	307	Veeva Systems, Inc., Class A (a)		10,475
				16,221

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 19

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Life Sciences Tools & Services — 0.8%
	141	Illumina, Inc. (a)		19,833
		Pharmaceuticals — 0.4%
	74	Jazz Pharmaceuticals plc, (Ireland) (a)		10,513
		Total Health Care		218,993
		Industrials — 13.6%
		Airlines — 0.5%
	292	Southwest Airlines Co.		11,465
		Building Products — 2.3%
	579	Fortune Brands Home & Security, Inc.		33,588
	141	Lennox International, Inc.		20,164
				53,752
		Commercial Services & Supplies — 1.7%
	123	Stericycle, Inc. (a)		12,854
	386	Waste Connections, Inc., (Canada)		27,790
				40,644
		Electrical Equipment — 2.5%
	102	Acuity Brands, Inc.		25,168
	255	AMETEK, Inc.		11,792
	125	Hubbell, Inc.		13,189
	187	Regal Beloit Corp.		10,313
				60,462
		Industrial Conglomerates — 1.3%
	286	Carlisle Cos., Inc.		30,260
		Machinery — 2.3%
	143	IDEX Corp.		11,714
	147	Middleby Corp. (The) (a)		16,942
	345	Rexnord Corp. (a)		6,768
	73	Snap-on, Inc.		11,491
	79	WABCO Holdings, Inc. (a)		7,225
				54,140
		Professional Services — 0.9%
	160	Equifax, Inc.		20,483
		Road & Rail — 0.3%
	134	Old Dominion Freight Line, Inc. (a)		8,100
		Trading Companies & Distributors — 1.8%
	520	HD Supply Holdings, Inc. (a)		18,099
	156	MSC Industrial Direct Co., Inc., Class A		10,990
	94	Watsco, Inc.		13,246
				42,335
		Total Industrials		321,641

SHARES		SECURITY DESCRIPTION	VALUE($)
		Information Technology — 17.1%
		Communications Equipment — 2.1%
	143	Arista Networks, Inc. (a)		9,206
	295	CommScope Holding Co., Inc. (a)		9,152
	249	Harris Corp.		20,751
	85	Palo Alto Networks, Inc. (a)		10,395
				49,504
		Electronic Equipment, Instruments & Components — 3.3%
	568	Amphenol Corp., Class A		32,577
	284	Arrow Electronics, Inc. (a)		17,572
	94	CDW Corp.		3,786
	568	Corning, Inc.		11,627
	191	FLIR Systems, Inc.		5,908
	234	Keysight Technologies, Inc. (a)		6,809
				78,279
		Internet Software & Services — 1.2%
	59	CoStar Group, Inc. (a)		12,879
	363	GoDaddy, Inc., Class A (a)		11,307
	262	Match Group, Inc. (a)		3,942
				28,128
		IT Services — 2.8%
	162	Gartner, Inc. (a)		15,810
	99	Global Payments, Inc.		7,074
	170	Jack Henry & Associates, Inc.		14,820
	321	Sabre Corp.		8,599
	373	Vantiv, Inc., Class A (a)		21,112
				67,415
		Semiconductors & Semiconductor Equipment — 3.0%
	197	Analog Devices, Inc.		11,177
	62	Broadcom Ltd., (Singapore)		9,666
	155	Cavium, Inc. (a)		5,998
	218	KLA-Tencor Corp.		15,998
	126	Lam Research Corp.		10,558
	158	NXP Semiconductors N.V., (Netherlands) (a)		12,346
	89	Xilinx, Inc.		4,101
				69,844
		Software — 4.7%
	234	Atlassian Corp. plc, (Australia), Class A (a)		6,048
	381	Electronic Arts, Inc. (a)		28,834
	156	Guidewire Software, Inc. (a)		9,628
	155	Mobileye N.V., (Israel) (a)		7,152
	202	ServiceNow, Inc. (a)		13,406
	189	Splunk, Inc. (a)		10,256

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Software — continued
	357	Synopsys, Inc. (a)		19,283
	132	Tableau Software, Inc., Class A (a)		6,438
	126	Workday, Inc., Class A (a)		9,401
				110,446
		Total Information Technology		403,616
		Materials — 4.2%
		Chemicals — 1.2%
	116	PPG Industries, Inc.		12,071
	59	Sherwin-Williams Co. (The)		17,418
				29,489
		Construction Materials — 1.3%
	162	Eagle Materials, Inc.		12,475
	149	Vulcan Materials Co.		17,886
				30,361
		Containers & Packaging — 1.7%
	173	Ball Corp.		12,537
	254	Silgan Holdings, Inc.		13,063
	351	WestRock Co.		13,647
				39,247
		Total Materials		99,097
		Utilities — 5.5%
		Electric Utilities — 2.0%
	220	Edison International		17,087
	197	Westar Energy, Inc.		11,060
	403	Xcel Energy, Inc.		18,027
				46,174

SHARES		SECURITY DESCRIPTION	VALUE($)
		Gas Utilities — 0.8%
	207	National Fuel Gas Co.		11,759
	322	Questar Corp.		8,182
				19,941
		Multi-Utilities — 2.7%
	664	CenterPoint Energy, Inc.		15,925
	360	CMS Energy Corp.		16,523
	140	Sempra Energy		15,994
	230	WEC Energy Group, Inc.		15,040
				63,482
		Total Utilities		129,597
		Total Common Stocks (Cost $1,772,200)		2,303,947
	Short-Term Investment — 2.2%
		Investment Company — 2.2%
	51,139	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $51,139)		51,139
		Total Investments — 99.6% (Cost $1,823,339)		2,355,086
		Other Assets in Excess of Liabilities — 0.4%		9,263
		NET ASSETS — 100.0%	$	2,364,349

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 21

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.3%
		Consumer Discretionary — 20.7%
		Automobiles — 0.5%
	63	Tesla Motors, Inc. (a)		13,278
		Hotels, Restaurants & Leisure — 4.8%
	1,037	Aramark		34,643
	45	Chipotle Mexican Grill, Inc. (a)		18,114
	2,326	Hilton Worldwide Holdings, Inc.		52,399
	761	Norwegian Cruise Line Holdings Ltd. (a)		30,300
				135,456
		Household Durables — 3.1%
	365	Mohawk Industries, Inc. (a)		69,238
	713	Toll Brothers, Inc. (a)		19,187
				88,425
		Internet & Catalog Retail — 1.9%
	216	Netflix, Inc. (a)		19,716
	282	TripAdvisor, Inc. (a)		18,160
	440	Wayfair, Inc., Class A (a)		17,158
				55,034
		Multiline Retail — 2.4%
	728	Dollar General Corp.		68,445
		Specialty Retail — 6.5%
	199	O’Reilly Automotive, Inc. (a)		54,048
	803	Ross Stores, Inc.		45,538
	692	Sally Beauty Holdings, Inc. (a)		20,340
	299	Tractor Supply Co.		27,248
	157	Ulta Salon Cosmetics & Fragrance, Inc. (a)		38,194
				185,368
		Textiles, Apparel & Luxury Goods — 1.5%
	983	Gildan Activewear, Inc., (Canada)		28,841
	248	V.F. Corp.		15,268
				44,109
		Total Consumer Discretionary		590,115
		Consumer Staples — 3.5%
		Beverages — 0.6%
	103	Monster Beverage Corp. (a)		16,488
		Food & Staples Retailing — 1.9%
	243	Casey’s General Stores, Inc.		31,957
	1,003	Sprouts Farmers Market, Inc. (a)		22,972
				54,929
		Food Products — 1.0%
	445	Tyson Foods, Inc., Class A		29,735
		Total Consumer Staples		101,152

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy — 2.2%
		Oil, Gas & Consumable Fuels — 2.2%
	370	Concho Resources, Inc. (a)		44,097
	430	Range Resources Corp.		18,529
		Total Energy		62,626
		Financials — 9.6%
		Banks — 2.0%
	653	East West Bancorp, Inc.		22,318
	283	Signature Bank (a)		35,334
				57,652
		Capital Markets — 3.9%
	264	Affiliated Managers Group, Inc. (a)		37,151
	726	Lazard Ltd., (Bermuda), Class A		21,610
	557	Oaktree Capital Group LLC		24,936
	947	TD Ameritrade Holding Corp.		26,967
				110,664
		Diversified Financial Services — 2.4%
	404	Nasdaq, Inc.		26,120
	388	S&P Global, Inc.		41,588
				67,708
		Real Estate Management & Development — 1.3%
	1,386	CBRE Group, Inc., Class A (a)		36,710
		Total Financials		272,734
		Health Care — 14.3%
		Biotechnology — 3.0%
	330	BioMarin Pharmaceutical, Inc. (a)		25,651
	134	Intercept Pharmaceuticals, Inc. (a)		19,129
	413	Kite Pharma, Inc. (a)		20,670
	225	Vertex Pharmaceuticals, Inc. (a)		19,345
				84,795
		Health Care Equipment & Supplies — 1.9%
	539	Dentsply Sirona, Inc.		33,439
	227	Edwards Lifesciences Corp. (a)		22,619
				56,058
		Health Care Providers & Services — 5.4%
	669	Acadia Healthcare Co., Inc. (a)		37,065
	446	Centene Corp. (a)		31,831
	1,385	Envision Healthcare Holdings, Inc. (a)		35,147
	169	Humana, Inc.		30,361
	617	Premier, Inc., Class A (a)		20,169
				154,573

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care Technology — 1.4%
	780	Inovalon Holdings, Inc., Class A (a)		14,056
	748	Veeva Systems, Inc., Class A (a)		25,524
				39,580
		Life Sciences Tools & Services — 1.7%
	344	Illumina, Inc. (a)		48,273
		Pharmaceuticals — 0.9%
	181	Jazz Pharmaceuticals plc, (Ireland) (a)		25,573
		Total Health Care		408,852
		Industrials — 18.2%
		Airlines — 1.0%
	712	Southwest Airlines Co.		27,902
		Building Products — 3.6%
	916	Fortune Brands Home & Security, Inc.		53,083
	344	Lennox International, Inc.		49,087
				102,170
		Commercial Services & Supplies — 3.4%
	301	Stericycle, Inc. (a)		31,309
	922	Waste Connections, Inc., (Canada)		66,427
				97,736
		Electrical Equipment — 2.2%
	247	Acuity Brands, Inc.		61,228
		Industrial Conglomerates — 1.2%
	333	Carlisle Cos., Inc.		35,163
		Machinery — 2.1%
	358	Middleby Corp. (The) (a)		41,254
	192	WABCO Holdings, Inc. (a)		17,618
				58,872
		Professional Services — 1.3%
	296	Equifax, Inc.		37,942
		Road & Rail — 0.7%
	327	Old Dominion Freight Line, Inc. (a)		19,739
		Trading Companies & Distributors — 2.7%
	1,282	HD Supply Holdings, Inc. (a)		44,642
	229	Watsco, Inc.		32,245
				76,887
		Total Industrials		517,639
		Information Technology — 24.3%
		Communications Equipment — 3.4%
	349	Arista Networks, Inc. (a)		22,438
	605	Harris Corp.		50,503
	207	Palo Alto Networks, Inc. (a)		25,327
				98,268

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electronic Equipment, Instruments & Components — 3.2%
	869	Amphenol Corp., Class A		49,839
	1,383	Corning, Inc.		28,322
	466	FLIR Systems, Inc.		14,410
				92,571
		Internet Software & Services — 2.1%
	143	CoStar Group, Inc. (a)		31,351
	883	GoDaddy, Inc., Class A (a)		27,541
				58,892
		IT Services — 4.5%
	395	Gartner, Inc. (a)		38,504
	242	Global Payments, Inc.		17,253
	783	Sabre Corp.		20,963
	908	Vantiv, Inc., Class A (a)		51,395
				128,115
		Semiconductors & Semiconductor Equipment — 3.3%
	152	Broadcom Ltd., (Singapore)		23,564
	379	Cavium, Inc. (a)		14,630
	307	Lam Research Corp.		25,797
	384	NXP Semiconductors N.V., (Netherlands) (a)		30,080
				94,071
		Software — 7.8%
	570	Atlassian Corp. plc, (Australia), Class A (a)		14,750
	926	Electronic Arts, Inc. (a)		70,170
	380	Guidewire Software, Inc. (a)		23,464
	378	Mobileye N.V., (Israel) (a)		17,437
	492	ServiceNow, Inc. (a)		32,647
	461	Splunk, Inc. (a)		24,979
	315	Tableau Software, Inc., Class A (a)		15,404
	307	Workday, Inc., Class A (a)		22,902
				221,753
		Total Information Technology		693,670
		Materials — 4.5%
		Chemicals — 1.9%
	282	PPG Industries, Inc.		29,414
	80	Sherwin-Williams Co. (The)		23,565
				52,979
		Construction Materials — 2.6%
	394	Eagle Materials, Inc.		30,391
	362	Vulcan Materials Co.		43,554
				73,945
		Total Materials		126,924
		Total Common Stocks (Cost $2,463,726)		2,773,712

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 23

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 2.4%
		Investment Company — 2.4%
	69,664	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $69,664)		69,664
		Total Investments — 99.7% (Cost $2,533,390)		2,843,376
		Other Assets in Excess of Liabilities — 0.3%		8,107
		NET ASSETS — 100.0%	$	2,851,483

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 96.2%
		Consumer Discretionary — 17.1%
		Distributors — 1.1%
	1,691	Genuine Parts Co.		171,201
		Hotels, Restaurants & Leisure — 1.6%
	6,844	Hilton Worldwide Holdings, Inc.		154,191
	1,512	Marriott International, Inc., Class A		100,491
				254,682
		Household Durables — 3.1%
	1,435	Mohawk Industries, Inc. (a)		272,396
	4,319	Newell Brands, Inc.		209,788
				482,184
		Internet & Catalog Retail — 1.2%
	1,795	Expedia, Inc.		190,785
		Media — 2.6%
	1,906	CBS Corp. (Non-Voting), Class B		103,751
	2,819	DISH Network Corp., Class A (a)		147,718
	4,485	TEGNA, Inc.		103,922
	2,445	Time, Inc.		40,240
				395,631
		Multiline Retail — 1.7%
	4,558	Kohl’s Corp.		172,845
	2,377	Nordstrom, Inc.		90,426
				263,271
		Specialty Retail — 4.4%
	212	AutoZone, Inc. (a)		168,510
	2,887	Bed Bath & Beyond, Inc.		124,784
	4,504	Best Buy Co., Inc.		137,836
	6,216	Gap, Inc. (The)		131,895
	2,015	Tiffany & Co.		122,172
				685,197
		Textiles, Apparel & Luxury Goods — 1.4%
	1,559	PVH Corp.		146,858
	1,093	V.F. Corp.		67,219
				214,077
		Total Consumer Discretionary		2,657,028
		Consumer Staples — 5.4%
		Beverages — 2.1%
	865	Constellation Brands, Inc., Class A		143,026
	1,843	Dr. Pepper Snapple Group, Inc.		178,114
				321,140

SHARES		SECURITY DESCRIPTION	VALUE($)
		Food & Staples Retailing — 1.6%
	5,665	Kroger Co. (The)		208,430
	5,327	Rite Aid Corp. (a)		39,897
				248,327
		Food Products — 0.4%
	617	TreeHouse Foods, Inc. (a)		63,294
		Household Products — 0.5%
	1,543	Energizer Holdings, Inc.		79,429
		Personal Products — 0.8%
	1,584	Edgewell Personal Care Co. (a)		133,711
		Total Consumer Staples		845,901
		Energy — 6.5%
		Oil, Gas & Consumable Fuels — 6.5%
	9,519	Columbia Pipeline Group, Inc.		242,637
	6,458	Energen Corp.		311,346
	4,125	EQT Corp.		319,361
	3,261	PBF Energy, Inc., Class A		77,556
	4,305	Southwestern Energy Co. (a)		54,151
		Total Energy		1,005,051
		Financials — 29.5%
		Banks — 6.3%
	5,305	Citizens Financial Group, Inc.		106,003
	10,497	Fifth Third Bancorp		184,649
	1,752	First Republic Bank		122,632
	6,943	Huntington Bancshares, Inc.		62,074
	2,143	M&T Bank Corp.		253,419
	5,028	SunTrust Banks, Inc.		206,565
	1,681	Zions Bancorporation		42,245
				977,587
		Capital Markets — 4.0%
	921	Ameriprise Financial, Inc.		82,742
	4,169	Invesco Ltd.		106,484
	1,751	Legg Mason, Inc.		51,633
	1,894	Northern Trust Corp.		125,481
	1,776	Raymond James Financial, Inc.		87,574
	2,309	T. Rowe Price Group, Inc.		168,521
				622,435
		Consumer Finance — 0.5%
	4,995	Ally Financial, Inc. (a)		85,268
		Insurance — 8.1%
	162	Alleghany Corp. (a)		88,825
	612	Chubb Ltd., (Switzerland)		79,983
	4,154	Hartford Financial Services Group, Inc. (The)		184,334

