N-CSR 1 d413323dncsr.htm J.P. MORGAN FLEMING MUTUAL FUND GROUP, INC. J.P. Morgan Fleming Mutual Fund Group, Inc.
Table of Contents

 

 

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, 2016 through June 30, 2017

 

 

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

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

 

 

 

Table of Contents

ITEM 1. REPORTS TO STOCKHOLDERS.

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

Table of Contents
 

Annual Report

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

June 30, 2017

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

LOGO

Table of Contents

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 the back of this Annual Report     

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

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

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

Table of Contents

CEO’S LETTER

August 4, 2017 (Unaudited)

 

Dear Shareholder,

The current U.S. economic expansion entered its eighth year in 2017 and growth in developed and emerging market economies grew more synchronized even as U.S. growth showed some signs of easing. Global financial markets generally benefitted from steady economic growth amid an environment of low inflation, low volatility and rising corporate profits.

 

LOGO   

 

“In the U.S., the continued economic expansion, muted inflation, corporate earnings growth and historically low volatility in financial markets helped to drive key equity market indexes to multiple record closing highs throughout the past twelve months.”

While economic growth in the U.S. and China largely drove the global recovery throughout 2016, by June 2017 the world’s other leading economies had picked up sufficiently enough for the Organization for Economic Co-operation and Development to forecast global growth at 3.5% in 2017 and 3.6% in 2018.

U.S. gross domestic product (GDP) growth slowed to 1.2% in the first quarter of 2017 from 2.5% and 3.5% growth in the fourth quarter and third quarters of 2016, respectively. Meanwhile, the U.S. unemployment rate continued its downward trend throughout the past twelve months, dropping to 4.4% in June 2017 from 4.9% one year earlier. In response to these numbers, along with nascent signs of price inflation, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2016 and again in June 2017 and signaled it would raise rates once more before the end of the year. Further, Fed Chairwoman Janet Yellen indicated she was prepared to begin partially unwinding the central bank’s $4.5 trillion balance sheet in assets purchased through its quantitative easing program. An increase in consumer spending helped second-quarter 2017 GDP climb by 2.6% from a year earlier.

Notably, by mid-2017 domestic price inflation had dropped below the Fed’s target of 2% growth and wage growth was below many economists’ expectations, the latter despite an environment of essentially full employment for U.S. workers. These trends — and the Fed’s acknowledgment of them — provided some near-term uncertainty about the central bank’s commitment to tightening monetary policy.

Throughout the twelve months ended June 30, 2017, global oil prices remained a key focal point for policy makers, economists and investors. Global crude prices reached 15-month highs in October 2016 and received further support from the Organization of Petroleum Exporting Countries’ December 2016 decision to curb production. However, continued oversupply of crude and natural gas, partly due to continued U.S. production, pushed the price of a barrel of benchmark West Texas Intermediate crude oil down to $46 by the end of June 2017.

Meanwhile, the leading economies of Europe continued to strengthen from what had been an anemic expansion. Annualized GDP for the 19 core euro area nations rose 1.9% in the first quarter of 2017 and 2.1% in the second quarter. The June 2017 aggregate unemployment rate for those nations fell to 9.1%, its lowest level since March 2009. Also, in separate elections in 2017, voters in the Netherlands and France largely rejected populist campaigns espousing policies to limit free trade and immigration. The election results provided another boost to global equity prices.

In the U.S., the continued economic expansion, muted inflation, corporate earnings growth and historically low volatility in financial markets helped to drive key equity market indexes to multiple record closing highs throughout the past twelve months. U.S. investors appeared to shrug off intermittent political and policy dramas emanating from Washington, D.C. and extended the run-up in U.S. equity prices into its eighth consecutive year — one of the longest on record.

Over the twelve month period, U.S. and foreign markets largely rewarded those who remained fully invested in financial markets and we believe the fundamental virtues of patience and diversification remain essential to prudent investment strategy.

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,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management & Institutional,

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         1  

Table of Contents

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

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

Overall, U.S. equity markets provided positive returns and key stock market indexes reached multiple record highs throughout the twelve month reporting period. Steady global economic growth, continued low inflation and strong corporate earnings all served to support equity prices, both in the U.S. and elsewhere.

While U.S. equity prices rose throughout most of 2016, they experienced a sustained rally following the November 8, 2016 election amid investor expectations for increased infrastructure spending and tax cuts under the incoming Trump administration and Republican Party majorities in the U.S. Congress. Even as those expectations faded, U.S. equity prices continued to climb.

In February 2017, the Standard & Poor’s 500 Index (the “S&P 500”) reached nine new closing highs and the Dow Jones Industrial Average (the “DJIA”) closed at new highs for 12 consecutive days, matching a record set in 1987. The following month, the S&P 500 crossed 2,400 points in intraday trading for the first time and the DJIA crossed 21,000 points for the first time. While the rally in U.S. equities stalled in April 2017, record high U.S. corporate operating earnings rekindled the rise in stock prices and the S&P 500 posted seven new closing highs in May 2017 and four new closing highs in June 2017.

Importantly, U.S. financial market volatility remained historically low throughout the reporting period, with a brief spike ahead of the November 2016 election. By the end of June 2017, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, stood at roughly half of its historical average.

Overall, small capitalization stocks generally outperformed mid cap and large cap stocks, while growth stocks generally outperformed value stocks. For the twelve months ended June 30, 2017, the Russell Midcap Index returned 16.48%.

 

 
2       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      24.48%  
Russell 3000 Growth Index      20.72%  
Net Assets as of 6/30/2017 (In Thousands)    $ 7,097,910  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2017. The Fund’s security selection in the financials sector and its overweight position and security selection in the technology sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the materials & processing sector and its underweight position and security selection in the producer durables sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Arista Networks Inc., Kite Pharma Inc. and Wayfair Inc. Shares of Arista Networks, a maker of computer networking technology, rose as the company reported four consecutive quarters of earnings growth. Shares of Kite Pharma, a maker of anti-cancer treatments, rose on positive results from drug trials. Shares of Wayfair, an online retailer of home furniture, rose after the company reported better-than-expected earnings and raised its earnings forecast.

Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Acuity Brands Inc. and Dollar General Corp. Shares of Apple, a maker of smartphones, computers and related devices, rose after the company posted earnings growth on better-than-expected sales and pricing for its iPhones. Shares of Acuity Brands, a maker of lighting and building management systems, fell after the company reported lower-than-expected earnings. Shares of Dollar General, a discount retail chain, fell after the company reported lower-than-expected sales and a slump in earnings.

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

      6.2 % 
  2.     

Apple, Inc.

      4.8  
  3.      Amazon.com, Inc.      4.2  
  4.     

Facebook, Inc., Class A

      3.8  
  5.     

UnitedHealth Group, Inc.

      3.3  
  6.     

Waste Connections, Inc., (Canada)

      2.7  
  7.     

Mohawk Industries, Inc.

      2.3  
  8.     

Microsoft Corp.

      2.2  
  9.     

Electronic Arts, Inc.

      2.0  
  10.     

Charles Schwab Corp. (The)

      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      41.0 % 
Consumer Discretionary      15.5

Health Care

      14.3

Industrials

      13.7

Financials

      7.5

Materials

      1.7

Energy

      1.3

Real Estate

      1.0

Consumer Staples

      0.6
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, 2017. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         3  

Table of Contents

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    October 29, 1999               

With Sales Charge*

           17.94 %         15.26 %         8.96 % 

Without Sales Charge

           24.48          16.52          9.55  

CLASS C SHARES

    May 1, 2006               

With CDSC**

           22.86          15.94          8.99  

Without CDSC

           23.86        15.94        8.99

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

    May 1, 2006        24.75          16.74          9.77  

CLASS R3 SHARES

    May 31, 2017        24.47          16.52          9.58  

CLASS R4 SHARES

    May 31, 2017        24.76          16.80          9.84  

CLASS R5 SHARES

    January 8, 2009        24.93        16.98        9.95

CLASS R6 SHARES

    December 23, 2013        25.07        17.07        9.99

 

*   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 (6/30/07/ TO 6/30/17)

 

 

LOGO

 

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

Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.

Returns for Class R4 and Class R5 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower than those shown because Class R4 Shares have higher expenses than Class I Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class I Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares from January 8, 2009 to December 22, 2013 and Class I Shares prior to January 8, 2009. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares and Class I Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2007 to June 30,

2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
4       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)(1)*      16.99%  
Russell Midcap Index      16.48%  
Net Assets as of 6/30/2017 (In Thousands)    $ 2,808,478  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2017. The Fund’s security selection in the financials sector and its overweight position in the technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and materials & processing sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma, Arista Networks Inc. and Waste Connections Inc. Shares of Kite Pharma, a maker of anti-cancer treatments that was not held in the Benchmark, rose on positive results from drug trials. Shares of Arista Networks, a maker of computer networking technology, rose as the company reported four consecutive quarters of earnings growth. Shares of Waste Connections, a municipal waste processor not held in the Benchmark, rose after the company reported better-than-expected results.

Leading individual detractors from relative performance included the Fund’s overweight positions in EQT Corp., Kroger Co. and Dollar General Corp. Shares of EQT, a natural gas producer, fell amid weakness in natural prices and after the company announced its $6.7 billion takeover offer for Rice Energy Inc. Shares of Kroger, a supermarket chain not held in the Benchmark, fell amid investor expectations that Amazon.com Inc.’s acquisition of Whole Foods Market Inc. would hurt Kroger’s sales and profit margins. Shares of Dollar General, a discount retail chain, fell in the early part of 2017 after the company reported lower-than-expected sales and a slump in earnings.

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

      2.3 % 
  2.     

Waste Connections, Inc., (Canada)

      1.6  
  3.     

Amphenol Corp., Class A

      1.5  
  4.     

Hilton Worldwide Holdings, Inc

      1.3  
  5.     

Fortune Brands Home & Security, Inc

      1.3  
  6.     

Humana, Inc

      1.0  
  7.     

CBRE Group, Inc., Class A

      1.0  
  8.     

First Republic Bank

      1.0  
  9.     

EQT Corp

      0.9  
  10.     

Loews Corp

      0.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      18.6 % 
Consumer Discretionary      17.6  
Financials      15.5  
Industrials      13.6  
Health Care      9.4  
Real Estate      5.7  
Utilities      4.2  
Energy      4.0  
Consumer Staples      3.6  
Materials      3.6  
Short-Term Investment      4.2  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2017. The Fund’s portfolio composition is subject to change.
(1)   

On April 3, 2017, the Fund’s Select Class Shares were renamed Class I Shares.

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         5  

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    November 2, 2009               

With Sales Charge*

           10.46 %         13.10 %         7.25 % 

Without Sales Charge

           16.59          14.33          7.83  

CLASS C SHARES

    November 2, 2009               

With CDSC**

           15.01          13.76          7.42  

Without CDSC

           16.01          13.76          7.42  

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

    January 1, 1997        16.99          14.73          8.12  

CLASS R2 SHARES

    March 14, 2014        16.30          14.14          7.74  

CLASS R5 SHARES

    March 14, 2014        17.11          14.81          8.15  

CLASS R6 SHARES

    March 14, 2014        17.18          14.85          8.17  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/07 TO 6/30/17)

 

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $1,000,000 invested in the Class I Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, the Lipper Multi-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2007 to June 30, 2017 . The performance of the Fund

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

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

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

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

 

 

 
6       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)(1)*      19.89%  
Russell Midcap Growth Index      17.05%  
Net Assets as of 6/30/2017 (In Thousands)    $ 3,088,278  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2017. The Fund’s overweight position and security selection in the technology sector and its security selection in the consumer discretionary sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the health care and materials & process sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc., Arista Networks Inc. and East West Bancorp Inc. Shares of Kite Pharma, a maker of anti-cancer treatments that was not held in the Benchmark, rose on positive results from drug trials. Shares of Arista Networks, a maker of computer networking technology, rose as the company reported four consecutive quarters of earnings growth. Shares of East West Bancorp, a California regional bank, rose on investor expectations for rising interest rates in the U.S.

Leading individual detractors from relative performance included the Fund’s overweight positions in Range Resources Corp., Acuity Brands Inc. and Dollar General Corp. Shares of Range Resources, a natural gas producer that was not held in the Benchmark, fell amid a decline in global gas prices in the second half of the reporting period. Shares of Acuity Brands, a maker of lighting and building management systems, fell after the company reported lower-than-expected earnings. Shares of Dollar General, a discount retail chain, fell after the company reported lower-than-expected sales and a slump in earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Waste Connections, Inc., (Canada)      3.1 % 
  2.      Mohawk Industries, Inc.      2.7  
  3.      Amphenol Corp., Class A      1.9  
  4.      Global Payments, Inc.      1.7  
  5.      Gartner, Inc.      1.7  
  6.      Concho Resources, Inc.      1.6  
  7.      Hilton Worldwide Holdings, Inc.      1.6  
  8.      Electronic Arts, Inc.      1.6  
  9.      Lennox International, Inc.      1.6  
  10.      Southwest Airlines Co.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      27.6 % 
Industrials      19.7  
Consumer Discretionary      18.1  
Health Care      13.6  
Financials      9.5  
Materials      2.5  
Energy      2.1  
Real Estate      1.3  
Consumer Staples      1.1  
Short-Term Investment     
 4.5
  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30 2017. The Fund’s portfolio composition is subject to change.
(1)   

On April 3, 2017, the Fund’s Select Class Shares were renamed Class I Shares.

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         7  

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992               

With Sales Charge*

           13.24 %        13.51 %        7.19 %

Without Sales Charge

           19.52        14.74        7.77

CLASS C SHARES

    November 4, 1997               

With CDSC**

           17.87        14.16        7.20

Without CDSC

           18.87        14.16        7.20

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

    March 2, 1989        19.89        15.10        8.10

CLASS R2 SHARES

    June 19, 2009        19.30        14.55        7.60

CLASS R3 SHARES

    September 9, 2016        19.51        14.74        7.77

CLASS R4 SHARES

    September 9, 2016        19.83        15.03        8.05

CLASS R5 SHARES

    November 1, 2011        20.06        15.26        8.19

CLASS R6 SHARES

    November 1, 2011        20.11        15.31        8.22

 

*   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 (6/30/07 TO 6/30/17)

 

LOGO

 

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

Returns for the Class R2, Class R3, Class R4, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. Prior performance for Class R2, Class R3 and Class R4 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index, the Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2007 to June 30, 2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the

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

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

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

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

 

 

 
8       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)(1)*      14.39%  
Russell Midcap Value Index      15.93%  
Net Assets as of 6/30/2017 (In Thousands)    $ 18,403,012  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2017. The Fund’s security selection and underweight position in the industrials sector and its security selection and overweight position in the consumer staples sector were leading detractors from performance relative to the Benchmark. The Fund’s underweight position in the energy sector and its overweight position in the financials sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in AutoZone Inc., Kroger Co. and EQT Corp. Shares of AutoZone, an auto parts retailer and distributor, fell after the company reported lower-than-expected earnings and sales. Shares of Kroger, a supermarket chain not held in the Benchmark, fell amid investor expectations that Amazon.com Inc.’s acquisition of Whole Foods Market Inc. would hurt Kroger’s sales and profit margins. Shares of EQT, a natural gas producer, fell amid weakness in natural gas prices and after the company announced its $6.7 billion takeover offer for Rice Energy Inc.

Leading individual contributors to relative performance included the Fund’s overweight positions in WestRock Co., Humana Inc. and Best Buy Inc. Shares of WestRock, a paper and packaging manufacturer, rose after the company reported better-than-expected earnings and sales growth. Shares of Humana, a health insurance company not held in the Benchmark, rose after it agreed to terminate its proposed merger with Aetna Inc. Shares of Best Buy, a consumer electronics retail chain, rose after the company reported better-than-expected sales growth.

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.      Mohawk Industries, Inc.      2.0 % 
  2.      Loews Corp.      1.8  
  3.      Energen Corp.      1.8  
  4.      EQT Corp.      1.7  
  5.      M&T Bank Corp.      1.7  
  6.      Expedia, Inc.      1.6  
  7.      Ball Corp.      1.5  
  8.      Xcel Energy, Inc.      1.5  
  9.      CMS Energy Corp.      1.5  
  10.      Newell Brands, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      22.1 % 
Consumer Discretionary      17.0
Real Estate      9.7
Information Technology      9.4
Utilities      8.6
Industrials      7.5
Consumer Staples      5.9
Energy      5.6
Health Care      5.2
Materials      4.7
Short-Term Investment      4.3  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2017. The Fund’s portfolio composition is subject to change.
(1)   

On December 1, 2016, the Fund’s Institutional Class Shares were renamed Class L Shares.

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         9  

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    April 30, 2001               

With Sales Charge*

           7.86 %        12.76 %        7.25 %

Without Sales Charge

           13.83        13.99        7.83

CLASS C SHARES

    April 30, 2001               

With CDSC**

           12.24          13.41          7.28  

Without CDSC

           13.24        13.41        7.28

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

    October 31, 2001        14.12        14.27        8.10

CLASS L SHARES (FORMERLY INSTITUTIONAL SHARES)

    November 13, 1997        14.39        14.55        8.37

CLASS R2 SHARES

    November 3, 2008        13.53        13.69        7.59

CLASS R3 SHARES

    September 9, 2016        13.85        13.99        7.83

CLASS R4 SHARES

    September 9, 2016        14.09        14.26        8.10

CLASS R5 SHARES

    September 9, 2016        14.34        14.54        8.36

CLASS R6 SHARES

    September 9, 2016        14.41        14.55        8.37

 

*   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 (6/30/07 TO 6/30/17)

 

 

LOGO

 

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

Returns for Class R2 and Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R2 and Class R3 Shares would have been lower than those shown because Class R2 and Class R3 Shares have higher expenses than Class A Shares.

Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower because Class R4 Shares have higher expenses than Class I Shares.

Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Class L Shares. The actual returns for Class R6 Shares would have been similar to those shown because Class R6 Shares have similar expenses to Class L Shares.

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index from June 30, 2007 to June 30, 2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and

does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index are indices based on total returns of certain mutual funds within the mid cap and multi cap fund categories, respectively, as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
10       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  

Fund (Class I Shares)(1)*

      0.99%  
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index      0.49%  
Net Assets as of 6/30/17 (In Thousands)    $ 124,385  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended June 30, 2017. U.S. equity securities, which were not included in the Benchmark, generally outperformed U.S. Treasury bonds during the reporting period. The Fund’s overall security selection in the industrials and materials sectors helped the Fund’s performance relative to the Benchmark, while the Fund’s overall security selection in the energy and consumer discretionary sectors detracted from relative performance.

Leading individual contributors to Fund returns included its short positions in Under Armour Inc. and Frontier Communications Corp. and its long position in Best Buy Co. Shares of Under Armour, an athletics apparel maker, fell after the company posted a quarterly loss. Shares of Frontier Communications, a provider of voice, data and video services, fell after the company reduced its quarterly dividend and reported lower-than-expected earnings. Shares of Best Buy, a consumer electronics retail chain, rose after the company reported better-than-expected sales growth.

Leading individual detractors from Fund returns included its short positions in Tesla Inc., Sprint Corp. and Wayfair Inc. Shares of Tesla, a maker of electric cars, rose on continued strong demand for its automobiles. Shares of Sprint, a telecommunications provider, rose on news reports that the company was engaged in merger negotiations. Shares of Wayfair, an online retailer of home furniture, rose after the company reported better-than-expected earnings and raised its earnings forecast.

HOW WAS THE FUND POSITIONED?

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

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.      Restaurant Brands International, Inc., (Canada)      1.2 % 
  2.      Amgen, Inc.      1.1  
  3.     

Gilead Sciences, Inc.

      1.1  
  4.     

Landstar System, Inc.

      1.1  
  5.     

Allergan plc

      1.1  
  6.     

Huntsman Corp.

      1.1  
  7.     

ManpowerGroup, Inc.

      1.1  
  8.      Regal Beloit Corp.      1.1  
  9.     

Sirius XM Holdings, Inc.

      1.1  
  10.      International Business Machines Corp.      1.0  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.      AMERCO      1.4 % 
  2.     

NIKE, Inc., Class B

      1.3  
  3.     

Sempra Energy .

      1.3  
  4.     

Acuity Brands, Inc.

      1.3  
  5.     

Ball Corp.

      1.3  
  6.     

Bristol-Myers Squibb Co.

      1.2  
  7.     

Zoetis, Inc.

      1.2  
  8.     

People’s United Financial, Inc.

      1.2  
  9.     

DexCom, Inc.

      1.2  
  10.     

Envision Healthcare Corp.

      1.2  
 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         11  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued)

 

 

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

  

Information Technology

      22.2 % 

Industrials .

      17.1

Consumer Discretionary

      14.3

Health Care

      12.8

Consumer Staples

      5.5

Financials

      5.5

Materials

      4.4

Utilities

      4.0

Real Estate

      1.6

Energy

      1.5

Telecommunication Services

      0.3  

Short-Term Investment

      10.8  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

  
Information Technology      24.8 % 

Industrials

      19.6

Consumer Discretionary

      16.1
Health Care      14.5

Financials

      7.0
Consumer Staples      5.6

Materials

      5.1

Utilities

      3.8

Real Estate

      1.7
Energy      1.2  
Telecommunication Services      0.6

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total long investments as of June 30, 2017. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of June 30, 2017. The Fund’s portfolio composition is subject to change.
(1)   

On April 3, 2017, the Fund’s Select Class Shares were renamed Class I Shares.

 

 

 
12       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 23, 2003               

With Sales Charge*

           (4.59 )%         (0.51 )%         (1.20 )% 

Without Sales Charge

           0.71        0.57        (0.66 )

CLASS C SHARES

    May 23, 2003               

With CDSC**

           (0.78 )        0.02        (1.31 )

Without CDSC

           0.22        0.02        (1.31 )

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

    May 23, 2003        0.99        0.82        (0.42 )

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/07 TO 6/30/17)

 

 

LOGO

 

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Equity Market Neutral Funds Index from June 30, 2007 to June 30, 2017. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Alternative Equity Market Neutral Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The BofA

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

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

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

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

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         13  

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2017 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)(1)*      18.17%  
Russell 3000 Value Index      16.21%  
Net Assets as of 6/30/2017 (In Thousands)    $ 11,058,026  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2017. The Fund’s underweight position and security selection in the energy sector and its overweight position in the financials sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples sector and its underweight position in the information technology sector were leading detractors from relative performance.

Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight positions in General Electric Co. and Berkshire Hathaway Inc. and its overweight position in Delta Air Lines Inc. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid investor concerns about the company’s strategic direction under a new chief executive. Shares of Berkshire Hathaway, an investment management company that was not held by the Fund, fell after the company reported lower earnings. Shares of Delta Air Lines, an airline operator, rose after the company raised its annual dividend, unveiled a $5 billion stock repurchase program and forecast profit margin expansion.

Leading individual detractors from relative performance included the Fund’s overweight positions in AutoZone Inc., Loews Corp. and Kroger Co. Shares of AutoZone, an auto parts retailer and distributor, fell after the company reported lower-than-expected earnings and sales. Shares of Loews, an investment management company, fell as the company underperformed its peers and announced a $1.2 billion purchase of Consolidated Container Co. Shares of Kroger, a supermarket chain, fell amid investor expectations that Amazon.com Inc.’s acquisition of Whole Foods Market Inc. would hurt Kroger’s sales and profit margins.

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.      3.5 % 
  2.      Bank of America Corp.      2.6  
  3.      Pfizer, Inc.      2.3  
  4.      Capital One Financial Corp.      2.1  
  5.      Exxon Mobil Corp.      1.9  
  6.      Delta Air Lines, Inc.      1.9  
  7.      Loews Corp.      1.8  
  8.      Johnson & Johnson      1.7  
  9.      American International Group, Inc.      1.5  
  10.      PNC Financial Services Group, Inc. (The)      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      30.6 % 
Consumer Discretionary      14.4
Health Care      9.8
Energy      7.4
Information Technology      6.6
Industrials      6.4
Consumer Staples      6.2
Real Estate      5.5
Utilities      5.3
Materials      3.9
Telecommunication Services      0.7  
Short-Term Investment      3.2  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2017. The Fund’s portfolio composition is subject to change.
(1)   

On December 1, 2016, the Fund’s Institutional Class Shares were renamed Class L Shares.

 

 

 
14       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017

  
     INCEPTION DATE OF
CLASS		        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      February 28, 2005                 

With Sales Charge*

           11.42 %        11.96 %        6.88 %

Without Sales Charge

           17.60        13.18        7.45

CLASS C SHARES

      February 28, 2005                 

With CDSC**

           15.98        12.61        6.92

Without CDSC

           16.98        12.61        6.92

CLASS I SHARES (FORMERLY SELECT CLASS SHARES)

      February 28, 2005          17.89          13.45          7.72  

CLASS L SHARES (FORMERLY INSTITUTIONAL SHARES)

      February 28, 2005          18.17        13.74        8.00

CLASS R3 SHARES

      September 9, 2016          17.55        13.17        7.45

CLASS R4 SHARES

      September 9, 2016          17.90        13.46        7.72

CLASS R5 SHARES

      September 9, 2016          18.10        13.73        7.99

CLASS R6 SHARES

      September 9, 2016          18.15        13.74        8.00

 

*   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 (6/30/07 TO 6/30/17)

 

 

LOGO

 

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

Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.

Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower because Class R4 Shares have higher expenses than Class I Shares.

Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been lower than those shown because Class R5 Shares have higher expenses than Class L Shares. The actual returns for Class R6 Shares would have been similar to those shown because Class R6 Shares have similar expenses to Class L Shares.

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2007 to June 30, 2017. The performance of the Fund assumes reinvestment of all divi-

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

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

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

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

 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         15  

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 97.3%

  
  

Consumer Discretionary — 15.6%

 

  

Automobiles — 0.7%

 

  142     

Tesla, Inc. (a)

     51,276  
    

 

 

  
  

Distributors — 0.8%

  
  1,721     

LKQ Corp. (a)

     56,707  
    

 

 

  
  

Hotels, Restaurants & Leisure — 3.4%

  
  1,121     

Hilton Grand Vacations, Inc. (a)

     40,436  
  1,261     

Hilton Worldwide Holdings, Inc.

     78,001  
  1,018     

Norwegian Cruise Line Holdings Ltd. (a)

     55,251  
  1,142     

Starbucks Corp.

     66,613  
    

 

 

  
       240,301  
    

 

 

  
  

Household Durables — 2.3%

  
  675     

Mohawk Industries, Inc. (a)

     163,117  
    

 

 

  
  

Internet & Direct Marketing Retail — 7.6%

  
  312     

Amazon.com, Inc. (a)

     302,210  
  427     

Netflix, Inc. (a)

     63,813  
  66     

Priceline Group, Inc. (The) (a)

     123,454  
  617     

Wayfair, Inc., Class A (a)

     47,466  
    

 

 

  
       536,943  
    

 

 

  
  

Multiline Retail — 0.2%

  
  327     

Nordstrom, Inc.

     15,616  
    

 

 

  
  

Specialty Retail — 0.6%

  
  143     

Ulta Beauty, Inc. (a)

     41,090  
    

 

 

  
  

Total Consumer Discretionary

     1,105,050  
    

 

 

  
  

Consumer Staples — 0.6%

  
  

Beverages — 0.6%

  
  828     

Monster Beverage Corp. (a)

     41,120  
    

 

 

  
  

Energy — 1.3%

 

  

Oil, Gas & Consumable Fuels — 1.3%

 

  415     

Concho Resources, Inc. (a)

     50,459  
  479     

EOG Resources, Inc.

     43,359  
    

 

 

  
  

Total Energy

     93,818  
    

 

 

  
  

Financials — 7.5%

 

  

Banks — 2.3%

 

  684     

Comerica, Inc.

     50,089  
  1,182     

East West Bancorp, Inc.

     69,241  
  480     

First Republic Bank

     48,068  
    

 

 

  
       167,398  
    

 

 

  
  

Capital Markets — 5.2%

  
  149     

BlackRock, Inc.

     62,812  
  3,093     

Charles Schwab Corp. (The)

     132,880  
  682     

Lazard Ltd., Class A

     31,601  
  628     

Nasdaq, Inc.

     44,889  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Capital Markets — continued

 

  654     

S&P Global, Inc.

     95,521  
    

 

 

  
       367,703  
    

 

 

  
  

Total Financials

     535,101  
    

 

 

  
  

Health Care — 14.5%

 

  

Biotechnology — 4.3%

 

  1,354     

Exact Sciences Corp. (a)

     47,898  
  859     

Gilead Sciences, Inc.

     60,793  
  691     

Kite Pharma, Inc. (a)

     71,678  
  193     

Sage Therapeutics, Inc. (a)

     15,394  
  531     

Spark Therapeutics, Inc. (a)

     31,734  
  580     

Vertex Pharmaceuticals, Inc. (a)

     74,770  
    

 

 

  
       302,267  
    

 

 

  
  

Health Care Equipment & Supplies — 0.5%

  
  40     

Intuitive Surgical, Inc. (a)

     37,041  
    

 

 

  
  

Health Care Providers & Services — 6.0%

  
  1,924     

Acadia Healthcare Co., Inc. (a)

     95,022  
  315     

Humana, Inc.

     75,795  
  659     

Teladoc, Inc. (a)

     22,857  
  1,263     

UnitedHealth Group, Inc.

     234,186  
    

 

 

  
       427,860  
    

 

 

  
  

Health Care Technology — 1.2%

 

  1,699     

Evolent Health, Inc., Class A (a)

     43,064  
  704     

Veeva Systems, Inc., Class A (a)

     43,150  
    

 

 

  
       86,214  
    

 

 

  
  

Life Sciences Tools & Services — 0.9%

 

  341     

Illumina, Inc. (a)

     59,188  
    

 

 

  
  

Pharmaceuticals — 1.6%

 

  425     

Jazz Pharmaceuticals plc (a)

     66,134  
  990     

Revance Therapeutics, Inc. (a)

     26,144  
  4,052     

TherapeuticsMD, Inc. (a)

     21,352  
    

 

 

  
       113,630  
    

 

 

  
  

Total Health Care

     1,026,200  
    

 

 

  
  

Industrials — 13.8%

 

  

Airlines — 2.1%

 

  974     

Delta Air Lines, Inc.

     52,332  
  1,610     

Southwest Airlines Co.

     100,070  
    

 

 

  
       152,402  
    

 

 

  
  

Building Products — 2.3%

 

  1,113     

Fortune Brands Home & Security, Inc.

     72,631  
  497     

Lennox International, Inc.

     91,251  
    

 

 

  
       163,882  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Commercial Services & Supplies — 3.2%

 

  1,044     

Copart, Inc. (a)

     33,196  
  3,040     

Waste Connections, Inc., (Canada)

     195,840  
    

 

 

  
       229,036  
    

 

 

  
  

Electrical Equipment — 0.9%

 

  305     

Acuity Brands, Inc.

     62,000  
    

 

 

  
  

Machinery — 3.7%

 

  373     

John Bean Technologies Corp.

     36,515  
  292     

Middleby Corp. (The) (a)

     35,444  
  545     

Oshkosh Corp.

     37,512  
  627     

Stanley Black & Decker, Inc.

     88,238  
  533     

WABCO Holdings, Inc. (a)

     67,912  
    

 

 

  
       265,621  
    

 

 

  
  

Professional Services — 0.8%

 

  391     

Equifax, Inc.

     53,676  
    

 

 

  
  

Road & Rail — 0.8%

 

  565     

Old Dominion Freight Line, Inc.

     53,854  
    

 

 

  
  

Total Industrials

     980,471  
    

 

 

  
  

Information Technology — 41.3%

 

  

Communications Equipment — 1.3%

 

  384     

Arista Networks, Inc. (a)

     57,572  
  289     

Palo Alto Networks, Inc. (a)

     38,671  
    

 

 

  
       96,243  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 2.4%

 

  1,125     

Amphenol Corp., Class A

     83,062  
  2,811     

Corning, Inc.

     84,459  
    

 

 

  
       167,521  
    

 

 

  
  

Internet Software & Services — 11.3%

 

  491     

Alphabet, Inc., Class C (a)

     446,101  
  1,821     

Facebook, Inc., Class A (a)

     274,965  
  1,948     

GoDaddy, Inc., Class A (a)

     82,613  
    

 

 

  
       803,679  
    

 

 

  
  

IT Services — 7.1%

 

  953     

Global Payments, Inc.

     86,084  
  993     

Mastercard, Inc., Class A

     120,612  
  1,586     

PayPal Holdings, Inc. (a)

     85,110  
  1,351     

Vantiv, Inc., Class A (a)

     85,572  
  1,363     

Visa, Inc., Class A

     127,794  
    

 

 

  
       505,172  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 4.7%

 

  1,405     

Applied Materials, Inc.

     58,036  
  377     

Broadcom Ltd.

     87,907  
  852     

Cavium, Inc. (a)

     52,941  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Semiconductors & Semiconductor Equipment — continued

 

  302     

Lam Research Corp.

     42,669  
  626     

NVIDIA Corp.

     90,451  
    

 

 

  
       332,004  
    

 

 

  
  

Software — 9.6%

 

  584     

Adobe Systems, Inc. (a)

     82,658  
  1,320     

Electronic Arts, Inc. (a)

     139,519  
  573     

Guidewire Software, Inc. (a)

     39,337  
  2,265     

Microsoft Corp.

     156,126  
  951     

salesforce.com, Inc. (a)

     82,383  
  536     

ServiceNow, Inc. (a)

     56,784  
  1,678     

Snap, Inc., Class A (a)

     29,811  
  993     

Splunk, Inc. (a)

     56,463  
  549     

Take-Two Interactive Software, Inc. (a)

     40,252  
    

 

 

  
       683,333  
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 4.9%

 

  2,404     

Apple, Inc.

     346,188  
    

 

 

  
  

Total Information Technology

     2,934,140  
    

 

 

  
  

Materials — 1.7%

 

  

Construction Materials — 1.7%

 

  699     

Eagle Materials, Inc.

     64,555  
  432     

Vulcan Materials Co.

     54,713  
    

 

 

  
  

Total Materials

     119,268  
    

 

 

  
  

Real Estate — 1.0%

 

  

Real Estate Management & Development — 1.0%

 

  1,963     

CBRE Group, Inc., Class A (a)

     71,461  
    

 

 

  
  

Total Common Stocks
(Cost $4,469,007)

     6,906,629  
    

 

 

  
 

Short-Term Investment — 3.5%

  
  

Investment Company — 3.5%

 

  246,532     

JPMorgan U.S. Government Money Market Fund, Institutional Class shares, 0.840% (b) (l)
(Cost $246,532)

     246,532  
    

 

 

  
  

Total Investments — 100.8%
(Cost $4,715,539)

     7,153,161  
  

Liabilities in Excess of
Other Assets — (0.8)%

     (55,251 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 7,097,910  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         17  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 96.2%

  
  

Consumer Discretionary — 17.8%

 

  

Auto Components — 0.4%

 

  284     

BorgWarner, Inc.

     12,034  
    

 

 

  
  

Automobiles — 0.6%

 

  15     

Tesla, Inc. (a)

     5,315  
  115     

Thor Industries, Inc.

     11,999  
    

 

 

  
       17,314  
    

 

 

  
  

Distributors — 1.0%

 

  134     

Genuine Parts Co.

     12,393  
  468     

LKQ Corp. (a)

     15,427  
    

 

 

  
       27,820  
    

 

 

  
  

Diversified Consumer Services — 0.3%

 

  96     

Bright Horizons Family Solutions, Inc. (a)

     7,412  
    

 

 

  
  

Hotels, Restaurants & Leisure — 3.7%

 

  354     

Aramark

     14,523  
  363     

Hilton Grand Vacations, Inc. (a)

     13,073  
  581     

Hilton Worldwide Holdings, Inc.

     35,961  
  50     

Marriott International, Inc., Class A

     5,015  
  237     

Norwegian Cruise Line Holdings Ltd. (a)

     12,893  
  447     

Red Rock Resorts, Inc., Class A

     10,515  
  56     

Vail Resorts, Inc.

     11,358  
    

 

 

  
       103,338  
    

 

 

  
  

Household Durables — 3.1%

 

  275     

Mohawk Industries, Inc. (a)

     66,524  
  386     

Newell Brands, Inc.

     20,724  
    

 

 

  
       87,248  
    

 

 

  
  

Internet & Direct Marketing Retail — 1.1%

 

  147     

Expedia, Inc.

     21,929  
  131     

Wayfair, Inc., Class A (a)

     10,102  
    

 

 

  
       32,031  
    

 

 

  
  

Media — 1.2%

 

  160     

CBS Corp. (Non-Voting), Class B

     10,193  
  226     

DISH Network Corp., Class A (a)

     14,177  
  134     

Scripps Networks Interactive, Inc., Class A

     9,174  
    

 

 

  
       33,544  
    

 

 

  
  

Multiline Retail — 1.2%

 

  348     

Kohl’s Corp.

     13,453  
  426     

Nordstrom, Inc.

     20,374  
    

 

 

  
       33,827  
    

 

 

  
  

Specialty Retail — 3.5%

 

  20     

AutoZone, Inc. (a)

     11,569  
  237     

Bed Bath & Beyond, Inc.

     7,198  
  203     

Best Buy Co., Inc.

     11,644  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Specialty Retail — continued

 

  447     

Gap, Inc. (The)

     9,833  
  53     

O’Reilly Automotive, Inc. (a)

     11,659  
  266     

Ross Stores, Inc.

     15,362  
  142     

Tiffany & Co.

     13,359  
  56     

Ulta Beauty, Inc. (a)

     16,062  
    

 

 

  
       96,686  
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.7%

 

  162     

Coach, Inc.

     7,688  
  561     

Gildan Activewear, Inc., (Canada)

     17,229  
  133     

PVH Corp.

     15,229  
  98     

Ralph Lauren Corp.

     7,210  
    

 

 

  
       47,356  
    

 

 

  
  

Total Consumer Discretionary

     498,610  
    

 

 

  
  

Consumer Staples — 3.6%

 

  

Beverages — 1.5%

 

  71     

Constellation Brands, Inc., Class A

     13,749  
  178     

Dr Pepper Snapple Group, Inc.

     16,194  
  54     

Molson Coors Brewing Co., Class B

     4,673  
  152     

Monster Beverage Corp. (a)

     7,541  
    

 

 

  
       42,157  
    

 

 

  
  

Food & Staples Retailing — 0.7%

 

  81     

Casey’s General Stores, Inc.

     8,719  
  463     

Kroger Co. (The)

     10,793  
    

 

 

  
       19,512  
    

 

 

  
  

Food Products — 0.3%

 

  124     

TreeHouse Foods, Inc. (a)

     10,132  
    

 

 

  
  

Household Products — 0.2%

 

  102     

Energizer Holdings, Inc.

     4,905  
    

 

 

  
  

Personal Products — 0.9%

 

  613     

Coty, Inc., Class A

     11,507  
  176     

Edgewell Personal Care Co. (a)

     13,416  
    

 

 

  
       24,923  
    

 

 

  
  

Total Consumer Staples

     101,629  
    

 

 

  
  

Energy — 4.0%

 

  

Oil, Gas & Consumable Fuels — 4.0%

 

  192     

Concho Resources, Inc. (a)

     23,297  
  515     

Energen Corp. (a)

     25,404  
  449     

EQT Corp.

     26,290  
  488     

PBF Energy, Inc., Class A

     10,860  
  294     

Range Resources Corp.

     6,805  
  632     

Williams Cos., Inc. (The)

     19,135  
    

 

 

  
  

Total Energy

     111,791  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Financials — 15.2%

 

  

Banks — 5.6%

 

  420     

Citizens Financial Group, Inc.

     14,996  
  133     

Comerica, Inc.

     9,756  
  282     

East West Bancorp, Inc.

     16,531  
  703     

Fifth Third Bancorp

     18,249  
  270     

First Republic Bank

     27,073  
  773     

Huntington Bancshares, Inc.

     10,446  
  146     

M&T Bank Corp.

     23,639  
  81     

Signature Bank (a)

     11,583  
  330     

SunTrust Banks, Inc.

     18,700  
  128     

Zions Bancorp

     5,624  
    

 

 

  
       156,597  
    

 

 

  
  

Capital Markets — 5.0%

 

  62     

Affiliated Managers Group, Inc.

     10,234  
  82     

Ameriprise Financial, Inc.

     10,425  
  438     

Invesco Ltd.

     15,418  
  233     

Lazard Ltd., Class A

     10,776  
  199     

Nasdaq, Inc.

     14,198  
  160     

Northern Trust Corp.

     15,534  
  159     

Raymond James Financial, Inc.

     12,738  
  149     

S&P Global, Inc.

     21,723  
  207     

T Rowe Price Group, Inc.

     15,387  
  343     

TD Ameritrade Holding Corp.

     14,754  
    

 

 

  
       141,187  
    

 

 

  
  

Consumer Finance — 0.4%

 

  501     

Ally Financial, Inc.

     10,470  
    

 

 

  
  

Insurance — 4.2%

 

  13     

Alleghany Corp. (a)

     7,712  
  51     

Chubb Ltd.

     7,471  
  352     

Hartford Financial Services Group, Inc. (The)

     18,522  
  543     

Loews Corp.

     25,421  
  216     

Marsh & McLennan Cos., Inc.

     16,854  
  191     

Progressive Corp. (The)

     8,400  
  228     

Unum Group

     10,653  
  90     

WR Berkley Corp.

     6,250  
  410     

XL Group Ltd., (Bermuda)

     17,950  
    

 

 

  
       119,233  
    

 

 

  
  

Total Financials

     427,487  
    

 

 

  
  

Health Care — 9.5%

 

  

Biotechnology — 2.1%

 

  191     

ACADIA Pharmaceuticals, Inc. (a)

     5,324  
  97     

BioMarin Pharmaceutical, Inc. (a)

     8,809  
  77     

Incyte Corp. (a)

     9,708  
  66     

Intercept Pharmaceuticals, Inc. (a)

     8,003  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Biotechnology — continued

 

  134     

Kite Pharma, Inc. (a)

     13,943  
  91     

Vertex Pharmaceuticals, Inc. (a)

     11,676  
    

 

 

  
       57,463  
    

 

 

  
  

Health Care Equipment & Supplies — 1.1%

 

  207     

DENTSPLY SIRONA, Inc.

     13,424  
  75     

Edwards Lifesciences Corp. (a)

     8,910  
  9     

Intuitive Surgical, Inc. (a)

     8,418  
    

 

 

  
       30,752  
    

 

 

  
  

Health Care Providers & Services — 4.6%

 

  388     

Acadia Healthcare Co., Inc. (a)

     19,140  
  127     

AmerisourceBergen Corp.

     11,977  
  139     

Centene Corp. (a)

     11,135  
  86     

Cigna Corp.

     14,389  
  66     

Henry Schein, Inc. (a)

     12,006  
  122     

Humana, Inc.

     29,400  
  40     

Laboratory Corp. of America Holdings (a)

     6,104  
  398     

Premier, Inc., Class A (a)

     14,314  
  98     

Universal Health Services, Inc., Class B

     11,936  
    

 

 

  
       130,401  
    

 

 

  
  

Health Care Technology — 0.4%

 

  200     

Veeva Systems, Inc., Class A (a)

     12,237  
    

 

 

  
  

Life Sciences Tools & Services — 0.8%

 

  125     

Illumina, Inc. (a)

     21,652  
    

 

 

  
  

Pharmaceuticals — 0.5%

 

  92     

Jazz Pharmaceuticals plc (a)

     14,290  
    

 

 

  
  

Total Health Care

     266,795  
    

 

 

  
  

Industrials — 13.8%

 

  

Aerospace & Defense — 0.3%

 

  151     

HEICO Corp., Class A

     9,346  
    

 

 

  
  

Airlines — 0.8%

 

  350     

Southwest Airlines Co.

     21,768  
    

 

 

  
  

Building Products — 2.1%

 

  544     

Fortune Brands Home & Security, Inc.

     35,483  
  123     

Lennox International, Inc.

     22,614  
    

 

 

  
       58,097  
    

 

 

  
  

Commercial Services & Supplies — 2.0%

 

  327     

Copart, Inc. (a)

     10,396  
  694     

Waste Connections, Inc., (Canada)

     44,714  
    

 

 

  
       55,110  
    

 

 

  
  

Electrical Equipment — 1.7%

 

  77     

Acuity Brands, Inc.

     15,673  
  216     

AMETEK, Inc.

     13,098  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         19  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Electrical Equipment — continued

 

  109     

Hubbell, Inc.

     12,293  
  79     

Regal Beloit Corp.

     6,439  
    

 

 

  
       47,503  
    

 

 

  
  

Industrial Conglomerates — 0.8%

 

  241     

Carlisle Cos., Inc.

     22,951  
    

 

 

  
  

Machinery — 4.2%

 

  284     

Fortive Corp.

     18,004  
  120     

IDEX Corp.

     13,581  
  107     

Middleby Corp. (The) (a)

     12,977  
  164     

Oshkosh Corp.

     11,324  
  107     

Snap-on, Inc.

     16,906  
  138     

Stanley Black & Decker, Inc.

     19,421  
  141     

WABCO Holdings, Inc. (a)

     17,992  
  99     

Wabtec Corp.

     9,086  
    

 

 

  
       119,291  
    

 

 

  
  

Professional Services — 0.7%

 

  145     

Equifax, Inc.

     19,940  
    

 

 

  
  

Road & Rail — 0.5%

 

  145     

Old Dominion Freight Line, Inc.

     13,819  
    

 

 

  
  

Trading Companies & Distributors — 0.7%

 

  161     

MSC Industrial Direct Co., Inc., Class A

     13,817  
  42     

United Rentals, Inc. (a)

     4,756  
    

 

 

  
       18,573  
    

 

 

  
  

Total Industrials

     386,398  
    

 

 

  
  

Information Technology — 18.7%

 

  

Communications Equipment — 1.8%

 

  98     

Arista Networks, Inc. (a)

     14,618  
  371     

CommScope Holding Co., Inc. (a)

     14,113  
  76     

Harris Corp.

     8,301  
  103     

Palo Alto Networks, Inc. (a)

     13,750  
    

 

 

  
       50,782  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 4.3%

 

  582     

Amphenol Corp., Class A

     42,977  
  222     

Arrow Electronics, Inc. (a)

     17,446  
  266     

CDW Corp.

     16,633  
  629     

Corning, Inc.

     18,889  
  62     

IPG Photonics Corp. (a)

     9,067  
  419     

Keysight Technologies, Inc. (a)

     16,321  
    

 

 

  
       121,333  
    

 

 

  
  

Internet Software & Services — 0.8%

 

  434     

GoDaddy, Inc., Class A (a)

     18,398  
  312     

Match Group, Inc. (a)

     5,424  
    

 

 

  
       23,822  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

IT Services — 3.1%

 

  196     

Gartner, Inc. (a)

     24,257  
  273     

Global Payments, Inc.

     24,657  
  171     

Jack Henry & Associates, Inc.

     17,712  
  319     

Vantiv, Inc., Class A (a)

     20,225  
    

 

 

  
       86,851  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 3.5%

 

  821     

Advanced Micro Devices, Inc. (a)

     10,241  
  122     

Analog Devices, Inc.

     9,460  
  349     

Applied Materials, Inc.

     14,421  
  39     

Broadcom Ltd.

     9,042  
  212     

Cavium, Inc. (a)

     13,153  
  20     

KLA-Tencor Corp.

     1,835  
  132     

Lam Research Corp.

     18,711  
  63     

NVIDIA Corp.

     9,064  
  384     

Teradyne, Inc.

     11,526  
    

 

 

  
       97,453  
    

 

 

  
  

Software — 5.2%

 

  243     

Atlassian Corp. plc, (Australia), Class A (a)

     8,538  
  214     

Electronic Arts, Inc. (a)

     22,666  
  170     

Guidewire Software, Inc. (a)

     11,708  
  164     

Red Hat, Inc. (a)

     15,741  
  176     

ServiceNow, Inc. (a)

     18,614  
  271     

Splunk, Inc. (a)

     15,406  
  239     

Synopsys, Inc. (a)

     17,445  
  206     

Take-Two Interactive Software, Inc. (a)

     15,080  
  53     

Tyler Technologies, Inc. (a)

     9,293  
  121     

Workday, Inc., Class A (a)

     11,698  
    

 

 

  
       146,189  
    

 

 

  
  

Total Information Technology

     526,430  
    

 

 

  
  

Materials — 3.6%

 

  

Chemicals — 0.4%

 

  31     

Sherwin-Williams Co. (The)

     10,811  
    

 

 

  
  

Construction Materials — 1.3%

 

  198     

Eagle Materials, Inc.

     18,281  
  138     

Vulcan Materials Co.

     17,469  
    

 

 

  
       35,750  
    

 

 

  
  

Containers & Packaging — 1.9%

 

  512     

Ball Corp.

     21,611  
  429     

Silgan Holdings, Inc.

     13,636  
  342     

WestRock Co.

     19,363  
    

 

 

  
       54,610  
    

 

 

  
  

Total Materials

     101,171  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Real Estate — 5.7%

 

  

Equity Real Estate Investment Trusts (REITs) — 4.7%

 

  134     

American Campus Communities, Inc.

     6,340  
  229     

American Homes 4 Rent, Class A

     5,168  
  66     

AvalonBay Communities, Inc.

     12,718  
  92     

Boston Properties, Inc.

     11,282  
  481     

Brixmor Property Group, Inc.

     8,607  
  27     

Essex Property Trust, Inc.

     7,039  
  58     

Federal Realty Investment Trust

     7,317  
  265     

GGP, Inc.

     6,243  
  82     

HCP, Inc.

     2,607  
  538     

Kimco Realty Corp.

     9,869  
  348     

Outfront Media, Inc.

     8,036  
  218     

Park Hotels & Resorts, Inc.

     5,881  
  307     

Rayonier, Inc.

     8,847  
  99     

Regency Centers Corp.

     6,220  
  136     

Vornado Realty Trust

     12,805  
  275     

Weyerhaeuser Co.

     9,228  
  76     

WP Carey, Inc.

     5,044  
    

 

 

  
       133,251  
    

 

 

  
  

Real Estate Management & Development — 1.0%

 

  754     

CBRE Group, Inc., Class A (a)

     27,435  
    

 

 

  
  

Total Real Estate

     160,686  
    

 

 

  
  

Utilities — 4.3%

 

  

Electric Utilities — 1.6%

 

  255     

Edison International

     19,944  
  62     

Westar Energy, Inc.

     3,298  
  462     

Xcel Energy, Inc.

     21,205  
    

 

 

  
       44,447  
    

 

 

  
  

Gas Utilities — 0.5%

 

  243     

National Fuel Gas Co.

     13,569  
    

 

 

  
  

Multi-Utilities — 2.2%

 

  145     

CenterPoint Energy, Inc.

     3,976  
  451     

CMS Energy Corp.

     20,878  
  155     

Sempra Energy

     17,521  
  321     

WEC Energy Group, Inc.

     19,728  
    

 

 

  
       62,103  
    

 

 

  
  

Total Utilities

     120,119  
    

 

 

  
  

Total Common Stocks
(Cost $1,887,189)

     2,701,116  
    

 

 

  
 

Master Limited Partnership — 0.4%

  
  

Financials — 0.4%

 

  

Capital Markets — 0.4%

 

  274     

Oaktree Capital Group LLC
(Cost $12,788)

     12,768  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 4.3%

  
  

Investment Company — 4.3%

 

  119,456     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.840% (b) (l)
(Cost $119,456)

     119,456  
    

 

 

  
  

Total Investments — 100.9%
(Cost $2,019,433)

     2,833,340  
  

Liabilities in Excess of
Other Assets — (0.9)%

     (24,862 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 2,808,478  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         21  

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 95.5%

  
  

Consumer Discretionary — 18.3%

 

  

Automobiles — 1.2%

 

  32     

Tesla, Inc. (a)

     11,625  
  251     

Thor Industries, Inc.