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 25

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — continued
	6,317	Loews Corp.		259,576
	3,243	Marsh & McLennan Cos., Inc.		222,006
	2,066	Progressive Corp. (The)		69,210
	4,228	Unum Group		134,418
	965	W.R. Berkley Corp.		57,796
	4,697	XL Group plc, (Ireland)		156,459
				1,252,607
		Real Estate Investment Trusts (REITs) — 10.6%
	2,040	American Campus Communities, Inc.		107,878
	4,142	American Homes 4 Rent, Class A		84,825
	865	AvalonBay Communities, Inc.		155,955
	1,130	Boston Properties, Inc.		149,101
	5,021	Brixmor Property Group, Inc.		132,848
	347	Essex Property Trust, Inc.		79,111
	2,734	General Growth Properties, Inc.		81,536
	1,721	HCP, Inc.		60,898
	5,418	Kimco Realty Corp.		170,020
	4,009	Outfront Media, Inc.		96,902
	3,778	Rayonier, Inc.		99,128
	1,338	Regency Centers Corp.		112,027
	2,293	Starwood Property Trust, Inc.		47,513
	1,683	Vornado Realty Trust		168,478
	3,629	Weyerhaeuser Co.		108,042
				1,654,262
		Total Financials		4,592,159
		Health Care — 4.2%
		Health Care Providers & Services — 4.2%
	2,020	AmerisourceBergen Corp.		160,258
	833	Cigna Corp.		106,582
	727	Henry Schein, Inc. (a)		128,580
	842	Humana, Inc.		151,487
	849	Universal Health Services, Inc., Class B		113,893
		Total Health Care		660,800
		Industrials — 9.0%
		Building Products — 1.0%
	2,611	Fortune Brands Home & Security, Inc.		151,347
		Electrical Equipment — 2.9%
	3,279	AMETEK, Inc.		151,580
	1,636	Hubbell, Inc.		172,514
	2,456	Regal Beloit Corp.		135,209
				459,303
		Industrial Conglomerates — 1.3%
	1,919	Carlisle Cos., Inc.		202,809

SHARES		SECURITY DESCRIPTION	VALUE($)
		Machinery — 2.5%
	1,848	IDEX Corp.		151,697
	4,451	Rexnord Corp. (a)		87,368
	928	Snap-on, Inc.		146,528
				385,593
		Professional Services — 0.4%
	493	Equifax, Inc.		63,358
		Trading Companies & Distributors — 0.9%
	2,004	MSC Industrial Direct Co., Inc., Class A		141,401
		Total Industrials		1,403,811
		Information Technology — 9.8%
		Communications Equipment — 0.8%
	3,800	CommScope Holding Co., Inc. (a)		117,906
		Electronic Equipment, Instruments & Components — 3.3%
	2,710	Amphenol Corp., Class A		155,336
	3,697	Arrow Electronics, Inc. (a)		228,863
	1,232	CDW Corp.		49,359
	3,052	Keysight Technologies, Inc. (a)		88,769
				522,327
		Internet Software & Services — 0.3%
	3,371	Match Group, Inc. (a)		50,817
		IT Services — 1.2%
	2,183	Jack Henry & Associates, Inc.		190,481
		Semiconductors & Semiconductor Equipment — 2.6%
	2,489	Analog Devices, Inc.		140,955
	2,824	KLA-Tencor Corp.		206,840
	1,155	Xilinx, Inc.		53,297
				401,092
		Software — 1.6%
	4,596	Synopsys, Inc. (a)		248,578
		Total Information Technology		1,531,201
		Materials — 3.9%
		Chemicals — 0.7%
	344	Sherwin-Williams Co. (The)		101,148
		Containers & Packaging — 3.2%
	2,186	Ball Corp.		158,035
	3,252	Silgan Holdings, Inc.		167,332
	4,505	WestRock Co.		175,113
				500,480
		Total Materials		601,628

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Utilities — 10.8%
		Electric Utilities — 3.8%
	2,837	Edison International		220,323
	2,542	Westar Energy, Inc.		142,554
	5,190	Xcel Energy, Inc.		232,429
				595,306
		Gas Utilities — 1.7%
	2,711	National Fuel Gas Co.		154,217
	4,252	Questar Corp.		107,879
				262,096
		Multi-Utilities — 5.3%
	8,682	CenterPoint Energy, Inc.		208,360
	4,647	CMS Energy Corp.		213,125
	1,811	Sempra Energy		206,472
	2,969	WEC Energy Group, Inc.		193,844
				821,801
		Total Utilities		1,679,203
		Total Common Stocks (Cost $10,425,415)		14,976,782

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 3.4%
		Investment Company — 3.4%
	522,537	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $522,537)		522,537
		Total Investments — 99.6% (Cost $10,947,952)		15,499,319
		Other Assets in Excess of Liabilities — 0.4%		64,823
		NET ASSETS — 100.0%	$	15,564,142

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 27

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Long Positions — 105.8%
	Common Stocks — 93.6%
		Consumer Discretionary — 13.6%
		Automobiles — 1.0%
	104	Ford Motor Co.		1,310
	20	General Motors Co.		579
				1,889
		Hotels, Restaurants & Leisure — 2.4%
	17	Carnival Corp.		734
	12	Darden Restaurants, Inc.		741
	45	Restaurant Brands International, Inc., (Canada)		1,863
	10	Six Flags Entertainment Corp.		562
	63	Wendy’s Co. (The)		607
				4,507
		Household Durables — 1.1%
	32	D.R. Horton, Inc.		1,002
	1	NVR, Inc. (a) (j)		1,113
				2,115
		Internet & Catalog Retail — 0.2%
	119	Groupon, Inc. (a)		387
		Leisure Products — 0.5%
	14	Brunswick Corp.		622
	12	Mattel, Inc.		363
				985
		Media — 1.0%
	13	Sinclair Broadcast Group, Inc., Class A		384
	320	Sirius XM Holdings, Inc. (a)		1,263
	9	Time, Inc.		154
				1,801
		Multiline Retail — 0.9%
	9	Kohl’s Corp.		353
	13	Macy’s, Inc.		447
	12	Target Corp. (j)		867
				1,667
		Specialty Retail — 4.5%
	12	Bed Bath & Beyond, Inc.		523
	59	Best Buy Co., Inc. (j)		1,803
	11	GameStop Corp., Class A		299
	33	GNC Holdings, Inc., Class A		804
	3	Home Depot, Inc. (The)		412
	22	Lowe’s Cos., Inc. (j)		1,712
	153	Staples, Inc. (j)		1,319
	56	Urban Outfitters, Inc. (a)		1,538
				8,410

SHARES			SECURITY DESCRIPTION	VALUE($)
			Textiles, Apparel & Luxury Goods — 2.0%
	36		Michael Kors Holdings Ltd., (United Kingdom) (a)		1,778
	21		PVH Corp.		2,002
					3,780
			Total Consumer Discretionary		25,541
			Consumer Staples — 7.2%
			Beverages — 0.8%
	15		Molson Coors Brewing Co., Class B (j)		1,498
			Food & Staples Retailing — 0.7%
	18		Wal-Mart Stores, Inc.		1,329
			Food Products — 3.9%
	16		Ingredion, Inc. (j)		2,035
	76		Pilgrim’s Pride Corp. (j)		1,939
	6		Post Holdings, Inc. (a)		471
	–	(h)	Seaboard Corp. (a)		1,292
	25		Tyson Foods, Inc., Class A		1,648
					7,385
			Household Products — 0.8%
	29		Energizer Holdings, Inc.		1,471
			Personal Products — 1.0%
	16		Herbalife Ltd. (a)		926
	20		Nu Skin Enterprises, Inc., Class A		917
					1,843
			Total Consumer Staples		13,526
			Energy — 4.4%
			Energy Equipment & Services — 1.9%
	90		Ensco plc, (United Kingdom), Class A		875
	32		FMC Technologies, Inc. (a)		857
	61		Seadrill Ltd., (United Kingdom) (a)		199
	88		Superior Energy Services, Inc.		1,618
					3,549
			Oil, Gas & Consumable Fuels — 2.5%
	74		Denbury Resources, Inc. (a)		264
	28		Devon Energy Corp.		1,002
	24		Marathon Oil Corp.		358
	7		Tesoro Corp.		505
	23		Valero Energy Corp.		1,174
	20		World Fuel Services Corp. (j)		971
	45		WPX Energy, Inc. (a)		419
					4,693
			Total Energy		8,242

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Long Positions — continued
	Common Stocks — continued
		Financials — 2.8%
		Banks — 0.4%
	27	Synovus Financial Corp.		775
		Capital Markets — 0.2%
	27	NorthStar Asset Management Group, Inc.		273
		Diversified Financial Services — 1.1%
	27	MSCI, Inc.		2,102
		Real Estate Investment Trusts (REITs) — 0.8%
	50	Equity Commonwealth (a)		1,467
		Thrifts & Mortgage Finance — 0.3%
	107	MGIC Investment Corp. (a)		637
		Total Financials		5,254
		Health Care — 12.6%
		Biotechnology — 3.1%
	12	Amgen, Inc. (j)		1,899
	2	Biogen, Inc. (a)		520
	21	Gilead Sciences, Inc. (j)		1,741
	11	United Therapeutics Corp. (a)		1,160
	5	Vertex Pharmaceuticals, Inc. (a)		416
				5,736
		Health Care Equipment & Supplies — 2.2%
	9	C.R. Bard, Inc.		2,205
	57	Hologic, Inc. (a) (j)		1,986
				4,191
		Health Care Providers & Services — 5.2%
	9	AmerisourceBergen Corp.		676
	7	Amsurg Corp. (a)		547
	7	Anthem, Inc. (j)		936
	9	Centene Corp. (a)		622
	13	Cigna Corp.		1,715
	24	Community Health Systems, Inc. (a)		292
	30	Express Scripts Holding Co. (a)		2,235
	10	Humana, Inc.		1,812
	3	McKesson Corp.		509
	9	Molina Healthcare, Inc. (a)		458
				9,802
		Pharmaceuticals — 2.1%
	14	Jazz Pharmaceuticals plc, (Ireland) (a)		1,925
	13	Mallinckrodt plc (a)		760
	8	Mylan N.V. (a)		335
	27	Pfizer, Inc. (j)		966
				3,986
		Total Health Care		23,715

SHARES		SECURITY DESCRIPTION	VALUE($)
		Industrials — 17.2%
		Aerospace & Defense — 2.4%
	55	BWX Technologies, Inc. (j)		1,950
	3	Curtiss-Wright Corp.		287
	11	Huntington Ingalls Industries, Inc. (j)		1,890
	10	Spirit AeroSystems Holdings, Inc., Class A (a)		448
				4,575
		Air Freight & Logistics — 0.5%
	14	C.H. Robinson Worldwide, Inc.		1,013
		Airlines — 1.3%
	8	Alaska Air Group, Inc.		458
	46	Delta Air Lines, Inc. (j)		1,685
	10	United Continental Holdings, Inc. (a)		390
				2,533
		Commercial Services & Supplies — 1.6%
	75	Pitney Bowes, Inc.		1,334
	95	R.R. Donnelley & Sons Co.		1,601
				2,935
		Construction & Engineering — 3.8%
	62	AECOM (a) (j)		1,984
	14	Chicago Bridge & Iron Co. N.V., (Netherlands)		498
	18	EMCOR Group, Inc.		870
	37	Jacobs Engineering Group, Inc. (a)		1,843
	14	Valmont Industries, Inc.		1,921
				7,116
		Electrical Equipment — 1.0%
	33	Regal Beloit Corp.		1,799
		Machinery — 3.9%
	18	AGCO Corp.		862
	68	Allison Transmission Holdings, Inc. (j)		1,927
	9	Illinois Tool Works, Inc. (j)		904
	43	Joy Global, Inc.		906
	30	Kennametal, Inc.		668
	17	Parker-Hannifin Corp.		1,826
	12	Terex Corp.		238
				7,331
		Professional Services — 0.7%
	6	Dun & Bradstreet Corp. (The)		728
	9	ManpowerGroup, Inc.		592
				1,320
		Road & Rail — 0.7%
	18	Landstar System, Inc.		1,256

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 29

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Long Positions — continued
	Common Stocks — continued
		Trading Companies & Distributors — 1.3%
	9	MSC Industrial Direct Co., Inc., Class A		649
	34	WESCO International, Inc. (a)		1,768
				2,417
		Total Industrials		32,295
		Information Technology — 25.4%
		Communications Equipment — 1.3%
	80	Brocade Communications Systems, Inc.		737
	32	Cisco Systems, Inc. (j)		909
	37	Juniper Networks, Inc.		843
				2,489
		Electronic Equipment, Instruments & Components — 1.0%
	19	SYNNEX Corp. (j)		1,823
		Internet Software & Services — 3.5%
	80	eBay, Inc. (a)		1,862
	32	GoDaddy, Inc., Class A (a)		985
	13	IAC/InterActive Corp.		709
	16	j2 Global, Inc. (j)		996
	23	VeriSign, Inc. (a) (j)		2,002
				6,554
		IT Services — 6.6%
	25	Amdocs Ltd. (j)		1,446
	42	Computer Sciences Corp.		2,062
	39	CoreLogic, Inc. (a) (j)		1,496
	13	International Business Machines Corp.		1,950
	69	Teradata Corp. (a)		1,737
	9	Total System Services, Inc.		485
	24	Vantiv, Inc., Class A (a)		1,385
	99	Western Union Co. (The)		1,890
				12,451
		Semiconductors & Semiconductor Equipment — 2.6%
	17	Lam Research Corp.		1,463
	42	Marvell Technology Group Ltd., (Bermuda)		401
	9	NVIDIA Corp. (j)		444
	16	QUALCOMM, Inc.		840
	91	Teradyne, Inc.		1,798
				4,946
		Software — 7.9%
	17	Activision Blizzard, Inc.		675
	60	CA, Inc.		1,980
	77	Cadence Design Systems, Inc. (a)		1,879
	23	Citrix Systems, Inc. (a) (j)		1,854
	38	Microsoft Corp.		1,932

SHARES		SECURITY DESCRIPTION	VALUE($)
		Software — continued
	113	Nuance Communications, Inc. (a) (j)		1,773
	17	Oracle Corp.		711
	100	Rovi Corp. (a)		1,560
	20	Synopsys, Inc. (a)		1,075
	34	Take-Two Interactive Software, Inc.(a)		1,306
				14,745
		Technology Hardware, Storage & Peripherals — 2.5%
	16	3D Systems Corp. (a)		221
	11	Apple, Inc. (j)		1,016
	101	HP, Inc.		1,265
	64	NCR Corp. (a)		1,779
	19	NetApp, Inc.		457
				4,738
		Total Information Technology		47,746
		Materials — 6.5%
		Chemicals — 2.1%
	42	Cabot Corp. (j)		1,929
	26	LyondellBasell Industries N.V., Class A		1,939
				3,868
		Containers & Packaging — 1.3%
	6	Berry Plastics Group, Inc. (a)		247
	15	Crown Holdings, Inc. (a)		765
	8	International Paper Co.		321
	26	Sealed Air Corp. (j)		1,201
				2,534
		Metals & Mining — 2.4%
	26	Reliance Steel & Aluminum Co.		1,978
	80	Steel Dynamics, Inc.		1,963
	31	United States Steel Corp.		524
				4,465
		Paper & Forest Products — 0.7%
	39	Domtar Corp.		1,376
		Total Materials		12,243
		Telecommunication Services — 1.5%
		Diversified Telecommunication Services — 1.5%
	66	CenturyLink, Inc.		1,926
	18	Verizon Communications, Inc.		979
		Total Telecommunication Services		2,905
		Utilities — 2.4%
		Electric Utilities — 1.1%
	25	Entergy Corp. (j)		2,018