     26,203  
    

 

 

  
       37,828  
    

 

 

  
  

Distributors — 1.1%

 

  1,022     

LKQ Corp. (a)

     33,681  
    

 

 

  
  

Diversified Consumer Services — 0.5%

 

  210     

Bright Horizons Family Solutions, Inc. (a)

     16,191  
    

 

 

  
  

Hotels, Restaurants & Leisure — 5.9%

 

  774     

Aramark

     31,706  
  631     

Hilton Grand Vacations, Inc. (a)

     22,753  
  813     

Hilton Worldwide Holdings, Inc.

     50,300  
  518     

Norwegian Cruise Line Holdings Ltd. (a)

     28,147  
  975     

Red Rock Resorts, Inc., Class A

     22,961  
  122     

Vail Resorts, Inc.

     24,786  
    

 

 

  
       180,653  
    

 

 

  
  

Household Durables — 2.7%

 

  346     

Mohawk Industries, Inc. (a)

     83,739  
    

 

 

  
  

Internet & Direct Marketing Retail — 0.7%

 

  287     

Wayfair, Inc., Class A (a)

     22,052  
    

 

 

  
  

Media — 0.7%

 

  293     

Scripps Networks Interactive, Inc., Class A

     20,035  
    

 

 

  
  

Multiline Retail — 0.7%

 

  439     

Nordstrom, Inc.

     20,973  
    

 

 

  
  

Specialty Retail — 3.0%

 

  116     

O’Reilly Automotive, Inc. (a)

     25,476  
  581     

Ross Stores, Inc.

     33,546  
  122     

Ulta Beauty, Inc. (a)

     35,045  
    

 

 

  
       94,067  
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.8%

 

  355     

Coach, Inc.

     16,787  
  1,224     

Gildan Activewear, Inc., (Canada)

     37,618  
    

 

 

  
       54,405  
    

 

 

  
  

Total Consumer Discretionary

     563,624  
    

 

 

  
  

Consumer Staples — 1.1%

 

  

Beverages — 0.5%

 

  331     

Monster Beverage Corp. (a)

     16,468  
    

 

 

  
  

Food & Staples Retailing — 0.6%

 

  178     

Casey’s General Stores, Inc.

     19,033  
    

 

 

  
  

Total Consumer Staples

     35,501  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Energy — 2.1%

 

  

Oil, Gas & Consumable Fuels — 2.1%

 

  419     

Concho Resources, Inc. (a)

     50,863  
  641     

Range Resources Corp.

     14,860  
    

 

 

  
  

Total Energy

     65,723  
    

 

 

  
  

Financials — 8.7%

 

  

Banks — 3.6%

 

  291     

Comerica, Inc.

     21,298  
  616     

East West Bancorp, Inc.

     36,094  
  282     

First Republic Bank

     28,188  
  176     

Signature Bank (a)

     25,298  
    

 

 

  
       110,878  
    

 

 

  
  

Capital Markets — 5.1%

 

  135     

Affiliated Managers Group, Inc.

     22,360  
  508     

Lazard Ltd., Class A

     23,535  
  434     

Nasdaq, Inc.

     31,005  
  325     

S&P Global, Inc.

     47,422  
  749     

TD Ameritrade Holding Corp.

     32,214  
    

 

 

  
       156,536  
    

 

 

  
  

Total Financials

     267,414  
    

 

 

  
  

Health Care — 13.7%

 

  

Biotechnology — 4.1%

 

  417     

ACADIA Pharmaceuticals, Inc. (a)

     11,627  
  212     

BioMarin Pharmaceutical, Inc. (a)

     19,245  
  168     

Incyte Corp. (a)

     21,191  
  144     

Intercept Pharmaceuticals, Inc. (a)

     17,479  
  294     

Kite Pharma, Inc. (a)

     30,448  
  198     

Vertex Pharmaceuticals, Inc. (a)

     25,502  
    

 

 

  
       125,492  
    

 

 

  
  

Health Care Equipment & Supplies — 2.2%

 

  452     

DENTSPLY SIRONA, Inc.

     29,308  
  165     

Edwards Lifesciences Corp. (a)

     19,462  
  20     

Intuitive Surgical, Inc. (a)

     18,333  
    

 

 

  
       67,103  
    

 

 

  
  

Health Care Providers & Services — 4.0%

 

  846     

Acadia Healthcare Co., Inc. (a)

     41,772  
  304     

Centene Corp. (a)

     24,316  
  117     

Humana, Inc.

     28,077  
  868     

Premier, Inc., Class A (a)

     31,255  
    

 

 

  
       125,420  
    

 

 

  
  

Health Care Technology — 0.9%

 

  436     

Veeva Systems, Inc., Class A (a)

     26,722  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Life Sciences Tools & Services — 1.5%

 

  272     

Illumina, Inc. (a)

     47,280  
    

 

 

  
  

Pharmaceuticals — 1.0%

 

  201     

Jazz Pharmaceuticals plc (a)

     31,204  
    

 

 

  
  

Total Health Care

     423,221  
    

 

 

  
  

Industrials — 19.9%

 

  

Aerospace & Defense — 0.7%

 

  329     

HEICO Corp., Class A

     20,411  
    

 

 

  
  

Airlines — 1.6%

 

  765     

Southwest Airlines Co.

     47,537  
    

 

 

  
  

Building Products — 3.1%

 

  721     

Fortune Brands Home & Security, Inc.

     47,038  
  269     

Lennox International, Inc.

     49,387  
    

 

 

  
       96,425  
    

 

 

  
  

Commercial Services & Supplies — 3.9%

 

  714     

Copart, Inc. (a)

     22,702  
  1,516     

Waste Connections, Inc., (Canada)

     97,640  
    

 

 

  
       120,342  
    

 

 

  
  

Electrical Equipment — 1.1%

 

  168     

Acuity Brands, Inc.

     34,197  
    

 

 

  
  

Industrial Conglomerates — 0.5%

 

  174     

Carlisle Cos., Inc.

     16,593  
    

 

 

  
  

Machinery — 6.3%

 

  621     

Fortive Corp.

     39,308  
  233     

Middleby Corp. (The) (a)

     28,330  
  359     

Oshkosh Corp.

     24,735  
  301     

Stanley Black & Decker, Inc.

     42,416  
  308     

WABCO Holdings, Inc. (a)

     39,286  
  217     

Wabtec Corp.

     19,846  
    

 

 

  
       193,921  
    

 

 

  
  

Professional Services — 1.4%

 

  317     

Equifax, Inc.

     43,535  
    

 

 

  
  

Road & Rail — 1.0%

 

  317     

Old Dominion Freight Line, Inc.

     30,182  
    

 

 

  
  

Trading Companies & Distributors — 0.3%

 

  92     

United Rentals, Inc. (a)

     10,381  
    

 

 

  
  

Total Industrials

     613,524  
    

 

 

  
  

Information Technology — 27.9%

 

  

Communications Equipment — 2.6%

 

  213     

Arista Networks, Inc. (a)

     31,938  
  166     

Harris Corp.

     18,126  
  224     

Palo Alto Networks, Inc. (a)

     30,016  
    

 

 

  
       80,080  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Electronic Equipment, Instruments & Components — 3.9%

 

  801     

Amphenol Corp., Class A

     59,095  
  1,373     

Corning, Inc.

     41,247  
  136     

IPG Photonics Corp. (a)

     19,779  
    

 

 

  
       120,121  
    

 

 

  
  

Internet Software & Services — 1.3%

 

  947     

GoDaddy, Inc., Class A (a)

     40,176  
    

 

 

  
  

IT Services — 4.9%

 

  429     

Gartner, Inc. (a)

     52,983  
  596     

Global Payments, Inc.

     53,839  
  697     

Vantiv, Inc., Class A (a)

     44,170  
    

 

 

  
       150,992  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 6.1%

 

  1,792     

Advanced Micro Devices, Inc. (a)

     22,360  
  762     

Applied Materials, Inc.

     31,486  
  85     

Broadcom Ltd.

     19,724  
  462     

Cavium, Inc. (a)

     28,716  
  289     

Lam Research Corp.

     40,858  
  137     

NVIDIA Corp.

     19,776  
  838     

Teradyne, Inc.

     25,168  
    

 

 

  
       188,088  
    

 

 

  
  

Software — 9.1%

 

  530     

Atlassian Corp. plc, (Australia), Class A (a)

     18,642  
  468     

Electronic Arts, Inc. (a)

     49,499  
  372     

Guidewire Software, Inc. (a)

     25,562  
  359     

Red Hat, Inc. (a)

     34,374  
  383     

ServiceNow, Inc. (a)

     40,648  
  591     

Splunk, Inc. (a)

     33,641  
  449     

Take-Two Interactive Software, Inc. (a)

     32,933  
  115     

Tyler Technologies, Inc. (a)

     20,273  
  263     

Workday, Inc., Class A (a)

     25,541  
    

 

 

  
       281,113  
    

 

 

  
  

Total Information Technology

     860,570  
    

 

 

  
  

Materials — 2.5%

 

  

Construction Materials — 2.5%

 

  432     

Eagle Materials, Inc.

     39,909  
  301     

Vulcan Materials Co.

     38,139  
    

 

 

  
  

Total Materials

     78,048  
    

 

 

  
  

Real Estate — 1.3%

 

  

Real Estate Management & Development — 1.3%

 

  1,107     

CBRE Group, Inc., Class A (a)

     40,292  
    

 

 

  
  

Total Common Stocks
(Cost $2,233,608)

     2,947,917  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         23  

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Master Limited Partnership — 0.9%

  
  

Financials — 0.9%

 

  

Capital Markets — 0.9%

 

  598     

Oaktree Capital Group LLC
(Cost $28,393)

     27,876  
    

 

 

  
 

Short-Term Investment — 4.5%

  
  

Investment Company — 4.5%

 

  139,641     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
0.840% (b) (l)
(Cost $139,641)

     139,641  
    

 

 

  
  

Total Investments — 100.9%
(Cost $2,401,642)

     3,115,434  
  

Liabilities in Excess of
Other Assets — (0.9)%

     (27,156 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 3,088,278  
    

 

 

  

 

Percentages indicated are based on net assets.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 95.6%

  
  

Consumer Discretionary — 17.0%

 

  

Auto Components — 0.9%

 

  3,717     

BorgWarner, Inc.

     157,455  
    

 

 

  
  

Distributors — 0.9%

 

  1,746     

Genuine Parts Co.

     161,957  
    

 

 

  
  

Hotels, Restaurants & Leisure — 1.5%

 

  962     

Hilton Grand Vacations, Inc. (a)

     34,683  
  2,743     

Hilton Worldwide Holdings, Inc.

     169,668  
  659     

Marriott International, Inc., Class A

     66,137  
    

 

 

  
       270,488  
    

 

 

  
  

Household Durables — 3.5%

 

  1,528     

Mohawk Industries, Inc. (a)

     369,296  
  5,070     

Newell Brands, Inc.

     271,834  
    

 

 

  
       641,130  
    

 

 

  
  

Internet & Direct Marketing Retail — 1.5%

 

  1,915     

Expedia, Inc.

     285,283  
    

 

 

  
  

Media — 1.7%

 

  2,101     

CBS Corp. (Non-Voting), Class B

     133,989  
  2,965     

DISH Network Corp., Class A (a)

     186,101  
    

 

 

  
       320,090  
    

 

 

  
  

Multiline Retail — 1.7%

 

  4,568     

Kohl’s Corp.

     176,648  
  2,944     

Nordstrom, Inc.

     140,800  
    

 

 

  
       317,448  
    

 

 

  
  

Specialty Retail — 3.8%

 

  265     

AutoZone, Inc. (a)

     150,990  
  3,115     

Bed Bath & Beyond, Inc.

     94,687  
  2,668     

Best Buy Co., Inc.

     152,942  
  5,793     

Gap, Inc. (The)

     127,379  
  1,861     

Tiffany & Co.

     174,703  
    

 

 

  
       700,701  
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.5%

 

  1,746     

PVH Corp.

     199,934  
  1,012     

Ralph Lauren Corp.

     74,672  
    

 

 

  
       274,606  
    

 

 

  
  

Total Consumer Discretionary

     3,129,158  
    

 

 

  
  

Consumer Staples — 5.9%

 

  

Beverages — 2.5%

 

  932     

Constellation Brands, Inc., Class A

     180,549  
  2,333     

Dr Pepper Snapple Group, Inc.

     212,520  
  713     

Molson Coors Brewing Co., Class B

     61,599  
    

 

 

  
       454,668  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Food & Staples Retailing — 0.8%

 

  6,076     

Kroger Co. (The)

     141,700  
    

 

 

  
  

Food Products — 0.7%

  
  1,630     

TreeHouse Foods, Inc. (a)

     133,194  
    

 

 

  
  

Household Products — 0.4%

  
  1,347     

Energizer Holdings, Inc.

     64,673  
    

 

 

  
  

Personal Products — 1.5%

  
  5,869     

Coty, Inc., Class A

     110,106  
  2,289     

Edgewell Personal Care Co. (a)

     173,981  
    

 

 

  
       284,087  
    

 

 

  
  

Total Consumer Staples

     1,078,322  
    

 

 

  
  

Energy — 5.6%

 

  

Oil, Gas & Consumable Fuels — 5.6%

  
  6,746     

Energen Corp. (a)

     333,028  
  5,307     

EQT Corp.

     310,962  
  6,384     

PBF Energy, Inc., Class A

     142,100  
  8,268     

Williams Cos., Inc. (The)

     250,367  
    

 

 

  
  

Total Energy

     1,036,457  
    

 

 

  
  

Financials — 22.0%

 

  

Banks — 7.5%

 

  5,305     

Citizens Financial Group, Inc.

     189,299  
  9,225     

Fifth Third Bancorp

     239,480  
  1,869     

First Republic Bank

     187,060  
  10,157     

Huntington Bancshares, Inc.

     137,318  
  1,905     

M&T Bank Corp.

     308,482  
  4,326     

SunTrust Banks, Inc.

     245,367  
  1,681     

Zions Bancorp

     73,815  
    

 

 

  
       1,380,821  
    

 

 

  
  

Capital Markets — 5.0%

 

  1,076     

Ameriprise Financial, Inc.

     137,017  
  5,752     

Invesco Ltd.

     202,401  
  2,088     

Northern Trust Corp.

     202,961  
  2,086     

Raymond James Financial, Inc.

     167,339  
  2,722     

T Rowe Price Group, Inc.

     201,989  
    

 

 

  
       911,707  
    

 

 

  
  

Consumer Finance — 0.7%

 

  6,515     

Ally Financial, Inc.

     136,161  
    

 

 

  
  

Insurance — 8.5%

  
  171     

Alleghany Corp. (a)

     101,490  
  676     

Chubb Ltd.

     98,333  
  4,736     

Hartford Financial Services Group, Inc. (The)

     248,964  
  7,121     

Loews Corp.

     333,321  
  2,837     

Marsh & McLennan Cos., Inc.

     221,172  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         25  

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Insurance — continued

 

  2,506     

Progressive Corp. (The)

     110,509  
  3,002     

Unum Group

     140,003  
  1,190     

WR Berkley Corp.

     82,345  
  5,377     

XL Group Ltd., (Bermuda)

     235,523  
    

 

 

  
       1,571,660  
    

 

 

  
  

Mortgage Real Estate Investment Trusts (REITs) — 0.3%

 

  2,341     

Starwood Property Trust, Inc.

     52,420  
    

 

 

  
  

Total Financials

     4,052,769  
    

 

 

  
  

Health Care — 5.2%

 

  

Health Care Providers & Services — 5.2%

 

  1,664     

AmerisourceBergen Corp.

     157,322  
  1,129     

Cigna Corp.

     188,923  
  851     

Henry Schein, Inc. (a)

     155,791  
  898     

Humana, Inc.

     216,036  
  522     

Laboratory Corp. of America Holdings (a)

     80,489  
  1,276     

Universal Health Services, Inc., Class B

     155,767  
    

 

 

  
  

Total Health Care

     954,328  
    

 

 

  
  

Industrials — 7.5%

 

  

Building Products — 1.0%

 

  2,806     

Fortune Brands Home & Security, Inc.

     183,076  
    

 

 

  
  

Electrical Equipment — 2.2%

 

  2,830     

AMETEK, Inc.

     171,387  
  1,427     

Hubbell, Inc.

     161,441  
  1,040     

Regal Beloit Corp.

     84,816  
    

 

 

  
       417,644  
    

 

 

  
  

Industrial Conglomerates — 1.1%

 

  2,112     

Carlisle Cos., Inc.

     201,512  
    

 

 

  
  

Machinery — 2.2%

 

  1,578     

IDEX Corp.

     178,333  
  1,404     

Snap-on, Inc.

     221,845  
    

 

 

  
       400,178  
    

 

 

  
  

Trading Companies & Distributors — 1.0%

 

  2,110     

MSC Industrial Direct Co., Inc., Class A

     181,403  
    

 

 

  
  

Total Industrials

     1,383,813  
    

 

 

  
  

Information Technology — 9.4%

 

  

Communications Equipment — 1.0%

 

  4,872     

CommScope Holding Co., Inc. (a)

     185,285  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 4.7%

 

  2,829     

Amphenol Corp., Class A

     208,809  
  2,919     

Arrow Electronics, Inc. (a)

     228,932  
  3,491     

CDW Corp.

     218,289  
  5,502     

Keysight Technologies, Inc. (a)

     214,188  
    

 

 

  
       870,218  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Internet Software & Services — 0.4%

 

  4,113     

Match Group, Inc. (a)

     71,482  
    

 

 

  
  

IT Services — 1.3%

 

  2,231     

Jack Henry & Associates, Inc.

     231,745  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 0.8%

 

  1,598     

Analog Devices, Inc.

     124,359  
  262     

KLA-Tencor Corp.

     24,010  
    

 

 

  
       148,369  
    

 

 

  
  

Software — 1.2%

 

  3,130     

Synopsys, Inc. (a)

     228,251  
    

 

 

  
  

Total Information Technology

     1,735,350  
    

 

 

  
  

Materials — 4.7%

 

  

Chemicals — 0.8%

 

  405     

Sherwin-Williams Co. (The)

     142,054  
    

 

 

  
  

Containers & Packaging — 3.9%

 

  6,715     

Ball Corp.

     283,447  
  5,634     

Silgan Holdings, Inc.

     179,035  
  4,484     

WestRock Co.

     254,036  
    

 

 

  
       716,518  
    

 

 

  
  

Total Materials

     858,572  
    

 

 

  
  

Real Estate — 9.7%

 

  

Equity Real Estate Investment Trusts (REITs) — 9.1%

 

  1,766     

American Campus Communities, Inc.

     83,520  
  3,020     

American Homes 4 Rent, Class A

     68,167  
  869     

AvalonBay Communities, Inc.

     167,018  
  1,205     

Boston Properties, Inc.

     148,225  
  6,331     

Brixmor Property Group, Inc.

     113,203  
  360     

Essex Property Trust, Inc.

     92,649  
  755     

Federal Realty Investment Trust

     95,422  
  3,492     

GGP, Inc.

     82,278  
  1,084     

HCP, Inc.

     34,655  
  6,056     

Kimco Realty Corp.

     111,127  
  4,573     

Outfront Media, Inc.

     105,731  
  2,875     

Park Hotels & Resorts, Inc.

     77,521  
  4,044     

Rayonier, Inc.

     116,346  
  1,308     

Regency Centers Corp.

     81,964  
  1,791     

Vornado Realty Trust

     168,168  
  3,622     

Weyerhaeuser Co.

     121,334  
    

 

 

  
       1,667,328  
    

 

 

  
  

Real Estate Management & Development — 0.6%

 

  3,245     

CBRE Group, Inc., Class A (a)

     118,108  
    

 

 

  
  

Total Real Estate

     1,785,436  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Utilities — 8.6%

 

  

Electric Utilities — 3.2%

 

  3,346     

Edison International

     261,591  
  824     

Westar Energy, Inc.

     43,693  
  6,062     

Xcel Energy, Inc.

     278,106  
    

 

 

  
       583,390  
    

 

 

  
  

Gas Utilities — 1.0%

 

  3,179     

National Fuel Gas Co.

     177,543  
    

 

 

  
  

Multi-Utilities — 4.4%

 

  1,900     

CenterPoint Energy, Inc.

     52,016  
  5,921     

CMS Energy Corp.

     273,841  
  2,033     

Sempra Energy

     229,250  
  4,205     

WEC Energy Group, Inc.

     258,126  
    

 

 

  
       813,233  
    

 

 

  
  

Total Utilities

     1,574,166  
    

 

 

  
  

Total Common Stocks
(Cost $11,362,606)

     17,588,371  
    

 

 

  
 

Short-Term Investment — 4.3%

  
  

Investment Company — 4.3%

 

  795,573     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.840% (b) (l)
(Cost $795,573)

     795,573  
    

 

 

  
  

Total Investments — 99.9%
(Cost $12,158,179)

     18,383,944  
  

Other Assets in Excess of
Liabilities — 0.1%

     19,068  
    

 

 

  
  

NET ASSETS — 100.0%

   $ 18,403,012  
    

 

 

  

 

Percentages indicated are based on net assets.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         27  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — 100.5%

  
 

Common Stocks — 89.7%

  
 

Consumer Discretionary — 14.3%

 

 

Automobiles — 0.5%

 

  19    

General Motors Co.

     680  
   

 

 

  
 

Hotels, Restaurants & Leisure — 4.4%

 

  11    

Darden Restaurants, Inc.

     1,002  
  14    

Dunkin’ Brands Group, Inc.

     747  
  44    

International Game Technology plc

     796  
  24    

Restaurant Brands International, Inc., (Canada)

     1,470  
  60    

Wendy’s Co. (The)

     926  
  5    

Wyndham Worldwide Corp.

     530  
   

 

 

  
      5,471  
   

 

 

  
 

Household Durables — 2.3%

 

  18    

DR Horton, Inc. (j)

     605  
  9    

Lennar Corp., Class A

     460  
  — (h)   

NVR, Inc. (a) (j)

     542  
  17    

Tupperware Brands Corp.

     1,212  
   

 

 

  
      2,819  
   

 

 

  
 

Media — 2.5%

 

  16    

CBS Corp. (Non-Voting), Class B

     998  
  14    

Sinclair Broadcast Group, Inc., Class A

     474  
  241    

Sirius XM Holdings, Inc.

     1,318  
  23    

TEGNA, Inc.

     331  
   

 

 

  
      3,121  
   

 

 

  
 

Multiline Retail — 0.9%

 

  28    

Kohl’s Corp.

     1,094  
   

 

 

  
 

Specialty Retail — 2.5%

 

  11    

Bed Bath & Beyond, Inc.

     347  
  20    

Best Buy Co., Inc. (j)

     1,168  
  119    

Staples, Inc. (j)

     1,196  
  4    

Tiffany & Co.

     387  
   

 

 

  
      3,098  
   

 

 

  
 

Textiles, Apparel & Luxury Goods — 1.2%

 

  12    

Michael Kors Holdings Ltd. (a)

     428  
  10    

PVH Corp.

     1,122  
   

 

 

  
      1,550  
   

 

 

  
 

Total Consumer Discretionary

     17,833  
   

 

 

  
 

Consumer Staples — 5.6%

 

 

Food & Staples Retailing — 1.4%

 

  7    

Sysco Corp. (j)

     374  
  17    

Wal-Mart Stores, Inc.

     1,303  
   

 

 

  
      1,677  
   

 

 

  
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
   
 

Food Products — 3.1%

 

  11    

Conagra Brands, Inc.

     386  
  4    

JM Smucker Co. (The)

     462  
  55    

Pilgrim’s Pride Corp. (a) (j)

     1,196  
  — (h)   

Seaboard Corp.

     599  
  19    

Tyson Foods, Inc., Class A

     1,218  
   

 

 

  
      3,861  
   

 

 

  
 

Household Products — 0.2%

 

  6    

Energizer Holdings, Inc.

     296  
   

 

 

  
 

Personal Products — 0.9%

 

  18    

Nu Skin Enterprises, Inc., Class A (j)

     1,111  
   

 

 

  
 

Total Consumer Staples

     6,945  
   

 

 

  
 

Energy — 1.5%

 

 

Energy Equipment & Services — 0.8%

 

  10    

National Oilwell Varco, Inc.

     342  
  18    

Oceaneering International, Inc.

     419  
  10    

TechnipFMC plc, (United Kingdom) (a)

     281  
   

 

 

  
      1,042  
   

 

 

  
 

Oil, Gas & Consumable Fuels — 0.7%

 

  26    

Devon Energy Corp.

     837  
   

 

 

  
 

Total Energy

     1,879  
   

 

 

  
 

Financials — 5.5%

 

 

Banks — 2.7%

 

  9    

BOK Financial Corp.

     730  
  18    

Citizens Financial Group, Inc.

     658  
  22    

Popular, Inc., (Puerto Rico)

     911  
  25    

Synovus Financial Corp.

     1,119  
   

 

 

  
      3,418  
   

 

 

  
 

Capital Markets — 1.1%

 

  4    

Morgan Stanley

     157  
  11    

MSCI, Inc.

     1,162  
   

 

 

  
      1,319  
   

 

 

  
 

Consumer Finance — 0.4%

 

  33    

Navient Corp.

     548  
   

 

 

  
 

Diversified Financial Services — 0.3%

 

  11    

Voya Financial, Inc.

     388  
   

 

 

  
 

Mortgage Real Estate Investment Trusts (REITs) — 0.5%

 

  59    

Two Harbors Investment Corp.

     580  
   

 

 

  
 

Thrifts & Mortgage Finance — 0.5%

 

  54    

MGIC Investment Corp. (a)

     610  
   

 

 

  
 

Total Financials

     6,863  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — continued

 
 

Common Stocks — continued

  
  

Health Care — 12.8%

 

  

Biotechnology — 3.6%

 

  8     

Amgen, Inc. (j)

     1,426  
  2     

Biogen, Inc. (a)

     556  
  20     

Gilead Sciences, Inc. (j)

     1,396  
  9     

United Therapeutics Corp. (a)

     1,127  
    

 

 

  
       4,505  
    

 

 

  
  

Health Care Equipment & Supplies — 1.3%

 

  4     

Hill-Rom Holdings, Inc.