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Long Positions — continued
	Common Stocks — continued
		Gas Utilities — 1.0%
	44	UGI Corp. (j)		2,011
		Multi-Utilities — 0.3%
	23	MDU Resources Group, Inc.		552
		Total Utilities		4,581
		Total Common Stocks (Cost $162,114)		176,048
	Short-Term Investment — 12.2%
		Investment Company — 12.2%
	23,007	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $23,007)		23,007
		Total Investments —105.8% (Cost $185,121)		199,055
		Liabilities in Excess of Other Assets — (5.8)%		(10,952	)
		NET ASSETS — 100.0%	$	188,103
	Short Positions — 93.0%
	Common Stocks — 93.0%
		Consumer Discretionary — 13.0%
		Auto Components — 0.5%
	28	BorgWarner, Inc.		839
		Automobiles — 0.7%
	7	Tesla Motors, Inc. (a)		1,380
		Hotels, Restaurants & Leisure — 2.7%
	15	Aramark		505
	4	Chipotle Mexican Grill, Inc. (a)		1,661
	24	Norwegian Cruise Line Holdings Ltd. (a)		955
	23	Wynn Resorts Ltd.		2,042
				5,163
		Household Durables — 1.3%
	7	Mohawk Industries, Inc. (a)		1,248
	26	Newell Brands, Inc.		1,240
				2,488
		Internet & Catalog Retail — 0.6%
	7	Netflix, Inc. (a)		677
	7	TripAdvisor, Inc. (a)		440
				1,117
		Media — 0.8%
	8	AMC Entertainment Holdings, Inc., Class A		218
	6	Charter Communications, Inc., Class A (a)		1,323
				1,541
		Multiline Retail — 1.9%
	17	Dollar Tree, Inc. (a)		1,647
	50	Nordstrom, Inc.		1,902
				3,549

SHARES		SECURITY DESCRIPTION	VALUE($)
		Specialty Retail — 2.6%
	26	CarMax, Inc. (a)		1,286
	31	DSW, Inc., Class A		654
	4	Signet Jewelers Ltd.		319
	8	TJX Cos., Inc. (The)		585
	13	Tractor Supply Co.		1,194
	3	Ulta Salon Cosmetics & Fragrance, Inc. (a)		773
				4,811
		Textiles, Apparel & Luxury Goods — 1.9%
	12	Columbia Sportswear Co.		667
	6	lululemon athletica, Inc., (Canada) (a)		451
	47	Under Armour, Inc., Class A (a)		1,885
	10	V.F. Corp.		632
				3,635
		Total Consumer Discretionary		24,523
		Consumer Staples — 6.9%
		Beverages — 3.3%
	4	Boston Beer Co., Inc. (The), Class A (a)		680
	11	Brown-Forman Corp., Class B		1,059
	12	Constellation Brands, Inc., Class A		2,063
	15	Monster Beverage Corp. (a)		2,366
				6,168
		Food & Staples Retailing — 0.8%
	9	Costco Wholesale Corp.		1,461
		Food Products — 1.1%
	44	WhiteWave Foods Co. (The) (a)		2,068
		Household Products — 0.7%
	16	Procter & Gamble Co. (The)		1,337
		Personal Products — 1.0%
	21	Estee Lauder Cos., Inc. (The), Class A		1,941
		Total Consumer Staples		12,975
		Energy — 3.9%
		Energy Equipment & Services — 0.7%
	16	Helmerich & Payne, Inc.		1,052
	29	Noble Corp. plc, (United Kingdom)		236
				1,288
		Oil, Gas & Consumable Fuels — 3.2%
	19	Chevron Corp.		2,000
	9	Concho Resources, Inc. (a)		1,103
	23	CONSOL Energy, Inc.		366
	66	Golar LNG Ltd., (Bermuda)		1,017
	132	Kosmos Energy Ltd. (a)		722

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 31

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short Positions — continued
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — continued
	22	Noble Energy, Inc.		774
				5,982
		Total Energy		7,270
		Financials — 3.4%
		Banks — 0.9%
	115	People’s United Financial, Inc.		1,684
		Capital Markets — 0.7%
	14	Artisan Partners Asset Management, Inc., Class A		396
	26	Franklin Resources, Inc.		854
				1,250
		Consumer Finance — 0.3%
	21	Navient Corp.		250
	15	OneMain Holdings, Inc. (a)		335
				585
		Insurance — 0.5%
	1	Markel Corp. (a)		977
		Real Estate Investment Trusts (REITs) — 1.0%
	28	Kilroy Realty Corp.		1,854
		Total Financials		6,350
		Health Care — 11.2%
		Biotechnology — 1.6%
	4	Alexion Pharmaceuticals, Inc. (a)		482
	5	Alnylam Pharmaceuticals, Inc. (a)		279
	5	BioMarin Pharmaceutical, Inc. (a)		405
	8	Bluebird Bio, Inc. (a)		360
	37	OPKO Health, Inc. (a)		341
	9	Puma Biotechnology, Inc. (a)		269
	1	Regeneron Pharmaceuticals, Inc. (a)		480
	12	Seattle Genetics, Inc. (a)		496
				3,112
		Health Care Equipment & Supplies — 1.3%
	2	Dentsply Sirona, Inc.		115
	30	DexCom, Inc. (a)		2,354
				2,469
		Health Care Providers & Services — 5.0%
	35	Acadia Healthcare Co., Inc. (a)		1,933
	53	Envision Healthcare Holdings, Inc. (a)		1,355
	6	Henry Schein, Inc. (a)		1,109
	46	Patterson Cos., Inc.		2,204
	32	Team Health Holdings, Inc. (a)		1,319
	11	Universal Health Services, Inc., Class B		1,432
				9,352

SHARES		SECURITY DESCRIPTION	VALUE($)
		Health Care Technology — 0.4%
	39	Inovalon Holdings, Inc., Class A (a)		710
		Life Sciences Tools & Services — 0.5%
	7	Illumina, Inc. (a)		937
		Pharmaceuticals — 2.4%
	60	Catalent, Inc. (a)		1,388
	15	Eli Lilly & Co.		1,158
	42	Zoetis, Inc.		1,988
				4,534
		Total Health Care		21,114
		Industrials — 18.0%
		Aerospace & Defense — 2.3%
	44	Hexcel Corp.		1,834
	12	Orbital ATK, Inc.		1,035
	4	TransDigm Group, Inc. (a)		963
	16	Triumph Group, Inc.		565
				4,397
		Airlines — 0.7%
	28	Spirit Airlines, Inc. (a)		1,258
		Building Products — 1.4%
	18	Armstrong World Industries, Inc. (a)		692
	32	Fortune Brands Home & Security, Inc.		1,881
				2,573
		Commercial Services & Supplies — 2.4%
	112	Covanta Holding Corp.		1,838
	29	Rollins, Inc.		861
	14	Stericycle, Inc. (a)		1,424
	6	Waste Connections, Inc., (Canada)		426
				4,549
		Electrical Equipment — 1.0%
	8	Acuity Brands, Inc.		1,897
		Machinery — 4.6%
	59	Donaldson Co., Inc.		2,022
	20	Graco, Inc.		1,564
	26	ITT, Inc.		838
	16	Middleby Corp. (The) (a)		1,852
	19	Oshkosh Corp.		890
	5	Snap-on, Inc.		856
	10	Wabtec Corp.		671
				8,693
		Professional Services — 0.9%
	20	Verisk Analytics, Inc. (a)		1,626

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short Positions — continued
	Common Stocks — continued
		Road & Rail — 2.9%
	17	Genesee & Wyoming, Inc., Class A (a)		1,016
	16	Kansas City Southern		1,473
	28	Old Dominion Freight Line, Inc. (a)		1,699
	21	Ryder System, Inc.		1,285
				5,473
		Trading Companies & Distributors — 1.8%
	44	Fastenal Co.		1,931
	7	W.W. Grainger, Inc.		1,557
				3,488
		Total Industrials		33,954
		Information Technology — 25.6%
		Communications Equipment — 1.6%
	30	CommScope Holding Co., Inc. (a)		928
	28	ViaSat, Inc. (a)		2,025
				2,953
		Electronic Equipment, Instruments & Components — 3.5%
	30	Amphenol Corp., Class A		1,700
	41	CDW Corp.		1,646
	3	Dolby Laboratories, Inc., Class A		166
	31	Jabil Circuit, Inc.		564
	21	Keysight Technologies, Inc. (a)		620
	70	National Instruments Corp.		1,916
				6,612
		Internet Software & Services — 5.5%
	15	Akamai Technologies, Inc. (a)		856
	9	CoStar Group, Inc. (a)		1,886
	6	LinkedIn Corp., Class A (a)		1,088
	159	Pandora Media, Inc. (a)		1,978
	21	Rackspace Hosting, Inc. (a)		435
	116	Twitter, Inc. (a)		1,967
	53	Yelp, Inc. (a)		1,611
	13	Zillow Group, Inc., Class C (a)		483
				10,304
		IT Services — 7.3%
	46	Booz Allen Hamilton Holding Corp.		1,365
	23	Broadridge Financial Solutions, Inc.		1,506
	17	DST Systems, Inc.		1,976
	27	EPAM Systems, Inc. (a)		1,762
	26	Fidelity National Information Services, Inc.		1,930
	20	Gartner, Inc. (a)		1,917
	37	MAXIMUS, Inc.		2,034
	22	Paychex, Inc.		1,337
				13,827

SHARES		SECURITY DESCRIPTION	VALUE($)
		Semiconductors & Semiconductor Equipment — 2.0%
	35	Cavium, Inc. (a)		1,340
	183	Cypress Semiconductor Corp.		1,929
	13	Microsemi Corp. (a)		420
				3,689
		Software — 5.7%
	49	FireEye, Inc. (a)		809
	24	NetSuite, Inc. (a)		1,770
	34	Splunk, Inc. (a)		1,820
	63	SS&C Technologies Holdings, Inc.		1,780
	9	Tableau Software, Inc., Class A (a)		462
	12	Tyler Technologies, Inc. (a)		1,955
	9	Ultimate Software Group, Inc. (The) (a)		1,903
	127	Zynga, Inc., Class A (a)		316
				10,815
		Total Information Technology		48,200
		Materials — 6.7%
		Chemicals — 3.3%
	12	Air Products & Chemicals, Inc.		1,717
	48	CF Industries Holdings, Inc.		1,152
	42	FMC Corp.		1,925
	13	Praxair, Inc.		1,410
				6,204
		Containers & Packaging — 0.3%
	8	Ball Corp.		594
		Metals & Mining — 3.1%
	38	Alcoa, Inc.		348
	24	Compass Minerals International, Inc.		1,755
	48	Freeport-McMoRan, Inc.		535
	62	Southern Copper Corp., (Peru)		1,664
	107	Tahoe Resources, Inc.		1,594
				5,896
		Total Materials		12,694
		Telecommunication Services — 1.3%
		Wireless Telecommunication Services — 1.3%
	367	Sprint Corp. (a)		1,664
	23	Telephone & Data Systems, Inc.		695
		Total Telecommunication Services		2,359
		Utilities — 3.0%
		Gas Utilities — 0.4%
	8	Atmos Energy Corp.		663

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 33

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short Positions — continued
	Common Stocks — continued
		Multi-Utilities — 2.0%
	27	Dominion Resources, Inc.		2,073
	15	Sempra Energy		1,659
				3,732
		Water Utilities — 0.6%
	14	American Water Works Co., Inc.		1,210
		Total Utilities		5,605
		Total Securities Sold Short (Proceeds $176,502)		$175,044

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS			DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016			NET UNREALIZED APPRECIATION (DEPRECIATION)
			Short Futures Outstanding
	(6	)	E-mini S&P 500		09/16/16		USD	$	(627	)	$	(8	)
	(8	)	S&P Mid Cap 400		09/16/16		USD		(1,194	)		(22	)
											$	(30	)

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 99.7%
		Consumer Discretionary — 15.6%
		Distributors — 1.3%
	1,240	Genuine Parts Co.		125,520
		Hotels, Restaurants & Leisure — 2.1%
	1,121	Brinker International, Inc.		51,044
	1,602	ClubCorp Holdings, Inc.		20,832
	3,252	Hilton Worldwide Holdings, Inc.		73,256
	4,100	La Quinta Holdings, Inc. (a)		46,742
	1,080	Red Rock Resorts, Inc., Class A (a)		23,745
				215,619
		Household Durables — 0.4%
	873	Newell Brands, Inc.		42,411
		Internet & Catalog Retail — 0.8%
	705	Expedia, Inc.		74,888
		Media — 4.8%
	1,199	CBS Corp. (Non-Voting), Class B		65,295
	364	Charter Communications, Inc., Class A (a)		83,314
	3,970	Clear Channel Outdoor Holdings, Inc., Class A		24,693
	2,452	DISH Network Corp., Class A (a)		128,459
	2,739	Entercom Communications Corp., Class A		37,175
	3,084	Media General, Inc. (a)		53,017
	499	Nexstar Broadcasting Group, Inc., Class A		23,733
	903	TEGNA, Inc.		20,917
	687	Time Warner, Inc.		50,544
				487,147
		Multiline Retail — 1.1%
	2,949	Kohl’s Corp.		111,837
		Specialty Retail — 4.2%
	100	AutoZone, Inc. (a)		79,082
	1,637	Bed Bath & Beyond, Inc.		70,730
	2,440	Best Buy Co., Inc.		74,649
	2,538	Gap, Inc. (The)		53,865
	498	Home Depot, Inc. (The)		63,527
	1,388	Tiffany & Co.		84,150
				426,003
		Textiles, Apparel & Luxury Goods — 0.9%
	863	Columbia Sportswear Co.		49,640
	1,713	Hanesbrands, Inc.		43,050
				92,690
		Total Consumer Discretionary		1,576,115
		Consumer Staples — 5.6%
		Beverages — 0.6%
	662	Dr. Pepper Snapple Group, Inc.		63,986

SHARES		SECURITY DESCRIPTION	VALUE($)
		Food & Staples Retailing — 1.5%
	826	CVS Health Corp.		79,072
	1,832	Kroger Co. (The)		67,403
				146,475
		Food Products — 1.7%
	1,870	Amplify Snack Brands, Inc. (a)		27,579
	849	Post Holdings, Inc. (a)		70,188
	740	TreeHouse Foods, Inc. (a)		75,990
				173,757
		Household Products — 1.8%
	979	Energizer Holdings, Inc.		50,411
	1,563	Procter & Gamble Co. (The)		132,373
				182,784
		Total Consumer Staples		567,002
		Energy — 7.5%
		Oil, Gas & Consumable Fuels — 7.5%
	1,291	ConocoPhillips		56,292
	822	EQT Corp.		63,640
	3,208	Exxon Mobil Corp.		300,690
	2,270	HollyFrontier Corp.		53,963
	4,898	Kinder Morgan, Inc.		91,698
	1,843	Marathon Petroleum Corp.		69,968
	1,881	PBF Energy, Inc., Class A		44,734
	955	Phillips 66		75,793
		Total Energy		756,778
		Financials — 33.9%
		Banks — 13.5%
	12,739	Bank of America Corp.		169,052
	814	CIT Group, Inc.		25,978
	2,262	Citigroup, Inc.		95,896
	4,118	Citizens Financial Group, Inc.		82,268
	2,782	Fifth Third Bancorp		48,932
	714	First Republic Bank		49,985
	1,338	M&T Bank Corp.		158,221
	779	National Bank Holdings Corp., Class A		15,864
	1,497	PNC Financial Services Group, Inc. (The)		121,857
	2,716	SunTrust Banks, Inc.		111,573
	2,575	U.S. Bancorp		103,834
	7,913	Wells Fargo & Co.		374,499
				1,357,959
		Capital Markets — 2.9%
	2,204	Charles Schwab Corp. (The)		55,778
	2,653	Morgan Stanley		68,928
	743	Northern Trust Corp.		49,239

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 35

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Capital Markets — continued
	1,604	T. Rowe Price Group, Inc.		117,068
				291,013
		Consumer Finance — 2.6%
	4,118	Ally Financial, Inc. (a)		70,291
	3,051	Capital One Financial Corp.		193,737
				264,028
		Insurance — 10.2%
	65	Alleghany Corp. (a)		35,802
	1,646	Allied World Assurance Co. Holdings AG, (Switzerland)		57,826
	2,864	American International Group, Inc.		151,472
	687	Chubb Ltd., (Switzerland)		89,799
	3,124	CNO Financial Group, Inc.		54,547
	2,722	Hartford Financial Services Group, Inc. (The)		120,802
	5,122	Loews Corp.		210,443
	563	Marsh & McLennan Cos., Inc.		38,536
	902	Prudential Financial, Inc.		64,349
	1,052	Travelers Cos., Inc. (The)		125,242
	2,421	Unum Group		76,957
				1,025,775
		Real Estate Investment Trusts (REITs) — 4.7%
	4,110	American Homes 4 Rent, Class A		84,167
	2,629	Brixmor Property Group, Inc.		69,566
	702	EastGroup Properties, Inc.		48,354
	876	HCP, Inc.		31,007
	1,819	Kimco Realty Corp.		57,077
	2,238	Outfront Media, Inc.		54,081
	3,368	Rayonier, Inc.		88,367
	1,556	Weyerhaeuser Co.		46,316
				478,935
		Total Financials		3,417,710
		Health Care — 9.6%
		Health Care Providers & Services — 3.4%
	950	Aetna, Inc.		116,003
	867	HCA Holdings, Inc. (a)		66,760
	1,117	UnitedHealth Group, Inc.		157,777
				340,540
		Pharmaceuticals — 6.2%
	1,518	Johnson & Johnson		184,097
	2,750	Merck & Co., Inc.		158,410
	8,184	Pfizer, Inc.		288,166
				630,673
		Total Health Care		971,213

SHARES		SECURITY DESCRIPTION	VALUE($)
		Industrials — 7.2%
		Aerospace & Defense — 2.1%
	768	Honeywell International, Inc.		89,287
	1,204	United Technologies Corp.		123,440
				212,727
		Airlines — 1.5%
	4,044	Delta Air Lines, Inc.		147,330
		Industrial Conglomerates — 1.1%
	997	Carlisle Cos., Inc.		105,334
		Machinery — 1.8%
	1,467	Dover Corp.		101,699
	805	Illinois Tool Works, Inc.		83,818
				185,517
		Trading Companies & Distributors — 0.7%
	303	W.W. Grainger, Inc.		68,743
		Total Industrials		719,651
		Information Technology — 7.5%
		Communications Equipment — 1.1%
	3,929	Cisco Systems, Inc.		112,729
		Electronic Equipment, Instruments & Components — 0.7%
	1,061	Arrow Electronics, Inc. (a)		65,646
		IT Services — 0.5%
	1,377	PayPal Holdings, Inc. (a)		50,282
		Semiconductors & Semiconductor Equipment — 3.3%
	560	Analog Devices, Inc.		31,724
	783	KLA-Tencor Corp.		57,354
	1,937	QUALCOMM, Inc.		103,768
	2,262	Texas Instruments, Inc.		141,702
				334,548
		Software — 1.3%
	2,535	Microsoft Corp.		129,695
		Technology Hardware, Storage & Peripherals — 0.6%
	2,477	Hewlett Packard Enterprise Co.		45,256
	1,545	HP, Inc.		19,386
				64,642
		Total Information Technology		757,542
		Materials — 3.3%
		Construction Materials — 0.9%
	446	Martin Marietta Materials, Inc.		85,701
		Containers & Packaging — 1.9%
	1,376	Ball Corp.		99,457
	2,468	WestRock Co.		95,943
				195,400

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Paper & Forest Products — 0.5%
	4,113	KapStone Paper & Packaging Corp.		53,506
		Total Materials		334,607
		Telecommunication Services — 2.1%
		Diversified Telecommunication Services — 1.0%
	1,839	Verizon Communications, Inc.		102,663
		Wireless Telecommunication Services — 1.1%
	2,477	T-Mobile US, Inc. (a)		107,184
		Total Telecommunication Services		209,847
		Utilities — 7.4%
		Electric Utilities — 6.5%
	1,741	American Electric Power Co., Inc.		122,013
	1,185	Duke Energy Corp.		101,652
	1,120	Edison International		87,025
	1,579	Eversource Energy		94,594
	969	NextEra Energy, Inc.		126,305
	2,749	Xcel Energy, Inc.		123,082
				654,671

SHARES		SECURITY DESCRIPTION	VALUE($)
		Multi-Utilities — 0.9%
	830	Sempra Energy		94,580
		Total Utilities		749,251
		Total Common Stocks (Cost $8,657,129)		10,059,716
	Short-Term Investment — 0.8%
		Investment Company — 0.8%
	80,433	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $80,433)		80,433
		Total Investments — 100.5% (Cost $8,737,562)		10,140,149
		Liabilities in Excess of Other Assets — (0.5)%		(49,198	)
		NET ASSETS — 100.0%	$	10,090,951

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 37

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

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

USD	—  United States Dollar
(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(h)	—  Amount rounds to less than 500 shares.
(j)	—  All or a portion of the security is segregated for short sales.
(l)	—  The rate shown is the current yield as of June 30, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 39

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

	Growth Advantage Fund		Mid Cap Equity Fund		Mid Cap Growth Fund
ASSETS:
Investments in non-affiliates, at value	$	5,812,837	$	2,303,947	$	2,773,712
Investments in affiliates, at value		103,543		51,139		69,664
Total investment securities, at value		5,916,380		2,355,086		2,843,376
Receivables:
Investment securities sold		7,500		16,529		14,447
Fund shares sold		62,187		2,830		5,632
Dividends from non-affiliates		1,408		1,814		414
Dividends from affiliates		20		17		27
Total Assets		5,987,495		2,376,276		2,863,896
LIABILITIES:
Payables:
Investment securities purchased		8,905		7,424		3,034
Fund shares redeemed		9,188		2,296		6,311
Accrued liabilities:
Investment advisory fees		3,160		1,249		1,486
Administration fees		397		157		181
Distribution fees		712		86		271
Shareholder servicing fees		462		56		167
Custodian and accounting fees		31		18		19
Trustees’ and Chief Compliance Officer’s fees		10		—		2
Sub-transfer agency fees		582		371		641
Other		448		270		301
Total Liabilities		23,895		11,927		12,413
Net Assets	$	5,963,600	$	2,364,349	$	2,851,483

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Growth Advantage Fund			Mid Cap Equity Fund			Mid Cap Growth Fund
NET ASSETS:
Paid-in-Capital	$	4,944,282		$	1,807,531		$	2,589,162
Accumulated undistributed (distributions in excess of) net investment income		(8,414	)		3,375			(4,220	)
Accumulated net realized gains (losses)		(221,418	)		21,696			(43,445	)
Net unrealized appreciation (depreciation)		1,249,150			531,747			309,986
Total Net Assets	$	5,963,600		$	2,364,349		$	2,851,483
Net Assets:
Class A	$	1,643,136		$	335,424		$	949,148
Class C		594,190			32,045			96,729
Class R2		—			688			32,092
Class R5		82,358			2,840			224,498
Class R6		2,720,935			1,370,912			619,527
Select Class		922,981			622,440			929,489
Total	$	5,963,600		$	2,364,349		$	2,851,483
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		113,924			7,809			40,507
Class C		46,023			766			5,079
Class R2		—			16			1,263
Class R5		5,506			65			8,396
Class R6		181,387			31,561			23,102
Select Class		62,568			14,338			35,043
Net Asset Value (a):
Class A — Redemption price per share	$	14.42		$	42.95		$	23.43
Class C — Offering price per share (b)		12.91			41.85			19.05
Class R2 — Offering and redemption price per share		—			42.75			25.41
Class R5 — Offering and redemption price per share		14.96			43.43			26.74
Class R6 — Offering and redemption price per share		15.00			43.44			26.82
Select Class — Offering and redemption price per share		14.75			43.41			26.52
Class A maximum sales charge		5.25	%		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	15.22		$	45.33		$	24.73
Cost of investments in non-affiliates	$	4,563,687		$	1,772,200		$	2,463,726
Cost of investments in affiliates		103,543			51,139			69,664

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

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

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 41

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

	Mid Cap Value Fund		Multi-Cap Market Neutral Fund		Value Advantage Fund
ASSETS:
Investments in non-affiliates, at value	$	14,976,782	$	176,048	$	10,059,716
Investments in affiliates, at value		522,537		23,007		80,433
Total investment securities, at value		15,499,319		199,055		10,140,149
Restricted Cash		—		7		—
Cash		—		123		—
Deposits at broker for futures contracts		—		100		—
Deposits at broker for securities sold short		—		165,230		—
Receivables:
Investment securities sold		130,573		25,101		27,924
Fund shares sold		37,661		5		18,726
Dividends from non-affiliates		21,347		146		10,250
Dividends from affiliates		184		6		38
Total Assets		15,689,084		389,773		10,197,087
LIABILITIES:
Payables:
Securities sold short, at value		—		175,044		—
Dividend expense to non-affiliates on securities sold short		—		115		—
Investment securities purchased		84,651		26,258		26,718
Interest expense to non-affiliates on securities sold short		—		2		—
Fund shares redeemed		24,797		31		69,812
Variation margin on futures contracts		—		30		—
Accrued liabilities:
Investment advisory fees		7,787		82		4,985
Administration fees		910		—		406
Distribution fees		832		5		870
Shareholder servicing fees		859		37		944
Custodian and accounting fees		61		9		52
Trustees’ and Chief Compliance Officer’s fees		34		—		20
Sub-transfer agency fees		4,114		7		1,843
Other		897		50		486
Total Liabilities		124,942		201,670		106,136
Net Assets	$	15,564,142	$	188,103	$	10,090,951

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Mid Cap Value Fund			Multi-Cap Market Neutral Fund			Value Advantage Fund
NET ASSETS:
Paid-in-Capital	$	10,170,649		$	184,419		$	8,843,081
Accumulated undistributed (distributions in excess of) net investment income		59,105			(583	)		73,682
Accumulated net realized gains (losses)		783,021			(11,095	)		(228,399	)
Net unrealized appreciation (depreciation)		4,551,367			15,362			1,402,587
Total Net Assets	$	15,564,142		$	188,103		$	10,090,951
Net Assets:
Class A	$	2,302,567		$	6,608		$	2,045,698
Class C		549,619			6,147			728,800
Class R2		66,167			—			—
Institutional Class		10,313,629			—			5,901,818
Select Class		2,332,160			175,348			1,414,635
Total	$	15,564,142		$	188,103		$	10,090,951
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		65,021			668			71,375
Class C		16,085			662			25,552
Class R2		1,938			—			—
Institutional Class		284,967			—			204,482
Select Class		65,154			17,312			49,012
Net Asset Value (a):
Class A — Redemption price per share	$	35.41		$	9.90		$	28.66
Class C — Offering price per share (b)		34.17			9.29			28.52
Class R2 — Offering and redemption price per share		34.14			—			—
Institutional Class — Offering and redemption price per share		36.19			—			28.86
Select Class — Offering and redemption price per share		35.79			10.13			28.86
Class A maximum sales charge		5.25	%		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	37.37		$	10.45		$	30.25
Cost of investments in non-affiliates	$	10,425,415		$	162,114		$	8,657,129
Cost of investments in affiliates		522,537			23,007			80,433
Proceeds from securities sold short		—			176,502			—

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

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

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 43

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Growth Advantage Fund			Mid Cap Equity Fund			Mid Cap Growth Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	39,681		$	33,397		$	18,310
Dividend income from affiliates		256			145			208
Total investment income		39,937			33,542			18,518
EXPENSES:
Investment advisory fees		37,786			18,521			18,910
Administration fees		4,766			2,335			2,384
Distribution fees:
Class A		3,839			664			2,420
Class C		3,769			202			696
Class R2		—			4			123
Shareholder servicing fees:
Class A		3,839			664			2,420
Class C		1,256			67			232
Class R2		—			2			62
Class R5		37			2			97
Select Class		2,980			3,179			2,927
Custodian and accounting fees		169			86			101
Professional fees		117			64			74
Trustees’ and Chief Compliance Officer’s fees		55			27			28
Printing and mailing costs		443			500			262
Registration and filing fees		624			191			265
Transfer agency fees (See Note 2.E.)		216			52			438
Sub-transfer agency fees (See Note 2.E.)		2,720			2,806			2,699
Other		120			28			41
Total expenses		62,736			29,394			34,179
Less fees waived		(2,358	)		(4,159	)		(4,483	)
Less expense reimbursements		(1	)		(529	)		(98	)
Net expenses		60,377			24,706			29,598
Net investment income (loss)		(20,440	)		8,836			(11,080	)
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from investments in non-affiliates		(145,387	)		58,144			181,344
Change in net unrealized appreciation/depreciation on investments in non-affiliates		(181,585	)		(300,510	)		(478,421	)
Net realized/unrealized gains (losses)		(326,972	)		(242,366	)		(297,077	)
Change in net assets resulting from operations	$	(347,412	)	$	(233,530	)	$	(308,157	)

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Mid Cap Value Fund			Multi-Cap Market Neutral Fund			Value Advantage Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	—		$	2		$	—
Dividend income from non-affiliates		266,931			3,738			238,953
Dividend income from affiliates		961			46			497
Total investment income		267,892			3,786			239,450
EXPENSES:
Investment advisory fees		97,745			2,188			70,060
Administration fees		12,327			201			8,836
Distribution fees:
Class A		5,880			17			5,404
Class C		4,137			50			5,333
Class R2		331			—			—
Shareholder servicing fees:
Class A		5,880			17			5,404
Class C		1,379			17			1,778
Class R2		165			—			—
Institutional Class		9,864			—			6,155
Select Class		5,508			581			4,377
Custodian and accounting fees		328			42			285
Interest expense to affiliates		—			2			—
Professional fees		207			59			152
Interest expense to non-affiliates		—			1			—
Trustees’ and Chief Compliance Officer’s fees		146			7			102
Printing and mailing costs		1,063			7			820
Registration and filing fees		299			38			496
Transfer agency fees (See Note 2.E.)		1,055			8			272
Sub-transfer agency fees (See Note 2.E.)		14,371			36			7,074
Other		207			7			96
Dividend expense to non-affiliates on securities sold short		—			2,710			—
Interest expense to non-affiliates on securities sold short		—			367			—
Total expenses		160,892			6,355			116,644
Less fees waived		(24,667	)		(694	)		(14,056	)
Less earnings credits		—	(a)		—			—
Less expense reimbursements		(1,397	)		—	(a)		(336	)
Net expenses		134,828			5,661			102,252
Net investment income (loss)		133,064			(1,875	)		137,198
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		921,071			4,489			(206,123	)
Futures		—			(4	)		—
Securities sold short		—			26,467			—
Foreign currency transactions		—			1			—
Net realized gain (loss)		921,071			30,953			(206,123	)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(753,064	)		(24,799	)		(248,822	)
Futures		—			(66	)		—
Securities sold short		—			750			—
Change in net unrealized appreciation/depreciation		(753,064	)		(24,115	)		(248,822	)
Net realized/unrealized gains (losses)		168,007			6,838			(454,945	)
Change in net assets resulting from operations	$	301,071		$	4,963		$	(317,747	)

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 45

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Growth Advantage Fund						Mid Cap Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	(20,440	)	$	(17,194	)	$	8,836		$	9,702
Net realized gain (loss)		(145,387	)		172,792			58,144			165,578
Change in net unrealized appreciation/depreciation		(181,585	)		461,167			(300,510	)		134,637
Change in net assets resulting from operations		(347,412	)		616,765			(233,530	)		309,917
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		—			—			(182	)		(81	)
From net realized gains		(57,173	)		(32,469	)		(12,309	)		(8,089	)
Class B (a)
From net realized gains		—			(98	)		—			—
Class C
From net realized gains		(20,218	)		(7,969	)		(1,246	)		(990	)
Class R2
From net investment income		—			—			—			—
From net realized gains		—			—			(39	)		(30	)
Class R5
From net investment income		—			—			(7	)		(2	)
From net realized gains		(2,457	)		(1,758	)		(147	)		(26	)
Class R6
From net investment income		—			—			(3,761	)		(3,446	)
From net realized gains		(86,200	)		(73,271	)		(61,528	)		(46,736	)
Select Class
From net investment income		—			—			(2,603	)		(3,414	)
From net realized gains		(48,267	)		(39,626	)		(75,744	)		(80,115	)
Total distributions to shareholders		(214,315	)		(155,191	)		(157,566	)		(142,929	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		1,337,047			1,161,499			(547,848	)		363,135
NET ASSETS:
Change in net assets		775,320			1,623,073			(938,944	)		530,123
Beginning of period		5,188,280			3,565,207			3,303,293			2,773,170
End of period	$	5,963,600		$	5,188,280		$	2,364,349		$	3,303,293
Accumulated undistributed (distributions in excess of) net investment income	$	(8,414	)	$	(10,303	)	$	3,375		$	(25	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Mid Cap Growth Fund						Mid Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	(11,080	)	$	(11,970	)	$	133,064		$	137,103
Net realized gain (loss)		181,344			173,141			921,071			1,096,684
Change in net unrealized appreciation/depreciation		(478,421	)		150,704			(753,064	)		(12,168	)
Change in net assets resulting from operations		(308,157	)		311,875			301,071			1,221,619
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		—			—			(9,590	)		(15,287	)
From net realized gains		(56,339	)		(80,615	)		(130,210	)		(197,218	)
Class B (a)
From net realized gains		—			(608	)		—			(668	)
Class C
From net investment income		—			—			—			(1,024	)
From net realized gains		(6,714	)		(6,222	)		(31,402	)		(45,175	)
Class R2
From net investment income		—			—			(113	)		(331	)
From net realized gains		(1,533	)		(345	)		(3,769	)		(5,603	)
Class R5
From net realized gains		(8,974	)		(3,427	)		—			—
Class R6
From net realized gains		(23,518	)		(7,943	)		—			—
Institutional Class
From net investment income		—			—			(89,774	)		(108,605	)
From net realized gains		—			—			(526,794	)		(711,308	)
Select Class
From net investment income		—			—			(14,584	)		(19,269	)
From net realized gains		(50,435	)		(119,065	)		(117,229	)		(172,337	)
Total distributions to shareholders		(147,513	)		(218,225	)		(923,465	)		(1,276,825	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		244,627			787,072			227,463			368,694
NET ASSETS:
Change in net assets		(211,043	)		880,722			(394,931	)		313,488
Beginning of period		3,062,526			2,181,804			15,959,073			15,645,585
End of period	$	2,851,483		$	3,062,526		$	15,564,142		$	15,959,073
Accumulated undistributed (distributions in excess of) net investment income	$	(4,220	)	$	(7,971	)	$	59,105		$	41,285