     348  
  28     

Hologic, Inc. (a) (j)

     1,255  
    

 

 

  
       1,603  
    

 

 

  
  

Health Care Providers & Services — 4.9%

 

  8     

Aetna, Inc.

     1,169  
  4     

Centene Corp. (a)

     313  
  12     

Express Scripts Holding Co. (a) (j)

     769  
  5     

Humana, Inc.

     1,155  
  3     

McKesson Corp.

     424  
  4     

Molina Healthcare, Inc. (a)

     277  
  6     

Quest Diagnostics, Inc.

     706  
  7     

WellCare Health Plans, Inc. (a)

     1,239  
    

 

 

  
       6,052  
    

 

 

  
  

Pharmaceuticals — 3.0%

 

  6     

Allergan plc

     1,349  
  32     

Endo International plc (a)

     355  
  24     

Horizon Pharma plc (a)

     288  
  21     

Mallinckrodt plc (a)

     924  
  26     

Pfizer, Inc.

     871  
    

 

 

  
       3,787  
    

 

 

  
  

Total Health Care

     15,947  
    

 

 

  
  

Industrials — 17.2%

 

  

Aerospace & Defense — 1.9%

 

  6     

Boeing Co. (The) (j)

     1,122  
  13     

Curtiss-Wright Corp.

     1,230  
    

 

 

  
       2,352  
    

 

 

  
  

Airlines — 2.6%

 

  6     

American Airlines Group, Inc.

     301  
  7     

Copa Holdings SA, (Panama), Class A

     848  
  19     

Delta Air Lines, Inc.

     1,005  
  15     

United Continental Holdings, Inc. (a)

     1,099  
    

 

 

  
       3,253  
    

 

 

  
  

Commercial Services & Supplies — 0.7%

 

  60     

Pitney Bowes, Inc. (j)

     899  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Construction & Engineering — 1.0%

 

  23     

Jacobs Engineering Group, Inc.

     1,255  
    

 

 

  
  

Electrical Equipment — 2.4%

 

  16     

EnerSys

     1,136  
  16     

Regal Beloit Corp.

     1,327  
  3     

Rockwell Automation, Inc.

     506  
    

 

 

  
       2,969  
    

 

 

  
  

Machinery — 4.1%

 

  7     

AGCO Corp.

     443  
  31     

Allison Transmission Holdings, Inc. (j)

     1,165  
  5     

Cummins, Inc.

     864  
  1     

Deere & Co.

     65  
  18     

Donaldson Co., Inc.

     832  
  8     

Parker-Hannifin Corp.

     1,243  
  10     

Timken Co. (The)

     469  
    

 

 

  
       5,081  
    

 

 

  
  

Professional Services — 1.1%

 

  12     

ManpowerGroup, Inc.

     1,328  
    

 

 

  
  

Road & Rail — 1.4%

 

  16     

Landstar System, Inc.

     1,359  
  16     

Swift Transportation Co. (a)

     419  
    

 

 

  
       1,778  
    

 

 

  
  

Trading Companies & Distributors — 2.0%

 

  11     

United Rentals, Inc. (a) (j)

     1,217  
  21     

WESCO International, Inc. (a)

     1,188  
    

 

 

  
       2,405  
    

 

 

  
  

Total Industrials

     21,320  
    

 

 

  
  

Information Technology — 22.3%

 

  

Communications Equipment — 0.9%

 

  6     

CommScope Holding Co., Inc. (a)

     241  
  7     

F5 Networks, Inc. (a)

     861  
    

 

 

  
       1,102  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 0.7%

 

  14     

Corning, Inc. (j)

     409  
  5     

Zebra Technologies Corp., Class A (a)

     510  
    

 

 

  
       919  
    

 

 

  
  

Internet Software & Services — 1.1%

 

  9     

eBay, Inc. (a) (j)

     326  
  4     

j2 Global, Inc.

     351  
  8     

VeriSign, Inc. (a) (j)

     718  
    

 

 

  
       1,395  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         29  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — continued

 
 

Common Stocks — continued

  
  

IT Services — 5.5%

 

  11     

CSRA, Inc.

     347  
  16     

DXC Technology Co.

     1,222  
  65     

First Data Corp., Class A (a)

     1,177  
  8     

International Business Machines Corp. (j)

     1,304  
  4     

Science Applications International Corp.

     311  
  42     

Teradata Corp. (a)

     1,229  
  65     

Western Union Co. (The)

     1,232  
    

 

 

  
       6,822  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 2.9%

 

  17     

Applied Materials, Inc.

     698  
  9     

Lam Research Corp. (j)

     1,249  
  35     

Marvell Technology Group Ltd., (Bermuda)

     580  
  26     

ON Semiconductor Corp. (a)

     360  
  23     

Teradyne, Inc.

     699  
    

 

 

  
       3,586  
    

 

 

  
  

Software — 7.4%

 

  6     

Aspen Technology, Inc. (a)

     337  
  11     

Autodesk, Inc. (a)

     1,059  
  35     

Cadence Design Systems, Inc. (a)

     1,175  
  14     

Citrix Systems, Inc. (a)

     1,144  
  60     

Nuance Communications, Inc. (a) (j)

     1,038  
  22     

Oracle Corp.

     1,123  
  9     

Red Hat, Inc. (a)

     852  
  14     

Take-Two Interactive Software, Inc. (a)

     1,058  
  12     

TiVo Corp.

     232  
  13     

VMware, Inc., Class A (a)

     1,161  
    

 

 

  
       9,179  
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 3.8%

 

  3     

Apple, Inc.

     461  
  67     

HP, Inc. (j)

     1,171  
  22     

NCR Corp. (a)

     903  
  22     

NetApp, Inc. (j)

     874  
  16     

Seagate Technology plc

     629  
  7     

Western Digital Corp.

     598  
  4     

Xerox Corp.

     121  
    

 

 

  
       4,757  
    

 

 

  
  

Total Information Technology

     27,760  
    

 

 

  
  

Materials — 4.5%

 

  

Chemicals — 1.7%

 

  8     

Cabot Corp. (j)

     438  
  52     

Huntsman Corp. (j)

     1,337  
  4     

LyondellBasell Industries NV, Class A

     336  
    

 

 

  
       2,111  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Containers & Packaging — 1.3%

 

  6     

Berry Global Group, Inc. (a)

     342  
  4     

Packaging Corp. of America

     465  
  15     

WestRock Co.

     860  
    

 

 

  
       1,667  
    

 

 

  
  

Metals & Mining — 1.5%

 

  15     

Alcoa Corp.

     493  
  34     

Steel Dynamics, Inc.

     1,212  
  4     

United States Steel Corp.

     90  
    

 

 

  
       1,795  
    

 

 

  
  

Total Materials

     5,573  
    

 

 

  
  

Real Estate — 1.6%

 

  

Equity Real Estate Investment Trusts (REITs) — 1.6%

 

  29     

American Homes 4 Rent, Class A

     651  
  17     

Equity Commonwealth (a)

     525  
  8     

GEO Group, Inc. (The)

     237  
  66     

VEREIT, Inc.

     540  
    

 

 

  
  

Total Real Estate

     1,953  
    

 

 

  
  

Telecommunication Services — 0.3%

 

  

Diversified Telecommunication Services — 0.1%

 

  5     

CenturyLink, Inc.

     123  
    

 

 

  
  

Wireless Telecommunication Services — 0.2%

 

  32     

Sprint Corp. (a) (j)

     259  
    

 

 

  
  

Total Telecommunication Services

     382  
    

 

 

  
  

Utilities — 4.1%

 

  

Electric Utilities — 0.5%

 

  19     

FirstEnergy Corp.

     565  
    

 

 

  
  

Independent Power and Renewable Electricity Producers — 1.9%

  
  112     

AES Corp.

     1,244  
  62     

NRG Energy, Inc.

     1,063  
    

 

 

  
       2,307  
    

 

 

  
  

Multi-Utilities — 1.7%

 

  34     

CenterPoint Energy, Inc.

     941  
  47     

MDU Resources Group, Inc.

     1,237  
    

 

 

  
       2,178  
    

 

 

  
  

Total Utilities

     5,050  
    

 

 

  
  

Total Common Stocks
(Cost $93,859)

     111,505  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — continued

 
 

Short-Term Investment — 10.8%

  
  

Investment Company — 10.8%

 

  13,435     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.840% (b) (l)
(Cost $13,435)

     13,435  
    

 

 

  
  

Total Investments — 100.5%
(Cost $107,294)

     124,940  
  

Liabilities in Excess of
Other Assets — (0.5)%

     (555 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 124,385  
    

 

 

  
 

Short Positions — 87.9%

  
 

Common Stocks — 87.9%

  
  

Consumer Discretionary — 14.2%

 

  

Automobiles — 0.9%

 

  3     

Tesla, Inc. (a)

     1,166  
    

 

 

  
  

Diversified Consumer Services — 1.9%

 

  15     

Bright Horizons Family Solutions, Inc. (a)

     1,148  
  31     

ServiceMaster Global Holdings, Inc. (a)

     1,227  
    

 

 

  
       2,375  
    

 

 

  
  

Hotels, Restaurants & Leisure — 2.4%

 

  3     

Chipotle Mexican Grill, Inc. (a)

     1,176  
  19     

Starbucks Corp.

     1,089  
  13     

Texas Roadhouse, Inc.

     652  
    

 

 

  
       2,917  
    

 

 

  
  

Internet & Direct Marketing Retail — 1.0%

 

  5     

Netflix, Inc. (a)

     803  
  7     

TripAdvisor, Inc. (a)

     271  
  2     

Wayfair, Inc., Class A (a)

     150  
    

 

 

  
       1,224  
    

 

 

  
  

Leisure Products — 0.6%

 

  8     

Polaris Industries, Inc.

     719  
    

 

 

  
  

Media — 2.3%

 

  42     

AMC Entertainment Holdings, Inc., Class A

     960  
  4     

Charter Communications, Inc., Class A (a)

     1,191  
  4     

Madison Square Garden Co. (The), Class A (a)

     753  
    

 

 

  
       2,904  
    

 

 

  
  

Specialty Retail — 2.5%

 

  3     

Advance Auto Parts, Inc.

     367  
  10     

L Brands, Inc.

     519  
  18     

Murphy USA, Inc. (a)

     1,299  
  3     

TJX Cos., Inc. (The)

     229  
  14     

Tractor Supply Co.

     737  
    

 

 

  
       3,151  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Textiles, Apparel & Luxury Goods — 2.6%

 

  24     

NIKE, Inc., Class B

     1,431  
  52     

Under Armour, Inc., Class A (a)

     1,137  
  11     

VF Corp.

     616  
    

 

 

  
       3,184  
    

 

 

  
  

Total Consumer Discretionary

     17,640  
    

 

 

  
  

Consumer Staples — 4.9%

 

  

Beverages — 1.8%

 

  22     

Brown-Forman Corp., Class B

     1,069  
  6     

Constellation Brands, Inc., Class A

     1,177  
    

 

 

  
       2,246  
    

 

 

  
  

Food & Staples Retailing — 0.8%

 

  10     

Casey’s General Stores, Inc.

     1,069  
    

 

 

  
  

Food Products — 1.0%

 

  6     

Kraft Heinz Co. (The)

     516  
  22     

Snyder’s-Lance, Inc.

     745  
    

 

 

  
       1,261  
    

 

 

  
  

Personal Products — 1.3%

 

  60     

Coty, Inc., Class A

     1,127  
  5     

Estee Lauder Cos., Inc. (The), Class A

     442  
    

 

 

  
       1,569  
    

 

 

  
  

Total Consumer Staples

     6,145  
    

 

 

  
  

Energy — 1.1%

 

  

Oil, Gas & Consumable Fuels — 1.1%

 

  18     

EQT Corp.

     1,025  
  51     

Kosmos Energy Ltd., (Ghana) (a)

     328  
    

 

 

  
  

Total Energy

     1,353  
    

 

 

  
  

Financials — 6.2%

 

  

Banks — 1.1%

 

  76     

People’s United Financial, Inc.

     1,345  
    

 

 

  
  

Capital Markets — 1.9%

 

  15     

Artisan Partners Asset Management, Inc., Class A

     457  
  5     

CME Group, Inc.

     579  
  21     

Federated Investors, Inc., Class B

     601  
  20     

Interactive Brokers Group, Inc., Class A

     752  
    

 

 

  
       2,389  
    

 

 

  
  

Consumer Finance — 0.3%

 

  14     

OneMain Holdings, Inc. (a)

     347  
    

 

 

  
  

Insurance — 1.0%

 

  2     

Cincinnati Financial Corp.

     170  
  1     

Markel Corp. (a)

     1,049  
    

 

 

  
       1,219  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         31  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

  
  

Thrifts & Mortgage Finance — 1.9%

 

  92     

New York Community Bancorp, Inc.

     1,207  
  75     

TFS Financial Corp.

     1,162  
    

 

 

  
       2,369  
    

 

 

  
  

Total Financials

     7,669  
    

 

 

  
  

Health Care — 12.7%

 

  

Biotechnology — 2.9%

 

  12     

ACADIA Pharmaceuticals, Inc. (a)

     341  
  3     

Alnylam Pharmaceuticals, Inc. (a)

     267  
  4     

BioMarin Pharmaceutical, Inc. (a)

     329  
  4     

Bluebird Bio, Inc. (a)

     402  
  3     

Intercept Pharmaceuticals, Inc. (a)

     312  
  12     

Juno Therapeutics, Inc. (a)

     355  
  73     

OPKO Health, Inc. (a)

     482  
  3     

Puma Biotechnology, Inc. (a)

     260  
  1     

Regeneron Pharmaceuticals, Inc. (a)

     700  
  4     

Seattle Genetics, Inc. (a)

     216  
    

 

 

  
       3,664  
    

 

 

  
  

Health Care Equipment & Supplies — 1.2%

 

  3     

DENTSPLY SIRONA, Inc.

     204  
  18     

DexCom, Inc. (a)

     1,332  
    

 

 

  
       1,536  
    

 

 

  
  

Health Care Providers & Services — 5.4%

 

  26     

Acadia Healthcare Co., Inc. (a)

     1,273  
  21     

Envision Healthcare Corp. (a)

     1,329  
  7     

Henry Schein, Inc. (a)

     1,199  
  15     

LifePoint Health, Inc. (a)

     1,006  
  21     

Patterson Cos., Inc.

     1,002  
  44     

Tenet Healthcare Corp. (a)

     841  
    

 

 

  
       6,650  
    

 

 

  
  

Health Care Technology — 0.1%

 

  1     

athenahealth, Inc. (a)

     151  
    

 

 

  
  

Pharmaceuticals — 3.1%

  
  10     

Akorn, Inc. (a)

     325  
  24     

Bristol-Myers Squibb Co.

     1,356  
  16     

Catalent, Inc. (a)

     552  
  6     

Medicines Co. (The) (a)

     226  
  22     

Zoetis, Inc.

     1,346  
    

 

 

  
       3,805  
    

 

 

  
  

Total Health Care

     15,806  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Industrials — 17.2%

 

  

Aerospace & Defense — 1.8%

 

  23     

Hexcel Corp.

     1,193  
  4     

TransDigm Group, Inc.

     1,022  
    

 

 

  
       2,215  
    

 

 

  
  

Airlines — 0.4%

 

  11     

Spirit Airlines, Inc. (a)

     544  
    

 

 

  
  

Building Products — 1.0%

 

  27     

Armstrong World Industries, Inc. (a)

     1,234  
    

 

 

  
  

Commercial Services & Supplies — 1.0%

 

  80     

Covanta Holding Corp.

     1,054  
  3     

Rollins, Inc.

     130  
    

 

 

  
       1,184  
    

 

 

  
  

Construction & Engineering — 1.0%

 

  81     

KBR, Inc.

     1,238  
    

 

 

  
  

Electrical Equipment — 1.1%

 

  7     

Acuity Brands, Inc.

     1,418  
    

 

 

  
  

Industrial Conglomerates — 1.5%

 

  12     

Carlisle Cos., Inc.

     1,164  
  25     

General Electric Co.

     678  
    

 

 

  
       1,842  
    

 

 

  
  

Machinery — 4.0%

 

  14     

Flowserve Corp.

     672  
  11     

ITT, Inc.

     436  
  1     

Middleby Corp. (The) (a)

     88  
  8     

Snap-on, Inc.

     1,228  
  32     

Trinity Industries, Inc.

     901  
  6     

Wabtec Corp.

     540  
  19     

Xylem, Inc.

     1,059  
    

 

 

  
       4,924  
    

 

 

  
  

Marine — 0.6%

 

  12     

Kirby Corp. (a)

     792  
    

 

 

  
  

Professional Services — 0.3%

 

  7     

IHS Markit Ltd. (a)

     320  
    

 

 

  
  

Road & Rail — 2.6%

 

  4     

AMERCO

     1,483  
  12     

Genesee & Wyoming, Inc., Class A (a)

     790  
  6     

Old Dominion Freight Line, Inc.

     581  
  5     

Ryder System, Inc.

     390  
    

 

 

  
       3,244  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

  
  

Trading Companies & Distributors — 1.9%

 

  26     

Fastenal Co.

     1,147  
  8     

Watsco, Inc.

     1,268  
    

 

 

  
       2,415  
    

 

 

  
  

Total Industrials

     21,370  
    

 

 

  
  

Information Technology — 21.8%

 

  

Communications Equipment — 0.9%

 

  17     

ViaSat, Inc. (a)

     1,148  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 4.4%

 

  17     

Amphenol Corp., Class A

     1,253  
  2     

Coherent, Inc. (a)

     394  
  6     

Littelfuse, Inc.

     974  
  33     

National Instruments Corp.

     1,317  
  8     

Universal Display Corp.

     819  
  39     

VeriFone Systems, Inc. (a)

     697  
    

 

 

  
       5,454  
    

 

 

  
  

Internet Software & Services — 2.6%

 

  2     

CoStar Group, Inc. (a)

     422  
  5     

Facebook, Inc., Class A (a)

     728  
  133     

Pandora Media, Inc. (a)

     1,186  
  20     

Twilio, Inc., Class A (a)

     586  
  12     

Yelp, Inc. (a)

     346  
    

 

 

  
       3,268  
    

 

 

  
  

IT Services — 4.5%

 

  16     

Broadridge Financial Solutions, Inc.

     1,196  
  1     

Cognizant Technology Solutions Corp., Class A

     83  
  21     

Genpact Ltd.

     591  
  9     

Jack Henry & Associates, Inc.

     919  
  12     

Paychex, Inc.

     697  
  41     

Sabre Corp.

     882  
  12     

WEX, Inc. (a)

     1,246  
    

 

 

  
       5,614  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 3.1%

 

  65     

Advanced Micro Devices, Inc. (a)

     807  
  19     

Cavium, Inc. (a)

     1,159  
  4     

First Solar, Inc. (a)

     168  
  8     

MACOM Technology Solutions Holdings, Inc. (a)

     422  
  13     

Monolithic Power Systems, Inc.

     1,241  
    

 

 

  
       3,797  
    

 

 

  
  

Software — 6.3%

 

  10     

Blackbaud, Inc.

     890  
  11     

Ellie Mae, Inc. (a)

     1,209  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Software — continued

 

  57     

FireEye, Inc. (a)

     872  
  17     

Guidewire Software, Inc. (a)

     1,142  
  14     

salesforce.com, Inc. (a)

     1,173  
  2     

ServiceNow, Inc. (a)

     231  
  5     

Splunk, Inc. (a)

     256  
  4     

Tableau Software, Inc., Class A (a)

     236  
  4     

Tyler Technologies, Inc. (a)

     698  
  5     

Ultimate Software Group, Inc. (The) (a)

     1,129  
    

 

 

  
       7,836  
    

 

 

  
  

Total Information Technology

     27,117  
    

 

 

  
  

Materials — 4.5%

 

  

Chemicals — 1.1%

 

  5     

Air Products & Chemicals, Inc.

     728  
  24     

CF Industries Holdings, Inc.

     671  
    

 

 

  
       1,399  
    

 

 

  
  

Construction Materials — 0.2%

 

  2     

Vulcan Materials Co.

     288  
    

 

 

  
  

Containers & Packaging — 1.2%

 

  33     

Ball Corp.

     1,407  
    

 

 

  
  

Metals & Mining — 2.0%

 

  19     

Compass Minerals International, Inc.

     1,219  
  5     

Royal Gold, Inc.

     405  
  11     

Southern Copper Corp., (Peru)

     375  
  51     

Tahoe Resources, Inc.

     440  
    

 

 

  
       2,439  
    

 

 

  
  

Total Materials

     5,533  
    

 

 

  
  

Real Estate — 1.5%

 

  

Equity Real Estate Investment Trusts (REITs) — 1.0%

 

  16     

Life Storage, Inc.

     1,213  
    

 

 

  
  

Real Estate Management & Development — 0.5%

 

  5     

Jones Lang LaSalle, Inc.

     672  
    

 

 

  
  

Total Real Estate

     1,885  
    

 

 

  
  

Telecommunication Services — 0.5%

 

  

Wireless Telecommunication Services — 0.5%

 

  24     

Telephone & Data Systems, Inc.

     674  
    

 

 

  
  

Utilities — 3.3%

 

  

Electric Utilities — 0.6%

 

  28     

Great Plains Energy, Inc.

     812  
    

 

 

  
  

Gas Utilities — 0.5%

 

  8     

Atmos Energy Corp.

     626  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         33  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

  
  

Multi-Utilities — 2.2%

 

  16     

Dominion Energy, Inc.

     1,262  
  13     

Sempra Energy

     1,424  
    

 

 

  
       2,686  
    

 

 

  
  

Total Utilities

     4,124  
    

 

 

  
  

Total Securities Sold Short
(Proceeds $106,878)

   $ 109,316  
    

 

 

  
 

 

Percentages indicated are based on net assets.

 

Futures Contracts  
NUMBER OF
CONTRACTS		        DESCRIPTION      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
VALUE AT
JUNE 30, 2017		        NET UNREALIZED
APPRECIATION
(DEPRECIATION)		  
    

Short Futures Outstanding

                    
  (7 )      

E-mini S&P 500 Index

        09/15/17          USD        $ (847 )       $ 5  
  (9 )      

E-mini S&P MidCap 400 Index

        09/15/17          USD          (1,572 )         8  
                        

 

 

  
                         $ 13  
                        

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 96.8%

  
  

Consumer Discretionary — 14.4%

 

  

Distributors — 0.7%

 

  862     

Genuine Parts Co.

     79,963  
    

 

 

  
  

Hotels, Restaurants & Leisure — 1.8%

 

  1,425     

Brinker International, Inc.

     54,299  
  1,145     

Hilton Worldwide Holdings, Inc.

     70,800  
  3,964     

La Quinta Holdings, Inc. (a)

     58,549  
  719     

Red Rock Resorts, Inc., Class A

     16,940  
    

 

 

  
       200,588  
    

 

 

  
  

Household Durables — 0.5%

 

  956     

Newell Brands, Inc.

     51,251  
    

 

 

  
  

Internet & Direct Marketing Retail — 0.9%

 

  668     

Expedia, Inc.

     99,571  
    

 

 

  
  

Media — 5.0%

 

  1,551     

CBS Corp. (Non-Voting), Class B

     98,893  
  266     

Charter Communications, Inc., Class A (a)

     89,463  
  3,612     

Clear Channel Outdoor Holdings, Inc., Class A

     17,519  
  2,416     

DISH Network Corp., Class A (a)

     151,616  
  2,996     

Entercom Communications Corp., Class A

     31,009  
  1,078     

Nexstar Media Group, Inc., Class A

     64,494  
  1,228     

Sinclair Broadcast Group, Inc., Class A

     40,411  
  598     

Time Warner, Inc.

     60,055  
    

 

 

  
       553,460  
    

 

 

  
  

Multiline Retail — 0.8%

 

  2,219     

Kohl’s Corp.

     85,825  
    

 

 

  
  

Specialty Retail — 3.8%

  
  153     

AutoZone, Inc. (a)

     87,201  
  1,459     

Bed Bath & Beyond, Inc.

     44,362  
  981     

Best Buy Co., Inc.

     56,268  
  1,744     

Gap, Inc. (The)

     38,341  
  503     

Home Depot, Inc. (The)

     77,117  
  692     

Murphy USA, Inc. (a)

     51,256  
  724     

Tiffany & Co.

     67,980  
    

 

 

  
       422,525  
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 0.9%

 

  1,129     

Columbia Sportswear Co.

     65,574  
  1,404     

Hanesbrands, Inc.

     32,523  
    

 

 

  
       98,097  
    

 

 

  
  

Total Consumer Discretionary

     1,591,280  
    

 

 

  
  

Consumer Staples — 6.2%

 

  

Beverages — 1.4%

 

  787     

Dr Pepper Snapple Group, Inc.

     71,692  
  893     

Molson Coors Brewing Co., Class B

     77,142  
    

 

 

  
       148,834  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Food & Staples Retailing — 1.8%

 

  1,044     

CVS Health Corp.

     84,022  
  2,507     

Kroger Co. (The)

     58,460  
  730     

Walgreens Boots Alliance, Inc.

     57,182  
    

 

 

  
       199,664  
    

 

 

  
  

Food Products — 1.3%

 

  946     

Post Holdings, Inc. (a)

     73,433  
  913     

TreeHouse Foods, Inc. (a)

     74,559  
    

 

 

  
       147,992  
    

 

 

  
  

Household Products — 1.2%

 

  455     

Energizer Holdings, Inc.

     21,867  
  1,262     

Procter & Gamble Co. (The)

     109,960  
    

 

 

  
       131,827  
    

 

 

  
  

Personal Products — 0.5%

 

  2,976     

Coty, Inc., Class A

     55,824  
    

 

 

  
  

Total Consumer Staples

     684,141  
    

 

 

  
  

Energy — 7.4%

 

  

Oil, Gas & Consumable Fuels — 7.4%

 

  1,716     

Apache Corp.

     82,224  
  1,833     

ConocoPhillips

     80,586  
  1,451     

EQT Corp.

     84,990  
  2,559     

Exxon Mobil Corp.