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 47

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Multi-Cap Market Neutral Fund						Value Advantage Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	(1,875	)	$	(3,300	)	$	137,198		$	87,727
Net realized gain (loss)		30,953			2,998			(206,123	)		148,940
Change in net unrealized appreciation/depreciation		(24,115	)		1,106			(248,822	)		322,296
Change in net assets resulting from operations		4,963			804			(317,747	)		558,963
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		—			—			(13,377	)		(18,586	)
From net realized gains		—			—			(22,474	)		(49,085	)
Class C
From net investment income		—			—			(1,450	)		(2,882	)
From net realized gains		—			—			(7,412	)		(12,315	)
Institutional Class
From net investment income		—			—			(77,515	)		(51,909	)
From net realized gains		—			—			(69,917	)		(93,724	)
Select Class
From net investment income		—			—			(9,572	)		(31,036	)
From net realized gains		—			—			(14,779	)		(67,644	)
Total distributions to shareholders		—			—			(216,496	)		(327,181	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(107,540	)		(161,126	)		(669,313	)		3,369,281
NET ASSETS:
Change in net assets		(102,577	)		(160,322	)		(1,203,556	)		3,601,063
Beginning of period		290,680			451,002			11,294,507			7,693,444
End of period	$	188,103		$	290,680		$	10,090,951		$	11,294,507
Accumulated undistributed (distributions in excess of) net investment income	$	(583	)	$	(889	)	$	73,682		$	39,348

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Growth Advantage Fund						Mid Cap Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	1,090,924		$	548,977		$	174,026		$	93,435
Distributions reinvested		56,255			31,822			12,454			8,101
Cost of shares redeemed		(535,940	)		(222,820	)		(64,301	)		(35,536	)
Conversion from Class B Shares		—			2,100			—			—
Change in net assets resulting from Class A capital transactions	$	611,239		$	360,079		$	122,179		$	66,000
Class B (a)
Proceeds from shares issued	$	—		$	225		$	—		$	—
Distributions reinvested		—			95			—			—
Cost of shares redeemed		—			(865	)		—			—
Conversion to Class A Shares		—			(2,100	)		—			—
Change in net assets resulting from Class B capital transactions	$	—		$	(2,645	)	$	—		$	—
Class C
Proceeds from shares issued	$	406,222		$	182,071		$	12,272		$	6,417
Distributions reinvested		18,351			6,954			1,246			990
Cost of shares redeemed		(105,053	)		(32,956	)		(4,843	)		(2,929	)
Change in net assets resulting from Class C capital transactions	$	319,520		$	156,069		$	8,675		$	4,478
Class R2
Proceeds from shares issued	$	—		$	—		$	235		$	336
Distributions reinvested		—			—			27			18
Cost of shares redeemed		—			—			(320	)		(251	)
Change in net assets resulting from Class R2 capital transactions	$	—		$	—		$	(58	)	$	103
Class R5
Proceeds from shares issued	$	41,933		$	77,457		$	2,174		$	1,637
Distributions reinvested		2,457			1,758			154			28
Cost of shares redeemed		(15,257	)		(1,506,939	)		(861	)		(186	)
Change in net assets resulting from Class R5 capital transactions	$	29,133		$	(1,427,724	)	$	1,467		$	1,479
Class R6
Proceeds from shares issued	$	708,587		$	1,928,585		$	260,148		$	369,933
Distributions reinvested		83,297			70,979			65,041			49,924
Cost of shares redeemed		(290,712	)		(53,688	)		(112,907	)		(35,342	)
Change in net assets resulting from Class R6 capital transactions	$	501,172		$	1,945,876		$	212,282		$	384,515
Select Class
Proceeds from shares issued	$	709,570		$	361,358		$	250,507		$	345,873
Distributions reinvested		31,907			23,846			64,677			60,746
Cost of shares redeemed		(865,494	)		(255,360	)		(1,207,577	)		(500,059	)
Change in net assets resulting from Select Class capital transactions	$	(124,017	)	$	129,844		$	(892,393	)	$	(93,440	)
Total change in net assets resulting from capital transactions	$	1,337,047		$	1,161,499		$	(547,848	)	$	363,135

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 49

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Growth Advantage Fund						Mid Cap Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		73,064			36,907			4,101			2,053
Reinvested		3,824			2,270			299			188
Redeemed		(37,546	)		(15,105	)		(1,522	)		(784	)
Conversion from Class B Shares		—			131			—			—
Change in Class A Shares		39,342			24,203			2,878			1,457
Class B (a)
Issued		—			17			—			—
Reinvested		—			7			—			—
Redeemed		—			(64	)		—			—
Conversion to Class A Shares		—			(146	)		—			—
Change in Class B Shares		—			(186	)		—			—
Class C
Issued		30,118			13,414			297			144
Reinvested		1,389			547			30			23
Redeemed		(8,092	)		(2,464	)		(116	)		(65	)
Change in Class C Shares		23,415			11,497			211			102
Class R2
Issued		—			—			6			7
Reinvested		—			—			1			—	(b)
Redeemed		—			—			(8	)		(6	)
Change in Class R2 Shares		—			—			(1	)		1
Class R5
Issued		2,743			5,216			47			35
Reinvested		161			122			4			1
Redeemed		(1,010	)		(101,089	)		(20	)		(4	)
Change in Class R5 Shares		1,894			(95,751	)		31			32
Class R6
Issued		47,326			128,407			6,062			8,126
Reinvested		5,459			4,909			1,544			1,145
Redeemed		(19,751	)		(3,544	)		(2,766	)		(779	)
Change in Class R6 Shares		33,034			129,772			4,840			8,492
Select Class
Issued		46,757			23,952			5,728			7,557
Reinvested		2,122			1,668			1,536			1,396
Redeemed		(62,228	)		(16,966	)		(30,292	)		(10,866	)
Change in Select Class Shares		(13,349	)		8,654			(23,028	)		(1,913	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth Advantage Fund.

(b) Amount rounds to less than 500.

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Mid Cap Growth Fund						Mid Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	297,295		$	274,574		$	358,763		$	394,792
Distributions reinvested		54,215			76,907			127,887			195,292
Cost of shares redeemed		(221,243	)		(162,077	)		(694,701	)		(1,360,678	)
Conversion from Class B Shares		—			3,778			—			6,728
Change in net assets resulting from Class A capital transactions	$	130,267		$	193,182		$	(208,051	)	$	(763,866	)
Class B (a)
Proceeds from shares issued	$	—		$	27		$	—		$	22
Distributions reinvested		—			593			—			639
Cost of shares redeemed		—			(1,919	)		—			(4,670	)
Conversion to Class A Shares		—			(3,778	)		—			(6,728	)
Change in net assets resulting from Class B capital transactions	$	—		$	(5,077	)	$	—		$	(10,737	)
Class C
Proceeds from shares issued	$	56,492		$	37,238		$	28,896		$	27,636
Distributions reinvested		5,744			5,274			25,199			36,724
Cost of shares redeemed		(23,954	)		(8,786	)		(73,557	)		(72,861	)
Change in net assets resulting from Class C capital transactions	$	38,282		$	33,726		$	(19,462	)	$	(8,501	)
Class R2
Proceeds from shares issued	$	31,035		$	8,894		$	14,006		$	16,445
Distributions reinvested		1,494			345			3,715			5,637
Cost of shares redeemed		(6,825	)		(1,635	)		(20,042	)		(21,709	)
Change in net assets resulting from Class R2 capital transactions	$	25,704		$	7,604		$	(2,321	)	$	373
Class R5
Proceeds from shares issued	$	120,489		$	139,213		$	—		$	—
Distributions reinvested		8,974			3,427			—			—
Cost of shares redeemed		(42,206	)		(10,062	)		—			—
Change in net assets resulting from Class R5 capital transactions	$	87,257		$	132,578		$	—		$	—
Class R6
Proceeds from shares issued	$	509,276		$	185,884		$	—		$	—
Distributions reinvested		23,176			7,291			—			—
Cost of shares redeemed		(120,874	)		(26,514	)		—			—
Change in net assets resulting from Class R6 capital transactions	$	411,578		$	166,661		$	—		$	—
Institutional Class
Proceeds from shares issued	$	—		$	—		$	2,148,891		$	2,898,688
Distributions reinvested		—			—			515,077			686,825
Cost of shares redeemed		—			—			(2,275,447	)		(1,786,837	)
Change in net assets resulting from Institutional Class capital transactions	$	—		$	—		$	388,521		$	1,798,676
Select Class
Proceeds from shares issued	$	596,426		$	427,509		$	575,208		$	1,046,215
Distributions reinvested		41,535			103,039			119,621			174,083
Cost of shares redeemed		(484,304	)		(272,150	)		(626,053	)		(1,867,549	)
Redemptions in-kind (See Note 7)		(602,118	)		—			—			—
Change in net assets resulting from Select Class capital transactions	$	(448,461	)	$	258,398		$	68,776		$	(647,251	)
Total change in net assets resulting from capital transactions	$	244,627		$	787,072		$	227,463		$	368,694

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 51

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Mid Cap Growth Fund						Mid Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		11,900			10,468			10,465			10,652
Reinvested		2,266			3,166			3,881			5,494
Redeemed		(9,178	)		(6,089	)		(20,274	)		(36,773	)
Conversion from Class B Shares		—			136			—			178
Change in Class A Shares		4,988			7,681			(5,928	)		(20,449	)
Class B (a)
Issued		—			1			—			1
Reinvested		—			37			—			18
Redeemed		—			(106	)		—			(128	)
Conversion to Class A Shares		—			(202	)		—			(182	)
Change in Class B Shares		—			(270	)		—			(291	)
Class C
Issued		2,722			1,668			877			779
Reinvested		295			262			794			1,070
Redeemed		(1,230	)		(396	)		(2,221	)		(2,021	)
Change in Class C Shares		1,787			1,534			(550	)		(172	)
Class R2
Issued		1,143			310			421			458
Reinvested		57			13			117			164
Redeemed		(266	)		(57	)		(606	)		(607	)
Change in Class R2 Shares		934			266			(68	)		15
Class R5
Issued		4,352			4,578			—			—
Reinvested		329			125			—			—
Redeemed		(1,554	)		(334	)		—			—
Change in Class R5 Shares		3,127			4,369			—			—
Class R6
Issued		18,275			6,285			—			—
Reinvested		849			266			—			—
Redeemed		(4,509	)		(882	)		—			—
Change in Class R6 Shares		14,615			5,669			—			—
Institutional Class
Issued		—			—			61,500			75,729
Reinvested		—			—			15,274			18,860
Redeemed		—			—			(65,137	)		(47,177	)
Change in Institutional Class Shares		—			—			11,637			47,412
Select Class
Issued		21,225			14,507			16,809			27,961
Reinvested		1,536			3,790			3,589			4,839
Redeemed		(17,722	)		(9,299	)		(18,078	)		(48,879	)
Redemptions in-kind (See Note 7)		(20,287	)		—			—			—
Change in Select Class Shares		(15,248	)		8,998			2,320			(16,079	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Multi-Cap Market Neutral Fund						Value Advantage Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	3,218		$	558		$	696,311		$	1,131,012
Distributions reinvested		—			—			34,339			63,610
Cost of shares redeemed		(2,889	)		(4,659	)		(1,032,013	)		(503,182	)
Conversion from Class B Shares		—			79			—			—
Change in net assets resulting from Class A capital transactions	$	329		$	(4,022	)	$	(301,363	)	$	691,440
Class B (a)
Cost of shares redeemed		—			(129	)		—			—
Conversion to Class A Shares		—			(79	)		—			—
Change in net assets resulting from Class B capital transactions	$	—		$	(208	)	$	—		$	—
Class C
Proceeds from shares issued	$	1,852		$	522		$	188,939		$	341,265
Distributions reinvested		—			—			7,489			12,024
Cost of shares redeemed		(2,446	)		(2,310	)		(140,118	)		(65,697	)
Change in net assets resulting from Class C capital transactions	$	(594	)	$	(1,788	)	$	56,310		$	287,592
Institutional Class
Proceeds from shares issued	$	—		$	—		$	3,435,571		$	2,416,260
Distributions reinvested		—			—			138,955			134,005
Cost of shares redeemed		—			—			(2,438,224	)		(641,266	)
Change in net assets resulting from Institutional Class capital transactions	$	—		$	—		$	1,136,302		$	1,908,999
Select Class
Proceeds from shares issued	$	4,346		$	8,612		$	675,086		$	883,261
Distributions reinvested		—			—			17,378			87,369
Cost of shares redeemed		(111,621	)		(163,720	)		(2,253,026	)		(489,380	)
Change in net assets resulting from Select Class capital transactions	$	(107,275	)	$	(155,108	)	$	(1,560,562	)	$	481,250
Total change in net assets resulting from capital transactions	$	(107,540	)	$	(161,126	)	$	(669,313	)	$	3,369,281

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Multi-Cap Market Neutral Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 53

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Multi-Cap Market Neutral Fund						Value Advantage Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		316			56			24,694			38,204
Reinvested		—			—			1,244			2,177
Redeemed		(284	)		(468	)		(36,328	)		(16,986	)
Conversion from Class B Shares		—			8			—			—
Change in Class A Shares		32			(404	)		(10,390	)		23,395
Class B (a)
Redeemed		—			(14	)		—			—
Conversion to Class A Shares		—			(8	)		—			—
Change in Class B Shares		—			(22	)		—			—
Class C
Issued		194			56			6,724			11,531
Reinvested		—			—			273			414
Redeemed		(258	)		(245	)		(5,029	)		(2,215	)
Change in Class C Shares		(64	)		(189	)		1,968			9,730
Institutional Class
Issued		—			—			120,136			81,240
Reinvested		—			—			5,004			4,545
Redeemed		—			—			(88,948	)		(21,282	)
Change in Institutional Class Shares		—			—			36,192			64,503
Select Class
Issued		416			848			24,052			29,705
Reinvested		—			—			626			2,972
Redeemed		(10,669	)		(16,074	)		(78,871	)		(16,492	)
Change in Select Class Shares		(10,253	)		(15,226	)		(54,193	)		16,185

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Multi-Cap Market Neutral Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 55

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Growth Advantage Fund
Class A
Year Ended June 30, 2016	$	15.74	$	(0.08	)	$	(0.71	)	$	(0.79	)	$	—		$	(0.53	)	$	(0.53	)
Year Ended June 30, 2015		14.24		(0.10	)		2.17			2.07			—			(0.57	)		(0.57	)
Year Ended June 30, 2014		11.43		(0.07	)		3.52			3.45			—			(0.64	)		(0.64	)
Year Ended June 30, 2013		9.49		0.01	(g)		1.97			1.98			(0.01	)		(0.03	)		(0.04	)
Year Ended June 30, 2012		9.28		(0.03	)(h)		0.24			0.21			—			—			—
Class C
Year Ended June 30, 2016		14.22		(0.14	)		(0.64	)		(0.78	)		—			(0.53	)		(0.53	)
Year Ended June 30, 2015		12.98		(0.15	)		1.96			1.81			—			(0.57	)		(0.57	)
Year Ended June 30, 2014		10.51		(0.12	)		3.23			3.11			—			(0.64	)		(0.64	)
Year Ended June 30, 2013		8.77		(0.04	)(g)		1.81			1.77			—			(0.03	)		(0.03	)
Year Ended June 30, 2012		8.61		(0.07	)(h)		0.23			0.16			—			—			—
Class R5
Year Ended June 30, 2016		16.25		(0.03	)		(0.73	)		(0.76	)		—			(0.53	)		(0.53	)
Year Ended June 30, 2015		14.63		(0.04	)		2.23			2.19			—			(0.57	)		(0.57	)
Year Ended June 30, 2014		11.68		(0.02	)		3.61			3.59			—			(0.64	)		(0.64	)
Year Ended June 30, 2013		9.69		0.06	(g)		2.01			2.07			(0.05	)		(0.03	)		(0.08	)
Year Ended June 30, 2012		9.44		0.01	(h)		0.24			0.25			—			—			—
Class R6
Year Ended June 30, 2016		16.27		(0.01	)		(0.73	)		(0.74	)		—			(0.53	)		(0.53	)
Year Ended June 30, 2015		14.64		(0.03	)		2.23			2.20			—			(0.57	)		(0.57	)
December 23, 2013 (i) through June 30, 2014		13.86		(0.01	)		0.79			0.78			—			—			—
Select Class
Year Ended June 30, 2016		16.06		(0.06	)		(0.72	)		(0.78	)		—			(0.53	)		(0.53	)
Year Ended June 30, 2015		14.50		(0.07	)		2.20			2.13			—			(0.57	)		(0.57	)
Year Ended June 30, 2014		11.60		(0.04	)		3.58			3.54			—			(0.64	)		(0.64	)
Year Ended June 30, 2013		9.63		0.04	(g)		1.98			2.02			(0.02	)		(0.03	)		(0.05	)
Year Ended June 30, 2012		9.39		(0.02	)(h)		0.26			0.24			—			—			—

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

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

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

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.02), $(0.06), $0.03 and $0.01 for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, 0.27% and 0.09% for Class A, Class C, Class R5 and Select Class Shares, respectively.