     206,549  
  4,452     

Kinder Morgan, Inc.

     85,296  
  1,689     

Marathon Petroleum Corp.

     88,386  
  710     

Occidental Petroleum Corp.

     42,484  
  2,433     

PBF Energy, Inc., Class A

     54,169  
  1,122     

Phillips 66

     92,760  
    

 

 

  
  

Total Energy

     817,444  
    

 

 

  
  

Financials — 30.6%

 

  

Banks — 14.8%

 

  11,852     

Bank of America Corp.

     287,534  
  2,144     

Citigroup, Inc.

     143,413  
  3,331     

Citizens Financial Group, Inc.

     118,865  
  2,658     

Fifth Third Bancorp

     68,990  
  709     

First Republic Bank

     70,957  
  923     

M&T Bank Corp.

     149,418  
  1,332     

PNC Financial Services Group, Inc. (The)

     166,287  
  2,255     

SunTrust Banks, Inc.

     127,879  
  2,235     

US Bancorp

     116,036  
  6,994     

Wells Fargo & Co.

     387,544  
    

 

 

  
       1,636,923  
    

 

 

  
  

Capital Markets — 3.8%

 

  1,891     

Charles Schwab Corp. (The)

     81,250  
  1,661     

Invesco Ltd.

     58,449  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         35  

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Capital Markets — continued

 

  1,690     

Morgan Stanley

     75,286  
  784     

Northern Trust Corp.

     76,218  
  1,821     

T Rowe Price Group, Inc.

     135,102  
    

 

 

  
       426,305  
    

 

 

  
  

Consumer Finance — 2.8%

 

  3,654     

Ally Financial, Inc.

     76,375  
  2,831     

Capital One Financial Corp.

     233,897  
    

 

 

  
       310,272  
    

 

 

  
  

Insurance — 9.2%

 

  44     

Alleghany Corp. (a)

     26,288  
  1,450     

Allied World Assurance Co. Holdings AG

     76,687  
  2,665     

American International Group, Inc.

     166,589  
  862     

Athene Holding Ltd., Class A (a)

     42,752  
  690     

Chubb Ltd.

     100,319  
  2,002     

CNO Financial Group, Inc.

     41,810  
  2,134     

Hartford Financial Services Group, Inc. (The)

     112,173  
  4,215     

Loews Corp.

     197,300  
  407     

Marsh & McLennan Cos., Inc.

     31,733  
  476     

Prudential Financial, Inc.

     51,512  
  855     

Travelers Cos., Inc. (The)

     108,167  
  1,328     

Unum Group

     61,910  
    

 

 

  
       1,017,240  
    

 

 

  
  

Total Financials

     3,390,740  
    

 

 

  
  

Health Care — 9.8%

 

  

Health Care Providers & Services — 3.4%

 

  900     

Aetna, Inc.

     136,597  
  273     

Cigna Corp.

     45,633  
  1,001     

HCA Healthcare, Inc. (a)

     87,247  
  564     

UnitedHealth Group, Inc.

     104,584  
    

 

 

  
       374,061  
    

 

 

  
  

Life Sciences Tools & Services — 0.3%

 

  864     

VWR Corp. (a)

     28,524  
    

 

 

  
  

Pharmaceuticals — 6.1%

 

  307     

Allergan plc

     74,527  
  1,407     

Johnson & Johnson

     186,188  
  2,523     

Merck & Co., Inc.

     161,721  
  7,614     

Pfizer, Inc.

     255,761  
    

 

 

  
       678,197  
    

 

 

  
  

Total Health Care

     1,080,782  
    

 

 

  
  

Industrials — 6.4%

 

  

Aerospace & Defense — 1.2%

 

  1,079     

United Technologies Corp.

     131,765  
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Airlines — 1.8%

 

  3,832     

Delta Air Lines, Inc.

     205,915  
    

 

 

  
  

Industrial Conglomerates — 2.0%

 

  1,011     

Carlisle Cos., Inc.

     96,403  
  918     

Honeywell International, Inc.

     122,403  
    

 

 

  
       218,806  
    

 

 

  
  

Machinery — 1.4%

 

  1,015     

Dover Corp.

     81,416  
  492     

Illinois Tool Works, Inc.

     70,461  
    

 

 

  
       151,877  
    

 

 

  
  

Total Industrials

     708,363  
    

 

 

  
  

Information Technology — 6.6%

 

  

Communications Equipment — 1.4%

 

  3,730     

Cisco Systems, Inc.

     116,749  
  1,070     

CommScope Holding Co., Inc. (a)

     40,688  
    

 

 

  
       157,437  
    

 

 

  
  

Electronic Equipment, Instruments & Components — 0.7%

 

  958     

Arrow Electronics, Inc. (a)

     75,143  
    

 

 

  
  

IT Services — 0.6%

  
  1,342     

PayPal Holdings, Inc. (a)

     72,041  
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 2.0%

 

  412     

KLA-Tencor Corp.

     37,664  
  1,158     

QUALCOMM, Inc.

     63,930  
  1,527     

Texas Instruments, Inc.

     117,454  
    

 

 

  
       219,048  
    

 

 

  
  

Software — 1.3%

  
  2,013     

Microsoft Corp.

     138,772  
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 0.6%

 

  3,944     

Hewlett Packard Enterprise Co.

     65,434  
    

 

 

  
  

Total Information Technology

     727,875  
    

 

 

  
  

Materials — 3.9%

 

  

Chemicals — 0.2%

  
  685     

AdvanSix, Inc. (a)

     21,399  
    

 

 

  
  

Construction Materials — 0.8%

 

  389     

Martin Marietta Materials, Inc.

     86,601  
    

 

 

  
  

Containers & Packaging — 2.6%

  
  3,131     

Ball Corp.

     132,171  
  4,151     

Graphic Packaging Holding Co.

     57,195  
  1,749     

WestRock Co.

     99,125  
    

 

 

  
       288,491  
    

 

 

  
  

Paper & Forest Products — 0.3%

 

  1,681     

KapStone Paper and Packaging Corp.

     34,669  
    

 

 

  
  

Total Materials

     431,160  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

  
  

Real Estate — 5.5%

 

  

Equity Real Estate Investment Trusts (REITs) — 4.9%

 

  3,160     

American Homes 4 Rent, Class A

     71,332  
  3,703     

Brixmor Property Group, Inc.

     66,205  
  671     

EastGroup Properties, Inc.

     56,196  
  3,687     

Kimco Realty Corp.

     67,663  
  621     

Mid-America Apartment Communities, Inc.

     65,488  
  2,674     

Outfront Media, Inc.

     61,831  
  801     

Park Hotels & Resorts, Inc.

     21,602  
  2,989     

Rayonier, Inc.

     85,995  
  1,291     

Weyerhaeuser Co.

     43,245  
    

 

 

  
       539,557  
    

 

 

  
  

Real Estate Management & Development — 0.6%

 

  1,879     

CBRE Group, Inc., Class A (a)

     68,402  
    

 

 

  
  

Total Real Estate

     607,959  
    

 

 

  
  

Telecommunication Services — 0.7%

 

  

Diversified Telecommunication Services — 0.7%

 

  1,752     

Verizon Communications, Inc.

     78,266  
    

 

 

  
  

Utilities — 5.3%

 

  

Electric Utilities — 4.7%

 

  1,546     

American Electric Power Co., Inc.

     107,423  
  646     

Duke Energy Corp.

     53,981  
  994     

Edison International

     77,706  
  987     

Eversource Energy

     59,909  
  817     

NextEra Energy, Inc.

     114,443  
  2,322     

Xcel Energy, Inc.

     106,526  
    

 

 

  
       519,988  
    

 

 

  
  

Multi-Utilities — 0.6%

 

  559     

Sempra Energy

     63,043  
    

 

 

  
  

Total Utilities

     583,031  
    

 

 

  
  

Total Common Stocks
(Cost $8,220,084)

     10,701,041  
    

 

 

  
NUMBER OF
RIGHTS		               
 

Rights — 0.0% (g) 

  
  

Consumer Discretionary — 0.0% (g) 

 

  

Media — 0.0% (g) 

 

  2,982     

Media General, Inc., CVR (a)
(Cost $—)

     — (h) 
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 3.2%

  
  

Investment Company — 3.2%

  
  353,110     

JPMorgan U.S. Government
Money Market Fund,
Institutional Class, 0.840% (b) (l)
(Cost $353,110)

     353,110  
    

 

 

  
  

Total Investments — 100.0%
(Cost $8,573,194)

     11,054,151  
  

Other Assets in Excess of
Liabilities — 0.0% (g)

     3,875  
    

 

 

  
  

NET ASSETS — 100.0%

   $ 11,058,026  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         37  

Table of Contents

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

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2017

 

 

CVR  

—  Contingent Value Rights

USD  

—  United States Dollar

(a)

 

—  Non-income producing security.

(b)  

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

(g)   

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(j)  

—  All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $20,404,000 and $109,968,000, respectively.

(l)  

—  The rate shown is the current yield as of June 30, 2017.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         39  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2017

(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

      $ 6,906,629        $ 2,713,884      $ 2,975,793  

Investments in affiliates, at value

        246,532          119,456        139,641  
    

 

 

       

 

 

     

 

 

  

Total investment securities, at value

        7,153,161          2,833,340        3,115,434  

Cash

        —          — (a)       —  

Receivables:

             

Due from custodian

        —          1,950        —  

Investment securities sold

        12,605          3,122        5,147  

Fund shares sold

        10,263          2,772        5,946  

Dividends from non-affiliates

        807          2,295        809  

Dividends from affiliates

        169          78        72  
    

 

 

       

 

 

     

 

 

  

Total Assets

        7,177,005          2,843,557        3,127,408  
    

 

 

       

 

 

     

 

 

  

LIABILITIES:

             

Payables:

             

Investment securities purchased

        8,523          15,465        26,018  

Fund shares redeemed

        64,462          17,337        10,301  

Accrued liabilities:

             

Investment advisory fees

        3,799          1,484        1,606  

Administration fees

        478          186        189  

Distribution fees

        700          97        261  

Service fees

        720          177        385  

Custodian and accounting fees

        14          7        8  

Trustees’ and Chief Compliance Officer’s fees

        16          —        — (a) 

Other

        383          326        362  
    

 

 

       

 

 

     

 

 

  

Total Liabilities

        79,095          35,079        39,130  
    

 

 

       

 

 

     

 

 

  

Net Assets

      $ 7,097,910        $ 2,808,478      $ 3,088,278  
    

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
        Growth
Advantage
Fund		        Mid Cap
Equity Fund		        Mid Cap
Growth Fund		  

NET ASSETS:

               

Paid-in-Capital

      $ 4,631,805        $ 1,927,673        $ 2,293,950  

Accumulated undistributed (distributions in excess of) net investment income

        (9,977 )         2,627          (5,294 ) 

Accumulated net realized gains (losses)

        38,460          64,271          85,830  

Net unrealized appreciation (depreciation)

        2,437,622          813,907          713,792  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 7,097,910        $ 2,808,478        $ 3,088,278  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 1,550,092        $ 378,055        $ 915,226  

Class C

        605,999          30,596          90,640  

Class I (formerly Select Class)

        1,691,899          778,378          1,050,151  

Class R2

        —          600          35,242  

Class R3

        20          —          152  

Class R4

        20          —          129  

Class R5

        95,952          1,804          247,068  

Class R6

        3,153,928          1,619,045          749,670  
    

 

 

       

 

 

       

 

 

  

Total

      $ 7,097,910        $ 2,808,478        $ 3,088,278  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

($0.0001 par value; unlimited number of shares authorized):

               

Class A

        86,344          7,791          32,697  

Class C

        37,898          650          4,004  

Class I (formerly Select Class)

        91,931          15,844          33,038  

Class R2

        —          12          1,163  

Class R3

        1          —          5  

Class R4

        1          —          4  

Class R5

        5,134          37          7,700  

Class R6

        168,084          32,922          23,283  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 17.95        $ 48.53        $ 27.99  

Class C — Offering price per share (b)

        15.99          47.05          22.64  

Class I (formerly Select Class) — Offering and redemption price per share

        18.40          49.13          31.79  

Class R2 — Offering and redemption price per share

        —          48.21          30.31  

Class R3 — Offering and redemption price per share

        17.96          —          31.71  

Class R4 — Offering and redemption price per share

        18.40          —          31.77  

Class R5 — Offering and redemption price per share

        18.69          49.17          32.09  

Class R6 — Offering and redemption price per share

        18.76          49.18          32.20  

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)]

      $ 18.94        $ 51.22        $ 29.54  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 4,469,007        $ 1,899,977        $ 2,262,001  

Cost of investments in affiliates

        246,532          119,456          139,641  

 

(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, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         41  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2017 (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

      $ 17,588,371        $ 111,505      $ 10,701,041  

Investments in affiliates, at value

        795,573          13,435        353,110  
    

 

 

       

 

 

     

 

 

  

Total investment securities, at value

        18,383,944          124,940        11,054,151  

Restricted cash

        —          17        —  

Cash

        —          69        —  

Deposits at broker for futures contracts

        —          185        —  

Deposits at broker for securities sold short

        —          109,951        —  

Receivables:

             

Investment securities sold

        20,062          515        —  

Fund shares sold

        75,610          4        18,539  

Dividends from non-affiliates

        25,267          194        8,599  

Dividends from affiliates

        413          8        258  
    

 

 

       

 

 

     

 

 

  

Total Assets

        18,505,296          235,883        11,081,547  
    

 

 

       

 

 

     

 

 

  

LIABILITIES:

             

Payables:

             

Securities sold short, at value

        —          109,316        —  

Dividend expense to non-affiliates on securities sold short

        —          67        —  

Investment securities purchased

        19,144          943        4,860  

Fund shares redeemed

        68,819          1,047        9,855  

Variation margin on futures contracts

        —          1        —  

Accrued liabilities:

             

Investment advisory fees

        9,597          54        5,555  

Administration fees

        1,200          —        668  

Distribution fees

        762          3        761  

Service fees

        1,108          24        696  

Custodian and accounting fees

        42          3        29  

Trustees’ and Chief Compliance Officer’s fees

        93          — (a)       48  

Other

        1,519          40        1,049  
    

 

 

       

 

 

     

 

 

  

Total Liabilities

        102,284          111,498        23,521  
    

 

 

       

 

 

     

 

 

  

Net Assets

      $ 18,403,012        $ 124,385      $ 11,058,026  
    

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
        Mid Cap
Value Fund		        Multi-Cap
Market
Neutral Fund		        Value
Advantage
Fund		  

NET ASSETS:

               

Paid-in-Capital

      $ 11,863,507        $ 116,891        $ 8,484,737  

Accumulated undistributed (distributions in excess of) net investment income

        72,501          (202 )         57,021  

Accumulated net realized gains (losses)

        241,239          (7,525 )         35,311  

Net unrealized appreciation (depreciation)

        6,225,765          15,221          2,480,957  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 18,403,012        $ 124,385        $ 11,058,026  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 2,149,689        $ 5,295        $ 1,432,370  

Class C

        452,351          3,286          746,521  

Class I (formerly Select Class)

        2,902,646          115,804          2,165,577  

Class L (formerly Institutional Class)

        12,478,637          —          3,643,327  

Class R2

        85,287          —          —  

Class R3

        19,262          —          385  

Class R4

        3,537          —          34  

Class R5

        30,334          —          422  

Class R6

        281,269          —          3,069,390  
    

 

 

       

 

 

       

 

 

  

Total

      $ 18,403,012        $ 124,385        $ 11,058,026  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

              

($0.0001 par value; unlimited number of shares authorized):

               

Class A

        56,864          531          42,888  

Class C

        12,446          353          22,487  

Class I (formerly Select Class)

        75,916          11,321          64,416  

Class L (formerly Institutional Class)

        322,404          —          108,326  

Class R2

        2,347          —          —  

Class R3

        511          —          12  

Class R4

        93          —          1  

Class R5

        784          —          12  

Class R6

        7,270          —          91,334  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 37.80        $ 9.97        $ 33.40  

Class C — Offering price per share (b)

        36.35          9.31          33.20  

Class I (formerly Select Class) — Offering and redemption price per share

        38.24          10.23          33.62  

Class L (formerly Institutional Class) — Offering and redemption price per share

        38.70          —          33.63  

Class R2 — Offering and redemption price per share

        36.33          —          —  

Class R3 — Offering and redemption price per share

        37.67          —          33.24  

Class R4 — Offering and redemption price per share

        38.16          —          33.55  

Class R5 — Offering and redemption price per share

        38.67          —          33.59  

Class R6 — Offering and redemption price per share

        38.69          —          33.61  

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)]

      $ 39.89        $ 10.52        $ 35.25  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 11,362,606        $ 93,859        $ 8,220,084  

Cost of investments in affiliates

        795,573          13,435          353,110  

Proceeds from securities sold short

        —          106,878          —  

 

(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, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         43  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2017

(Amounts in thousands)

 

        Growth
Advantage
Fund		      Mid Cap
Equity Fund		       

Mid Cap
Growth

Fund

  

INVESTMENT INCOME:

 

Interest income from affiliates

      $ 11      $ 4        $ 3  

Dividend income from non-affiliates

        42,896        30,604          19,191  

Dividend income from affiliates

        774        435          351  
    

 

 

     

 

 

       

 

 

  

Total investment income

        43,681        31,043          19,545  
    

 

 

     

 

 

       

 

 

  

EXPENSES:

 

Investment advisory fees

        41,539        16,901          18,725  

Administration fees

        5,226        2,127          2,356  

Distribution fees:

             

Class A

        3,978        886          2,296  

Class C

        4,427        236          697  

Class R2

        —        3          152  

Class R3 (a)(b)

        — (c)       —          — (c) 

Service fees:

             

Class A

        3,978        886          2,296  

Class C

        1,476        79          233  

Class I (formerly Select Class)

        3,014        1,743          2,363  

Class R2

        —        1          76  

Class R3 (a)(b)

        — (c)       —          — (c) 

Class R4 (a)(b)

        — (c)       —          — (c) 

Class R5

        55        2          144  

Custodian and accounting fees

        173        74          93  

Interest expense to affiliates

        — (c)       —          —  

Professional fees

        100        71          77  

Trustees’ and Chief Compliance Officer’s fees

        48        33          31  

Printing and mailing costs

        368        235          228  

Registration and filing fees

        213        109          137  

Transfer agency fees (See Note 2.E.)

        213        43          430  

Sub-transfer agency fees (See Note 2.E.)

        2,009        949          1,712  

Other

        164        51          60  
    

 

 

     

 

 

       

 

 

  

Total expenses

        66,981        24,429          32,106  
    

 

 

     

 

 

       

 

 

  

Less fees waived

        (2,436 )       (1,939 )         (3,158 ) 

Less expense reimbursements

        (7 )       (23 )         (114 ) 
    

 

 

     

 

 

       

 

 

  

Net expenses

        64,538        22,467          28,834  
    

 

 

     

 

 

       

 

 

  

Net investment income (loss)

        (20,857 )       8,576          (9,289 ) 
    

 

 

     

 

 

       

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from investments in non-affiliates

        258,483        120,548          128,903  

Change in net unrealized appreciation/depreciation on investments in non-affiliates

        1,188,472        282,160          403,806  
    

 

 

     

 

 

       

 

 

  

Net realized/unrealized gains (losses)

        1,446,955        402,708          532,709  
    

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

      $ 1,426,098      $ 411,284        $ 523,420  
    

 

 

     

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund.
(b) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth Fund.
(c) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
        Mid Cap
Value Fund		      Multi-Cap
Market
Neutral Fund		      Value
Advantage
Fund		  

INVESTMENT INCOME:

     

Interest income from non-affiliates

      $ —      $ — (a)     $ —  

Interest income from affiliates

        — (a)       — (a)       23  

Dividend income from non-affiliates

        287,975        2,230        216,570  

Dividend income from affiliates

        3,332        65        1,251  

Interest income from non-affiliates on securities sold short

        —        245        —  

Foreign taxes withheld

        63        —        71  
    

 

 

     

 

 

     

 

 

  

Total investment income

        291,370        2,540        217,915  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        111,486        1,285        67,827  

Administration fees

        14,027        131        8,535  

Distribution fees:

           

Class A

        5,588        14        4,408  

Class C

        3,957        38        5,668  

Class R2

        338        —        —  

Class R3 (b)

        4        —        — (a) 

Service fees:

           

Class A

        5,588        14        4,408  

Class C

        1,319        13        1,890  

Class I (formerly Select Class)

        6,710        375        3,688  

Class L (formerly Institutional Class)

        11,555        —        4,438  

Class R2

        169        —        —  

Class R3 (b)

        4        —        — (a) 

Class R4 (b)

        1        —        — (a) 

Class R5 (b)

        2        —        — (a) 

Custodian and accounting fees

        470        34        285  

Interest expense to affiliates

        — (a)       5        —  

Professional fees

        420        53        274  

Interest expense to non-affiliates

        —        — (a)       —  

Trustees’ and Chief Compliance Officer’s fees

        129        26        81  

Printing and mailing costs

        1,203        13        987  

Registration and filing fees

        589        41        368  

Transfer agency fees (See Note 2.E.)

        994        4        245  

Sub-transfer agency fees (See Note 2.E.)

        11,135        16        3,780  

Other

        398        7        172  

Dividend expense to non-affiliates on securities sold short

        —        1,846        —  
    

 

 

     

 

 

     

 

 

  

Total expenses

        176,086        3,915        107,054  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (19,838 )       (448 )       (8,721 ) 

Less expense reimbursements

        (5,540 )       —        (588 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        150,708        3,467        97,745  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        140,662        (927 )       120,170  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        458,502        24,173        526,307  

Futures

        —        (234 )       —  

Securities sold short

        —        (20,442 )       —  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        458,502        3,497        526,307  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

           

Investments in non-affiliates

        1,674,398        3,712        1,078,370  

Futures

        —        43        —  

Securities sold short

        —        (3,896 )       —  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        1,674,398        (141 )       1,078,370  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        2,132,900        3,356        1,604,677  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 2,273,562      $ 2,429      $ 1,724,847  
    

 

 

     

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund and Value Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         45  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Growth Advantage Fund        Mid Cap Equity Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (20,857 )       $ (20,440 )       $ 8,576      $ 8,836  

Net realized gain (loss)

        258,483          (145,387 )         120,548        58,144  

Change in net unrealized appreciation/depreciation

        1,188,472          (181,585 )         282,160        (300,510 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        1,426,098          (347,412 )         411,284        (233,530 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —          —          (356 )       (182 ) 

From net realized gains

        —          (57,173 )         (10,459 )       (12,309 ) 

Class C

                  

From net realized gains

        —          (20,218 )         (964 )       (1,246 ) 

Class I (formerly Select Class)

                  

From net investment income

        —          —          (2,165 )       (2,603 ) 

From net realized gains

        —          (48,267 )         (20,374 )       (75,744 ) 

Class R2

                  

From net investment income

        —          —          — (a)       — (a) 

From net realized gains

        —          —          (19 )       (39 ) 

Class R5

                  

From net investment income

        —          —          (11 )       (7 ) 

From net realized gains

        —          (2,457 )         (84 )       (147 ) 

Class R6

                  

From net investment income

        —          —          (6,472 )       (3,761 ) 

From net realized gains

        —          (86,200 )         (46,392 )       (61,528 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        —          (214,315 )         (87,296 )       (157,566 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (291,788 )         1,337,047          120,141        (547,848 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

NET ASSETS:

                  

Change in net assets

        1,134,310          775,320          444,129        (938,944 ) 

Beginning of period

        5,963,600          5,188,280          2,364,349        3,303,293  
    

 

 

       

 

 

       

 

 

     

 

 

  

End of period

      $ 7,097,910        $ 5,963,600        $ 2,808,478      $ 2,364,349  
    

 

 

       

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (9,977 )       $ (8,414 )       $ 2,627      $ 3,375  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
       Mid Cap Growth Fund        Mid Cap Value Fund  
        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                

Net investment income (loss)

      $ (9,289 )     $ (11,080 )       $ 140,662      $ 133,064  

Net realized gain (loss)

        128,903        181,344          458,502        921,071  

Change in net unrealized appreciation/depreciation

        403,806        (478,421 )         1,674,398        (753,064 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        523,420        (308,157 )         2,273,562        301,071  
    

 

 

     

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                

Class A

                

From net investment income

        —        —          (9,018 )       (9,590 ) 

From net realized gains

        (449 )       (56,339 )         (135,546 )       (130,210 ) 

Class C

                

From net realized gains

        (55 )       (6,714 )         (33,147 )       (31,402 ) 

Class I (formerly Select Class)

                

From net investment income

        —        —          (17,549 )       (14,584 ) 

From net realized gains

        (390 )       (50,435 )         (155,821 )       (117,229 ) 

Class L (formerly Institutional Class)

                

From net investment income

        —        —          (100,129 )       (89,774 ) 

From net realized gains

        —        —          (669,173 )       (526,794 ) 

Class R2

                

From net investment income

        —        —          (133 )       (113 ) 

From net realized gains

        (11 )       (1,533 )         (4,114 )       (3,769 ) 

Class R3 (a)

               

From net investment income

        —        —          — (b)       —  

From net realized gains

        — (b)       —          (1 )       —  

Class R4 (a)

               

From net investment income

        —        —          — (b)       —  

From net realized gains

        — (b)       —          (1 )       —  

Class R5 (c)

               

From net investment income

        —        —          — (b)       —  

From net realized gains

        (96 )       (8,974 )         (1 )       —  

Class R6 (c)

               

From net investment income

        —        —          (437 )       —  

From net realized gains

        (275 )       (23,518 )         (2,480 )       —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        (1,276 )       (147,513 )         (1,127,550 )       (923,465 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                

Change in net assets resulting from capital transactions

        (285,349 )       244,627          1,692,858        227,463  
    

 

 

     

 

 

       

 

 

     

 

 

  

NET ASSETS:

                

Change in net assets

        236,795        (211,043 )         2,838,870        (394,931 ) 

Beginning of period

        2,851,483        3,062,526          15,564,142        15,959,073  
    

 

 

     

 

 

       

 

 

     

 

 

  