(h) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $(0.05), $(0.09), $(0.01) and $(0.03) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.56)%, (1.03)%, (0.12)% and (0.37)% for Class A, Class C, Class R5 and Select Class Shares, respectively.

(i) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings  credits			Portfolio turnover rate (c)(f)
$	14.42		(5.07	)%	$	1,643,136		1.25	%		(0.55	)%		1.35	%		46	%
	15.74		14.99			1,174,260		1.24			(0.65	)		1.35			46
	14.24		30.69			717,564		1.24			(0.51	)		1.31			62
	11.43		20.95			276,670		1.24			0.11	(g)		1.28			76
	9.49		2.26			194,911		1.25			(0.37	)(h)		1.30			86
	12.91		(5.55	)		594,190		1.75			(1.04	)		1.85			46
	14.22		14.43			321,500		1.74			(1.14	)		1.84			46
	12.98		30.12			144,229		1.74			(1.01	)		1.81			62
	10.51		20.27			42,655		1.74			(0.38	)(g)		1.78			76
	8.77		1.86			27,469		1.75			(0.84	)(h)		1.80			86
	14.96		(4.72	)		82,358		0.89			(0.20	)		0.90			46
	16.25		15.42			58,686		0.86			(0.25	)		0.87			46
	14.63		31.25			1,453,864		0.85			(0.11	)		0.86			62
	11.68		21.49			835,233		0.83			0.55	(g)		0.84			76
	9.69		2.65			468,064		0.85			0.07	(h)		0.85			86
	15.00		(4.59	)		2,720,935		0.76			(0.07	)		0.76			46
	16.27		15.48			2,414,333		0.76			(0.17	)		0.77			46
	14.64		5.63			271,958		0.80			(0.15	)		0.82			62
	14.75		(4.91	)		922,981		1.08			(0.41	)		1.09			46
	16.06		15.14			1,219,501		1.09			(0.48	)		1.09			46
	14.50		31.03			975,175		1.05			(0.30	)		1.06			62
	11.60		21.14			842,783		1.03			0.37	(g)		1.03			76
	9.63		2.56			662,786		1.05			(0.18	)(h)		1.05			86

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 57

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Mid Cap Equity Fund
Class A
Year Ended June 30, 2016	$	47.12	$	(0.01	)	$	(2.02	)	$	(2.03	)	$	(0.03	)	$	(2.11	)	$	(2.14	)
Year Ended June 30, 2015		44.91		(0.03	)		4.32			4.29			(0.02	)		(2.06	)		(2.08	)
Year Ended June 30, 2014		38.10		(0.04	)		10.25			10.21			(0.02	)		(3.38	)		(3.40	)
Year Ended June 30, 2013		30.97		0.10	(g)		7.36			7.46			(0.07	)		(0.26	)		(0.33	)
Year Ended June 30, 2012		31.29		0.10	(h)		(0.34	)		(0.24	)		(0.08	)		—			(0.08	)
Class C
Year Ended June 30, 2016		46.16		(0.23	)		(1.97	)		(2.20	)		—			(2.11	)		(2.11	)
Year Ended June 30, 2015		44.21		(0.25	)		4.23			3.98			—			(2.03	)		(2.03	)
Year Ended June 30, 2014		37.71		(0.24	)		10.12			9.88			—			(3.38	)		(3.38	)
Year Ended June 30, 2013		30.75		(0.07	)(g)		7.29			7.22			—	(i)		(0.26	)		(0.26	)
Year Ended June 30, 2012		31.16		(0.05	)(h)		(0.35	)		(0.40	)		(0.01	)		—			(0.01	)
Class R2
Year Ended June 30, 2016		46.98		(0.13	)		(1.99	)		(2.12	)		—			(2.11	)		(2.11	)
Year Ended June 30, 2015		44.87		(0.14	)		4.30			4.16			—			(2.05	)		(2.05	)
March 14, 2014 (j) through June 30, 2014		42.92		(0.05	)		2.01			1.96			(0.01	)		—			(0.01	)
Class R5
Year Ended June 30, 2016		47.49		0.18			(2.03	)		(1.85	)		(0.10	)		(2.11	)		(2.21	)
Year Ended June 30, 2015		45.15		0.20			4.33			4.53			(0.13	)		(2.06	)		(2.19	)
March 14, 2014 (j) through June 30, 2014		43.14		0.04			2.02			2.06			(0.05	)		—			(0.05	)
Class R6
Year Ended June 30, 2016		47.49		0.20			(2.02	)		(1.82	)		(0.12	)		(2.11	)		(2.23	)
Year Ended June 30, 2015		45.15		0.20			4.34			4.54			(0.14	)		(2.06	)		(2.20	)
March 14, 2014 (j) through June 30, 2014		43.14		0.04			2.02			2.06			(0.05	)		—			(0.05	)
Select Class
Year Ended June 30, 2016		47.47		0.11			(1.99	)		(1.88	)		(0.07	)		(2.11	)		(2.18	)
Year Ended June 30, 2015		45.15		0.13			4.34			4.47			(0.09	)		(2.06	)		(2.15	)
Year Ended June 30, 2014		38.22		0.11			10.30			10.41			(0.10	)		(3.38	)		(3.48	)
Year Ended June 30, 2013		31.05		0.20	(g)		7.40			7.60			(0.17	)		(0.26	)		(0.43	)
Year Ended June 30, 2012		31.36		0.19	(h)		(0.33	)		(0.14	)		(0.17	)		—			(0.17	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

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

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

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.03, $(0.14) and $0.14 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.09%, (0.39)% and 0.39% for Class A, Class C and Select Class Shares, respectively.

(h) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $0.05, $(0.10) and $0.14 for Class A, Class C and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.18%, (0.33)% and 0.48% for Class A, Class C and Select Class Shares, respectively.

(i) Amount rounds to less than $0.005.

(j) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)(f)
$	42.95		(4.17	)%	$	335,424		1.25	%		(0.03	)%		1.43	%		39	%
	47.12		9.99			232,320		1.24			(0.06	)		1.44			41
	44.91		27.96			156,016		1.24			(0.08	)		1.41			47
	38.10		24.23			21,171		1.24			0.27	(g)		1.49			67
	30.97		(0.76	)		6,965		1.24			0.34	(h)		1.54			55
	41.85		(4.64	)		32,045		1.75			(0.54	)		1.96			39
	46.16		9.44			25,597		1.74			(0.56	)		1.91			41
	44.21		27.34			20,018		1.74			(0.57	)		1.93			47
	37.71		23.60			6,136		1.74			(0.21	)(g)		2.00			67
	30.75		(1.29	)		1,244		1.75			(0.18	)(h)		2.03			55
	42.75		(4.38	)		688		1.50			(0.30	)		1.81			39
	46.98		9.71			823		1.49			(0.31	)		1.69			41
	44.87		4.56			688		1.47			(0.41	)		1.60			47
	43.43		(3.73	)		2,840		0.80			0.42			0.91			39
	47.49		10.49			1,636		0.79			0.43			0.88			41
	45.15		4.77			91		0.78			0.27			0.91			47
	43.44		(3.66	)		1,370,912		0.74			0.46			0.77			39
	47.49		10.53			1,268,988		0.74			0.45			0.80			41
	45.15		4.78			823,036		0.73			0.34			0.86			47
	43.41		(3.81	)		622,440		0.90			0.25			1.20			39
	47.47		10.35			1,773,929		0.89			0.29			1.16			41
	45.15		28.45			1,773,321		0.89			0.27			1.18			47
	38.22		24.64			932,920		0.89			0.57	(g)		1.23			67
	31.05		(0.42	)		813,125		0.89			0.64	(h)		1.30			55

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 59

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net realized gain
Mid Cap Growth Fund
Class A
Year Ended June 30, 2016	$	27.71	$	(0.15	)	$	(2.67	)	$	(2.82	)	$	(1.46	)
Year Ended June 30, 2015		27.49		(0.18	)		3.19			3.01			(2.79	)
Year Ended June 30, 2014		22.99		(0.13	)(g)		7.42			7.29			(2.79	)
Year Ended June 30, 2013		19.52		(0.04	)(h)		4.50			4.46			(0.99	)
Year Ended June 30, 2012		23.30		(0.05	)(i)		(1.72	)		(1.77	)		(2.01	)
Class C
Year Ended June 30, 2016		22.93		(0.22	)		(2.20	)		(2.42	)		(1.46	)
Year Ended June 30, 2015		23.35		(0.26	)		2.63			2.37			(2.79	)
Year Ended June 30, 2014		19.97		(0.22	)(g)		6.39			6.17			(2.79	)
Year Ended June 30, 2013		17.17		(0.12	)(h)		3.91			3.79			(0.99	)
Year Ended June 30, 2012		20.88		(0.13	)(i)		(1.57	)		(1.70	)		(2.01	)
Class R2
Year Ended June 30, 2016		29.96		(0.18	)		(2.91	)		(3.09	)		(1.46	)
Year Ended June 30, 2015		29.54		(0.24	)		3.45			3.21			(2.79	)
Year Ended June 30, 2014		24.56		(0.20	)(g)		7.97			7.77			(2.79	)
Year Ended June 30, 2013		20.83		(0.07	)(h)		4.79			4.72			(0.99	)
Year Ended June 30, 2012		24.73		(0.07	)(i)		(1.82	)		(1.89	)		(2.01	)
Class R5
Year Ended June 30, 2016		31.26		(0.03	)		(3.03	)		(3.06	)		(1.46	)
Year Ended June 30, 2015		30.52		(0.07	)		3.60			3.53			(2.79	)
Year Ended June 30, 2014		25.15		(0.02	)(g)		8.18			8.16			(2.79	)
Year Ended June 30, 2013		21.18		0.06	(h)		4.90			4.96			(0.99	)
November 1, 2011(j) through June 30, 2012		21.75		0.04	(i)		1.40			1.44			(2.01	)
Class R6
Year Ended June 30, 2016		31.33		(0.02	)		(3.03	)		(3.05	)		(1.46	)
Year Ended June 30, 2015		30.57		(0.06	)		3.61			3.55			(2.79	)
Year Ended June 30, 2014		25.17		—	(g)(k)		8.19			8.19			(2.79	)
Year Ended June 30, 2013		21.19		0.08	(h)		4.89			4.97			(0.99	)
November 1, 2011(j) through June 30, 2012		21.75		0.08	(i)		1.37			1.45			(2.01	)
Select Class
Year Ended June 30, 2016		31.06		(0.09	)		(2.99	)		(3.08	)		(1.46	)
Year Ended June 30, 2015		30.39		(0.11	)		3.57			3.46			(2.79	)
Year Ended June 30, 2014		25.08		(0.06	)(g)		8.16			8.10			(2.79	)
Year Ended June 30, 2013		21.15		0.03	(h)		4.89			4.92			(0.99	)
Year Ended June 30, 2012		24.97		0.02	(i)		(1.83	)		(1.81	)		(2.01	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

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

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

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $(0.14), $(0.23), $(0.20), $(0.02), $(0.01) and $(0.06) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.53)%, (1.03)%, (0.73)%, (0.08)%, (0.03)% and (0.22)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings  credits			Portfolio turnover rate (c)(f)
$	23.43		(10.29	)%	$	949,148		1.24	%		(0.59	)%		1.40	%		56	%
	27.71		12.37			984,262		1.23			(0.68	)		1.35			57
	27.49		33.44			765,310		1.24			(0.51	)(g)		1.37			69
	22.99		23.70			586,787		1.23			(0.17	)(h)		1.45			70
	19.52		(6.61	)		538,323		1.24			(0.23	)(i)		1.38			70
	19.05		(10.70	)		96,729		1.74			(1.08	)		1.90			56
	22.93		11.78			75,494		1.73			(1.19	)		1.86			57
	23.35		32.85			41,047		1.73			(1.01	)(g)		1.86			69
	19.97		23.03			23,745		1.73			(0.67	)(h)		1.95			70
	17.17		(7.06	)		22,190		1.75			(0.75	)(i)		1.88			70
	25.41		(10.42	)		32,092		1.40			(0.71	)		1.71			56
	29.96		12.18			9,868		1.39			(0.85	)		1.64			57
	29.54		33.25			1,852		1.40			(0.71	)(g)		1.59			69
	24.56		23.46			320		1.39			(0.32	)(h)		1.71			70
	20.83		(6.72	)		230		1.40			(0.35	)(i)		1.63			70
	26.74		(9.87	)		224,498		0.79			(0.13	)		0.91			56
	31.26		12.87			164,713		0.78			(0.25	)		0.87			57
	30.52		34.06			27,454		0.79			(0.06	)(g)		0.92			69
	25.15		24.22			17,848		0.79			0.28	(h)		1.00			70
	21.18		7.71			14,837		0.78			0.31	(i)		0.92			70
	26.82		(9.82	)		619,527		0.73			(0.06	)		0.77			56
	31.33		12.92			265,905		0.73			(0.19	)		0.78			57
	30.57		34.16			86,150		0.74			(0.01	)(g)		0.86			69
	25.17		24.26			47,434		0.74			0.34	(h)		0.98			70
	21.19		7.76			13,982		0.73			0.58	(i)		0.87			70
	26.52		(10.01	)		929,489		0.93			(0.31	)		1.13			56
	31.06		12.68			1,562,284		0.92			(0.37	)		1.12			57
	30.39		33.91			1,254,748		0.93			(0.20	)(g)		1.12			69
	25.08		24.06			894,740		0.93			0.14	(h)		1.20			70
	21.15		(6.31	)		827,306		0.93			0.09	(i)		1.13			70

(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.17), $(0.13), $0.01, $0.02 and $(0.02) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.42)%, (0.92)%, (0.57)%, 0.04%, 0.09% and (0.10)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

(i) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $(0.09), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.46)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

(j) Commencement of offering of class of shares.