End of period

      $ 3,088,278      $ 2,851,483        $ 18,403,012      $ 15,564,142  
    

 

 

     

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (5,294 )     $ (4,220 )       $ 72,501      $ 59,105  
    

 

 

     

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         47  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       Multi-Cap Market Neutral Fund        Value Advantage Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (927 )       $ (1,875 )       $ 120,170      $ 137,198  

Net realized gain (loss)

        3,497          30,953          526,307        (206,123 ) 

Change in net unrealized appreciation/depreciation

        (141 )         (24,115 )         1,078,370        (248,822 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        2,429          4,963          1,724,847        (317,747 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —          —          (17,004 )       (13,377 ) 

From net realized gains

        —          —          —        (22,474 ) 

Class C

                  

From net investment income

        —          —          (4,071 )       (1,450 ) 

From net realized gains

        —          —          —        (7,412 ) 

Class I (formerly Select Class)

                  

From net investment income

        —          —          (17,338 )       (9,572 ) 

From net realized gains

        —          —          —        (14,779 ) 

Class L (formerly Institutional Class)

                  

From net investment income

        —          —          (51,645 )       (77,515 ) 

From net realized gains

        —          —          —        (69,917 ) 

Class R3 (a)

                 

From net investment income

        —          —          — (b)       —  

Class R4 (a)

                 

From net investment income

        —          —          — (b)       —  

Class R5 (a)

                 

From net investment income

        —          —          — (b)       —  

Class R6 (a)

                 

From net investment income

        —          —          (44,017 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        —          —          (134,075 )       (216,496 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (66,147 )         (107,540 )         (623,697 )       (669,313 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

NET ASSETS:

                  

Change in net assets

        (63,718 )         (102,577 )         967,075        (1,203,556 ) 

Beginning of period

        188,103          290,680          10,090,951        11,294,507  
    

 

 

       

 

 

       

 

 

     

 

 

  

End of period

      $ 124,385        $ 188,103        $ 11,058,026      $ 10,090,951  
    

 

 

       

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (202 )       $ (583 )       $ 57,021      $ 73,682  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
       Growth Advantage Fund        Mid Cap Equity Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 381,174        $ 1,090,924        $ 121,592        $ 174,026  

Distributions reinvested

        —          56,255          10,791          12,454  

Cost of shares redeemed

        (822,569 )         (535,940 )         (133,304 )         (64,301 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (441,395 )       $ 611,239        $ (921 )       $ 122,179  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 114,033        $ 406,222        $ 7,205        $ 12,272  

Distributions reinvested

        —          18,351          964          1,246  

Cost of shares redeemed

        (227,966 )         (105,053 )         (13,282 )         (4,843 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (113,933 )       $ 319,520        $ (5,113 )       $ 8,675  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I (formerly Select Class)

                    

Proceeds from shares issued

      $ 917,922        $ 709,570        $ 289,476        $ 250,507  

Distributions reinvested

        —          31,907          19,559          64,677  

Cost of shares redeemed

        (424,343 )         (865,494 )         (241,418 )         (1,207,577 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 493,579        $ (124,017 )       $ 67,617        $ (892,393 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ —        $ —        $ 107        $ 235  

Distributions reinvested

        —          —          13          27  

Cost of shares redeemed

        —          —          (284 )         (320 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —        $ —        $ (164 )       $ (58 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3 (a)

                   

Proceeds from shares issued

      $ 20        $ —        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 20        $ —        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4 (a)

                   

Proceeds from shares issued

      $ 20        $ —        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 20        $ —        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ 17,853        $ 41,933        $ 831        $ 2,174  

Distributions reinvested

        —          2,457          95          154  

Cost of shares redeemed

        (23,614 )         (15,257 )         (2,320 )         (861 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (5,761 )       $ 29,133        $ (1,394 )       $ 1,467  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 161,959        $ 708,587        $ 173,778        $ 260,148  

Distributions reinvested

        —          83,297          52,511          65,041  

Cost of shares redeemed

        (386,277 )         (290,712 )         (166,173 )         (112,907 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (224,318 )       $ 501,172        $ 60,116        $ 212,282  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (291,788 )       $ 1,337,047        $ 120,141        $ (547,848 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         49  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Growth Advantage Fund        Mid Cap Equity Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        23,931          73,064          2,680        4,101  

Reinvested

        —          3,824          244        299  

Redeemed

        (51,511 )         (37,546 )         (2,942 )       (1,522 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (27,580 )         39,342          (18 )       2,878  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        7,911          30,118          164        297  

Reinvested

        —          1,389          22        30  

Redeemed

        (16,036 )         (8,092 )         (302 )       (116 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (8,125 )         23,415          (116 )       211  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class I (formerly Select Class)

                  

Issued

        55,638          46,757          6,309        5,728  

Reinvested

        —          2,122          436        1,536  

Redeemed

        (26,275 )         (62,228 )         (5,239 )       (30,292 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        29,363          (13,349 )         1,506        (23,028 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R2

                  

Issued

        —          —          2        6  

Reinvested

        —          —          — (a)       1  

Redeemed

        —          —          (6 )       (8 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        —          —          (4 )       (1 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R3 (b)

                 

Issued

        1          —          —        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        1          —          —        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R4 (b)

                 

Issued

        1          —          —        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        1          —          —        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5

                  

Issued

        1,062          2,743          19        47  

Reinvested

        —          161          2        4  

Redeemed

        (1,434 )         (1,010 )         (49 )       (20 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        (372 )         1,894          (28 )       31  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6

                  

Issued

        9,786          47,326          3,807        6,062  

Reinvested

        —          5,459          1,169        1,544  

Redeemed

        (23,089 )         (19,751 )         (3,615 )       (2,766 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        (13,303 )         33,034          1,361        4,840  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective May 31, 2017 for Growth Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
       Mid Cap Growth Fund        Mid Cap Value Fund  
        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 98,041      $ 297,295        $ 419,157        $ 358,763  

Distributions reinvested

        434        54,215          131,659          127,887  

Cost of shares redeemed

        (295,300 )       (221,243 )         (852,023 )         (694,701 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (196,825 )     $ 130,267        $ (301,207 )       $ (208,051 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 16,838      $ 56,492        $ 23,292        $ 28,896  

Distributions reinvested

        49        5,744          26,948          25,199  

Cost of shares redeemed

        (38,935 )       (23,954 )         (180,218 )         (73,557 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (22,048 )     $ 38,282        $ (129,978 )       $ (19,462 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class I (formerly Select Class)

                  

Proceeds from shares issued

      $ 310,137      $ 596,426        $ 963,041        $ 575,208  

Distributions reinvested

        339        41,535          157,140          119,621  

Cost of shares redeemed

        (362,253 )       (484,304 )         (727,688 )         (626,053 ) 

Redemptions in-kind (See Note 7)

        —        (602,118 )         —          —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (51,777 )     $ (448,461 )       $ 392,493        $ 68,776  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class L (formerly Institutional Class)

                  

Proceeds from shares issued

      $ —      $ —        $ 3,537,449        $ 2,148,891  

Distributions reinvested

        —        —          668,445          515,077  

Cost of shares redeemed

        —        —          (2,817,548 )         (2,275,447 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —      $ —        $ 1,388,346        $ 388,521  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R2

                  

Proceeds from shares issued

      $ 17,018      $ 31,035        $ 37,304        $ 14,006  

Distributions reinvested

        10        1,494          3,910          3,715  

Cost of shares redeemed

        (19,788 )       (6,825 )         (26,653 )         (20,042 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (2,760 )     $ 25,704        $ 14,561        $ (2,321 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R3 (a)

                 

Proceeds from shares issued

      $ 154      $ —        $ 19,636        $ —  

Distributions reinvested

        — (b)       —          1          —  

Cost of shares redeemed

        (12 )       —          (706 )         —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 142      $ —        $ 18,931        $ —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R4 (a)

                 

Proceeds from shares issued

      $ 122      $ —        $ 3,529        $ —  

Distributions reinvested

        — (b)       —          1          —  

Cost of shares redeemed

        (2 )       —          (38 )         —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 120      $ —        $ 3,492        $ —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R5 (c)

                 

Proceeds from shares issued

      $ 40,930      $ 120,489        $ 30,405        $ —  

Distributions reinvested

        91        8,974          1          —  

Cost of shares redeemed

        (60,912 )       (42,206 )         (421 )         —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (19,891 )     $ 87,257        $ 29,985        $ —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R6 (c)

                 

Proceeds from shares issued

      $ 197,543      $ 509,276        $ 292,949        $ —  

Distributions reinvested

        274        23,176          2,917          —  

Cost of shares redeemed

        (190,127 )       (120,874 )         (19,631 )         —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 7,690      $ 411,578        $ 276,235        $ —  
    

 

 

     

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (285,349 )     $ 244,627        $ 1,692,858        $ 227,463  
    

 

 

     

 

 

       

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         51  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Mid Cap Growth Fund        Mid Cap Value Fund  
        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        3,890        11,900          11,445        10,465  

Reinvested

        18        2,266          3,648        3,881  

Redeemed

        (11,718 )       (9,178 )         (23,250 )       (20,274 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (7,810 )       4,988          (8,157 )       (5,928 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class C

                

Issued

        818        2,722          663        877  

Reinvested

        3        295          778        794  

Redeemed

        (1,896 )       (1,230 )         (5,080 )       (2,221 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (1,075 )       1,787          (3,639 )       (550 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class I (formerly Select Class)

                

Issued

        10,786        21,225          26,028        16,809  

Reinvested

        12        1,536          4,300        3,589  

Redeemed

        (12,803 )       (17,722 )         (19,566 )       (18,078 ) 

Redemptions in-kind (See Note 7)

        —        (20,287 )         —        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        (2,005 )       (15,248 )         10,762        2,320  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class L (formerly Institutional Class)

                

Issued

        —        —          94,419        61,500  

Reinvested

        —        —          18,060        15,274  

Redeemed

        —        —          (75,042 )       (65,137 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class L Shares

        —        —          37,437        11,637  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R2

                

Issued

        629        1,143          1,050        421  

Reinvested

        — (a)       57          113        117  

Redeemed

        (729 )       (266 )         (754 )       (606 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        (100 )       934          409        (68 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R3 (b)

               

Issued

        5        —          530        —  

Reinvested

        — (a)       —          — (a)       —  

Redeemed

        — (a)       —          (19 )       —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        5        —          511        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R4 (b)

               

Issued

        4        —          94        —  

Reinvested

        — (a)       —          — (a)       —  

Redeemed

        — (a)       —          (1 )       —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        4        —          93        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R5 (c)

               

Issued

        1,404        4,352          795        —  

Reinvested

        3        329          — (a)       —  

Redeemed

        (2,103 )       (1,554 )         (11 )       —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        (696 )       3,127          784        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R6 (c)

               

Issued

        6,766        18,275          7,706        —  

Reinvested

        10        849          79        —  

Redeemed

        (6,595 )       (4,509 )         (515 )       —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        181        14,615          7,270        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
       Multi-Cap Market Neutral Fund        Value Advantage Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 1,341        $ 3,218        $ 526,758      $ 696,311  

Distributions reinvested

        —          —          16,190        34,339  

Cost of shares redeemed

        (2,701 )         (2,889 )         (1,438,824 )       (1,032,013 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (1,360 )       $ 329        $ (895,876 )     $ (301,363 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Proceeds from shares issued

      $ 57        $ 1,852        $ 124,351      $ 188,939  

Distributions reinvested

        —          —          3,544        7,489  

Cost of shares redeemed

        (2,962 )         (2,446 )         (223,429 )       (140,118 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (2,905 )       $ (594 )       $ (95,534 )     $ 56,310  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class I (formerly Select Class)

                  

Proceeds from shares issued

      $ 1,846        $ 4,346        $ 1,247,895      $ 675,086  

Distributions reinvested

        —          —          12,528        17,378  

Cost of shares redeemed

        (63,728 )         (111,621 )         (728,849 )       (2,253,026 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (61,882 )       $ (107,275 )       $ 531,574      $ (1,560,562 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class L (formerly Institutional Class)

                  

Proceeds from shares issued

      $ —        $ —        $ 1,631,959      $ 3,435,571  

Distributions reinvested

        —          —          45,687        138,955  

Cost of shares redeemed

        —          —          (3,876,760 )       (2,438,224 ) 

Redemptions in-kind (See Note 7)

        —          —          (644,712 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —        $ —        $ (2,843,826 )     $ 1,136,302  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R3 (a)

                 

Proceeds from shares issued

      $ —        $ —        $ 393      $ —  

Distributions reinvested

        —          —          — (b)       —  

Cost of shares redeemed

        —          —          (15 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ —        $ —        $ 378      $ —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R4 (a)

                 

Proceeds from shares issued

      $ —        $ —        $ 31      $ —  

Distributions reinvested

        —          —          — (b)       —  

Cost of shares redeemed

        —          —          — (b)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ —        $ —        $ 31      $ —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5 (a)

                 

Proceeds from shares issued

      $ —        $ —        $ 415      $ —  

Distributions reinvested

        —          —          — (b)       —  

Cost of shares redeemed

        —          —          — (b)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ —        $ —        $ 415      $ —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6 (a)

                 

Proceeds from shares issued

      $ —        $ —        $ 2,989,115      $ —  

Distributions reinvested

        —          —          44,017        —  

Cost of shares redeemed

        —          —          (353,991 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ —        $ —        $ 2,679,141      $ —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ (66,147 )       $ (107,540 )       $ (623,697 )     $ (669,313 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         53  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Multi-Cap Market Neutral Fund        Value Advantage Fund  
        Year Ended
June 30, 2017		        Year Ended
June 30, 2016		        Year Ended
June 30, 2017		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        133          316          16,726        24,694  

Reinvested

        —          —          497        1,244  

Redeemed

        (270 )         (284 )         (45,710 )       (36,328 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (137 )         32          (28,487 )       (10,390 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        6          194          3,919        6,724  

Reinvested

        —          —          109        273  

Redeemed

        (315 )         (258 )         (7,093 )       (5,029 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (309 )         (64 )         (3,065 )       1,968  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class I (formerly Select Class)

                  

Issued

        180          416          38,266        24,052  

Reinvested

        —          —          383        626  

Redeemed

        (6,171 )         (10,669 )         (23,245 )       (78,871 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        (5,991 )         (10,253 )         15,404        (54,193 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class L (formerly Institutional Class)

                  

Issued

        —          —          51,361        120,136  

Reinvested

        —          —          1,397        5,004  

Redeemed

        —          —          (129,686 )       (88,948 ) 

Redemptions in-kind (See Note 7)

        —          —          (19,228 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class L Shares

        —          —          (96,156 )       36,192  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R3 (a)

                 

Issued

        —          —          12        —  

Reinvested

        —          —          — (b)       —  

Redeemed

        —          —          — (b)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        —          —          12        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R4 (a)

                 

Issued

        —          —          1        —  

Reinvested

        —          —          — (b)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        —          —          1        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5 (a)

                 

Issued

        —          —          12        —  

Reinvested

        —          —          — (b)       —  

Redeemed

        —          —          — (b)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        —          —          12        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6 (a)

                 

Issued

        —          —          100,995        —  

Reinvested

        —          —          1,347        —  

Redeemed

        —          —          (11,008 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        —          —          91,334        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         55  

Table of Contents

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, 2017

    $ 14.42      $ (0.09 )    $ 3.62      $ 3.53      $ —      $ —      $ —  

Year Ended June 30, 2016

      15.74        (0.08 )      (0.71 )       (0.79 )       —        (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.24        (0.10 )      2.17        2.07        —        (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.43        (0.07 )      3.52        3.45        —        (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.49        0.01 (f)      1.97        1.98        (0.01 )       (0.03 )       (0.04 ) 

Class C

                    

Year Ended June 30, 2017

      12.91        (0.15 )      3.23        3.08        —        —        —  

Year Ended June 30, 2016

      14.22        (0.14 )      (0.64 )       (0.78 )       —        (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      12.98        (0.15 )      1.96        1.81        —        (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      10.51        (0.12 )      3.23        3.11        —        (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      8.77        (0.04 )(f)      1.81        1.77        —        (0.03 )       (0.03 ) 

Class I (formerly Select Class)

                    

Year Ended June 30, 2017

      14.75        (0.05 )      3.70        3.65        —        —        —  

Year Ended June 30, 2016

      16.06        (0.06 )      (0.72 )       (0.78 )       —        (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.50        (0.07 )      2.20        2.13        —        (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.60        (0.04 )      3.58        3.54        —        (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.63        0.04 (f)      1.98        2.02        (0.02 )       (0.03 )       (0.05 ) 

Class R3

                    

May 31, 2017 (g) through June 30, 2017

      17.85        (0.01 )      0.12        0.11        —        —        —  

Class R4

                    

May 31, 2017 (g) through June 30, 2017

      18.29        — (h)      0.11        0.11        —        —        —  

Class R5

                    

Year Ended June 30, 2017

      14.96        (0.03 )      3.76        3.73        —        —        —  

Year Ended June 30, 2016

      16.25        (0.03 )      (0.73 )       (0.76 )       —        (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.63        (0.04 )      2.23        2.19        —        (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.68        (0.02 )      3.61        3.59        —        (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.69        0.06 (f)      2.01        2.07        (0.05 )       (0.03 )       (0.08 ) 

Class R6

                    

Year Ended June 30, 2017

      15.00        (0.01 )      3.77        3.76        —        —        —  

Year Ended June 30, 2016

      16.27        (0.01 )      (0.73 )       (0.74 )       —        (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.64        (0.03 )      2.23        2.20        —        (0.57 )       (0.57 ) 

December 23, 2013 (g) through June 30, 2014

      13.86        (0.01 )      0.79        0.78        —        —        —  

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.02), $(0.06), $0.01 and $0.03 for Class A, Class C, Class I and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, 0.09% and 0.27% for Class A, Class C, Class I and Class R5 Shares, respectively.
(g) Commencement of offering of class of shares.
(h) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		    

Net
investment

income
(loss)

         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 17.95       24.48 %    $ 1,550,092       1.24 %      (0.56 )%      1.32 %      34 % 
  14.42       (5.07 )      1,643,136       1.25       (0.55 )      1.35       46  
  15.74       14.99       1,174,260       1.24       (0.65 )      1.35       46  
  14.24       30.69       717,564       1.24       (0.51 )      1.31       62  
  11.43       20.95       276,670       1.24       0.11 (f)      1.28       76  
           
  15.99       23.86       605,999       1.74       (1.06 )      1.82       34  
  12.91       (5.55 )      594,190       1.75       (1.04 )      1.85       46  
  14.22       14.43       321,500       1.74       (1.14 )      1.84       46  
  12.98       30.12       144,229       1.74       (1.01 )      1.81       62  
  10.51       20.27       42,655       1.74       (0.38 )(f)      1.78       76  
           
  18.40       24.75       1,691,899       1.00       (0.31 )      1.04       34  
  14.75       (4.91 )      922,981       1.08       (0.41 )      1.09       46  
  16.06       15.14       1,219,501       1.09       (0.48 )      1.09       46  
  14.50       31.03       975,175       1.05       (0.30 )      1.06       62  
  11.60       21.14       842,783       1.03       0.37 (f)      1.03       76  
           
  17.96       0.62       20       1.25       (0.55 )      1.25       34  
           
  18.40       0.60       20       0.99       (0.29 )      1.00       34  
           
  18.69       24.93       95,952       0.85       (0.17 )      0.88       34  
  14.96       (4.72 )      82,358       0.89       (0.20 )      0.90       46  
  16.25       15.42       58,686       0.86       (0.25 )      0.87       46  
  14.63       31.25       1,453,864       0.85       (0.11 )      0.86       62  
  11.68       21.49       835,233       0.83       0.55 (f)      0.84       76  
           
  18.76       25.07       3,153,928       0.74       (0.06 )      0.75       34  
  15.00       (4.59 )      2,720,935       0.76       (0.07 )      0.76       46  
  16.27       15.48       2,414,333       0.76       (0.17 )      0.77       46  
  14.64       5.63       271,958       0.80       (0.15 )      0.82       62  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         57  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		    

Net realized
and unrealized

gains

(losses) on
investments

      Total from
investment
operations		      Net
investment
income		     Net
realized
gain		      Total
distributions		  

Mid Cap Equity Fund

                   

Class A

                   

Year Ended June 30, 2017

    $ 42.95      $ (0.02 )    $ 7.02      $ 7.00      $ (0.05 )    $ (1.37 )     $ (1.42 ) 

Year Ended June 30, 2016

      47.12        (0.01 )      (2.02 )       (2.03 )       (0.03 )      (2.11 )       (2.14 ) 

Year Ended June 30, 2015

      44.91        (0.03 )      4.32        4.29        (0.02 )      (2.06 )       (2.08 ) 

Year Ended June 30, 2014

      38.10        (0.04 )      10.25        10.21        (0.02 )      (3.38 )       (3.40 ) 

Year Ended June 30, 2013

      30.97        0.10 (f)      7.36        7.46        (0.07 )      (0.26 )       (0.33 ) 

Class C

                   

Year Ended June 30, 2017

      41.85        (0.25 )      6.82        6.57        —       (1.37 )       (1.37 ) 

Year Ended June 30, 2016

      46.16        (0.23 )      (1.97 )       (2.20 )       —       (2.11 )       (2.11 ) 

Year Ended June 30, 2015

      44.21        (0.25 )      4.23        3.98        —       (2.03 )       (2.03 ) 

Year Ended June 30, 2014

      37.71        (0.24 )      10.12        9.88        —       (3.38 )       (3.38 ) 

Year Ended June 30, 2013

      30.75        (0.07 )(f)      7.29        7.22        — (g)      (0.26 )       (0.26 ) 

Class I (formerly Select Class)

                   

Year Ended June 30, 2017

      43.41        0.14       7.09        7.23        (0.14 )      (1.37 )       (1.51 ) 

Year Ended June 30, 2016

      47.47        0.11       (1.99 )       (1.88 )       (0.07 )      (2.11 )       (2.18 ) 

Year Ended June 30, 2015

      45.15        0.13       4.34        4.47        (0.09 )      (2.06 )       (2.15 ) 

Year Ended June 30, 2014

      38.22        0.11       10.30        10.41        (0.10 )      (3.38 )       (3.48 ) 

Year Ended June 30, 2013

      31.05        0.20 (f)      7.40        7.60        (0.17 )      (0.26 )       (0.43 ) 

Class R2

                   

Year Ended June 30, 2017

      42.75        (0.14 )      6.98        6.84        (0.01 )      (1.37 )      
 (1.38
 ) 

Year Ended June 30, 2016

      46.98        (0.13 )      (1.99 )       (2.12 )       —       (2.11 )      
 (2.11
 ) 

Year Ended June 30, 2015

      44.87        (0.14 )      4.30        4.16        —       (2.05 )      
 (2.05
 ) 

March 14, 2014 (h) through June 30, 2014

      42.92        (0.05 )      2.01        1.96        (0.01 )      —       
 (0.01
 ) 

Class R5

                   

Year Ended June 30, 2017

      43.43        0.18       7.11        7.29        (0.18 )      (1.37 )      
 (1.55
 ) 

Year Ended June 30, 2016

      47.49        0.18       (2.03 )       (1.85 )       (0.10 )      (2.11 )      
 (2.21
 ) 

Year Ended June 30, 2015

      45.15        0.20       4.33        4.53        (0.13 )      (2.06 )      
 (2.19
 ) 

March 14, 2014 (h) through June 30, 2014

      43.14        0.04       2.02        2.06        (0.05 )      —       
 (0.05
 ) 

Class R6

                   

Year Ended June 30, 2017

      43.44        0.21       7.09        7.30        (0.19 )      (1.37 )      
 (1.56
 ) 

Year Ended June 30, 2016

      47.49        0.20       (2.02 )       (1.82 )       (0.12 )      (2.11 )      
 (2.23
 ) 

Year Ended June 30, 2015

      45.15        0.20       4.34        4.54        (0.14 )      (2.06 )      
 (2.20
 ) 

March 14, 2014 (h) through June 30, 2014

      43.14        0.04       2.02        2.06        (0.05 )      —        (0.05 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.03, $(0.14) and $0.14 for Class A, Class C and Class I Shares, respectively, and the net investment income (loss) ratio would have been 0.09%, (0.39)% and 0.39% for Class A, Class C and Class I Shares , respectively.
(g) Amount rounds to less than $0.005.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		    

Net
investment

income
(loss)

    

    
Expenses

without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 48.53       16.61 %    $ 378,055       1.24 %      (0.05 )%      1.37 %      38 % 
  42.95       (4.17 )      335,424       1.25       (0.03 )      1.43       39  
  47.12       9.99       232,320       1.24       (0.06 )      1.44       41  
  44.91       27.96       156,016       1.24       (0.08 )      1.41       47  
  38.10       24.23       21,171       1.24       0.27 (f)      1.49       67  
           
  47.05       16.01       30,596       1.74       (0.56 )      1.92       38  
  41.85       (4.64 )      32,045       1.75       (0.54 )      1.96       39  
  46.16       9.44       25,597       1.74       (0.56 )      1.91       41  
  44.21       27.34       20,018       1.74       (0.57 )      1.93       47  
  37.71       23.60       6,136       1.74       (0.21 )(f)      2.00       67  
           
  49.13       17.01       778,378       0.89       0.30       1.08       38  
  43.41       (3.81 )      622,440       0.90       0.25       1.20       39  
  47.47       10.35       1,773,929       0.89       0.29       1.16       41  
  45.15       28.45       1,773,321       0.89       0.27       1.18       47  
  38.22       24.64       932,920       0.89       0.57 (f)      1.23       67  
           
  48.21       16.30       600       1.49       (0.31 )      1.69       38  
  42.75       (4.38 )      688       1.50       (0.30 )      1.81       39  
  46.98       9.71       823       1.49       (0.31 )      1.69       41  
  44.87       4.56       688       1.47       (0.41 )      1.60       47  
           
  49.17       17.14       1,804       0.79       0.40       0.87       38  
  43.43       (3.73 )      2,840       0.80       0.42       0.91       39  
  47.49       10.49       1,636       0.79       0.43       0.88       41  
  45.15       4.77       91       0.78       0.27       0.91       47  
           
  49.18       17.18       1,619,045       0.74       0.45       0.75       38  
  43.44       (3.66 )      1,370,912       0.74       0.46       0.77       39  
  47.49       10.53       1,268,988       0.74       0.45       0.80       41  
  45.15       4.78       823,036       0.73       0.34       0.86       47  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         59  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period		        Net
investment
income
(loss) (b)		     Net realized
and unrealized
gains
(losses) on
investments		        Total from
investment
operations		        Net
realized
gain		  

Mid Cap Growth Fund

                      

Class A

                      

Year Ended June 30, 2017

      $ 23.43        $ (0.14 )    $ 4.71        $ 4.57        $ (0.01 ) 

Year Ended June 30, 2016

        27.71          (0.15 )      (2.67 )         (2.82 )         (1.46 ) 

Year Ended June 30, 2015

        27.49          (0.18 )      3.19          3.01          (2.79 ) 

Year Ended June 30, 2014

        22.99          (0.13 )(f)      7.42          7.29          (2.79 ) 

Year Ended June 30, 2013

        19.52          (0.04 )(g)      4.50          4.46          (0.99 ) 

Class C

                      

Year Ended June 30, 2017

        19.05          (0.22 )      3.82          3.60          (0.01 ) 

Year Ended June 30, 2016

        22.93          (0.22 )      (2.20 )         (2.42 )         (1.46 ) 

Year Ended June 30, 2015

        23.35          (0.26 )      2.63          2.37          (2.79 ) 

Year Ended June 30, 2014

        19.97          (0.22 )(f)      6.39          6.17          (2.79 ) 

Year Ended June 30, 2013

        17.17          (0.12 )(g)      3.91          3.79          (0.99 ) 

Class I (formerly Select Class)

                      

Year Ended June 30, 2017

        26.52          (0.07 )      5.35          5.28          (0.01 ) 

Year Ended June 30, 2016

        31.06          (0.09 )      (2.99 )         (3.08 )         (1.46 ) 

Year Ended June 30, 2015

        30.39          (0.11 )      3.57          3.46          (2.79 ) 

Year Ended June 30, 2014

        25.08          (0.06 )(f)      8.16          8.10          (2.79 ) 

Year Ended June 30, 2013

        21.15          0.03 (g)      4.89          4.92          (0.99 ) 

Class R2

                      

Year Ended June 30, 2017

        25.41          (0.21 )      5.12          4.91          (0.01 ) 

Year Ended June 30, 2016

        29.96          (0.18 )      (2.91 )         (3.09 )         (1.46 ) 

Year Ended June 30, 2015

        29.54          (0.24 )      3.45          3.21          (2.79 ) 

Year Ended June 30, 2014

        24.56          (0.20 )(f)      7.97          7.77          (2.79 ) 

Year Ended June 30, 2013

        20.83          (0.07 )(g)      4.79          4.72          (0.99 ) 

Class R3

                      

September 9, 2016 (h) through June 30, 2017

        27.06          (0.13 )      4.79          4.66          (0.01 ) 

Class R4

                      

September 9, 2016 (h) through June 30, 2017

        27.06          (0.06 )      4.78          4.72          (0.01 ) 

Class R5

                      

Year Ended June 30, 2017

        26.74          (0.03 )      5.39          5.36          (0.01 ) 

Year Ended June 30, 2016

        31.26          (0.03 )      (3.03 )         (3.06 )         (1.46 ) 

Year Ended June 30, 2015

        30.52          (0.07 )      3.60          3.53          (2.79 ) 

Year Ended June 30, 2014

        25.15          (0.02 )(f)      8.18          8.16          (2.79 ) 

Year Ended June 30, 2013

        21.18          0.06 (g)      4.90          4.96          (0.99 ) 

Class R6

                      

Year Ended June 30, 2017

        26.82          (0.02 )      5.41          5.39          (0.01 ) 

Year Ended June 30, 2016

        31.33          (0.02 )      (3.03 )         (3.05 )         (1.46 ) 

Year Ended June 30, 2015

        30.57          (0.06 )      3.61          3.55          (2.79 ) 

Year Ended June 30, 2014

        25.17          — (f)(i)      8.19          8.19          (2.79 ) 

Year Ended June 30, 2013

        21.19          0.08 (g)      4.89          4.97          (0.99 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $(0.14), $(0.23), $(0.06), $(0.20), $(0.02) and $(0.01) and for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.53)%, (1.03)%, (0.22)%, (0.73)%, (0.08)%, (0.03)% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.17), $(0.02), $(0.13), $0.01 and $0.02 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.42)%, (0.92)%, (0.10)%, (0.57)%, 0.04% and 0.09% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.
(h) Commencement of offering of class of shares.
(i) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 27.99       19.52 %    $ 915,226       1.23 %      (0.56 )%      1.36 %      41 % 
  23.43       (10.29 )      949,148       1.24       (0.59 )      1.40       56  
  27.71       12.37       984,262       1.23       (0.68 )      1.35       57  
  27.49       33.44       765,310       1.24       (0.51 )(f)      1.37       69  
  22.99       23.70       586,787       1.23       (0.17 )(g)      1.45       70  
           
  22.64       18.92       90,640       1.73       (1.06 )      1.85       41  
  19.05       (10.70 )      96,729       1.74       (1.08 )      1.90       56  
  22.93       11.78       75,494       1.73       (1.19 )      1.86       57  
  23.35       32.85       41,047       1.73       (1.01 )(f)      1.86       69  
  19.97       23.03       23,745       1.73       (0.67 )(g)      1.95       70  
           
  31.79       19.92       1,050,151       0.92       (0.25 )      1.08       41  
  26.52       (10.01 )      929,489       0.93       (0.31 )      1.13       56  
  31.06       12.68       1,562,284       0.92       (0.37 )      1.12       57  
  30.39       33.91       1,254,748       0.93       (0.20 )(f)      1.12       69  
  25.08       24.06       894,740       0.93       0.14 (g)      1.20       70  
           
  30.31       19.34       35,242       1.42       (0.74 )      1.69       41  
  25.41       (10.42 )      32,092       1.40       (0.71 )      1.71       56  
  29.96       12.18       9,868       1.39       (0.85 )      1.64       57  
  29.54       33.25       1,852       1.40       (0.71 )(f)      1.59       69  
  24.56       23.46       320       1.39       (0.32 )(g)      1.71       70  
           
  31.71       17.24       152       1.23       (0.54 )      1.42       41  
           
  31.77       17.46       129       0.98       (0.23 )      1.10       41  
           
  32.09       20.06       247,068       0.78       (0.10 )      0.89       41  
  26.74       (9.87 )      224,498       0.79       (0.13 )      0.91       56  
  31.26       12.87       164,713       0.78       (0.25 )      0.87       57  
  30.52       34.06       27,454       0.79       (0.06 )(f)      0.92       69  
  25.15       24.22       17,848       0.79       0.28 (g)      1.00       70  
           
  32.20       20.11       749,670       0.73       (0.06 )      0.76       41  
  26.82       (9.82 )      619,527       0.73       (0.06 )      0.77       56  
  31.33       12.92       265,905       0.73       (0.19 )      0.78       57  
  30.57       34.16       86,150       0.74       (0.01 )(f)      0.86       69  
  25.17       24.26       47,434       0.74       0.34 (g)      0.98       70  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         61  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance     

 

  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		      Net realized
and unrealized
gains
(losses) on
investments		      Total from
investment
operations		      Net
investment
income		     Net
realized
gain		      Total
distributions		  

Mid Cap Value Fund

                    

Class A

                    

Year Ended June 30, 2017

    $ 35.41      $ 0.17      $ 4.60      $ 4.77      $ (0.14 )    $ (2.24 )     $ (2.38 ) 

Year Ended June 30, 2016

      36.98        0.19        0.33        0.52        (0.14 )      (1.95 )       (2.09 ) 

Year Ended June 30, 2015

      37.25        0.20        2.52        2.72        (0.20 )      (2.79 )       (2.99 ) 

Year Ended June 30, 2014

      31.68        0.15 (f)       7.02        7.17        (0.15 )      (1.45 )       (1.60 ) 

Year Ended June 30, 2013

      25.80        0.19 (g)       6.20        6.39        (0.29 )      (0.22 )       (0.51 ) 

Class C

                    

Year Ended June 30, 2017

      34.17        (0.02 )       4.44        4.42        —       (2.24 )       (2.24 ) 

Year Ended June 30, 2016

      35.79        0.01        0.32        0.33        —       (1.95 )       (1.95 ) 

Year Ended June 30, 2015

      36.19        0.01        2.44        2.45        (0.06 )      (2.79 )       (2.85 ) 

Year Ended June 30, 2014

      30.84        (0.03 )(f)       6.83        6.80        — (h)      (1.45 )       (1.45 ) 

Year Ended June 30, 2013

      25.14        0.05 (g)       6.03        6.08        (0.16 )      (0.22 )       (0.38 ) 

Class I (formerly Select Class)

                    

Year Ended June 30, 2017

      35.79        0.27        4.66        4.93        (0.24 )      (2.24 )       (2.48 ) 

Year Ended June 30, 2016

      37.36        0.28        0.33        0.61        (0.23 )      (1.95 )       (2.18 ) 

Year Ended June 30, 2015

      37.61        0.28        2.55        2.83        (0.29 )      (2.79 )       (3.08 ) 

Year Ended June 30, 2014

      31.95        0.23 (f)       7.10        7.33        (0.22 )      (1.45 )       (1.67 ) 

Year Ended June 30, 2013

      26.01        0.27 (g)       6.24        6.51        (0.35 )      (0.22 )       (0.57 ) 

Class L (formerly Institutional Class)

                    

Year Ended June 30, 2017

      36.19        0.36        4.71        5.07        (0.32 )      (2.24 )       (2.56 ) 

Year Ended June 30, 2016

      37.76        0.37        0.33        0.70        (0.32 )      (1.95 )       (2.27 ) 

Year Ended June 30, 2015

      37.99        0.40        2.56        2.96        (0.40 )      (2.79 )       (3.19 ) 

Year Ended June 30, 2014

      32.26        0.32 (f)       7.17        7.49        (0.31 )      (1.45 )       (1.76 ) 

Year Ended June 30, 2013

      26.24        0.34 (g)       6.31        6.65        (0.41 )      (0.22 )       (0.63 ) 

Class R2

                    

Year Ended June 30, 2017

      34.14        0.07        4.43        4.50        (0.07 )      (2.24 )       (2.31 ) 

Year Ended June 30, 2016

      35.73        0.10        0.32        0.42        (0.06 )      (1.95 )       (2.01 ) 

Year Ended June 30, 2015

      36.14        0.10        2.43        2.53        (0.15 )      (2.79 )       (2.94 ) 

Year Ended June 30, 2014

      30.81        0.06 (f)       6.82        6.88        (0.10 )      (1.45 )       (1.55 ) 

Year Ended June 30, 2013

      25.18        0.12 (g)       6.03        6.15        (0.30 )      (0.22 )       (0.52 ) 

Class R3

                    

September 9, 2016 (i) through June 30, 2017

      35.78        0.26        4.15        4.41        (0.28 )      (2.24 )       (2.52 ) 

Class R4

                    

September 9, 2016 (i) through June 30, 2017

      36.18        0.38        4.15        4.53        (0.31 )      (2.24 )       (2.55 ) 

Class R5

                    

September 9, 2016 (i) through June 30, 2017

      36.60        0.36        4.28        4.64        (0.33 )      (2.24 )       (2.57 ) 

Class R6

                    

September 9, 2016 (i) through June 30, 2017

      36.60        0.32        4.34        4.66        (0.33 )      (2.24 )       (2.57 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.14, $(0.03), $0.05, $0.23 and $0.32 for Class A, Class C, Class R2, Class I and Class L 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, Class L and Class I Shares, respectively.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.16, $0.01, $0.09, $0.23 and $0.31 for Class A, Class C, Class R2, Class I and Class L Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.04%, 0.31%, 0.80% and 1.04% for Class A, Class C, Class R2, Class I and Class L Shares, respectively.
(h) Amount rounds to less than $0.005.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 37.80       13.83 %    $ 2,149,689       1.23 %      0.45 %      1.36 %      23 % 
  35.41       1.85       2,302,567       1.24       0.54       1.41       20  
  36.98       7.68       2,623,772       1.23       0.53       1.38       18  
  37.25       23.25       3,404,974       1.23       0.42 (f)      1.37       25  
  31.68       25.06       3,157,503       1.23       0.67 (g)      1.38       23  
           
  36.35       13.27       452,351       1.74       (0.06 )      1.80       23  
  34.17       1.35       549,619       1.75       0.03       1.83       20  
  35.79       7.12       595,385       1.74       0.03       1.84       18  
  36.19       22.63       608,283       1.74       (0.09 )(f)      1.87       25  
  30.84       24.43       534,813       1.74       0.16 (g)      1.88       23  
           
  38.24       14.15       2,902,646       0.98       0.72       1.07       23  
  35.79       2.11       2,332,160       0.99       0.80       1.11       20  
  37.36       7.92       2,347,703       0.98       0.75       1.10       18  
  37.61       23.59       2,967,759       0.98       0.67 (f)      1.12       25  
  31.95       25.35       2,870,752       0.98       0.92 (g)      1.13       23  
           
  38.70       14.39       12,478,637       0.74       0.96       0.91       23  
  36.19       2.35       10,313,629       0.75       1.04       0.94       20  
  37.76       8.19       10,320,516       0.74       1.05       0.94       18  
  37.99       23.88       8,581,992       0.74       0.92 (f)     0.97       25  
  32.26       25.68       6,627,529       0.74       1.16 (g)      0.98       23  
           
  36.33       13.53       85,287       1.49       0.21       1.65       23  
  34.14       1.61       66,167       1.50       0.29       1.75       20  
  35.73       7.38       71,697       1.49       0.28       1.71       18  
  36.14       22.94       71,958       1.49       0.17 (f)      1.62       25  
  30.81       24.71       57,003       1.49       0.43 (g)      1.63       23  
           
  37.67       12.70       19,262       1.24       0.87       1.35       23  
           
  38.16       12.89       3,537       0.99       1.26       1.10       23  
           
  38.67       13.06       30,334       0.84       1.18       1.02       23  
           
  38.69       13.13       281,269       0.74       1.05       0.75       23  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         63  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

      

 

        Per share operating performance  
                Investment operations  
        Net asset
value,
beginning
of period		        Net
investment
income
(loss) (a)		        Net realized
and unrealized
gains
(losses) on
investments		        Total from
investment
operations		  

Multi-Cap Market Neutral Fund

                    

Class A

                    

Year Ended June 30, 2017

      $ 9.90        $ (0.08 )       $ 0.15        $ 0.07  

Year Ended June 30, 2016

        9.87          (0.10 )         0.13          0.03  

Year Ended June 30, 2015

        9.91          (0.11 )         0.07          (0.04 ) 

Year Ended June 30, 2014

        9.79          (0.13 )         0.25          0.12  

Year Ended June 30, 2013

        9.69          (0.11 )(e)         0.21          0.10  

Class C

                    

Year Ended June 30, 2017

        9.29          (0.12 )         0.14          0.02  

Year Ended June 30, 2016

        9.31          (0.14 )         0.12          (0.02 ) 

Year Ended June 30, 2015

        9.40          (0.15 )         0.06          (0.09 ) 

Year Ended June 30, 2014

        9.33          (0.17 )         0.24          0.07  

Year Ended June 30, 2013

        9.30          (0.17 )(e)         0.20          0.03  

Class I (formerly Select Class)

                    

Year Ended June 30, 2017

        10.13          (0.06 )         0.16          0.10  

Year Ended June 30, 2016

        10.07          (0.08 )         0.14          0.06  

Year Ended June 30, 2015

        10.09          (0.09 )         0.07          (0.02 ) 

Year Ended June 30, 2014

        9.94          (0.11 )         0.26          0.15  

Year Ended June 30, 2013

        9.82          (0.09 )(e)         0.21          0.12  

 

(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 1.23% and 1.60% for the year ended June 30, 2017, 1.27% and 1.69% for the year ended June 30, 2016, 1.48% and 1.95% for the year ended June 30, 2015, 1.49% and 1.91% for the year ended June 30, 2014 and 1.48% and 1.88% for the year ended June 30, 2013; for Class C are 1.73% and 2.10% for the year ended June 30, 2017, 1.77% and 2.20% for the year ended June 30, 2016, 1.98% and 2.45% for the year ended June 30, 2015, 1.99% and 2.40% for the year ended June 30, 2014 and 2.15% and 2.38% for the year ended June 30, 2013; for Class I are 0.97% and 1.24% for the year ended June 30, 2017, 1.03% and 1.30% for the year ended June 30, 2016, 1.23% and 1.64% for the year ended June 30, 2015, 1.23% and 1.65% for the year ended June 30, 2014, 1.23% and 1.63% for the year ended June 30, 2013, respectively.
(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 $(0.13), $(0.19) and $(0.11) for Class A, Class C and Class I 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 Class I Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

     Ratios/Supplemental data  
                  Ratios to average net assets              
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net expenses
(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		     Portfolio
turnover rate
(including
short sales)		  
             
             
  $9.97       0.71 %    $ 5,295       2.38 %      (0.78 )%      2.75 %      78 %      229 % 
  9.90       0.30       6,608       2.52       (0.97 )      2.94       111       258  
  9.87       (0.40 )      6,273       2.68       (1.14 )      3.15       74       204  
  9.91       1.23       10,301       2.78       (1.36 )      3.20       106       227  
  9.79       1.03       14,101       3.04       (1.13 )(e)      3.44       94       251  
             
  9.31       0.22       3,286       2.88       (1.31 )      3.25       78       229  
  9.29       (0.21 )      6,147       3.02       (1.47 )      3.45       111       258  
  9.31       (0.96 )      6,760       3.18       (1.62 )      3.65       74       204  
  9.40       0.75       8,602       3.28       (1.85 )      3.70       106       227  
  9.33       0.32       11,181       3.69       (1.81 )(e)      3.92       94       251  
             
  10.23       0.99       115,804       2.12       (0.54 )      2.39       78       229  
  10.13       0.60       175,348       2.28       (0.74 )      2.55       111       258  
  10.07       (0.20 )      277,647       2.43       (0.89 )      2.84       74       204  
  10.09       1.51       431,890       2.52       (1.07 )      2.94       106       227  
  9.94       1.22       317,974       2.78       (0.90 )(e)      3.18       94       251  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         65  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

      Per share operating performance    

 

  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		      Net realized
and unrealized
gains
(losses) on
investments		     Total from
investment
operations		     Net
investment
income		     Net
realized
gain		     Total
distributions		  

Value Advantage Fund

 

        

Class A

                 

Year Ended June 30, 2017

    $ 28.66      $ 0.27      $ 4.77     $ 5.04     $ (0.30 )    $ —     $ (0.30 ) 

Year Ended June 30, 2016

      29.84        0.27        (0.99 )      (0.72 )      (0.17 )      (0.29 )      (0.46 ) 

Year Ended June 30, 2015

      29.15        0.19        1.47       1.66       (0.26 )      (0.71 )      (0.97 ) 

Year Ended June 30, 2014

      24.64        0.34        5.03       5.37       (0.16 )      (0.70 )      (0.86 ) 

Year Ended June 30, 2013

      19.96        0.22        4.75       4.97       (0.20 )      (0.09 )      (0.29 ) 

Class C

                 

Year Ended June 30, 2017

      28.52        0.11        4.74       4.85       (0.17 )      —       (0.17 ) 

Year Ended June 30, 2016

      29.72        0.14        (0.99 )      (0.85 )      (0.06 )      (0.29 )      (0.35 ) 

Year Ended June 30, 2015

      29.08        0.04        1.47       1.51       (0.16 )      (0.71 )      (0.87 ) 

Year Ended June 30, 2014

      24.61        0.20        5.02       5.22       (0.05 )      (0.70 )      (0.75 ) 

Year Ended June 30, 2013

      19.91        0.11        4.74       4.85       (0.06 )      (0.09 )      (0.15 ) 

Class I (formerly Select Class)

                 

Year Ended June 30, 2017

      28.86        0.35        4.80       5.15       (0.39 )      —       (0.39 ) 

Year Ended June 30, 2016

      29.99        0.33        (0.98 )      (0.65 )      (0.19 )      (0.29 )      (0.48 ) 

Year Ended June 30, 2015

      29.27        0.27        1.48       1.75       (0.32 )      (0.71 )      (1.03 ) 

Year Ended June 30, 2014

      24.72        0.42        5.03       5.45       (0.20 )      (0.70 )      (0.90 ) 

Year Ended June 30, 2013

      20.00        0.28        4.75       5.03       (0.22 )      (0.09 )      (0.31 ) 

Class L (formerly Institutional Class)

                 

Year Ended June 30, 2017

      28.86        0.41        4.82       5.23       (0.46 )      —       (0.46 ) 

Year Ended June 30, 2016

      30.06        0.43        (1.02 )      (0.59 )      (0.32 )      (0.29 )      (0.61 ) 

Year Ended June 30, 2015

      29.31        0.34        1.50       1.84       (0.38 )      (0.71 )      (1.09 ) 

Year Ended June 30, 2014

      24.74        0.48        5.04       5.52       (0.25 )      (0.70 )      (0.95 ) 

Year Ended June 30, 2013

      19.99        0.34        4.75       5.09       (0.25 )      (0.09 )      (0.34 ) 

Class R3

                 

September 9, 2016 (f) through June 30, 2017

      29.33        0.29        4.06       4.35       (0.44 )      —       (0.44 ) 

Class R4

                 

September 9, 2016 (f) through June 30, 2017

      29.56        0.27        4.18       4.45       (0.46 )      —       (0.46 ) 

Class R5

                 

September 9, 2016 (f) through June 30, 2017

      29.57        0.30        4.20       4.50       (0.48 )      —       (0.48 ) 

Class R6

                 

September 9, 2016 (f) through June 30, 2017

      29.57        0.36        4.17       4.53       (0.49 )      —       (0.49 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

 

     Ratios/Supplemental data  
            Ratios to average net assets (a)  
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 33.40       17.60 %    $ 1,432,370       1.24 %      0.85 %      1.36 %      24 % 
  28.66       (2.34 )      2,045,698       1.24       0.98       1.43       26  
  29.84       5.78       2,440,061       1.24       0.64       1.41       17  
  29.15       22.19       1,701,250       1.24       1.26       1.33       36  
  24.64       25.09       784,359       1.24       0.98       1.33       22  
           
  33.20       17.02       746,521       1.74       0.34       1.81       24  
  28.52       (2.82 )      728,800       1.74       0.49       1.85       26  
  29.72       5.26       701,023       1.73       0.14       1.83       17  
  29.08       21.58       402,880       1.74       0.74       1.83       36  
  24.61       24.45       212,198       1.74       0.49       1.83       22  
           
  33.62       17.89       2,165,577       0.99       1.09       1.04       24  
  28.86       (2.10 )      1,414,635       0.99       1.16       1.05       26  
  29.99       6.05       3,095,251       0.99       0.89       1.05       17  
  29.27       22.49       2,546,808       0.99       1.53       1.08       36  
  24.72       25.38       1,245,241       0.99       1.23       1.08       22  
           
  33.63       18.17       3,643,327       0.75       1.32       0.87       24  
  28.86       (1.87 )      5,901,818       0.74       1.50       0.88       26  
  30.06       6.36       5,058,172       0.74       1.15       0.90       17  
  29.31       22.77       3,042,506       0.74       1.77       0.93       36  
  24.74       25.73       1,455,125       0.74       1.50       0.93       22  
           
  33.24       14.87       385       1.24       1.09       1.36       24  
           
  33.55       15.10       34       1.00       1.05       1.08       24  
           
  33.59       15.27       422       0.83       1.14       0.89       24  
           
  33.61       15.35       3,069,390       0.74       1.39       0.75       24  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         67  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017

 

1. Organization

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

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

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

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

 

      Classes Offered    Trust    Diversified/Non-Diversified
Growth Advantage Fund    Class A, Class C, Class I^, Class R2^^, Class R3^^^, Class R4^^^, Class R5 and Class R6    JPMMFIT    Diversified
Mid Cap Equity Fund    Class A, Class C, Class I^, Class R2, Class R5 and Class R6    JPM I    Diversified
Mid Cap Growth Fund    Class A, Class C, Class I^, Class R2, Class R3*, Class R4*, Class R5 and Class R6    JPM II    Diversified
Mid Cap Value Fund    Class A, Class C, Class I^, Class L**, Class R2, Class R3*, Class R4*, Class R5*** and Class R6***    JPMFMFG    Diversified
Multi-Cap Market Neutral Fund    Class A, Class C, and Class I^    JPM II    Diversified
Value Advantage Fund    Class A, Class C, Class I^, Class L**, Class R2^^, Class R3*, Class R4*, Class R5*** and Class R6***    JPM I    Diversified

 

    ^ Effective April 3, 2017, Select Class was renamed Class I.
  ^^ Class R2 Shares commenced operations on July 31, 2017 for Growth Advantage Fund and Value Advantage Fund.
^^^ Class R3 and Class R4 Shares commenced operations on May 31, 2017 for Growth Advantage Fund.
    * Class R3 and Class R4 Shares commenced operations on September 9, 2016 for Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund.
   ** Effective December 1, 2016, Institutional Class was renamed Class L and is publicly offered on a limited basis.
 *** Class R5 and Class R6 Shares commenced operations on September 9, 2016 for Mid Cap Value Fund and Value Advantage Fund.

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

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

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

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

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

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

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

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. 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 (through April 2, 2017), distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Effective April 3, 2017, sub-transfer agency and shareholder servicing fees were consolidated into a single service fee. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares will automatically convert to Class A Shares after ten years.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S.