(k) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 61

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments		Total from investment operations		Net investment income			Net realized gain			Total distributions
Mid Cap Value Fund
Class A
Year Ended June 30, 2016	$	36.98	$	0.19		$	0.33	$	0.52	$	(0.14	)	$	(1.95	)	$	(2.09	)
Year Ended June 30, 2015		37.25		0.20			2.52		2.72		(0.20	)		(2.79	)		(2.99	)
Year Ended June 30, 2014		31.68		0.15	(e)		7.02		7.17		(0.15	)		(1.45	)		(1.60	)
Year Ended June 30, 2013		25.80		0.19	(f)		6.20		6.39		(0.29	)		(0.22	)		(0.51	)
Year Ended June 30, 2012		24.76		0.20			1.00		1.20		(0.16	)		—			(0.16	)
Class C
Year Ended June 30, 2016		35.79		0.01			0.32		0.33		—			(1.95	)		(1.95	)
Year Ended June 30, 2015		36.19		0.01			2.44		2.45		(0.06	)		(2.79	)		(2.85	)
Year Ended June 30, 2014		30.84		(0.03	)(e)		6.83		6.80		—	(g)		(1.45	)		(1.45	)
Year Ended June 30, 2013		25.14		0.05	(f)		6.03		6.08		(0.16	)		(0.22	)		(0.38	)
Year Ended June 30, 2012		24.13		0.07			0.98		1.05		(0.04	)		—			(0.04	)
Class R2
Year Ended June 30, 2016		35.73		0.10			0.32		0.42		(0.06	)		(1.95	)		(2.01	)
Year Ended June 30, 2015		36.14		0.10			2.43		2.53		(0.15	)		(2.79	)		(2.94	)
Year Ended June 30, 2014		30.81		0.06	(e)		6.82		6.88		(0.10	)		(1.45	)		(1.55	)
Year Ended June 30, 2013		25.18		0.12	(f)		6.03		6.15		(0.30	)		(0.22	)		(0.52	)
Year Ended June 30, 2012		24.27		0.14			0.97		1.11		(0.20	)		—			(0.20	)
Institutional Class
Year Ended June 30, 2016		37.76		0.37			0.33		0.70		(0.32	)		(1.95	)		(2.27	)
Year Ended June 30, 2015		37.99		0.40			2.56		2.96		(0.40	)		(2.79	)		(3.19	)
Year Ended June 30, 2014		32.26		0.32	(e)		7.17		7.49		(0.31	)		(1.45	)		(1.76	)
Year Ended June 30, 2013		26.24		0.34	(f)		6.31		6.65		(0.41	)		(0.22	)		(0.63	)
Year Ended June 30, 2012		25.19		0.32			1.01		1.33		(0.28	)		—			(0.28	)
Select Class
Year Ended June 30, 2016		37.36		0.28			0.33		0.61		(0.23	)		(1.95	)		(2.18	)
Year Ended June 30, 2015		37.61		0.28			2.55		2.83		(0.29	)		(2.79	)		(3.08	)
Year Ended June 30, 2014		31.95		0.23	(e)		7.10		7.33		(0.22	)		(1.45	)		(1.67	)
Year Ended June 30, 2013		26.01		0.27	(f)		6.24		6.51		(0.35	)		(0.22	)		(0.57	)
Year Ended June 30, 2012		24.97		0.26			1.01		1.27		(0.23	)		—			(0.23	)

(a) Calculated based upon average shares outstanding.

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

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.14, $(0.03), $0.05, $0.32 and $0.23 for Class A, Class C, Class R2, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.41%, (0.10)%, 0.16%, 0.90% and 0.66% for Class A, Class C, Class R2, Institutional Class and Select Class Shares, respectively.

(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.16, $0.01, $0.09, $0.31 and $0.23 for Class A, Class C, Class R2, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.04%, 0.31%, 1.04% and 0.80% for Class A, Class C, Class R2, Institutional Class and Select Class Shares, respectively.

(g) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	35.41		1.85	%	$	2,302,567		1.24	%		0.54	%		1.41	%		20	%
	36.98		7.68			2,623,772		1.23			0.53			1.38			18
	37.25		23.25			3,404,974		1.23			0.42	(e)		1.37			25
	31.68		25.06			3,157,503		1.23			0.67	(f)		1.38			23
	25.80		4.92			1,986,930		1.24			0.83			1.41			30
	34.17		1.35			549,619		1.75			0.03			1.83			20
	35.79		7.12			595,385		1.74			0.03			1.84			18
	36.19		22.63			608,283		1.74			(0.09	)(e)		1.87			25
	30.84		24.43			534,813		1.74			0.16	(f)		1.88			23
	25.14		4.38			370,781		1.75			0.32			1.91			30
	34.14		1.61			66,167		1.50			0.29			1.75			20
	35.73		7.38			71,697		1.49			0.28			1.71			18
	36.14		22.94			71,958		1.49			0.17	(e)		1.62			25
	30.81		24.71			57,003		1.49			0.43	(f)		1.63			23
	25.18		4.65			14,824		1.49			0.59			1.66			30
	36.19		2.35			10,313,629		0.75			1.04			0.94			20
	37.76		8.19			10,320,516		0.74			1.05			0.94			18
	37.99		23.88			8,581,992		0.74			0.92	(e)		0.97			25
	32.26		25.68			6,627,529		0.74			1.16	(f)		0.98			23
	26.24		5.43			3,543,900		0.74			1.33			1.01			30
	35.79		2.11			2,332,160		0.99			0.80			1.11			20
	37.36		7.92			2,347,703		0.98			0.75			1.10			18
	37.61		23.59			2,967,759		0.98			0.67	(e)		1.12			25
	31.95		25.35			2,870,752		0.98			0.92	(f)		1.13			23
	26.01		5.20			1,836,012		0.98			1.09			1.16			30

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 63

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments		Total from investment operations			Net asset value, end of period
Multi-Cap Market Neutral Fund
Class A
Year Ended June 30, 2016	$	9.87	$	(0.10	)	$	0.13	$	0.03		$	9.90
Year Ended June 30, 2015		9.91		(0.11	)		0.07		(0.04	)		9.87
Year Ended June 30, 2014		9.79		(0.13	)		0.25		0.12			9.91
Year Ended June 30, 2013		9.69		(0.11	)(f)		0.21		0.10			9.79
Year Ended June 30, 2012		9.81		(0.14	)		0.02		(0.12	)		9.69
Class C
Year Ended June 30, 2016		9.31		(0.14	)		0.12		(0.02	)		9.29
Year Ended June 30, 2015		9.40		(0.15	)		0.06		(0.09	)		9.31
Year Ended June 30, 2014		9.33		(0.17	)		0.24		0.07			9.40
Year Ended June 30, 2013		9.30		(0.17	)(f)		0.20		0.03			9.33
Year Ended June 30, 2012		9.48		(0.20	)		0.02		(0.18	)		9.30
Select Class
Year Ended June 30, 2016		10.07		(0.08	)		0.14		0.06			10.13
Year Ended June 30, 2015		10.09		(0.09	)		0.07		(0.02	)		10.07
Year Ended June 30, 2014		9.94		(0.11	)		0.26		0.15			10.09
Year Ended June 30, 2013		9.82		(0.09	)(f)		0.21		0.12			9.94
Year Ended June 30, 2012		9.91		(0.12	)		0.03		(0.09	)		9.82

(a) Calculated based upon average shares outstanding.

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

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% or unless otherwise noted.

(d) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.27% and 1.69% for the year ended June 30, 2016, 1.48% and 1.95% for the year ended June 30, 2015, 1.49% and 1.91% for the year ended June 30, 2014, 1.48% and 1.88% for the year ended June 30, 2013, 1.48% and 1.94% for the year ended June 30, 2012; for Class C are 1.77% and 2.20% for the year ended June 30, 2016, 1.98% and 2.45% for the year ended June 30, 2015, 1.99% and 2.40% for the year ended June 30, 2014, 2.15% and 2.38% for the year ended June 30, 2013, 2.23% and 2.44% for the year ended June 30, 2012; for Select Class are 1.03% and 1.30% for the year ended June 30, 2016, 1.23% and 1.64% for the year ended June 30, 2015, 1.23% and 1.65% for the year ended June 30, 2014, 1.23% and 1.63% for the year ended June 30, 2013, 1.23% and 1.69% for the year ended June 30, 2012, respectively.

(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.13), $(0.19) and $(0.11) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.38)%, (2.06)% and (1.16)% for Class A, Class C and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

			Ratios/Supplemental data
					Ratios to average net assets
Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (including dividend and interest expense for securities sold short) (c)(d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (d)			Portfolio turnover rate (e)			Portfolio turnover rate (including short sales) (e)
	0.30	%	$	6,608		2.52	%		(0.97	)%		2.94	%		111	%		258	%
	(0.40	)		6,273		2.68			(1.14	)		3.15			74			204
	1.23			10,301		2.78			(1.36	)		3.20			106			227
	1.03			14,101		3.04			(1.13	)(f)		3.44			94			251
	(1.22	)		19,759		2.86			(1.42	)		3.32			151			316
	(0.21	)		6,147		3.02			(1.47	)		3.45			111			258
	(0.96	)		6,760		3.18			(1.62	)		3.65			74			204
	0.75			8,602		3.28			(1.85	)		3.70			106			227
	0.32			11,181		3.69			(1.81	)(f)		3.92			94			251
	(1.90	)		15,677		3.61			(2.17	)		3.82			151			316
	0.60			175,348		2.28			(0.74	)		2.55			111			258
	(0.20	)		277,647		2.43			(0.89	)		2.84			74			204
	1.51			431,890		2.52			(1.07	)		2.94			106			227
	1.22			317,974		2.78			(0.90	)(f)		3.18			94			251
	(0.91	)		476,803		2.61			(1.17	)		3.07			151			316

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 65

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Value Advantage Fund
Class A
Year Ended June 30, 2016	$	29.84	$	0.27	$	(0.99	)	$	(0.72	)	$	(0.17	)	$	(0.29	)	$	(0.46	)
Year Ended June 30, 2015		29.15		0.19		1.47			1.66			(0.26	)		(0.71	)		(0.97	)
Year Ended June 30, 2014		24.64		0.34		5.03			5.37			(0.16	)		(0.70	)		(0.86	)
Year Ended June 30, 2013		19.96		0.22		4.75			4.97			(0.20	)		(0.09	)		(0.29	)
Year Ended June 30, 2012		19.07		0.25		0.84			1.09			(0.20	)		—			(0.20	)
Class C
Year Ended June 30, 2016		29.72		0.14		(0.99	)		(0.85	)		(0.06	)		(0.29	)		(0.35	)
Year Ended June 30, 2015		29.08		0.04		1.47			1.51			(0.16	)		(0.71	)		(0.87	)
Year Ended June 30, 2014		24.61		0.20		5.02			5.22			(0.05	)		(0.70	)		(0.75	)
Year Ended June 30, 2013		19.91		0.11		4.74			4.85			(0.06	)		(0.09	)		(0.15	)
Year Ended June 30, 2012		19.01		0.16		0.84			1.00			(0.10	)		—			(0.10	)
Institutional Class
Year Ended June 30, 2016		30.06		0.43		(1.02	)		(0.59	)		(0.32	)		(0.29	)		(0.61	)
Year Ended June 30, 2015		29.31		0.34		1.50			1.84			(0.38	)		(0.71	)		(1.09	)
Year Ended June 30, 2014		24.74		0.48		5.04			5.52			(0.25	)		(0.70	)		(0.95	)
Year Ended June 30, 2013		19.99		0.34		4.75			5.09			(0.25	)		(0.09	)		(0.34	)
Year Ended June 30, 2012		19.11		0.35		0.83			1.18			(0.30	)		—			(0.30	)
Select Class
Year Ended June 30, 2016		29.99		0.33		(0.98	)		(0.65	)		(0.19	)		(0.29	)		(0.48	)
Year Ended June 30, 2015		29.27		0.27		1.48			1.75			(0.32	)		(0.71	)		(1.03	)
Year Ended June 30, 2014		24.72		0.42		5.03			5.45			(0.20	)		(0.70	)		(0.90	)
Year Ended June 30, 2013		20.00		0.28		4.75			5.03			(0.22	)		(0.09	)		(0.31	)
Year Ended June 30, 2012		19.12		0.30		0.83			1.13			(0.25	)		—			(0.25	)

(a) Calculated based upon average shares outstanding.

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

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	28.66		(2.34	)%	$	2,045,698		1.24	%		0.98	%		1.43	%		26	%
	29.84		5.78			2,440,061		1.24			0.64			1.41			17
	29.15		22.19			1,701,250		1.24			1.26			1.33			36
	24.64		25.09			784,359		1.24			0.98			1.33			22
	19.96		5.83			206,816		1.25			1.34			1.41			49
	28.52		(2.82	)		728,800		1.74			0.49			1.85			26
	29.72		5.26			701,023		1.73			0.14			1.83			17
	29.08		21.58			402,880		1.74			0.74			1.83			36
	24.61		24.45			212,198		1.74			0.49			1.83			22
	19.91		5.32			117,937		1.75			0.84			1.91			49
	28.86		(1.87	)		5,901,818		0.74			1.50			0.88			26
	30.06		6.36			5,058,172		0.74			1.15			0.90			17
	29.31		22.77			3,042,506		0.74			1.77			0.93			36
	24.74		25.73			1,455,125		0.74			1.50			0.93			22
	19.99		6.36			384,525		0.75			1.86			1.01			49
	28.86		(2.10	)		1,414,635		0.99			1.16			1.05			26
	29.99		6.05			3,095,251		0.99			0.89			1.05			17
	29.27		22.49			2,546,808		0.99			1.53			1.08			36
	24.72		25.38			1,245,241		0.99			1.23			1.08			22
	20.00		6.09			422,861		1.00			1.62			1.16			49

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 67

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

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

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

J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”, with JPM I, JPM II and JPMMFIT (collectively, the “Trusts”)), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.

The following are 6 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
Growth Advantage Fund	Class A, Class C, Class R5, Class R6 and Select Class	JPMMFIT	Diversified
Mid Cap Equity Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM I	Diversified
Mid Cap Growth Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Mid Cap Value Fund	Class A, Class C, Class R2, Institutional Class and Select Class	JPMFMFG	Diversified
Multi-Cap Market Neutral Fund	Class A, Class C, and Select Class	JPM II	Diversified
Value Advantage Fund	Class A, Class C, Institutional Class and Select Class	JPM I	Diversified

The investment objective of Growth Advantage Fund and Mid Cap Equity Fund is to seek to provide long-term capital growth.

The investment objective of Mid Cap Growth Fund is to seek growth of capital.

The investment objective of Mid Cap Value Fund is to seek growth from capital appreciation.

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

The investment objective of Value Advantage Fund is to seek to provide long-term total return from a combination of income and capital gains.

Effective as of the close of business on January 3, 2014, all share classes of the Mid Cap Equity Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.

Effective as of the close of business on February 22, 2013, all share classes of the Mid Cap Value Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

68 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations.

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

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

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

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

Growth Advantage Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	5,916,380	$	—	$	—	$	5,916,380
Mid Cap Equity Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	2,355,086	$	—	$	—	$	2,355,086
Mid Cap Growth Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	2,843,376	$	—	$	—	$	2,843,376
Mid Cap Value Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	15,499,319	$	—	$	—	$	15,499,319

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 69

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

Multi-Cap Market Neutral Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	199,055		$	—	$	—	$	199,055
Total Liabilities for Securities Sold Short (a)	$	(175,044	)	$	—	$	—	$	(175,044	)
Depreciation in Other Financial Instruments
Futures Contracts	$	(30	)	$	—	$	—	$	(30	)
Value Advantage Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	10,140,149		$	—	$	—	$	10,140,149

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.

There were no transfers among any levels during the year ended June 30, 2016.

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

The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as Deposits at broker for securities sold short, while cash collateral deposited at the Fund’s custodian for the benefit of the broker is recorded as Restricted Cash on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net income or fee is reported as Interest income or Interest expense, respectively, on securities sold short on the Statements of Operations.

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

Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as change in net unrealized appreciation (depreciation) on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.

The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.

As of June 30, 2016, the Fund had outstanding short sales as listed on the SOI.

C. Futures Contracts — Multi-Cap Market Neutral Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

70 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade.

The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2016 (amounts in thousands):

	Multi-Cap Market Neutral Fund
Futures Contracts:
Average Notional Balance Short	$	3,476
Ending Notional Balance Short		1,821

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and dividend expense on securities sold short, are recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

E. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):

	Class A		Class C		Class R2		Class R5		Class R6		Institutional Class		Select Class		Total
Growth Advantage Fund
Transfer agency fees	$	108	$	43		n/a	$	4	$	20		n/a	$	41	$	216
Sub-transfer agency fees		1,315		417		n/a		63		—		n/a		925		2,720
Mid Cap Equity Fund
Transfer agency fees		13		3	$	1		1		9		n/a		25		52
Sub-transfer agency fees		415		48		2		2		—		n/a		2,339		2,806
Mid Cap Growth Fund
Transfer agency fees		347		16		6		5		29		n/a		35		438
Sub-transfer agency fees		970		109		43		184		—		n/a		1,393		2,699
Mid Cap Value Fund
Transfer agency fees		159		27		9		n/a		n/a	$	827		33		1,055
Sub-transfer agency fees		3,547		390		156		n/a		n/a		7,934		2,344		14,371
Multi-Cap Market Neutral Fund
Transfer agency fees		4		1		n/a		n/a		n/a		n/a		3		8
Sub-transfer agency fees		8		10		n/a		n/a		n/a		n/a		18		36
Value Advantage Fund
Transfer agency fees		108		52		n/a		n/a		n/a		78		34		272
Sub-transfer agency fees		3,716		648		n/a		n/a		n/a		1,958		752		7,074

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 71

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

G. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually, except for the Mid Cap Equity Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class of each Fund. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

	Paid-in-Capital			Accumulated Undistributed (Distributions in Excess of) Net  Investment Income			Accumulated Net Realized Gains (Losses)
Growth Advantage Fund	$	(21,078	)	$	22,329		$	(1,251	)
Mid Cap Equity Fund		(1	)		1,117			(1,116	)
Mid Cap Growth Fund		186,073			14,831			(200,904	)
Mid Cap Value Fund		—			(1,183	)		1,183
Multi-Cap Market Neutral		(18,155	)		2,181			15,974
Value Advantage Fund		—			(950	)		950

The reclassification for the Funds relate primarily to net operating losses, redesignation of distributions, investments in partnerships, investments in real estate investment trusts, adjustments to gain/loss due to redemptions in-kind, wash sale reversal disallowed and expiration of capital loss carryforward.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management Inc. the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

Growth Advantage Fund	0.65	%
Mid Cap Equity Fund	0.65
Mid Cap Growth Fund	0.65
Mid Cap Value Fund	0.65
Multi-Cap Market Neutral Fund*	0.80
Value Advantage Fund	0.65

* Prior to September 1, 2015, the investment advisory fee for Multi-Cap Market Neutral Fund was 1.25%.