 

 
68       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

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

The Administrator has established the J.P. Morgan Investment 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)

      $ 7,153,161        $ —        $ —        $ 7,153,161  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 2,833,340        $ —        $ —        $ 2,833,340  
    

 

 

       

 

 

       

 

 

       

 

 

  
Mid Cap Growth Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 3,115,434        $ —        $ —        $ 3,115,434  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 18,383,944        $ —        $ —        $ 18,383,944  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         69  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017 (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)

      $ 124,940        $ —        $ —      $ 124,940  
    

 

 

       

 

 

       

 

 

     

 

 

  

Total Liabilities for Securities Sold Short (a)

      $ (109,316 )       $ —        $ —      $ (109,316 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Appreciation in Other Financial Instruments

                  

Futures Contracts

      $ 13        $ —        $ —      $ 13  
    

 

 

       

 

 

       

 

 

     

 

 

  
Value Advantage Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (b)

      $ 11,054,151        $ —        $ — (c)     $ 11,054,151  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.
(b) All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings.
(c) Amount rounds to less than 500.

There were no transfers among any levels during the year ended June 30, 2017.

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

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

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

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

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

As of June 30, 2017, the Fund had outstanding short sales as listed on the SOI.

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

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes 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, 2017

Table of Contents

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, 2017 (amounts in thousands):

 

      Multi-Cap Market
Neutral Fund		  

Futures Contracts:

   

Average Notional Balance Long

    $ 1,807 (a) 

Average Notional Balance Short

      1,102  

Ending Notional Balance Long

      —  

Ending Notional Balance Short

      2,419  

 

(a) For the period May 1, 2017 through May 31, 2017.

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

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

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

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

Transfer agency fees are class-specific expenses and sub-transfer agency fees were class-specific expenses up through April 2, 2017. Effective April 3, 2017, the Funds ceased making direct payments to financial intermediaries for any applicable sub-transfer agency services. Payments to financial intermediaries for sub-transfer agency services are made by JPMorgan Distribution Services, Inc. from the Shareholder Servicing Fee, which has been renamed as the Service Fee. 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, 2017 are as follows (amounts in thousands):

 

      Class A      Class C      Class I     Class L     Class R2     Class R3     Class R4     Class R5     Class R6     Total  

Growth Advantage Fund

                       

Transfer agency fees

    $ 105      $ 45      $ 37       n/a       n/a     $ —     $ —     $ 5     $ 21     $ 213  

Sub-transfer agency fees

      1,057        396        498       n/a       n/a       —       —       58       —       2,009  

Mid Cap Equity Fund

                       

Transfer agency fees

      16        3        13       n/a     $ — (a)      n/a       n/a       — (a)      11       43  

Sub-transfer agency fees

      390        50        507       n/a       1       n/a       n/a       1       —       949  

Mid Cap Growth Fund

                       

Transfer agency fees

      337        12        32       n/a       11       — (a)      — (a)      5       33       430  

Sub-transfer agency fees

      700        79        715       n/a       48       —       —       170       —       1,712  

Mid Cap Value Fund

                       

Transfer agency fees

      146        24        41     $ 766       10       2       — (a)      4       1       994  

Sub-transfer agency fees

      2,363        267        1,846       6,565       94       — (a)      — (a)      —       —       11,135  

Multi-Cap Market Neutral Fund

                       

Transfer agency fees

      1        1        2       n/a       n/a       n/a       n/a       n/a       n/a       4  

Sub-transfer agency fees

      5        5        6       n/a       n/a       n/a       n/a       n/a       n/a       16  

Value Advantage Fund

                       

Transfer agency fees

      93        51        30       60       n/a       — (a)      — (a)      — (a)      11       245  

Sub-transfer agency fees

      1,796        441        524       1,019       n/a       —       —       —       —       3,780  

 

(a) Amount rounds to less than 500.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         71  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017 (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, 2017, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

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

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

      $ (20,689 )       $ 19,294        $ 1,395  

Mid Cap Equity Fund

        1          (320 )         319  

Mid Cap Growth Fund

        (9,863 )         8,215          1,648  

Mid Cap Value Fund

        — (a)         —          — (a) 

Multi-Cap Market Neutral Fund

        (1,381 )         1,308          73  

Value Advantage Fund

        265,353          (2,756 )         (262,597 ) 

 

(a) Amount rounds to less than 500.

The reclassification for the Funds relate primarily to net operating losses, investments in partnerships, non-taxable dividends and adjustments to gain/loss due to redemptions in-kind.

3. Fees and Other Transactions with Affiliates

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

 

Growth Advantage Fund

      0.65 % 

Mid Cap Equity Fund

      0.65  

Mid Cap Growth Fund

      0.65  

Mid Cap Value Fund

      0.65  

Multi-Cap Market Neutral Fund

      0.80  

Value Advantage Fund

      0.65  

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

B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2017, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Dis-

 

 
72       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

tribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Growth Advantage Fund

        0.25 %         0.75 %         n/a          0.25 % 

Mid Cap Equity Fund

        0.25          0.75          0.50 %         n/a  

Mid Cap Growth Fund

        0.25          0.75          0.50          0.25  

Mid Cap Value Fund

        0.25          0.75          0.50          0.25  

Multi-Cap Market Neutral Fund

        0.25          0.75          n/a          n/a  

Value Advantage Fund

        0.25          0.75          n/a          0.25  

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2017, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Growth Advantage Fund

      $ 475        $ 5  

Mid Cap Equity Fund

        248          2  

Mid Cap Growth Fund

        87          1  

Mid Cap Value Fund

        45          1  

Multi-Cap Market Neutral Fund

        — (a)         —  

Value Advantage Fund

        330          6  

 

(a) Amount rounds to less than 500.

D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. The Class R6 Shares do not charge a service fee. For performing these services, JPMDS 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 I      Class L      Class R2      Class R3      Class R4      Class R5  

Growth Advantage Fund

        0.25 %       0.25 %       0.25 %       n/a        n/a        0.25 %       0.25 %       0.10 %* 

Mid Cap Equity Fund

        0.25        0.25        0.25        n/a        0.25 %       n/a        n/a        0.10 * 

Mid Cap Growth Fund

        0.25        0.25        0.25        n/a        0.25        0.25        0.25        0.10 * 

Mid Cap Value Fund

        0.25        0.25        0.25        0.10 %       0.25        0.25        0.25        0.10 * 

Multi-Cap Market Neutral Fund

        0.25        0.25        0.25        n/a        n/a        n/a        n/a        n/a  

Value Advantage Fund

        0.25        0.25        0.25        0.10        n/a        0.25        0.25        0.10 * 

 

* Prior to April 3, 2017, the service fee for Class R5 Shares were 0.05%.

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

JPMDS waived service fees as outlined in Note 3.F.

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

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

F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         73  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017 (continued)

 

described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

      Class A     Class C     Class I     Class L     Class R2     Class R3     Class R4     Class R5     Class R6  

Growth Advantage Fund*

      1.24 %      1.74 %      0.99 %      n/a       n/a       1.25 %      1.00 %      0.85 %      0.75 % 

Mid Cap Equity Fund

      1.25       1.75       0.90       n/a       1.50 %      n/a       n/a       0.80       0.75  

Mid Cap Growth Fund

      1.24       1.74       0.93       n/a       1.49 **      1.24 %      0.99       0.79       0.74  

Mid Cap Value Fund

      1.24       1.75       0.99       0.75 %      1.50       1.25       1.00       0.85       0.75  

Multi-Cap Market Neutral Fund

      1.25       1.75       0.99       n/a       n/a       n/a       n/a       n/a       n/a  

Value Advantage Fund

      1.24 ***      1.74 ***      0.99 ***      0.75       n/a       1.25       1.00       0.85       0.75  

 

    * The contractual expense percentages in the table above are in place until at least October 31, 2018 except for Class R3 and Class R4 Shares that are in place until May 31, 2018. Prior to November 1, 2016, the contractual expense limitation for Growth Advantage Fund was 1.25%, 1.75%, 1.10%, 0.90% and 0.85%, for Class A, Class C, Class I, Class R5 and Class R6 Shares, respectively.
  ** The contractual expense percentage in the table above is in place until at least October 31, 2018. For Mid Cap Growth Fund Class R2 Shares, the Adviser, Administrator and/or JPMDS contractually waived fees and/or reimbursed the Fund 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) exceeded 1.40% of the Fund’s average daily net assets during the period July 1, 2016 through October 31, 2016. During the period November 1, 2016 through December 31, 2016 the Adviser, Administrator and/or JPMDS voluntarily waived fees and/or reimbursed the Fund to the extent that total annual operating expenses for Class R2 Shares exceeded 1.40%. The Fund’s service providers are under no obligation to continue the voluntary waivers and may discontinue them at any time.
*** The contractual expense percentages in the table above are in place until at least October 31, 2018. Prior to November 1, 2016, the contractual expense limitation for Value Advantage Fund was 1.25%, 1.75%, and 1.00%, for Class A, Class C and Class I Shares, respectively.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2017 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2017.

For the year ended June 30, 2017, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory Fees		        Administration
Fees		        Service Fees        Total        Contractual
Reimbursements		  

Growth Advantage Fund

      $ 17        $ 12        $ 2,160        $ 2,189        $ 7  

Mid Cap Equity Fund

        88          59          1,640          1,787          23  

Mid Cap Growth Fund

        295          195          2,543          3,033          114  

Mid Cap Value Fund

        1,575          1,035          15,940          18,550          5,540  

Multi-Cap Market Neutral Fund

        276          131          14          421          —  

Value Advantage Fund

        882          587          6,850          8,319          588  

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

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2017 was as follows (amounts in thousands):

 

Growth Advantage Fund

    $ 247  

Mid Cap Equity Fund

      152  

Mid Cap Growth Fund

      125  

Mid Cap Value Fund

      1,288  

Multi-Cap Market Neutral Fund

      27  

Value Advantage Fund

      402  

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

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

 

 
74       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

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, 2017, Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund, Multi-Cap Market Neutral Fund and Value Advantage Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2017, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Growth Advantage Fund

    $ — (a) 

Mid Cap Equity Fund

      — (a) 

Mid Cap Growth Fund

      — (a) 

Mid Cap Value Fund

      2  

Multi-Cap Market Neutral Fund

      — (a) 

Value Advantage Fund

      2  

 

(a) Amount rounds to less than 500.

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

4. Investment Transactions

During the year ended June 30, 2017, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):

 

        Purchases
(excluding
U.S. Government)		        Sales
(excluding
U.S. Government)		        Securities
Sold Short		        Covers on
Securities
Sold Short		  

Growth Advantage Fund

      $ 2,140,445        $ 2,493,607        $ —        $ —  

Mid Cap Equity Fund

        959,015          949,951          —          —  

Mid Cap Growth Fund

        1,150,873          1,481,479          —          —  

Mid Cap Value Fund

        4,239,718          3,735,324          —          —  

Multi-Cap Market Neutral Fund

        111,822          202,705          127,833          216,504  

Value Advantage Fund

        2,440,060          2,772,718          —          —  

During the year ended June 30, 2017, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2017 were as follows (amounts in thousands):

 

       

Aggregate

Cost

       Gross
Unrealized
Appreciation 		       Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Growth Advantage Fund

      $ 4,761,420        $ 2,441,059        $ 49,318        $ 2,391,741  

Mid Cap Equity Fund

        2,048,226          837,632          52,518          785,114  

Mid Cap Growth Fund

        2,424,869          748,948          58,383          690,565  

Mid Cap Value Fund

        12,223,368          6,541,794          381,218          6,160,576  

Multi-Cap Market Neutral Fund

        109,292          19,362          3,714          15,648  

Value Advantage Fund

        8,611,044          2,674,714          231,607          2,443,107  

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in partnerships and wash sale loss deferrals.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         75  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017 (continued)

 

The tax character of distributions paid during the year ended June 30, 2017 was as follows (amounts in thousands):

 

        Ordinary
Income* 		       Net
Long-Term
Capital Gains		        Total
Distribution
Paid 		 

Mid Cap Equity Fund

      $ 9,004        $ 78,292        $ 87,296  

Mid Cap Growth Fund

        —          1,276          1,276  

Mid Cap Value Fund

        143,520          984,030          1,127,550  

Value Advantage Fund

        134,075          —          134,075  

 

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

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.

As of June 30, 2017, the estimated 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

      $ —        $ 90,502        $ —      $ 2,391,741  

Mid Cap Equity Fund

        26,762          68,968          —        785,114  

Mid Cap Growth Fund

        —          109,059          —        690,565  

Mid Cap Value Fund

        92,730          293,891          (7,367 )       6,160,576  

Multi-Cap Market Neutral Fund

        —          —          (1,694 )       9,393  

Value Advantage Fund

        57,092          73,163          —        2,443,107  

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, investments in partnerships 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, 2017, the following Fund had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

      2018  

Mid Cap Value Fund

    $ 7,367 * 

 

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

As of June 30, 2017, the following Fund had the following post-enactment net capital loss carryforwards (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term      Long-Term  

Multi-Cap Market Neutral Fund

    $ 1,694      $ —  

 

 
76       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

During the year ended June 30, 2017, the following Funds utilized net capital loss carryforwards as follows (amounts in thousands):

 

Mid Cap Value Fund

    $ 7,367  

Multi-Cap Market Neutral Fund

      427  

Value Advantage Fund

    $ 49,224  

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, 2017, the following Funds deferred to July 1, 2017 late year ordinary losses and post-October capital losses of (amounts in thousands):

 

      

Late Year Ordinary
Loss Deferral

 

        Net Capital Loss  
             Short-Term        Long-Term  

Growth Advantage Fund

      $ 9,926        $ 6,162        $ —  

Mid Cap Growth Fund

        5,192          —          —  

Multi-Cap Market Neutral Fund

        163          —          —  

6. Borrowings

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

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended June 30, 2017.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2017.

7. Redemptions in-Kind

During the year ended June 30, 2017, certain Class L shareholders sold their shares of Value Advantage Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):

 

March 17, 2017    Value     

Realized

Gains (Losses)

        Type  

Class L

    $ 644,712 *     $ 273,526          Redemption in-kind  

 

* This amount includes cash of approximately $21,734,000 associated with the redemption in-kind.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         77  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2017 (continued)

 

During the year ended June 30, 2016, certain Class I 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  

Class I

    $ 602,118 *     $ 203,177          Redemption 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, 2017, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:

 

      J.P. Morgan
Investor Funds		     JPMorgan
SmartRetirement
Funds		  

Growth Advantage Fund

      n/a       37.7 % 

Mid Cap Equity Fund

      n/a       49.9  

Multi-Cap Market Neutral Fund

      88.4 %      n/a  

Value Advantage Fund

      n/a       23.3  

As of June 30, 2017, the following Funds had omnibus accounts each owning more than 10% of the Fund’s outstanding shares as follows:

 

      Number of
Non-affiliated
Omnibus
Accounts		      % of the Fund  

Growth Advantage Fund

      3        10.7 % 

Mid Cap Equity Fund

      4        19.8  

Mid Cap Value Fund

      3        20.5  

Value Advantage Fund

      4        11.5  

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

As of June 30, 2017, the Multi-Cap Market Neutral Fund pledged a significant portion of its assets for securities sold short to Citigroup Global Markets, Inc., who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.

9. Investment Company Reporting Modernization

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and will require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X will apply to Funds’ fiscal year end on or after August 1, 2017. At this time, management is currently evaluating the impact of the Regulation S-X amendments on the Funds’ financial statements and related disclosures. The adoption will have no effect on the Funds’ net assets or results of operations.

 

 
78       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

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

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund and JPMorgan Value Advantage Fund (each a separate series of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund and JPMorgan Multi-Cap Market Neutral Fund (each a separate series of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate series of JPMorgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate series of JPMorgan Fleming Mutual Fund Group, Inc.) (hereafter collectively referred to as the “Funds”) as of June 30, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein, 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 as of June 30, 2017 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinions.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2017

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         79  

Table of Contents

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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    150    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).    150    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington (1950); Trustee of Trusts since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    149    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).    150    None

Raymond Kanner (1953);

Trustee of the Trusts since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    149    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, 2016-17, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    150    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).    150    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).    150    None

 

 
80       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupations

During Past 5 Years

    Number of
Portfolios in Fund
Complex Overseen
by Trustee (2)		   

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

     
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) (1985-2005).    150    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
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).		    150    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).
Marian U. Pardo** (1946); Trustee of 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).    150    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); Advisor, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-2015); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).		    150    Trustee, Wabash College (2000-present)
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).    150    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 (150 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, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         81  

Table of Contents

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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)		    Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005.
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.
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.

Zachary E. Vonnegut-Gabovitch (1986)

Assistant Secretary (2017)

    Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016.

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.

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, New York, NY 10004.

 

 
82       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2017, and continued to hold your shares at the end of the reporting period, June 30, 2017.

Actual Expenses

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

 

Hypothetical Example for Comparison Purposes

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

 

 

       

Beginning

Account Value

January 1, 2017

       

Ending

Account Value

June 30, 2017

       

Expenses

Paid During
the Period

       

Annualized

Expense

Ratio

  

Growth Advantage Fund

                    

Class A

                    

Actual*

      $ 1,000.00        $ 1,183.30        $ 6.66          1.23 % 

Hypothetical*

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual*

        1,000.00          1,180.10          9.35          1.73  

Hypothetical*

        1,000.00          1,016.22          8.65          1.73  

Class I (formerly Select Class)

                    

Actual*

        1,000.00          1,185.80          4.01          0.74  

Hypothetical*

        1,000.00          1,021.12          3.71          0.74  

Class R3

                    

Actual**

        1,000.00          1,184.00          5.31          0.98  

Hypothetical*

        1,000.00          1,019.93          4.91          0.98  

Class R4

                    

Actual**

        1,000.00          1,006.20          1.03          1.25  

Hypothetical*

        1,000.00          1,018.60          6.26          1.25  

Class R5

                    

Actual*

        1,000.00          1,006.00          0.82          0.99  

Hypothetical*

        1,000.00          1,019.89          4.96          0.99  

Class R6

                    

Actual*

        1,000.00          1,185.20          4.55          0.84  

Hypothetical*

        1,000.00          1,020.63          4.21          0.84  

Mid Cap Equity Fund

                    

Class A

                    

Actual*

        1,000.00          1,106.50          6.48          1.24  

Hypothetical*

        1,000.00          1,018.65          6.21          1.24  

Class C

                    

Actual*

        1,000.00          1,103.70          9.08          1.74  

Hypothetical*

        1,000.00          1,016.17          8.70          1.74  

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         83  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

       

Beginning

Account Value

January 1, 2017

       

Ending

Account Value

June 30, 2017

       

Expenses

Paid During
the Period

       

Annualized

Expense

Ratio

  

Mid Cap Equity Fund (continued)

                    

Class I (formerly Select Class)

                    

Actual*

      $ 1,000.00        $ 1,108.50        $ 4.65          0.89 % 

Hypothetical*

        1,000.00          1,020.38          4.46          0.89  

Class R2

                    

Actual*

        1,000.00          1,105.20          7.78          1.49  

Hypothetical*

        1,000.00          1,017.41          7.45          1.49  

Class R5

                    

Actual*

        1,000.00          1,108.90          4.13          0.79  

Hypothetical*

        1,000.00          1,020.88          3.96          0.79  

Class R6

                    

Actual*

        1,000.00          1,109.30          3.87          0.74  

Hypothetical*

        1,000.00          1,021.12          3.71          0.74  

Mid Cap Growth Fund

                    

Class A

                    

Actual*

        1,000.00          1,154.20          6.57          1.23  

Hypothetical*

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual*

        1,000.00          1,151.10          9.23          1.73  

Hypothetical*

        1,000.00          1,016.22          8.65          1.73  

Class I (formerly Select Class)

                    

Actual*

        1,000.00          1,156.10          4.92          0.92  

Hypothetical*

        1,000.00          1,020.23          4.61          0.92  

Class R2

                    

Actual*

        1,000.00          1,153.00          7.69          1.44  

Hypothetical*

        1,000.00          1,017.65          7.20          1.44  

Class R3

                    

Actual*

        1,000.00          1,154.00          6.57          1.23  

Hypothetical*

        1,000.00          1,018.70          6.16          1.23  

Class R4

                    

Actual*

        1,000.00          1,155.70          5.24          0.98  

Hypothetical*

        1,000.00          1,019.93          4.91          0.98  

Class R5

                    

Actual*

        1,000.00          1,156.80          4.17          0.78  

Hypothetical*

        1,000.00          1,020.93          3.91          0.78  

Class R6

                    

Actual*

        1,000.00          1,157.40          3.90          0.73  

Hypothetical*

        1,000.00          1,021.17          3.66          0.73  

Mid Cap Value Fund

                    

Class A

                    

Actual*

        1,000.00          1,060.60          6.28          1.23  

Hypothetical*

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual*

        1,000.00          1,058.20          8.88          1.74  

Hypothetical*

        1,000.00          1,016.17          8.70          1.74  

Class I (formerly Select Class)

                    

Actual*

        1,000.00          1,062.20          5.01          0.98  

Hypothetical*

        1,000.00          1,019.93          4.91          0.98  

Class L (formerly Institutional Class)

                    

Actual*

        1,000.00          1,063.20          3.79          0.74  

Hypothetical*

        1,000.00          1,021.12          3.71          0.74  

Class R2

                    

Actual*

        1,000.00          1,059.20          7.61          1.49  

Hypothetical*

        1,000.00          1,017.41          7.45          1.49  

 

 
84       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2017

Table of Contents
       

Beginning

Account Value

January 1, 2017

       

Ending

Account Value

June 30, 2017

       

Expenses

Paid During
the Period

       

Annualized

Expense

Ratio

  

Mid Cap Value Fund (continued)

                    

Class R3

                    

Actual*

      $ 1,000.00        $ 1,061.10        $ 6.34          1.24 % 

Hypothetical*

        1,000.00          1,018.65          6.21          1.24  

Class R4

                    

Actual*

        1,000.00          1,062.10          5.06          0.99  

Hypothetical*

        1,000.00          1,019.89          4.96          0.99  

Class R5

                    

Actual*

        1,000.00          1,062.90          4.30          0.84  

Hypothetical*

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual*

        1,000.00          1,063.50          3.79          0.74  

Hypothetical*

        1,000.00          1,021.12          3.71          0.74  

Multi-Cap Market Neutral Fund

                    

Class A

                    

Actual*

        1,000.00          992.00          11.90          2.41  

Hypothetical*

        1,000.00          1,012.84          12.03          2.41  

Class C

                    

Actual*

        1,000.00          989.40          14.30          2.90  

Hypothetical*

        1,000.00          1,010.41          14.46          2.90  

Class I (formerly Select Class)

                    

Actual*

        1,000.00          993.20          10.53          2.13  

Hypothetical*

        1,000.00          1,014.23          10.64          2.13  

Value Advantage Fund

                    

Class A

                    

Actual*

        1,000.00          1,040.80          6.27          1.24  

Hypothetical*

        1,000.00          1,018.65          6.21          1.24  

Class C

                    

Actual*

        1,000.00          1,038.20          8.79          1.74  

Hypothetical*

        1,000.00          1,016.17          8.70          1.74  

Class I (formerly Select Class)

                    

Actual*

        1,000.00          1,042.20          4.96          0.98  

Hypothetical*

        1,000.00          1,019.93          4.91          0.98  

Class L (formerly Institutional Class)

                    

Actual*

        1,000.00          1,043.40          3.80          0.75  

Hypothetical*

        1,000.00          1,021.08          3.76          0.75  

Class R3

                    

Actual*

        1,000.00          1,040.70          6.27          1.24  

Hypothetical*

        1,000.00          1,018.65          6.21          1.24  

Class R4

                    

Actual*

        1,000.00          1,042.20          5.06          1.00  

Hypothetical*

        1,000.00          1,019.84          5.01          1.00  

Class R5

                    

Actual*

        1,000.00          1,042.80          4.25          0.84  

Hypothetical*

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual*

        1,000.00          1,043.20          3.75          0.74  

Hypothetical*

        1,000.00          1,021.12          3.71          0.74  

 

 

  * Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 30/365 (to reflect the actual period.) Commencement of operations was May 31, 2017.

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         85  

Table of Contents

TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2017. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2017. The information necessary to complete your income tax returns for the calendar year ending December 31, 2017 will be provided under separate cover.

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, 2017:

 

      Dividends
Received
Deduction		  

Mid Cap Equity Fund

      93.74 % 

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, 2017 (amounts in thousands):

 

      Long-Term
Capital Gain
Distribution		  

Mid Cap Equity Fund

    $ 78,292  

Mid Cap Growth Fund

      1,276  

Mid Cap Value Fund

      984,030  

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, 2017 (amounts in thousands):

 

      Qualified
Dividend
Income		  

Mid Cap Equity Fund

    $ 9,004  

Mid Cap Value Fund

      143,519  

Value Advantage Fund

      134,075  
 

 

 
JUNE 30, 2017   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         86  

Table of Contents

LOGO

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

 

LOGO

Table of Contents

LOGO

 

Page 2

    

 

 

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

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

  

We collect your personal information, for example, when you:

 

◾ open an account or provide contact information

 

◾ give us your account information or pay us by check

 

◾ make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

◾ affiliates from using your information to market to you

 

◾ sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

◾ J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

◾ J.P. Morgan Funds doesn’t jointly market.

Table of Contents

 

 

 

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

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

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

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

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

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

 

LOGO

Table of Contents

 

 

 

LOGO

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., 2017. All rights reserved. June 2017.   AN-MC-617

Table of Contents

ITEM 2. CODE OF ETHICS.

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

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

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

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

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

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

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

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

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

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

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

The audit committee financial expert is James Schonbachler. 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.

Table of Contents

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

2017 – $33,371

2016 – $29,668

(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

2017 – $5,780

2016 – $5,640

Audit-related fees consists of 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

2017 – $10,980

2016 – $10,744

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, 2017 and 2016, 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

2017 – Not applicable

2016 – 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

Table of Contents

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.

2017 – 0.0%

2016 – 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:

2016 - $28.3 million

2015 - $29.2 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.

Table of Contents

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)).

Table of Contents

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.

Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

J.P. Morgan Fleming Mutual Fund Group, Inc.
By:   /s/ Brian S. Shlissel
  Brian S. Shlissel
  President and Principal Executive Officer
  September 1, 2017

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, 2017
By:   /s/ Laura M. Del Prato
  Laura M. Del Prato
  Treasurer and Principal Financial Officer
  September 1, 2017