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2016, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

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

72 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2
Growth Advantage Fund		0.25	%		0.75	%		n/a
Mid Cap Equity Fund		0.25			0.75			0.50	%
Mid Cap Growth Fund		0.25			0.75			0.50
Mid Cap Value Fund		0.25			0.75			0.50
Multi-Cap Market Neutral Fund		0.25			0.75			n/a
Value Advantage Fund		0.25			0.75			n/a

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following (amounts in thousands):

	Front-End Sales Charge		CDSC
Growth Advantage Fund	$	1,292	$	9
Mid Cap Equity Fund		372		—
Mid Cap Growth Fund		205		2
Mid Cap Value Fund		39		—	(a)
Multi-Cap Market Neutral Fund		1		—
Value Advantage Fund		545		5

(a) Amount rounds to less than $500.

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Institutional Class			Select Class
Growth Advantage Fund		0.25	%		0.25	%		n/a			0.05	%		n/a			0.25	%
Mid Cap Equity Fund		0.25			0.25			0.25	%		0.05			n/a			0.25
Mid Cap Growth Fund		0.25			0.25			0.25			0.05			n/a			0.25
Mid Cap Value Fund		0.25			0.25			0.25			n/a			0.10	%		0.25
Multi-Cap Market Neutral Fund		0.25			0.25			n/a			n/a			n/a			0.25
Value Advantage Fund		0.25			0.25			n/a			n/a			0.10			0.25

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

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 73

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Class R6			Institutional Class			Select Class
Growth Advantage Fund		1.25	%		1.75	%		n/a			0.90	%		0.85	%		n/a			1.10	%
Mid Cap Equity Fund		1.25			1.75			1.50	%		0.80			0.75			n/a			0.90
Mid Cap Growth Fund		1.24			1.74			1.40			0.79			0.74			n/a			0.93
Mid Cap Value Fund		1.24			1.75			1.50			n/a			n/a			0.75	%		0.99
Multi-Cap Market Neutral Fund		1.25	*		1.75	*		n/a			n/a			n/a			n/a			0.99	*
Value Advantage Fund		1.25			1.75			n/a			n/a			n/a			0.75			1.00

* Prior to September 1, 2015, the contractual expense limitation for Multi-Cap Market Neutral Fund was 1.50%, 2.00% and 1.25% for Class A, Class C and Select Class Shares, respectively.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least October 31, 2016.

For the year ended June 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Growth Advantage Fund	$	—	$	—	$	2,068	$	2,068	$	1
Mid Cap Equity Fund		248		166		3,574		3,988		529
Mid Cap Growth Fund		420		275		3,607		4,302		98
Mid Cap Value Fund		6,459		4,307		13,122		23,888		1,397
Multi-Cap Market Neutral Fund		427		201		20		648		—	(a)
Value Advantage Fund		3,207		2,140		7,827		13,174		336

(a) Amount rounds to less than $500.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2016 was as follows (amounts in thousands):

Growth Advantage Fund	$	290
Mid Cap Equity Fund		171
Mid Cap Growth Fund		181
Mid Cap Value Fund		779
Multi-Cap Market Neutral Fund		46
Value Advantage Fund		882

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

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

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

During the year ended June 30, 2016, Mid Cap Equity Fund, Mid Cap Growth Fund, and Value Advantage Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

74 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

Growth Advantage Fund	$	1
Mid Cap Equity Fund		1
Mid Cap Growth Fund		1
Mid Cap Value Fund		4
Multi-Cap Market Neutral Fund		—
Value Advantage Fund		6

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

4. Investment Transactions

During the year ended June 30, 2016, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Securities Sold Short		Covers on Securities Sold Short
Growth Advantage Fund	$	3,723,736	$	2,627,585	$	—	$	—
Mid Cap Equity Fund		1,080,672		1,722,916		—		—
Mid Cap Growth Fund		2,283,074		1,590,427		—		—
Mid Cap Value Fund		2,951,413		3,478,583		—		—
Multi-Cap Market Neutral Fund		246,302		301,225		276,056		324,536
Value Advantage Fund		2,970,727		2,685,629		—		—

During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Growth Advantage Fund	$	4,729,668	$	1,384,128	$	197,416	$	1,186,712
Mid Cap Equity Fund		1,858,089		581,116		84,119		496,997
Mid Cap Growth Fund		2,563,876		446,670		167,170		279,500
Mid Cap Value Fund		10,981,624		5,023,258		505,563		4,517,695
Multi-Cap Market Neutral		189,091		18,734		8,770		9,964
Value Advantage Fund		8,780,411		1,857,084		497,346		1,359,738

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to non-taxable dividends and wash sale loss deferrals.

The tax character of distributions paid during the year ended June 30, 2016 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Growth Advantage Fund	$	—	$	214,315	$	214,315
Mid Cap Equity Fund		27,480		130,086		157,566
Mid Cap Growth Fund		6,084		141,429		147,513
Mid Cap Value Fund		128,760		794,705		923,465
Value Advantage Fund		146,612		69,884		216,496

* Short-term gains are treated as ordinary income for income tax purposes.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 75

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

The tax character of distributions paid during the year ended June 30, 2015 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Growth Advantage Fund	$	27,729	$	127,462	$	155,191
Mid Cap Equity Fund		39,516		103,413		142,929
Mid Cap Growth Fund		27,727		190,498		218,225
Mid Cap Value Fund		255,048		1,021,777		1,276,825
Value Advantage Fund		166,645		160,536		327,181

* Short-term gains are treated as ordinary income for income tax purposes.

As of June 30, 2016, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain		Tax Basis Capital Loss Carryover			Unrealized Appreciation (Depreciation)
Growth Advantage Fund	$	—	$	—	$	—		$	1,186,712
Mid Cap Equity Fund		3,406		56,447		—			496,997
Mid Cap Growth Fund		—		717		—			279,500
Mid Cap Value Fund		59,424		835,601		(14,734	)		4,517,695
Multi-Cap Market Neutral Fund		—		—		(2,351	)		6,620
Value Advantage Fund		73,745		—		(49,224	)		1,359,738

For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, late year ordinary loss deferrals, loss deferrals on unsettled short sales and wash sale loss deferrals.

Under the Regulated Investment Company Modernization Act of 2010 (“the “Act”), net capital losses recognized by the Funds after June 30, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At June 30, 2016, the following Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

	2018
Mid Cap Value Fund	$	14,734	*

* Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384.

During the year ended June 30, 2016, the following Funds utilized net capital loss carryforwards as follows (amounts in thousands):

	Pre-Enactment Capital Loss Carryforwards Utilized
Mid Cap Value Fund	$	7,367

As of June 30, 2016, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):

	Capital Loss Carryforward Character
	Short-Term		Long-Term
Multi-Cap Market Neutral Fund	$	2,351	$	—
Value Advantage Fund		36,131		13,093

During the year ended June 30, 2016, the following Fund had expired capital loss carryforwards as follows (amounts in thousands):

Multi-Cap Market Neutral Fund $ 16,098

76 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

Late year ordinary losses incurred after December 31 as well as net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2016, the following Funds deferred to July 1, 2016 late year ordinary losses and post-October capital losses of (amounts in thousands):

	Late Year Ordinary Loss Deferral		Net Capital Losses
			Short-Term		Long-Term
Growth Advantage Fund	$	8,369	$	172,276	$	(13,295	)
Mid Cap Growth Fund		4,122		77,964		(64,289	)
Mid Cap Value Fund		—		4,171		—
Multi-Cap Market Neutral Fund		549		—		—
Value Advantage Fund		—		139,552		(3,230	)

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 7, 2016.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, or at any time during the year then ended.

7. Redemptions in-Kind

During the year ended June 30, 2016, certain Select Class shareholders sold their shares of Mid Cap Growth Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):

November 6, 2015	Value			Realized Gains (Losses)		Type
Select Class	$	602,118	*	$	203,177		Redemptions in-kind

* This amount includes cash of approximately $25,788,000 associated with the redemption in-kind.

8. Risks, Concentrations and Indemnifications

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

As of June 30, 2016, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:

	J.P. Morgan Investor Funds			JPMorgan SmartRetirement Funds
Growth Advantage Fund		n/a			39.0	%
Mid Cap Equity Fund		n/a			50.7
Multi-Cap Market Neutral Fund		88.4	%		n/a
Value Advantage Fund		n/a			22.1

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 77

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

As of June 30, 2016, the Funds had omnibus accounts which represented the percentage of each Fund’s net assets as follows:

	Number of Non-affiliated Omnibus Accounts		% of the Fund
Mid Cap Equity Fund		4		14.7	%
Mid Cap Value Fund		3		19.3
Value Advantage Fund		4		16.3

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

As of June 30, 2016, the Multi-Cap Market Neutral Fund pledged a significant portion of its assets for securities sold short to Citigroup Global Markets, Inc., who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.

9. Subsequent Event

Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.

78 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund and JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund and JPMorgan Multi-Cap Market Neutral Fund (each a separate fund of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate fund of J.P. Morgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate fund of J.P. Morgan Fleming Mutual Fund Group, Inc.) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 79

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 During Past 5 Years
Independent Trustees
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trusts since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

80 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Marian U. Pardo** (1946); Trustee of Trusts since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	152	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	152	None
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	152	None

⁽¹⁾  The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees.

⁽²⁾  A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 81

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trusts (Since)	Principal Occupations During Past 5 Years
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)	Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, INC (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980), Assistant Secretary (2011)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980), Assistant Secretary (2010)	Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971), Assistant Secretary (2012)**	Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973), Assistant Treasurer (2014)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.
Julie A. Roach (1971), Assistant Treasurer (2012)*	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.
Gillian I. Sands (1969), Assistant Treasurer (2012)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

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

  ** The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004.

82 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Growth Advantage Fund
Class A
Actual	$	1,000.00	$	960.10	$	6.09		1.25	%
Hypothetical		1,000.00		1,018.65		6.27		1.25
Class C
Actual		1,000.00		958.40		8.52		1.75
Hypothetical		1,000.00		1,016.16		8.77		1.75
Class R5
Actual		1,000.00		962.10		4.44		0.91
Hypothetical		1,000.00		1,020.34		4.57		0.91
Class R6
Actual		1,000.00		962.80		3.71		0.76
Hypothetical		1,000.00		1,021.08		3.82		0.76
Select Class
Actual		1,000.00		960.90		5.31		1.09
Hypothetical		1,000.00		1,019.44		5.47		1.09
Mid Cap Equity Fund
Class A
Actual		1,000.00		1,015.10		6.21		1.24
Hypothetical		1,000.00		1,018.70		6.22		1.24
Class C
Actual		1,000.00		1,012.80		8.71		1.74
Hypothetical		1,000.00		1,016.21		8.72		1.74
Class R2
Actual		1,000.00		1,014.20		7.46		1.49
Hypothetical		1,000.00		1,017.45		7.47		1.49

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 83

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Mid Cap Equity Fund (continued)
Class R5
Actual	$	1,000.00	$	1,017.60	$	3.96		0.79	%
Hypothetical		1,000.00		1,020.93		3.97		0.79
Class R6
Actual		1,000.00		1,017.80		3.71		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Select Class
Actual		1,000.00		1,017.10		4.51		0.90
Hypothetical		1,000.00		1,020.39		4.52		0.90
Mid Cap Growth Fund
Class A
Actual		1,000.00		964.60		6.01		1.23
Hypothetical		1,000.00		1,018.75		6.17		1.23
Class C
Actual		1,000.00		962.60		8.44		1.73
Hypothetical		1,000.00		1,016.26		8.67		1.73
Class R2
Actual		1,000.00		963.60		6.79		1.39
Hypothetical		1,000.00		1,017.95		6.97		1.39
Class R5
Actual		1,000.00		966.70		3.81		0.78
Hypothetical		1,000.00		1,020.98		3.92		0.78
Class R6
Actual		1,000.00		967.20		3.57		0.73
Hypothetical		1,000.00		1,021.23		3.67		0.73
Select Class
Actual		1,000.00		966.10		4.50		0.92
Hypothetical		1,000.00		1,020.29		4.62		0.92
Mid Cap Value Fund
Class A
Actual		1,000.00		1,062.70		6.31		1.23
Hypothetical		1,000.00		1,018.75		6.17		1.23
Class C
Actual		1,000.00		1,060.20		8.91		1.74
Hypothetical		1,000.00		1,016.21		8.72		1.74
Class R2
Actual		1,000.00		1,061.60		7.64		1.49
Hypothetical		1,000.00		1,017.45		7.47		1.49
Institutional Class
Actual		1,000.00		1,065.40		3.80		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Select Class
Actual		1,000.00		1,063.90		5.03		0.98
Hypothetical		1,000.00		1,019.99		4.92		0.98
Multi-Cap Market Neutral Fund
Class A
Actual		1,000.00		970.60		11.81		2.41
Hypothetical		1,000.00		1,012.88		12.06		2.41
Class C
Actual		1,000.00		967.70		14.19		2.90
Hypothetical		1,000.00		1,010.44		14.50		2.90
Select Class
Actual		1,000.00		972.20		10.30		2.10
Hypothetical		1,000.00		1,014.42		10.52		2.10

84 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Value Advantage Fund
Class A
Actual	$	1,000.00	$	1,030.70	$	6.31		1.25	%
Hypothetical		1,000.00		1,018.65		6.27		1.25
Class C
Actual		1,000.00		1,028.20		8.82		1.75
Hypothetical		1,000.00		1,016.16		8.77		1.75
Institutional Class
Actual		1,000.00		1,033.40		3.79		0.75
Hypothetical		1,000.00		1,021.13		3.77		0.75
Select Class
Actual		1,000.00		1,031.90		5.05		1.00
Hypothetical		1,000.00		1,019.89		5.02		1.00

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

JUNE 30, 2016 J.P. MORGAN MID CAP/MULTI-CAP FUNDS 85

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, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2016:

	Dividends Received Deduction
Mid Cap Equity Fund		100.00	%
Mid Cap Growth Fund		100.00
Mid Cap Value Fund		100.00
Value Advantage Fund		100.00

Long Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Long-Term Capital Gain Distribution
Growth Advantage Fund	$	214,315
Mid Cap Equity Fund		130,086
Mid Cap Growth Fund		141,429
Mid Cap Value Fund		794,705
Value Advantage Fund		69,884

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Qualified Dividend Income
Mid Cap Equity Fund	$	27,480
Mid Cap Growth Fund		6,084
Mid Cap Value Fund		128,760
Value Advantage Fund		146,612

86 J.P. MORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2016

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡    Social Security number and account balances   ¡    transaction history and account transactions   ¡    checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

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

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

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

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

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

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

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2016. All rights reserved. June 2016. AN-MC-616

ITEM 2. CODE OF ETHICS.

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

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

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

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

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

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

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

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

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

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

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

Effective January 1, 2016, James Schonbachler replaced Mitchell Merin as the audit committee financial expert. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

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

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

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

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

AUDIT FEES

2016 – $29,668

2015 – $28,100

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

AUDIT-RELATED FEES

2016 – $5,640

2015 – $5,500

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

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

TAX FEES

2016 – $10,744

2015 – $10,035

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2015 and 2014, respectively.

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

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

ALL OTHER FEES

2016 – Not applicable

2015 – 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.

2016 – 0.0%

2015 – 0.0%

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

Not applicable - Less than 50%.

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

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

2015 - $29.2 million

2014 - $30.6 million

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

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

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

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

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

Not applicable.

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/ Brian S. Shlissel
	Brian S. Shlissel
	President and Principal Executive Officer
	September 1, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Brian S. Shlissel
	Brian S. Shlissel
	President and Principal Executive Officer
	September 1, 2016

By:	/s/ Laura M. Del Prato
	Laura M. Del Prato
	Treasurer and Principal Financial Officer
	September 1, 2016